PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield just a hair under 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a slight (and perhaps spurious) narrowing from the 325bp reported September 5.
| 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 | -0.6280 % | 3,037.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6280 % | 5,572.9 |
| Floater | 3.56 % | 3.78 % | 37,825 | 17.81 | 4 | -0.6280 % | 3,211.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1505 % | 3,227.1 |
| SplitShare | 4.61 % | 4.61 % | 58,400 | 4.82 | 5 | -0.1505 % | 3,853.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1505 % | 3,006.9 |
| Perpetual-Premium | 5.54 % | -1.38 % | 50,174 | 0.14 | 12 | -0.0197 % | 2,918.8 |
| Perpetual-Discount | 5.40 % | 5.53 % | 58,764 | 14.54 | 22 | 0.0216 % | 3,003.0 |
| FixedReset Disc | 4.13 % | 4.94 % | 129,886 | 15.69 | 40 | 0.0292 % | 2,578.9 |
| Deemed-Retractible | 5.16 % | 5.94 % | 63,012 | 5.38 | 27 | 0.0110 % | 2,996.8 |
| FloatingReset | 3.33 % | 3.98 % | 40,660 | 5.69 | 5 | 0.2264 % | 2,854.9 |
| FixedReset Prem | 4.84 % | 4.23 % | 175,425 | 3.09 | 35 | 0.0514 % | 2,563.2 |
| FixedReset Bank Non | 3.19 % | 3.96 % | 66,549 | 3.14 | 9 | 0.0181 % | 2,571.8 |
| FixedReset Ins Non | 4.30 % | 5.17 % | 96,511 | 5.45 | 22 | -0.1734 % | 2,565.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-12 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.10 % |
| IFC.PR.E | Deemed-Retractible | -1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 6.20 % |
| MFC.PR.F | FixedReset Ins Non | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.32 Bid-YTW : 8.46 % |
| IFC.PR.C | FixedReset Ins Non | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 5.62 % |
| BAM.PF.G | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-12 Maturity Price : 23.54 Evaluated at bid price : 24.75 Bid-YTW : 5.07 % |
| TD.PF.E | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.53 % |
| SLF.PR.G | FixedReset Ins Non | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 7.28 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BIP.PR.F | FixedReset Disc | 414,753 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-12 Maturity Price : 23.10 Evaluated at bid price : 24.88 Bid-YTW : 5.07 % |
| BNS.PR.H | FixedReset Prem | 162,093 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 3.72 % |
| RY.PR.J | FixedReset Disc | 90,223 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-12 Maturity Price : 24.15 Evaluated at bid price : 24.47 Bid-YTW : 4.96 % |
| CM.PR.R | FixedReset Prem | 59,365 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.23 % |
| CM.PR.Q | FixedReset Disc | 54,070 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-12 Maturity Price : 23.37 Evaluated at bid price : 24.40 Bid-YTW : 4.95 % |
| EMA.PR.H | FixedReset Prem | 52,961 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-12 Maturity Price : 23.20 Evaluated at bid price : 25.10 Bid-YTW : 4.82 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.P | FixedReset Disc | Quote: 23.05 – 23.60 Spot Rate : 0.5500 Average : 0.3789 YTW SCENARIO |
| VNR.PR.A | FixedReset Prem | Quote: 24.50 – 25.00 Spot Rate : 0.5000 Average : 0.3381 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 17.22 – 17.85 Spot Rate : 0.6300 Average : 0.4909 YTW SCENARIO |
| IFC.PR.C | FixedReset Ins Non | Quote: 23.20 – 23.55 Spot Rate : 0.3500 Average : 0.2164 YTW SCENARIO |
| SLF.PR.E | Deemed-Retractible | Quote: 21.41 – 21.96 Spot Rate : 0.5500 Average : 0.4167 YTW SCENARIO |
| HSE.PR.C | FixedReset Prem | Quote: 24.58 – 25.08 Spot Rate : 0.5000 Average : 0.3685 YTW SCENARIO |