| 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 | 2.8928 % | 1,889.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.8928 % | 3,467.7 |
| Floater | 6.32 % | 6.46 % | 51,326 | 13.13 | 4 | 2.8928 % | 1,998.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0960 % | 3,372.5 |
| SplitShare | 4.67 % | 4.45 % | 65,141 | 4.05 | 7 | -0.0960 % | 4,027.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0960 % | 3,142.4 |
| Perpetual-Premium | 5.62 % | -18.64 % | 60,492 | 0.09 | 6 | -0.0912 % | 2,976.9 |
| Perpetual-Discount | 5.48 % | 5.63 % | 65,486 | 14.39 | 28 | 0.0765 % | 3,120.5 |
| FixedReset Disc | 5.58 % | 5.24 % | 168,769 | 14.91 | 73 | 0.1197 % | 2,051.1 |
| Deemed-Retractible | 5.29 % | 6.08 % | 78,093 | 7.91 | 27 | 0.1490 % | 3,107.7 |
| FloatingReset | 4.58 % | 6.82 % | 62,277 | 8.00 | 3 | 0.9045 % | 2,322.1 |
| FixedReset Prem | 5.26 % | 4.02 % | 137,906 | 1.63 | 14 | -0.0196 % | 2,574.9 |
| FixedReset Bank Non | 1.97 % | 4.11 % | 93,327 | 2.33 | 3 | 0.1805 % | 2,669.1 |
| FixedReset Ins Non | 5.51 % | 7.82 % | 100,036 | 8.01 | 21 | -0.0710 % | 2,089.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset Disc | -3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 11.09 Evaluated at bid price : 11.09 Bid-YTW : 6.38 % |
| BAM.PR.T | FixedReset Disc | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 6.11 % |
| BAM.PF.E | FixedReset Disc | -2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 15.64 Evaluated at bid price : 15.64 Bid-YTW : 6.09 % |
| BAM.PF.G | FixedReset Disc | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 6.01 % |
| BAM.PF.F | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 6.10 % |
| GWO.PR.S | Deemed-Retractible | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.53 Bid-YTW : 6.01 % |
| BAM.PR.R | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 14.54 Evaluated at bid price : 14.54 Bid-YTW : 5.95 % |
| MFC.PR.G | FixedReset Ins Non | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.96 Bid-YTW : 8.07 % |
| MFC.PR.M | FixedReset Ins Non | -1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.60 Bid-YTW : 9.22 % |
| TD.PF.D | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.36 % |
| IAF.PR.B | Deemed-Retractible | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 6.35 % |
| TD.PF.H | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 23.45 Evaluated at bid price : 24.75 Bid-YTW : 5.26 % |
| BMO.PR.Y | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.24 % |
| GWO.PR.Q | Deemed-Retractible | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 6.20 % |
| NA.PR.E | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 5.20 % |
| SLF.PR.E | Deemed-Retractible | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.84 Bid-YTW : 6.75 % |
| CM.PR.S | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 5.16 % |
| NA.PR.C | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 5.54 % |
| BNS.PR.I | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 20.54 Evaluated at bid price : 20.54 Bid-YTW : 4.78 % |
| BIP.PR.D | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 22.09 Evaluated at bid price : 22.40 Bid-YTW : 5.58 % |
| TRP.PR.A | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 13.18 Evaluated at bid price : 13.18 Bid-YTW : 5.83 % |
| TRP.PR.C | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 11.56 Evaluated at bid price : 11.56 Bid-YTW : 5.80 % |
| BIP.PR.A | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 6.63 % |
| TRP.PR.B | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 10.96 Evaluated at bid price : 10.96 Bid-YTW : 5.51 % |
| GWO.PR.R | Deemed-Retractible | 1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 6.28 % |
| TRP.PR.F | FloatingReset | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 6.82 % |
| MFC.PR.K | FixedReset Ins Non | 1.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.45 Bid-YTW : 8.26 % |
| BAM.PR.C | Floater | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 10.89 Evaluated at bid price : 10.89 Bid-YTW : 6.47 % |
| HSE.PR.E | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.61 % |
| TRP.PR.G | FixedReset Disc | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 5.76 % |
| BAM.PR.K | Floater | 2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 6.56 % |
| BAM.PR.B | Floater | 2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 10.91 Evaluated at bid price : 10.91 Bid-YTW : 6.46 % |
| PWF.PR.P | FixedReset Disc | 3.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 5.23 % |
| PWF.PR.A | Floater | 3.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 6.24 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSE.PR.C | FixedReset Disc | 224,410 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 6.64 % |
| MFC.PR.N | FixedReset Ins Non | 134,100 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.67 Bid-YTW : 9.10 % |
| TD.PF.B | FixedReset Disc | 117,917 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 5.01 % |
| RY.PR.M | FixedReset Disc | 95,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 5.24 % |
| TD.PF.C | FixedReset Disc | 59,999 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.15 % |
| TD.PF.K | FixedReset Disc | 53,739 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-06 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 5.05 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NA.PR.C | FixedReset Disc | Quote: 20.76 – 21.47 Spot Rate : 0.7100 Average : 0.4621 YTW SCENARIO |
| TD.PF.K | FixedReset Disc | Quote: 19.91 – 20.40 Spot Rate : 0.4900 Average : 0.3071 YTW SCENARIO |
| EMA.PR.F | FixedReset Disc | Quote: 16.15 – 17.00 Spot Rate : 0.8500 Average : 0.6923 YTW SCENARIO |
| BMO.PR.C | FixedReset Disc | Quote: 21.59 – 22.11 Spot Rate : 0.5200 Average : 0.3643 YTW SCENARIO |
| HSE.PR.A | FixedReset Disc | Quote: 11.09 – 11.70 Spot Rate : 0.6100 Average : 0.4564 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 12.44 – 12.82 Spot Rate : 0.3800 Average : 0.2332 YTW SCENARIO |
Skeptical (Sept 4th comments ) put forth “straight perpetuals yielding 4.5 to 4.6% are likely to get called”. All else being equal what would the five-year Canada yield likely be for that to happen? James has suggested that the current yields on fixed resets are holding back the price of perpetuals, so I think we’d need to see a drop in the five-year Canada yield, or at least the perception that the rate will be lower than now on the reset dates.
Today the five-year Canada yield is ~1.15%. Compare the perpetual MFC.PR.C (4.5% dividend) and fixed reset MFC.PR.L. (currently 3.786% dividend) and which resets September 2023 at +216bp at a theoretical five-year Canada yield of 0.3%.
(5YR=1.15%)
(5YR=0.30%)
(5YR=0.30%)
I actually think something like this might happen and too own low dividend straight perpetuals.
Table formatting applied by JH
Pete can you elaborate on how you get the theoretical five-year Canada yield as 0.30.
Thanks.
Nice argument.. I sure hope they call the MFC.pr.c… I’t will be a nice gain.