PerpetualDiscounts now yield 5.41%, equivalent to 7.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.42%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) remains at the 360bp reported October 16.
| 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 | 0.9530 % | 1,938.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.9530 % | 3,557.4 |
| Floater | 6.21 % | 6.36 % | 48,191 | 13.37 | 4 | 0.9530 % | 2,050.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0844 % | 3,392.5 |
| SplitShare | 4.64 % | 4.58 % | 51,229 | 3.93 | 7 | 0.0844 % | 4,051.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0844 % | 3,161.0 |
| Perpetual-Premium | 5.51 % | -19.34 % | 59,420 | 0.09 | 8 | 0.0217 % | 3,025.3 |
| Perpetual-Discount | 5.37 % | 5.41 % | 67,806 | 14.75 | 25 | 0.1153 % | 3,227.4 |
| FixedReset Disc | 5.63 % | 5.75 % | 169,859 | 14.29 | 66 | -0.0618 % | 2,087.3 |
| Deemed-Retractible | 5.20 % | 5.75 % | 65,595 | 7.84 | 27 | 0.1361 % | 3,172.7 |
| FloatingReset | 6.31 % | 6.81 % | 85,073 | 12.76 | 2 | -0.2658 % | 2,401.4 |
| FixedReset Prem | 5.14 % | 3.99 % | 161,214 | 1.67 | 20 | 0.1230 % | 2,604.8 |
| FixedReset Bank Non | 1.96 % | 4.36 % | 87,702 | 2.20 | 3 | 0.0830 % | 2,685.5 |
| FixedReset Ins Non | 5.45 % | 8.21 % | 112,363 | 7.75 | 21 | 0.1825 % | 2,119.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.B | FixedReset Disc | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 11.17 Evaluated at bid price : 11.17 Bid-YTW : 6.44 % |
| TRP.PR.F | FloatingReset | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 6.81 % |
| BMO.PR.Y | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 5.72 % |
| TRP.PR.E | FixedReset Disc | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 15.81 Evaluated at bid price : 15.81 Bid-YTW : 6.27 % |
| TRP.PR.G | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 6.60 % |
| MFC.PR.R | FixedReset Ins Non | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.36 Bid-YTW : 5.70 % |
| TRP.PR.C | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 6.59 % |
| IFC.PR.G | FixedReset Ins Non | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.08 Bid-YTW : 7.98 % |
| GWO.PR.N | FixedReset Ins Non | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.03 Bid-YTW : 9.64 % |
| PWF.PR.P | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 12.93 Evaluated at bid price : 12.93 Bid-YTW : 6.08 % |
| BAM.PR.X | FixedReset Disc | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 13.21 Evaluated at bid price : 13.21 Bid-YTW : 6.28 % |
| MFC.PR.F | FixedReset Ins Non | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 11.21 % |
| PWF.PR.A | Floater | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 11.62 Evaluated at bid price : 11.62 Bid-YTW : 6.06 % |
| HSE.PR.A | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 10.88 Evaluated at bid price : 10.88 Bid-YTW : 7.49 % |
| SLF.PR.J | FloatingReset | 1.80 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 11.05 % |
| BAM.PR.C | Floater | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 6.36 % |
| SLF.PR.G | FixedReset Ins Non | 2.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.03 Bid-YTW : 10.86 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IAF.PR.I | FixedReset Ins Non | 132,587 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 7.60 % |
| BAM.PR.T | FixedReset Disc | 84,734 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 6.44 % |
| BMO.PR.T | FixedReset Disc | 68,041 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-10-23 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.65 % |
| TD.PF.H | FixedReset Prem | 47,835 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.27 % |
| RY.PR.C | Deemed-Retractible | 42,325 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-11-22 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : -10.22 % |
| RY.PR.G | Deemed-Retractible | 34,155 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-11-22 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : -9.76 % |
| There were 38 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.F | Deemed-Retractible | Quote: 25.81 – 26.48 Spot Rate : 0.6700 Average : 0.3946 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 17.14 – 17.67 Spot Rate : 0.5300 Average : 0.3182 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 17.54 – 18.00 Spot Rate : 0.4600 Average : 0.3183 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 17.28 – 17.79 Spot Rate : 0.5100 Average : 0.3718 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 16.14 – 16.59 Spot Rate : 0.4500 Average : 0.3282 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 18.90 – 19.20 Spot Rate : 0.3000 Average : 0.1983 YTW SCENARIO |