Better late than never!
PerpetualDiscounts now yield 4.93%, equivalent to 6.41% at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 215bp, a slight (and perhaps spurious) widening from the 210bp reported July 11.
| 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 | 0.0202 % | 2,289.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0202 % | 3,424.4 |
| Floater | 3.18 % | 3.21 % | 74,324 | 19.22 | 3 | 0.0202 % | 2,471.7 |
| OpRet | 4.78 % | 3.10 % | 41,068 | 0.92 | 5 | 0.1540 % | 2,526.8 |
| SplitShare | 5.48 % | 4.94 % | 73,005 | 4.70 | 3 | 0.1600 % | 2,764.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1540 % | 2,310.5 |
| Perpetual-Premium | 5.35 % | 2.65 % | 94,945 | 0.53 | 28 | 0.1390 % | 2,261.1 |
| Perpetual-Discount | 4.97 % | 4.93 % | 104,821 | 15.56 | 6 | 0.0479 % | 2,503.3 |
| FixedReset | 4.99 % | 2.92 % | 183,938 | 4.04 | 71 | 0.0451 % | 2,417.0 |
| Deemed-Retractible | 4.97 % | 3.67 % | 146,111 | 3.08 | 46 | 0.0521 % | 2,338.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.H | Deemed-Retractible | 1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-24 Maturity Price : 26.00 Evaluated at bid price : 27.34 Bid-YTW : 0.28 % |
| BAM.PR.X | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-18 Maturity Price : 23.28 Evaluated at bid price : 25.37 Bid-YTW : 3.15 % |
| BAM.PR.R | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-18 Maturity Price : 23.66 Evaluated at bid price : 26.43 Bid-YTW : 3.46 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.M | Deemed-Retractible | 831,859 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-27 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 3.67 % |
| GWO.PR.L | Deemed-Retractible | 249,772 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 5.00 % |
| FTS.PR.H | FixedReset | 230,652 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-18 Maturity Price : 23.54 Evaluated at bid price : 25.42 Bid-YTW : 2.66 % |
| ENB.PR.N | FixedReset | 158,019 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-18 Maturity Price : 23.12 Evaluated at bid price : 25.08 Bid-YTW : 3.75 % |
| IAG.PR.G | FixedReset | 130,145 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : 4.10 % |
| BNA.PR.C | SplitShare | 97,100 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 5.78 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.K | Deemed-Retractible | Quote: 25.61 – 25.84 Spot Rate : 0.2300 Average : 0.1415 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 25.25 – 26.00 Spot Rate : 0.7500 Average : 0.6622 YTW SCENARIO |
| BNS.PR.O | Deemed-Retractible | Quote: 27.03 – 27.29 Spot Rate : 0.2600 Average : 0.1819 YTW SCENARIO |
| IAG.PR.E | Deemed-Retractible | Quote: 26.03 – 26.71 Spot Rate : 0.6800 Average : 0.6024 YTW SCENARIO |
| TD.PR.C | FixedReset | Quote: 26.10 – 26.28 Spot Rate : 0.1800 Average : 0.1104 YTW SCENARIO |
| CM.PR.M | FixedReset | Quote: 26.87 – 27.10 Spot Rate : 0.2300 Average : 0.1643 YTW SCENARIO |
[…] PerpetualDiscounts now yield 4.93%, equivalent to 6.41% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.2% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 220bp, continued very slow widening from the 215bp reported July 18. […]