October 3, 2018

PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 310bp, a slight (and perhaps spurious) narrowing from the 315bp reported September 26.

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 2.8135 % 3,219.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.8135 % 5,906.7
Floater 3.38 % 3.51 % 38,001 18.54 4 2.8135 % 3,404.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0159 % 3,228.1
SplitShare 4.61 % 4.70 % 54,230 4.76 5 -0.0159 % 3,855.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0159 % 3,007.9
Perpetual-Premium 5.55 % -4.09 % 48,852 0.09 12 -0.0164 % 2,926.2
Perpetual-Discount 5.43 % 5.58 % 61,410 14.47 21 0.1509 % 3,005.3
FixedReset Disc 4.15 % 4.98 % 130,568 15.47 43 0.2326 % 2,605.9
Deemed-Retractible 5.17 % 6.08 % 58,368 5.33 27 -0.0298 % 2,990.0
FloatingReset 3.43 % 3.55 % 41,009 5.63 4 0.3215 % 2,886.5
FixedReset Prem 4.84 % 3.81 % 219,218 2.83 34 0.0743 % 2,580.7
FixedReset Bank Non 3.19 % 3.69 % 67,579 0.39 9 0.0769 % 2,578.1
FixedReset Ins Non 4.30 % 5.05 % 87,467 5.40 22 0.0366 % 2,603.8
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 5.49 %
BAM.PF.F FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.98
Evaluated at bid price : 24.46
Bid-YTW : 5.28 %
BAM.PF.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.34
Evaluated at bid price : 24.11
Bid-YTW : 5.11 %
TD.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.14 %
MFC.PR.K FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.38
Bid-YTW : 5.84 %
PWF.PR.A Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 2.95 %
TD.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.33
Evaluated at bid price : 23.94
Bid-YTW : 4.80 %
RY.PR.H FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.16
Evaluated at bid price : 23.75
Bid-YTW : 4.82 %
BAM.PR.B Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.66 %
IFC.PR.A FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.66
Bid-YTW : 7.06 %
BAM.PR.C Floater 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 3.53 %
BAM.PR.K Floater 4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 3.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 142,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 22.69
Evaluated at bid price : 23.26
Bid-YTW : 4.90 %
BMO.PR.E FixedReset Prem 137,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.75 %
TD.PF.H FixedReset Prem 130,393 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.72 %
BAM.PF.I FixedReset Prem 91,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.73 %
RY.PR.M FixedReset Disc 76,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.31
Evaluated at bid price : 24.41
Bid-YTW : 4.90 %
TD.PF.K FixedReset Prem 73,298 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.72 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.B Floater Quote: 17.80 – 18.80
Spot Rate : 1.0000
Average : 0.6279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.66 %

BAM.PR.C Floater Quote: 18.45 – 19.45
Spot Rate : 1.0000
Average : 0.6506

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 3.53 %

BAM.PF.B FixedReset Disc Quote: 24.11 – 24.75
Spot Rate : 0.6400
Average : 0.4047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.34
Evaluated at bid price : 24.11
Bid-YTW : 5.11 %

MFC.PR.J FixedReset Ins Non Quote: 25.03 – 25.54
Spot Rate : 0.5100
Average : 0.2861

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.94 %

MFC.PR.N FixedReset Ins Non Quote: 23.68 – 24.50
Spot Rate : 0.8200
Average : 0.6375

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 5.49 %

PWF.PR.A Floater Quote: 21.95 – 22.49
Spot Rate : 0.5400
Average : 0.3595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 2.95 %

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