PerpetualDiscounts now yield 5.54%, equivalent to 7.20% 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 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported August 22.
| 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 | -0.2821 % | 3,097.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2821 % | 5,684.0 |
| Floater | 3.49 % | 3.70 % | 43,400 | 18.01 | 4 | -0.2821 % | 3,275.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4492 % | 3,232.3 |
| SplitShare | 4.60 % | 4.42 % | 50,200 | 4.86 | 5 | -0.4492 % | 3,860.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4492 % | 3,011.8 |
| Perpetual-Premium | 5.61 % | -10.01 % | 55,732 | 0.08 | 10 | 0.0708 % | 2,918.4 |
| Perpetual-Discount | 5.39 % | 5.54 % | 58,994 | 14.54 | 25 | 0.0723 % | 3,002.6 |
| FixedReset | 4.30 % | 4.67 % | 127,671 | 3.78 | 106 | 0.1335 % | 2,588.9 |
| Deemed-Retractible | 5.13 % | 5.76 % | 62,683 | 5.36 | 26 | 0.1016 % | 2,995.0 |
| FloatingReset | 3.50 % | 3.58 % | 43,155 | 5.71 | 6 | 0.1008 % | 2,854.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PVS.PR.F | SplitShare | -2.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.42 % |
| TRP.PR.B | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-29 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.04 % |
| IFC.PR.F | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 5.56 % |
| GWO.PR.T | Deemed-Retractible | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 6.03 % |
| MFC.PR.F | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.88 Bid-YTW : 7.88 % |
| MFC.PR.L | FixedReset | 1.89 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.23 Bid-YTW : 5.64 % |
| MFC.PR.M | FixedReset | 1.89 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 5.35 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.G | FixedReset | 109,680 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.28 Bid-YTW : 3.65 % |
| RY.PR.W | Perpetual-Discount | 104,785 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-29 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 4.97 % |
| TD.PF.C | FixedReset | 69,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-29 Maturity Price : 23.14 Evaluated at bid price : 23.59 Bid-YTW : 4.70 % |
| BNS.PR.Y | FixedReset | 54,510 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.98 Bid-YTW : 3.96 % |
| IFC.PR.C | FixedReset | 52,395 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.47 Bid-YTW : 5.38 % |
| BAM.PR.Z | FixedReset | 52,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 4.93 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.A | FixedReset | Quote: 25.00 – 25.75 Spot Rate : 0.7500 Average : 0.4432 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 24.91 – 25.60 Spot Rate : 0.6900 Average : 0.4250 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 22.92 – 23.50 Spot Rate : 0.5800 Average : 0.3967 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 16.90 – 17.45 Spot Rate : 0.5500 Average : 0.3847 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 24.14 – 24.48 Spot Rate : 0.3400 Average : 0.2063 YTW SCENARIO |
| BAM.PF.C | Perpetual-Discount | Quote: 21.50 – 21.90 Spot Rate : 0.4000 Average : 0.2717 YTW SCENARIO |