At month-end, PerpetualDiscounts yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the Seniority Spread) is now about 300bp, a widening from the 290bp reported July 27.
| 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 | 0.3225 % | 1,684.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3225 % | 3,077.4 |
| Floater | 4.87 % | 4.65 % | 77,495 | 16.07 | 4 | 0.3225 % | 1,773.5 |
| OpRet | 4.84 % | -9.10 % | 61,201 | 0.08 | 1 | 0.0000 % | 2,881.5 |
| SplitShare | 5.05 % | 4.32 % | 99,599 | 2.23 | 5 | -0.0397 % | 3,443.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0397 % | 2,686.4 |
| Perpetual-Premium | 5.48 % | 1.05 % | 72,993 | 0.17 | 12 | -0.1715 % | 2,687.0 |
| Perpetual-Discount | 5.12 % | 5.11 % | 104,819 | 14.96 | 26 | 0.0300 % | 2,907.3 |
| FixedReset | 4.93 % | 4.30 % | 144,208 | 7.23 | 89 | -0.3555 % | 2,060.1 |
| Deemed-Retractible | 5.01 % | 4.57 % | 112,490 | 0.40 | 32 | -0.1980 % | 2,803.0 |
| FloatingReset | 2.85 % | 3.97 % | 30,060 | 5.05 | 12 | 0.0653 % | 2,211.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.A | FixedReset | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.70 % |
| PWF.PR.T | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 3.93 % |
| PWF.PR.P | FixedReset | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 13.62 Evaluated at bid price : 13.62 Bid-YTW : 4.25 % |
| RY.PR.J | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.25 % |
| CM.PR.Q | FixedReset | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.31 % |
| MFC.PR.H | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.61 Bid-YTW : 5.93 % |
| MFC.PR.O | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 4.39 % |
| MFC.PR.B | Deemed-Retractible | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 5.64 % |
| MFC.PR.F | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.98 Bid-YTW : 10.04 % |
| BAM.PF.G | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 4.53 % |
| RY.PR.M | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 4.22 % |
| SLF.PR.I | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.54 % |
| BAM.PF.E | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.50 % |
| HSE.PR.A | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 12.22 Evaluated at bid price : 12.22 Bid-YTW : 4.95 % |
| RY.PR.H | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 4.10 % |
| BAM.PF.B | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 4.79 % |
| BAM.PR.S | FloatingReset | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.99 % |
| TRP.PR.B | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 4.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.O | Deemed-Retractible | 107,963 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.25 Evaluated at bid price : 25.70 Bid-YTW : -10.03 % |
| BAM.PR.T | FixedReset | 86,348 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 4.91 % |
| TD.PF.A | FixedReset | 81,324 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.09 % |
| HSB.PR.D | Deemed-Retractible | 78,893 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 4.62 % |
| BIP.PR.C | FixedReset | 73,935 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 23.23 Evaluated at bid price : 25.22 Bid-YTW : 5.26 % |
| BMO.PR.S | FixedReset | 62,197 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.09 % |
| There were 38 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.S | Perpetual-Discount | Quote: 23.66 – 24.00 Spot Rate : 0.3400 Average : 0.2149 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 23.06 – 23.49 Spot Rate : 0.4300 Average : 0.3190 YTW SCENARIO |
| CM.PR.Q | FixedReset | Quote: 20.55 – 20.89 Spot Rate : 0.3400 Average : 0.2377 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 13.11 – 13.44 Spot Rate : 0.3300 Average : 0.2308 YTW SCENARIO |
| GWO.PR.R | Deemed-Retractible | Quote: 23.70 – 24.04 Spot Rate : 0.3400 Average : 0.2421 YTW SCENARIO |
| RY.PR.J | FixedReset | Quote: 20.50 – 20.76 Spot Rate : 0.2600 Average : 0.1633 YTW SCENARIO |