PerpetualDiscounts now yield 4.82%, equivalent to 6.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is wider at 315bp than the 281bp reported July 7.
| 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 | 0.8323 % | 2,699.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8323 % | 4,952.4 |
| Floater | 3.22 % | 3.25 % | 115,883 | 19.13 | 3 | 0.8323 % | 2,854.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,694.9 |
| SplitShare | 4.63 % | 3.99 % | 36,144 | 3.84 | 6 | 0.0000 % | 4,412.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,442.8 |
| Perpetual-Premium | 5.19 % | -13.92 % | 60,466 | 0.09 | 25 | 0.0903 % | 3,285.4 |
| Perpetual-Discount | 4.74 % | 4.82 % | 94,735 | 15.80 | 8 | -0.0352 % | 3,936.5 |
| FixedReset Disc | 4.05 % | 3.53 % | 147,755 | 18.28 | 40 | 0.3880 % | 2,769.5 |
| Insurance Straight | 4.91 % | 2.46 % | 78,473 | 0.09 | 22 | -0.0625 % | 3,709.6 |
| FloatingReset | 2.90 % | 3.18 % | 36,116 | 19.29 | 2 | -0.1580 % | 2,545.4 |
| FixedReset Prem | 4.85 % | 3.28 % | 166,368 | 1.39 | 33 | 0.1030 % | 2,743.4 |
| FixedReset Bank Non | 1.80 % | 1.40 % | 96,075 | 0.10 | 1 | 0.0000 % | 2,901.2 |
| FixedReset Ins Non | 4.10 % | 3.46 % | 136,560 | 18.18 | 20 | 0.1286 % | 2,908.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset Ins Non | -5.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 14.67 Evaluated at bid price : 14.67 Bid-YTW : 3.47 % |
| BAM.PR.R | FixedReset Disc | -3.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 4.32 % |
| TRP.PR.G | FixedReset Disc | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 22.31 Evaluated at bid price : 23.00 Bid-YTW : 3.98 % |
| IFC.PR.A | FixedReset Ins Non | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 3.13 % |
| IFC.PR.E | Insurance Straight | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.25 Evaluated at bid price : 26.10 Bid-YTW : 4.32 % |
| BAM.PR.K | Floater | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 13.29 Evaluated at bid price : 13.29 Bid-YTW : 3.25 % |
| TRP.PR.D | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.99 % |
| TD.PF.D | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 22.90 Evaluated at bid price : 24.11 Bid-YTW : 3.56 % |
| MIC.PR.A | Perpetual-Premium | 1.39 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.25 Evaluated at bid price : 27.00 Bid-YTW : 4.35 % |
| MFC.PR.L | FixedReset Ins Non | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 22.35 Evaluated at bid price : 22.84 Bid-YTW : 3.35 % |
| BAM.PF.F | FixedReset Disc | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 22.76 Evaluated at bid price : 23.61 Bid-YTW : 3.91 % |
| TRP.PR.A | FixedReset Disc | 5.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.01 % |
| MFC.PR.F | FixedReset Ins Non | 6.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 17.39 Evaluated at bid price : 17.39 Bid-YTW : 3.25 % |
| PWF.PR.P | FixedReset Disc | 8.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 3.48 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.P | FixedReset Disc | 107,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 22.84 Evaluated at bid price : 23.85 Bid-YTW : 3.27 % |
| CM.PR.R | FixedReset Prem | 73,199 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 2.86 % |
| MFC.PR.K | FixedReset Ins Non | 62,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 23.51 Evaluated at bid price : 23.81 Bid-YTW : 3.33 % |
| SLF.PR.A | Insurance Straight | 40,750 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-20 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 0.77 % |
| CU.PR.C | FixedReset Disc | 32,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 21.39 Evaluated at bid price : 21.69 Bid-YTW : 3.72 % |
| CM.PR.S | FixedReset Disc | 24,610 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-21 Maturity Price : 24.34 Evaluated at bid price : 24.65 Bid-YTW : 3.39 % |
| There were 7 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: 14.67 – 16.10 Spot Rate : 1.4300 Average : 1.1104 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 20.30 – 21.10 Spot Rate : 0.8000 Average : 0.5848 YTW SCENARIO |
| EIT.PR.B | SplitShare | Quote: 26.05 – 27.05 Spot Rate : 1.0000 Average : 0.8066 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 18.28 – 18.97 Spot Rate : 0.6900 Average : 0.5105 YTW SCENARIO |
| CM.PR.Y | FixedReset Prem | Quote: 26.00 – 26.50 Spot Rate : 0.5000 Average : 0.3441 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 13.23 – 13.95 Spot Rate : 0.7200 Average : 0.5714 YTW SCENARIO |