PerpetualDiscounts now yield 5.38%, equivalent to 6.99% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.18%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 380bp from the 385bp reported October 2.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8529 % | 1,855.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8529 % | 3,403.9 |
| Floater | 6.50 % | 6.69 % | 44,102 | 12.95 | 4 | 0.8529 % | 1,961.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1069 % | 3,392.1 |
| SplitShare | 4.64 % | 4.56 % | 57,212 | 3.96 | 7 | 0.1069 % | 4,050.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1069 % | 3,160.7 |
| Perpetual-Premium | 5.50 % | -21.76 % | 60,592 | 0.09 | 8 | 0.3996 % | 3,021.8 |
| Perpetual-Discount | 5.42 % | 5.38 % | 72,422 | 14.70 | 25 | 0.3697 % | 3,197.2 |
| FixedReset Disc | 5.72 % | 5.49 % | 162,629 | 14.65 | 66 | 0.1363 % | 2,052.0 |
| Deemed-Retractible | 5.21 % | 5.77 % | 67,391 | 7.86 | 27 | 0.0867 % | 3,160.3 |
| FloatingReset | 6.51 % | 6.99 % | 81,458 | 12.57 | 2 | 0.3162 % | 2,320.0 |
| FixedReset Prem | 5.15 % | 4.11 % | 161,816 | 1.71 | 20 | 0.0210 % | 2,594.7 |
| FixedReset Bank Non | 1.97 % | 4.09 % | 82,512 | 2.24 | 3 | -0.0277 % | 2,678.5 |
| FixedReset Ins Non | 5.55 % | 8.01 % | 101,644 | 7.86 | 21 | 0.2312 % | 2,079.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAF.PR.B | Deemed-Retractible | -1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.83 Bid-YTW : 6.35 % |
| BAM.PF.F | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 6.02 % |
| TRP.PR.B | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 6.21 % |
| EMA.PR.C | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 5.93 % |
| MFC.PR.G | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.23 Bid-YTW : 8.10 % |
| BAM.PR.B | Floater | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 10.43 Evaluated at bid price : 10.43 Bid-YTW : 6.69 % |
| IFC.PR.C | FixedReset Ins Non | 1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.62 % |
| MFC.PR.K | FixedReset Ins Non | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.33 % |
| TD.PF.A | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 16.74 Evaluated at bid price : 16.74 Bid-YTW : 5.27 % |
| IFC.PR.G | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.89 Bid-YTW : 7.86 % |
| IAF.PR.I | FixedReset Ins Non | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 7.73 % |
| BAM.PR.C | Floater | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 6.75 % |
| PWF.PR.R | Perpetual-Premium | 1.48 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-30 Maturity Price : 25.25 Evaluated at bid price : 25.20 Bid-YTW : 5.20 % |
| CM.PR.Q | FixedReset Disc | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 5.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.B | Deemed-Retractible | 344,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 6.29 % |
| BMO.PR.T | FixedReset Disc | 106,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.36 % |
| MFC.PR.G | FixedReset Ins Non | 55,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.23 Bid-YTW : 8.10 % |
| BIP.PR.D | FixedReset Disc | 50,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 22.38 Evaluated at bid price : 22.80 Bid-YTW : 5.56 % |
| RY.PR.M | FixedReset Disc | 47,109 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-09 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 5.44 % |
| RY.PR.Q | FixedReset Prem | 47,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 3.85 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.B | Perpetual-Discount | Quote: 24.01 – 24.38 Spot Rate : 0.3700 Average : 0.2286 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.15 – 23.53 Spot Rate : 0.3800 Average : 0.2719 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 16.93 – 17.27 Spot Rate : 0.3400 Average : 0.2368 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 22.01 – 22.50 Spot Rate : 0.4900 Average : 0.3881 YTW SCENARIO |
| CM.PR.P | FixedReset Disc | Quote: 15.70 – 16.00 Spot Rate : 0.3000 Average : 0.2071 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 17.85 – 18.25 Spot Rate : 0.4000 Average : 0.3076 YTW SCENARIO |
Absolutly crazy that were getting close to 7% (equivalent)…