PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a slight (and perhaps spurious) widening from the 305bp reported August 23.
| 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 | 0.0240 % | 2,333.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0240 % | 4,281.9 |
| Floater | 3.71 % | 3.75 % | 119,603 | 17.89 | 3 | 0.0240 % | 2,467.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1340 % | 3,083.8 |
| SplitShare | 4.72 % | 4.10 % | 49,704 | 1.32 | 5 | 0.1340 % | 3,682.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1340 % | 2,873.4 |
| Perpetual-Premium | 5.40 % | 4.81 % | 54,898 | 5.87 | 17 | 0.0000 % | 2,782.9 |
| Perpetual-Discount | 5.31 % | 5.35 % | 61,042 | 14.87 | 20 | 0.0341 % | 2,927.6 |
| FixedReset | 4.37 % | 4.43 % | 147,177 | 6.32 | 98 | 0.1921 % | 2,387.8 |
| Deemed-Retractible | 5.10 % | 5.46 % | 102,638 | 6.08 | 31 | 0.0388 % | 2,873.3 |
| FloatingReset | 2.63 % | 3.09 % | 39,474 | 4.18 | 9 | 0.0205 % | 2,615.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Z | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-30 Maturity Price : 24.13 Evaluated at bid price : 24.50 Bid-YTW : 5.36 % |
| IFC.PR.A | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 7.04 % |
| CU.PR.C | FixedReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-30 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 4.58 % |
| IAG.PR.A | Deemed-Retractible | 1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 6.16 % |
| VNR.PR.A | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-30 Maturity Price : 21.50 Evaluated at bid price : 21.81 Bid-YTW : 5.03 % |
| TRP.PR.D | FixedReset | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-30 Maturity Price : 21.72 Evaluated at bid price : 22.18 Bid-YTW : 4.43 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.B | Deemed-Retractible | 200,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 2.24 % |
| GWO.PR.I | Deemed-Retractible | 102,400 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 6.87 % |
| TD.PF.A | FixedReset | 86,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-30 Maturity Price : 21.41 Evaluated at bid price : 21.74 Bid-YTW : 4.37 % |
| NA.PR.A | FixedReset | 41,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.22 Bid-YTW : 4.14 % |
| CM.PR.R | FixedReset | 35,833 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 4.57 % |
| CU.PR.I | FixedReset | 31,450 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.53 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset | Quote: 23.67 – 24.17 Spot Rate : 0.5000 Average : 0.3956 YTW SCENARIO |
| MFC.PR.M | FixedReset | Quote: 21.57 – 21.85 Spot Rate : 0.2800 Average : 0.1764 YTW SCENARIO |
| BAM.PF.B | FixedReset | Quote: 22.42 – 22.70 Spot Rate : 0.2800 Average : 0.1906 YTW SCENARIO |
| MFC.PR.L | FixedReset | Quote: 20.63 – 20.94 Spot Rate : 0.3100 Average : 0.2356 YTW SCENARIO |
| CU.PR.H | Perpetual-Premium | Quote: 24.90 – 25.25 Spot Rate : 0.3500 Average : 0.2776 YTW SCENARIO |
| TD.PF.E | FixedReset | Quote: 24.00 – 24.23 Spot Rate : 0.2300 Average : 0.1608 YTW SCENARIO |