PerpetualDiscounts now yield 4.56%, equivalent to 5.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.46%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 245bp from the 230bp reported August 25 (which was affected by technical factors as virtually all so-called PerpetualDiscounts were trading at a premium at that time).
| 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 | 2.97 % | 3.41 % | 45,624 | 20.16 | 1 | 0.0000 % | 2,934.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1150 % | 5,391.0 |
| Floater | 2.96 % | 2.98 % | 78,926 | 19.74 | 3 | 0.1150 % | 3,106.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2857 % | 3,688.3 |
| SplitShare | 4.65 % | 4.31 % | 56,795 | 3.82 | 5 | -0.2857 % | 4,404.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2857 % | 3,436.7 |
| Perpetual-Premium | 5.13 % | -8.77 % | 48,335 | 0.09 | 29 | 0.0606 % | 3,277.9 |
| Perpetual-Discount | 4.65 % | 4.56 % | 73,817 | 15.84 | 6 | 0.2218 % | 3,892.7 |
| FixedReset Disc | 3.77 % | 3.85 % | 121,485 | 17.17 | 37 | 0.1030 % | 2,930.0 |
| Insurance Straight | 4.92 % | 4.13 % | 89,333 | 3.27 | 20 | 0.0532 % | 3,693.4 |
| FloatingReset | 2.43 % | 2.73 % | 28,717 | 20.39 | 2 | -0.3256 % | 2,981.2 |
| FixedReset Prem | 4.65 % | 3.13 % | 124,822 | 2.30 | 33 | -0.0874 % | 2,749.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1030 % | 2,995.0 |
| FixedReset Ins Non | 4.02 % | 3.78 % | 93,677 | 16.98 | 19 | -0.4067 % | 2,997.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset Ins Non | -7.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.01 % |
| BAM.PR.Z | FixedReset Prem | -3.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 23.72 Evaluated at bid price : 24.20 Bid-YTW : 4.64 % |
| FTS.PR.K | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 4.01 % |
| PVS.PR.J | SplitShare | -1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.58 % |
| SLF.PR.G | FixedReset Ins Non | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 3.78 % |
| FTS.PR.G | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 22.46 Evaluated at bid price : 22.81 Bid-YTW : 4.02 % |
| BAM.PF.D | Perpetual-Premium | -1.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 4.56 % |
| TRP.PR.A | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.37 % |
| BAM.PR.R | FixedReset Disc | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 4.37 % |
| TRP.PR.E | FixedReset Disc | 2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 21.83 Evaluated at bid price : 22.10 Bid-YTW : 4.34 % |
| PWF.PR.P | FixedReset Disc | 9.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 3.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.G | FixedReset Ins Non | 224,540 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 1.47 % |
| TRP.PR.B | FixedReset Disc | 105,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 4.45 % |
| BMO.PR.S | FixedReset Disc | 62,990 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 23.34 Evaluated at bid price : 24.65 Bid-YTW : 3.79 % |
| TD.PF.C | FixedReset Disc | 60,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 23.19 Evaluated at bid price : 24.57 Bid-YTW : 3.74 % |
| BAM.PR.R | FixedReset Disc | 46,905 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 4.37 % |
| RY.PR.H | FixedReset Disc | 43,125 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-17 Maturity Price : 23.24 Evaluated at bid price : 24.52 Bid-YTW : 3.72 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.N | FixedReset Ins Non | Quote: 16.10 – 17.65 Spot Rate : 1.5500 Average : 0.9404 YTW SCENARIO |
| BAM.PR.Z | FixedReset Prem | Quote: 24.20 – 25.05 Spot Rate : 0.8500 Average : 0.4903 YTW SCENARIO |
| CU.PR.E | Perpetual-Premium | Quote: 25.27 – 25.90 Spot Rate : 0.6300 Average : 0.3862 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 18.05 – 18.75 Spot Rate : 0.7000 Average : 0.4986 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 14.55 – 15.30 Spot Rate : 0.7500 Average : 0.5618 YTW SCENARIO |
| PVS.PR.J | SplitShare | Quote: 25.01 – 25.50 Spot Rate : 0.4900 Average : 0.3258 YTW SCENARIO |