PerpetualDiscounts now yield 5.46%, equivalent to 7.10% 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 305bp, a slight (and perhaps spurious) widening from the 300bp reported September 20.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | -0.5859 % | 2,392.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5859 % | 4,390.1 |
| Floater | 3.96 % | 3.96 % | 96,350 | 17.50 | 3 | -0.5859 % | 2,530.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0330 % | 3,065.5 |
| SplitShare | 4.76 % | 4.71 % | 94,085 | 4.42 | 6 | -0.0330 % | 3,660.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0330 % | 2,856.3 |
| Perpetual-Premium | 5.43 % | 4.86 % | 57,088 | 5.98 | 16 | 0.1238 % | 2,778.6 |
| Perpetual-Discount | 5.38 % | 5.46 % | 70,408 | 14.65 | 19 | 0.0275 % | 2,887.6 |
| FixedReset | 4.35 % | 4.57 % | 152,341 | 6.20 | 99 | 0.1781 % | 2,411.9 |
| Deemed-Retractible | 5.14 % | 5.70 % | 103,476 | 6.04 | 31 | 0.1304 % | 2,852.9 |
| FloatingReset | 2.84 % | 3.18 % | 54,177 | 4.07 | 8 | 0.0711 % | 2,650.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-27 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 3.97 % |
| CM.PR.O | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-27 Maturity Price : 21.73 Evaluated at bid price : 22.20 Bid-YTW : 4.57 % |
| HSE.PR.C | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-27 Maturity Price : 23.06 Evaluated at bid price : 23.92 Bid-YTW : 5.06 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset | 333,138 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 4.31 % |
| NA.PR.A | FixedReset | 118,429 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 4.14 % |
| RY.PR.R | FixedReset | 112,524 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.64 Bid-YTW : 3.85 % |
| BAM.PF.F | FixedReset | 71,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-27 Maturity Price : 23.52 Evaluated at bid price : 23.85 Bid-YTW : 4.86 % |
| TRP.PR.G | FixedReset | 66,134 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-27 Maturity Price : 22.90 Evaluated at bid price : 23.90 Bid-YTW : 4.78 % |
| TD.PF.A | FixedReset | 62,223 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-27 Maturity Price : 21.73 Evaluated at bid price : 22.20 Bid-YTW : 4.56 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.K | FixedReset | Quote: 21.20 – 22.14 Spot Rate : 0.9400 Average : 0.7233 YTW SCENARIO |
| MFC.PR.O | FixedReset | Quote: 26.80 – 27.30 Spot Rate : 0.5000 Average : 0.3519 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 22.75 – 23.20 Spot Rate : 0.4500 Average : 0.3182 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.18 – 22.58 Spot Rate : 0.4000 Average : 0.3272 YTW SCENARIO |
| CU.PR.I | FixedReset | Quote: 26.00 – 26.25 Spot Rate : 0.2500 Average : 0.1773 YTW SCENARIO |
| TD.PF.I | FixedReset | Quote: 25.31 – 25.51 Spot Rate : 0.2000 Average : 0.1311 YTW SCENARIO |