PerpetualDiscounts now yield 6.58%, equivalent to 8.55% interest at the standard equivalency factor of 1.3x. Long corporates have been hammered in the past week to yield 5.56%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined to 300bp from the 320bp reported October 12.
| 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 | 0.0810 % | 2,375.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0810 % | 4,556.6 |
| Floater | 7.72 % | 7.80 % | 38,063 | 11.59 | 2 | 0.0810 % | 2,626.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1338 % | 3,365.7 |
| SplitShare | 4.99 % | 6.65 % | 38,255 | 3.04 | 7 | -0.1338 % | 4,019.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1338 % | 3,136.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2053 % | 2,614.1 |
| Perpetual-Discount | 6.51 % | 6.58 % | 69,523 | 13.07 | 33 | -0.2053 % | 2,850.6 |
| FixedReset Disc | 5.31 % | 7.56 % | 88,144 | 12.17 | 63 | 0.3276 % | 2,254.3 |
| Insurance Straight | 6.54 % | 6.56 % | 79,909 | 13.11 | 19 | -1.3379 % | 2,752.3 |
| FloatingReset | 9.11 % | 9.41 % | 39,926 | 10.02 | 2 | 0.8873 % | 2,491.8 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3276 % | 2,385.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3276 % | 2,304.3 |
| FixedReset Ins Non | 5.49 % | 7.91 % | 47,137 | 11.63 | 14 | -0.0290 % | 2,287.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CCS.PR.C | Insurance Straight | -12.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 7.42 % |
| BAM.PF.E | FixedReset Disc | -7.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 9.81 % |
| BMO.PR.T | FixedReset Disc | -3.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 8.03 % |
| NA.PR.W | FixedReset Disc | -2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 7.69 % |
| SLF.PR.E | Insurance Straight | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.40 % |
| PWF.PR.Z | Perpetual-Discount | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 6.53 % |
| BAM.PR.R | FixedReset Disc | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 9.24 % |
| MFC.PR.C | Insurance Straight | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 6.58 % |
| SLF.PR.C | Insurance Straight | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 6.50 % |
| GWO.PR.H | Insurance Straight | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.73 % |
| MFC.PR.I | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 7.32 % |
| MFC.PR.B | Insurance Straight | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.55 % |
| GWO.PR.S | Insurance Straight | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.75 % |
| IAF.PR.I | FixedReset Ins Non | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 7.91 % |
| MFC.PR.K | FixedReset Ins Non | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 8.16 % |
| MFC.PR.M | FixedReset Ins Non | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 8.60 % |
| IFC.PR.F | Insurance Straight | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.31 % |
| SLF.PR.D | Insurance Straight | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.47 % |
| GWO.PR.R | Insurance Straight | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 6.73 % |
| SLF.PR.G | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 8.77 % |
| BAM.PR.N | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 6.55 % |
| PVS.PR.H | SplitShare | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 6.65 % |
| BMO.PR.Y | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 7.60 % |
| PWF.PF.A | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.19 Evaluated at bid price : 17.19 Bid-YTW : 6.58 % |
| NA.PR.G | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.43 Evaluated at bid price : 21.75 Bid-YTW : 7.32 % |
| BMO.PR.S | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 7.53 % |
| TRP.PR.F | FloatingReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 9.41 % |
| TRP.PR.D | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 9.15 % |
| MFC.PR.Q | FixedReset Ins Non | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.64 % |
| IFC.PR.C | FixedReset Disc | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 8.07 % |
| BAM.PF.F | FixedReset Disc | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 8.96 % |
| BNS.PR.I | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 7.08 % |
| IFC.PR.A | FixedReset Ins Non | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 7.83 % |
| IFC.PR.G | FixedReset Ins Non | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 7.89 % |
| RY.PR.H | FixedReset Disc | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 7.32 % |
| POW.PR.D | Perpetual-Discount | 2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.67 % |
| RY.PR.S | FixedReset Disc | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.41 Evaluated at bid price : 21.73 Bid-YTW : 6.96 % |
| BIP.PR.A | FixedReset Disc | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 10.07 % |
| TD.PF.D | FixedReset Disc | 2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.36 % |
| CM.PR.T | FixedReset Disc | 2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 23.18 Evaluated at bid price : 23.60 Bid-YTW : 7.21 % |
| TD.PF.J | FixedReset Disc | 2.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.93 Evaluated at bid price : 22.46 Bid-YTW : 7.08 % |
| TD.PF.K | FixedReset Disc | 6.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.61 Evaluated at bid price : 22.00 Bid-YTW : 7.05 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.D | FixedReset Disc | 71,422 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 9.15 % |
| MFC.PR.I | FixedReset Ins Non | 54,675 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 7.32 % |
| TD.PF.A | FixedReset Disc | 53,760 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 7.56 % |
| CM.PR.S | FixedReset Disc | 42,122 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 21.67 Evaluated at bid price : 22.06 Bid-YTW : 6.93 % |
| TD.PF.B | FixedReset Disc | 42,068 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 7.65 % |
| PWF.PR.P | FixedReset Disc | 23,925 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-19 Maturity Price : 11.95 Evaluated at bid price : 11.95 Bid-YTW : 9.35 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.J | FixedReset Disc | Quote: 19.85 – 22.15 Spot Rate : 2.3000 Average : 1.4851 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 17.08 – 19.75 Spot Rate : 2.6700 Average : 1.8857 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 16.50 – 22.30 Spot Rate : 5.8000 Average : 5.3285 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 14.60 – 16.10 Spot Rate : 1.5000 Average : 1.1213 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 20.50 – 22.51 Spot Rate : 2.0100 Average : 1.6365 YTW SCENARIO |
| PWF.PR.E | Perpetual-Discount | Quote: 20.55 – 21.47 Spot Rate : 0.9200 Average : 0.5668 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.51%, equivalent to 8.46% interest at the standard equivalency factor of 1.3x. Long corporates have been hammered in the past week to yield 5.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 260bp from the 300bp reported October 19. […]