PerpetualDiscounts now yield 5.55%, equivalent to 7.22% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has vigorously bounced to 390bp from the 375bp reported September 18.
| 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 | -0.2054 % | 1,905.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2054 % | 3,495.8 |
| Floater | 6.32 % | 6.45 % | 48,249 | 13.26 | 4 | -0.2054 % | 2,014.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0056 % | 3,376.9 |
| SplitShare | 4.67 % | 4.61 % | 54,894 | 4.00 | 7 | -0.0056 % | 4,032.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0056 % | 3,146.5 |
| Perpetual-Premium | 5.60 % | -17.87 % | 64,784 | 0.09 | 6 | 0.1235 % | 2,996.6 |
| Perpetual-Discount | 5.41 % | 5.55 % | 64,942 | 14.51 | 28 | 0.0293 % | 3,170.9 |
| FixedReset Disc | 5.56 % | 5.50 % | 167,721 | 14.36 | 73 | -0.0180 % | 2,062.4 |
| Deemed-Retractible | 5.23 % | 5.80 % | 72,438 | 7.90 | 27 | 0.0174 % | 3,151.3 |
| FloatingReset | 4.56 % | 6.74 % | 57,545 | 7.95 | 3 | 0.2976 % | 2,338.2 |
| FixedReset Prem | 5.25 % | 4.00 % | 128,681 | 1.58 | 14 | -0.1086 % | 2,584.1 |
| FixedReset Bank Non | 1.98 % | 4.29 % | 80,506 | 2.27 | 3 | -0.3746 % | 2,655.8 |
| FixedReset Ins Non | 5.52 % | 8.10 % | 102,996 | 7.91 | 21 | 0.0871 % | 2,092.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset Disc | -4.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 10.56 Evaluated at bid price : 10.56 Bid-YTW : 7.24 % |
| IFC.PR.A | FixedReset Ins Non | -3.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.51 Bid-YTW : 10.73 % |
| IAF.PR.I | FixedReset Ins Non | -1.89 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.72 Bid-YTW : 8.10 % |
| BAM.PR.Z | FixedReset Disc | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.15 % |
| BAM.PF.B | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 17.09 Evaluated at bid price : 17.09 Bid-YTW : 6.10 % |
| CM.PR.O | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 5.68 % |
| BAM.PR.K | Floater | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 6.58 % |
| IFC.PR.G | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.11 Bid-YTW : 8.45 % |
| MFC.PR.J | FixedReset Ins Non | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.87 % |
| MFC.PR.F | FixedReset Ins Non | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.69 Bid-YTW : 10.68 % |
| MFC.PR.H | FixedReset Ins Non | 1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 6.86 % |
| BAM.PF.F | FixedReset Disc | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.15 % |
| MFC.PR.G | FixedReset Ins Non | 1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 8.00 % |
| PWF.PR.P | FixedReset Disc | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 12.66 Evaluated at bid price : 12.66 Bid-YTW : 5.89 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.M | FixedReset Ins Non | 86,925 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.30 Bid-YTW : 9.05 % |
| CU.PR.C | FixedReset Disc | 56,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 5.68 % |
| TD.PF.H | FixedReset Disc | 44,250 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.64 % |
| MFC.PR.R | FixedReset Ins Non | 41,890 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.65 % |
| BAM.PF.C | Perpetual-Discount | 38,971 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-09-25 Maturity Price : 20.98 Evaluated at bid price : 20.98 Bid-YTW : 5.82 % |
| TRP.PR.K | FixedReset Disc | 37,462 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 4.89 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.I | FixedReset Ins Non | Quote: 18.25 – 18.78 Spot Rate : 0.5300 Average : 0.3169 YTW SCENARIO |
| BAM.PF.A | FixedReset Disc | Quote: 18.75 – 19.20 Spot Rate : 0.4500 Average : 0.2876 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 15.56 – 16.05 Spot Rate : 0.4900 Average : 0.3346 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 25.36 – 25.73 Spot Rate : 0.3700 Average : 0.2429 YTW SCENARIO |
| NA.PR.C | FixedReset Disc | Quote: 20.78 – 21.12 Spot Rate : 0.3400 Average : 0.2161 YTW SCENARIO |
| IAF.PR.B | Deemed-Retractible | Quote: 21.90 – 22.32 Spot Rate : 0.4200 Average : 0.2970 YTW SCENARIO |