PerpetualDiscounts now yield 5.04%, equivalent to 6.55% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 360bp from the 395bp reported September 30.
| 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 | -0.4792 % | 1,648.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4792 % | 3,025.0 |
| Floater | 5.16 % | 5.22 % | 50,103 | 15.15 | 3 | -0.4792 % | 1,743.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1545 % | 3,518.5 |
| SplitShare | 4.82 % | 4.76 % | 55,016 | 3.59 | 8 | 0.1545 % | 4,201.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1545 % | 3,278.4 |
| Perpetual-Premium | 5.27 % | -0.02 % | 84,868 | 0.09 | 17 | 0.2864 % | 3,187.5 |
| Perpetual-Discount | 5.06 % | 5.04 % | 91,584 | 15.10 | 17 | 0.6173 % | 3,625.3 |
| FixedReset Disc | 5.47 % | 4.18 % | 125,752 | 16.50 | 65 | 1.0959 % | 2,108.8 |
| Deemed-Retractible | 5.01 % | 4.73 % | 105,601 | 4.36 | 22 | 0.5877 % | 3,540.2 |
| FloatingReset | 1.98 % | 2.11 % | 40,620 | 1.30 | 3 | 0.2698 % | 1,796.9 |
| FixedReset Prem | 5.21 % | 3.46 % | 255,423 | 0.78 | 14 | 0.1777 % | 2,640.4 |
| FixedReset Bank Non | 1.94 % | 2.21 % | 104,001 | 1.29 | 2 | 0.0805 % | 2,857.1 |
| FixedReset Ins Non | 5.60 % | 4.29 % | 78,738 | 16.34 | 22 | 2.0067 % | 2,157.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.H | FixedReset Ins Non | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 4.51 % |
| SLF.PR.G | FixedReset Ins Non | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.29 % |
| TRP.PR.F | FloatingReset | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 9.99 Evaluated at bid price : 9.99 Bid-YTW : 5.09 % |
| BAM.PR.K | Floater | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 8.22 Evaluated at bid price : 8.22 Bid-YTW : 5.26 % |
| BAM.PR.T | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 13.02 Evaluated at bid price : 13.02 Bid-YTW : 5.33 % |
| SLF.PR.E | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 4.71 % |
| NA.PR.W | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.31 % |
| BAM.PF.G | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 5.31 % |
| TD.PF.B | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 4.10 % |
| BMO.PR.A | FloatingReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.72 Bid-YTW : 2.06 % |
| POW.PR.B | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-11-06 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : -22.62 % |
| GWO.PR.N | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 10.01 Evaluated at bid price : 10.01 Bid-YTW : 4.22 % |
| PWF.PR.L | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 24.88 Evaluated at bid price : 25.11 Bid-YTW : 5.16 % |
| BAM.PF.F | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 5.25 % |
| BAM.PF.A | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.23 % |
| MFC.PR.F | FixedReset Ins Non | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.18 % |
| TD.PF.A | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 4.05 % |
| BAM.PF.I | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 4.48 % |
| BAM.PF.J | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.55 Evaluated at bid price : 25.07 Bid-YTW : 4.68 % |
| CU.PR.F | Perpetual-Discount | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.93 Evaluated at bid price : 24.22 Bid-YTW : 4.68 % |
| SLF.PR.C | Deemed-Retractible | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.84 Evaluated at bid price : 24.09 Bid-YTW : 4.63 % |
| BAM.PR.N | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 22.61 Evaluated at bid price : 22.86 Bid-YTW : 5.22 % |
| TD.PF.E | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.18 % |
| IAF.PR.I | FixedReset Ins Non | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.33 % |
| MFC.PR.C | Deemed-Retractible | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.65 Evaluated at bid price : 23.92 Bid-YTW : 4.73 % |
| MFC.PR.Q | FixedReset Ins Non | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.25 % |
| PWF.PR.K | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 24.27 Evaluated at bid price : 24.57 Bid-YTW : 5.11 % |
| BIP.PR.D | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 22.38 Evaluated at bid price : 22.77 Bid-YTW : 5.51 % |
| BMO.PR.W | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.08 % |
| BMO.PR.E | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 20.47 Evaluated at bid price : 20.47 Bid-YTW : 4.14 % |
| SLF.PR.D | Deemed-Retractible | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.71 Evaluated at bid price : 23.98 Bid-YTW : 4.65 % |
| MFC.PR.M | FixedReset Ins Non | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.58 Evaluated at bid price : 17.58 Bid-YTW : 4.25 % |
| GWO.PR.H | Deemed-Retractible | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 24.69 Evaluated at bid price : 24.97 Bid-YTW : 4.87 % |
| RY.PR.M | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 4.05 % |
| CM.PR.P | FixedReset Disc | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 4.07 % |
| CU.PR.C | FixedReset Disc | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 4.32 % |
| TD.PF.I | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 21.78 Evaluated at bid price : 22.28 Bid-YTW : 3.95 % |
| GWO.PR.R | Deemed-Retractible | 1.75 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 4.81 % |
| MFC.PR.J | FixedReset Ins Non | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 18.74 Evaluated at bid price : 18.74 Bid-YTW : 4.31 % |
| BIP.PR.F | FixedReset Disc | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 22.04 Evaluated at bid price : 22.42 Bid-YTW : 5.71 % |
| BMO.PR.Y | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 18.88 Evaluated at bid price : 18.88 Bid-YTW : 4.12 % |
| CM.PR.O | FixedReset Disc | 2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 4.20 % |
| BNS.PR.I | FixedReset Disc | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 3.90 % |
| BIP.PR.E | FixedReset Disc | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.70 % |
| NA.PR.E | FixedReset Disc | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 4.26 % |
| GWO.PR.I | Deemed-Retractible | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.49 Evaluated at bid price : 23.76 Bid-YTW : 4.75 % |
| BAM.PR.X | FixedReset Disc | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 11.12 Evaluated at bid price : 11.12 Bid-YTW : 5.03 % |
| BIP.PR.A | FixedReset Disc | 2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.78 % |
| NA.PR.C | FixedReset Disc | 2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.44 Evaluated at bid price : 23.76 Bid-YTW : 4.04 % |
| IFC.PR.C | FixedReset Ins Non | 2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 4.54 % |
| IFC.PR.A | FixedReset Ins Non | 3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 12.43 Evaluated at bid price : 12.43 Bid-YTW : 4.58 % |
| TD.PF.D | FixedReset Disc | 3.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 4.20 % |
| MFC.PR.N | FixedReset Ins Non | 4.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.25 % |
| MFC.PR.L | FixedReset Ins Non | 4.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.23 % |
| IAF.PR.G | FixedReset Ins Non | 4.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 4.52 % |
| RY.PR.J | FixedReset Disc | 17.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.08 % |
| MFC.PR.G | FixedReset Ins Non | 23.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.P | FixedReset Disc | 359,807 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 4.86 % |
| CM.PR.T | FixedReset Disc | 161,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.11 Evaluated at bid price : 24.48 Bid-YTW : 3.96 % |
| PVS.PR.I | SplitShare | 148,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.76 % |
| IFC.PR.C | FixedReset Ins Non | 94,215 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 4.54 % |
| TD.PF.B | FixedReset Disc | 70,429 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 4.10 % |
| TD.PF.M | FixedReset Disc | 69,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-10-07 Maturity Price : 23.33 Evaluated at bid price : 25.18 Bid-YTW : 4.08 % |
| There were 44 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.I | Perpetual-Premium | Quote: 25.73 – 27.00 Spot Rate : 1.2700 Average : 0.7685 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 23.92 – 24.90 Spot Rate : 0.9800 Average : 0.5595 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 16.85 – 17.90 Spot Rate : 1.0500 Average : 0.7345 YTW SCENARIO |
| MFC.PR.H | FixedReset Ins Non | Quote: 19.92 – 20.74 Spot Rate : 0.8200 Average : 0.5544 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 20.12 – 20.88 Spot Rate : 0.7600 Average : 0.5304 YTW SCENARIO |
| BAM.PF.D | Perpetual-Discount | Quote: 23.31 – 23.70 Spot Rate : 0.3900 Average : 0.2414 YTW SCENARIO |