PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a significant tightening from the 310bp reported September 13.
| 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 | -1.1569 % | 2,409.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.1569 % | 4,421.2 |
| Floater | 3.93 % | 3.93 % | 105,045 | 17.57 | 3 | -1.1569 % | 2,547.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1851 % | 3,059.4 |
| SplitShare | 4.77 % | 4.81 % | 85,529 | 4.43 | 6 | -0.1851 % | 3,653.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1851 % | 2,850.7 |
| Perpetual-Premium | 5.42 % | 4.87 % | 54,541 | 6.00 | 16 | 0.0791 % | 2,774.2 |
| Perpetual-Discount | 5.38 % | 5.43 % | 66,867 | 14.63 | 19 | -0.1303 % | 2,882.3 |
| FixedReset | 4.36 % | 4.62 % | 156,212 | 6.22 | 99 | 0.0091 % | 2,404.7 |
| Deemed-Retractible | 5.15 % | 5.71 % | 101,220 | 6.06 | 31 | -0.0705 % | 2,851.1 |
| FloatingReset | 2.87 % | 2.97 % | 51,542 | 4.09 | 8 | -0.0110 % | 2,644.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-20 Maturity Price : 14.19 Evaluated at bid price : 14.19 Bid-YTW : 3.94 % |
| BAM.PR.B | Floater | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-20 Maturity Price : 14.23 Evaluated at bid price : 14.23 Bid-YTW : 3.93 % |
| CU.PR.E | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-20 Maturity Price : 22.44 Evaluated at bid price : 22.80 Bid-YTW : 5.41 % |
| BAM.PR.T | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-20 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.93 % |
| VNR.PR.A | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-20 Maturity Price : 22.12 Evaluated at bid price : 22.73 Bid-YTW : 5.15 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.E | FixedReset | 154,326 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-20 Maturity Price : 21.72 Evaluated at bid price : 22.19 Bid-YTW : 4.74 % |
| TD.PF.G | FixedReset | 104,493 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.82 Bid-YTW : 3.57 % |
| BNS.PR.B | FloatingReset | 104,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 2.90 % |
| BAM.PF.J | FixedReset | 102,247 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 4.68 % |
| BNS.PR.E | FixedReset | 92,852 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.74 Bid-YTW : 3.68 % |
| TRP.PR.J | FixedReset | 90,507 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 3.91 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.B | FixedReset | Quote: 15.65 – 16.49 Spot Rate : 0.8400 Average : 0.4946 YTW SCENARIO |
| EML.PR.A | FixedReset | Quote: 26.20 – 26.75 Spot Rate : 0.5500 Average : 0.3506 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 20.15 – 20.54 Spot Rate : 0.3900 Average : 0.2363 YTW SCENARIO |
| PVS.PR.E | SplitShare | Quote: 25.60 – 26.00 Spot Rate : 0.4000 Average : 0.2733 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 22.80 – 23.23 Spot Rate : 0.4300 Average : 0.3127 YTW SCENARIO |
| MFC.PR.O | FixedReset | Quote: 26.76 – 27.05 Spot Rate : 0.2900 Average : 0.1973 YTW SCENARIO |