PerpetualDiscounts now yield 5.32%, equivalent to 6.92% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a significant widening from the 285bp reported October 11.
| 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 | -0.0168 % | 2,421.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0168 % | 4,443.6 |
| Floater | 3.77 % | 3.92 % | 34,731 | 17.60 | 4 | -0.0168 % | 2,560.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0660 % | 3,072.2 |
| SplitShare | 4.75 % | 4.73 % | 72,414 | 4.37 | 6 | 0.0660 % | 3,668.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0660 % | 2,862.6 |
| Perpetual-Premium | 5.35 % | 1.21 % | 62,163 | 0.20 | 17 | -0.0370 % | 2,821.4 |
| Perpetual-Discount | 5.33 % | 5.32 % | 60,858 | 14.96 | 19 | 0.0788 % | 2,953.8 |
| FixedReset | 4.24 % | 4.21 % | 149,735 | 4.54 | 99 | 0.0784 % | 2,481.2 |
| Deemed-Retractible | 5.08 % | 5.54 % | 98,703 | 6.00 | 30 | -0.1049 % | 2,899.3 |
| FloatingReset | 2.80 % | 2.87 % | 44,857 | 4.04 | 8 | 0.1796 % | 2,676.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-18 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.72 % |
| MFC.PR.K | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 5.45 % |
| GWO.PR.N | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.82 Bid-YTW : 7.88 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset | 196,079 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 4.11 % |
| MFC.PR.R | FixedReset | 129,455 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 4.06 % |
| BAM.PF.J | FixedReset | 101,414 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 4.42 % |
| MFC.PR.I | FixedReset | 64,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.46 % |
| BMO.PR.C | FixedReset | 64,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 4.13 % |
| TD.PF.G | FixedReset | 57,066 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 3.46 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.R | Deemed-Retractible | Quote: 22.99 – 23.35 Spot Rate : 0.3600 Average : 0.2725 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 21.70 – 22.00 Spot Rate : 0.3000 Average : 0.2198 YTW SCENARIO |
| BAM.PF.G | FixedReset | Quote: 24.30 – 24.48 Spot Rate : 0.1800 Average : 0.1070 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 25.10 – 25.39 Spot Rate : 0.2900 Average : 0.2201 YTW SCENARIO |
| BNS.PR.Y | FixedReset | Quote: 23.07 – 23.29 Spot Rate : 0.2200 Average : 0.1583 YTW SCENARIO |
| MFC.PR.M | FixedReset | Quote: 23.65 – 24.02 Spot Rate : 0.3700 Average : 0.3150 YTW SCENARIO |