PerpetualDiscounts now yield 4.64%, equivalent to 6.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 300bp, the same as August 4.
| 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 | 1.3832 % | 2,671.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.3832 % | 4,902.9 |
| Floater | 3.25 % | 3.29 % | 83,761 | 18.99 | 3 | 1.3832 % | 2,825.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1709 % | 3,702.5 |
| SplitShare | 4.58 % | 4.06 % | 27,634 | 3.79 | 7 | -0.1709 % | 4,421.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1709 % | 3,449.9 |
| Perpetual-Premium | 5.17 % | -14.12 % | 54,908 | 0.09 | 25 | 0.0651 % | 3,299.4 |
| Perpetual-Discount | 4.69 % | 4.64 % | 85,112 | 1.09 | 8 | 0.0948 % | 3,978.5 |
| FixedReset Disc | 4.02 % | 3.57 % | 123,776 | 18.17 | 40 | -0.1948 % | 2,790.6 |
| Insurance Straight | 4.88 % | -0.77 % | 72,253 | 0.09 | 22 | 0.1619 % | 3,731.7 |
| FloatingReset | 2.82 % | 3.11 % | 36,857 | 19.42 | 2 | 0.0000 % | 2,605.8 |
| FixedReset Prem | 4.82 % | 2.84 % | 135,223 | 1.55 | 32 | 0.1388 % | 2,751.5 |
| FixedReset Bank Non | 1.81 % | 1.57 % | 121,028 | 0.12 | 1 | 0.0000 % | 2,890.8 |
| FixedReset Ins Non | 4.03 % | 3.45 % | 115,045 | 18.03 | 20 | 0.1008 % | 2,954.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset Disc | -7.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 3.90 % |
| BAM.PF.F | FixedReset Disc | -3.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 22.48 Evaluated at bid price : 23.10 Bid-YTW : 4.11 % |
| TRP.PR.C | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 4.05 % |
| BAM.PR.B | Floater | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 3.25 % |
| BAM.PR.C | Floater | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 3.29 % |
| SLF.PR.G | FixedReset Ins Non | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.19 % |
| GWO.PR.N | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 3.33 % |
| MFC.PR.F | FixedReset Ins Non | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 3.29 % |
| BAM.PR.K | Floater | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 13.13 Evaluated at bid price : 13.13 Bid-YTW : 3.29 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.T | Insurance Straight | 52,150 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-06-30 Maturity Price : 26.00 Evaluated at bid price : 26.55 Bid-YTW : 3.20 % |
| TRP.PR.D | FixedReset Disc | 49,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.11 % |
| SLF.PR.I | FixedReset Ins Non | 45,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 2.76 % |
| IFC.PR.C | FixedReset Ins Non | 34,045 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 23.63 Evaluated at bid price : 24.70 Bid-YTW : 3.55 % |
| BAM.PF.E | FixedReset Disc | 29,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 4.09 % |
| MFC.PR.G | FixedReset Ins Non | 22,502 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-11 Maturity Price : 24.51 Evaluated at bid price : 25.07 Bid-YTW : 3.79 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.T | FixedReset Disc | Quote: 20.25 – 21.90 Spot Rate : 1.6500 Average : 0.9225 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 15.35 – 17.20 Spot Rate : 1.8500 Average : 1.2751 YTW SCENARIO |
| GWO.PR.P | Insurance Straight | Quote: 25.75 – 26.75 Spot Rate : 1.0000 Average : 0.5765 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 23.10 – 24.07 Spot Rate : 0.9700 Average : 0.6067 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 24.15 – 24.60 Spot Rate : 0.4500 Average : 0.2683 YTW SCENARIO |
| BAM.PR.X | FixedReset Disc | Quote: 17.27 – 18.00 Spot Rate : 0.7300 Average : 0.6067 YTW SCENARIO |