PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported September 12.
| 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 | -0.3916 % | 3,094.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3916 % | 5,677.3 |
| Floater | 3.51 % | 3.67 % | 37,090 | 18.13 | 4 | -0.3916 % | 3,271.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0634 % | 3,231.0 |
| SplitShare | 4.61 % | 4.63 % | 54,899 | 4.80 | 5 | 0.0634 % | 3,858.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0634 % | 3,010.5 |
| Perpetual-Premium | 5.54 % | -0.23 % | 50,646 | 0.09 | 12 | 0.0721 % | 2,920.8 |
| Perpetual-Discount | 5.43 % | 5.54 % | 57,453 | 14.50 | 22 | -0.0217 % | 2,996.7 |
| FixedReset Disc | 4.18 % | 4.98 % | 140,565 | 15.64 | 42 | -0.0665 % | 2,575.5 |
| Deemed-Retractible | 5.16 % | 5.93 % | 59,733 | 5.37 | 27 | -0.0500 % | 2,999.6 |
| FloatingReset | 3.38 % | 4.11 % | 45,271 | 5.66 | 5 | -0.3800 % | 2,840.7 |
| FixedReset Prem | 4.83 % | 4.16 % | 164,658 | 2.87 | 35 | 0.0089 % | 2,567.7 |
| FixedReset Bank Non | 3.19 % | 3.73 % | 65,073 | 0.43 | 9 | 0.0045 % | 2,573.3 |
| FixedReset Ins Non | 4.32 % | 5.09 % | 88,832 | 5.44 | 22 | 0.0876 % | 2,579.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Q | FloatingReset | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 3.70 % |
| PWF.PR.A | Floater | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 3.08 % |
| BAM.PR.Z | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 22.96 Evaluated at bid price : 24.30 Bid-YTW : 5.17 % |
| BIP.PR.E | FixedReset Prem | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 22.98 Evaluated at bid price : 24.40 Bid-YTW : 5.25 % |
| SLF.PR.E | Deemed-Retractible | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.24 Bid-YTW : 7.53 % |
| RY.PR.Z | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 22.23 Evaluated at bid price : 22.97 Bid-YTW : 4.84 % |
| CM.PR.O | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 23.01 Evaluated at bid price : 23.61 Bid-YTW : 4.83 % |
| EMA.PR.F | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 23.63 Evaluated at bid price : 24.06 Bid-YTW : 5.05 % |
| MFC.PR.K | FixedReset Ins Non | 1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 6.32 % |
| BAM.PR.K | Floater | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 3.70 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.E | FixedReset Disc | 256,467 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 23.15 Evaluated at bid price : 25.01 Bid-YTW : 4.82 % |
| TD.PF.D | FixedReset Disc | 84,405 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 23.39 Evaluated at bid price : 24.42 Bid-YTW : 5.01 % |
| TD.PF.K | FixedReset Disc | 64,580 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 23.15 Evaluated at bid price : 24.99 Bid-YTW : 4.75 % |
| BNS.PR.Z | FixedReset Bank Non | 56,930 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.84 Bid-YTW : 4.09 % |
| BMO.PR.T | FixedReset Disc | 49,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-19 Maturity Price : 22.52 Evaluated at bid price : 23.06 Bid-YTW : 4.85 % |
| BNS.PR.D | FloatingReset | 46,400 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 3.59 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.Q | FloatingReset | Quote: 21.28 – 21.85 Spot Rate : 0.5700 Average : 0.3754 YTW SCENARIO |
| EML.PR.A | FixedReset Ins Non | Quote: 26.09 – 26.63 Spot Rate : 0.5400 Average : 0.3484 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 21.16 – 21.70 Spot Rate : 0.5400 Average : 0.4093 YTW SCENARIO |
| BIP.PR.E | FixedReset Prem | Quote: 24.40 – 24.75 Spot Rate : 0.3500 Average : 0.2321 YTW SCENARIO |
| BAM.PF.I | FixedReset Prem | Quote: 25.95 – 26.33 Spot Rate : 0.3800 Average : 0.2936 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 23.55 – 23.79 Spot Rate : 0.2400 Average : 0.1909 YTW SCENARIO |