PerpetualDiscounts now yield 5.16%, equivalent to 6.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, unchanged from the June 28 report.
| 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 | 3.1330 % | 2,244.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 3.1330 % | 4,118.9 |
| Floater | 3.53 % | 3.55 % | 76,565 | 18.45 | 3 | 3.1330 % | 2,373.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0234 % | 3,069.7 |
| SplitShare | 4.69 % | 4.25 % | 56,731 | 1.46 | 5 | 0.0234 % | 3,665.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0234 % | 2,860.3 |
| Perpetual-Premium | 5.32 % | 3.48 % | 71,239 | 0.09 | 21 | -0.2068 % | 2,786.2 |
| Perpetual-Discount | 5.15 % | 5.16 % | 87,953 | 15.07 | 15 | -0.1407 % | 2,991.3 |
| FixedReset | 4.34 % | 4.30 % | 188,260 | 6.44 | 97 | 0.2874 % | 2,386.4 |
| Deemed-Retractible | 5.00 % | 5.13 % | 119,465 | 6.19 | 30 | -0.0437 % | 2,892.2 |
| FloatingReset | 2.65 % | 3.07 % | 49,789 | 4.30 | 10 | 0.0046 % | 2,589.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | Deemed-Retractible | -1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 6.21 % |
| TD.PF.C | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 4.28 % |
| MFC.PR.F | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.82 Bid-YTW : 8.44 % |
| MFC.PR.L | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.18 % |
| SLF.PR.H | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.47 Bid-YTW : 6.22 % |
| PWF.PR.P | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.41 % |
| VNR.PR.A | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 21.79 Evaluated at bid price : 22.23 Bid-YTW : 4.85 % |
| HSE.PR.C | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 22.85 Evaluated at bid price : 23.60 Bid-YTW : 4.81 % |
| HSE.PR.G | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 23.19 Evaluated at bid price : 24.50 Bid-YTW : 4.96 % |
| MFC.PR.M | FixedReset | 1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.18 Bid-YTW : 5.75 % |
| BAM.PR.R | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 4.50 % |
| BAM.PR.K | Floater | 2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 13.39 Evaluated at bid price : 13.39 Bid-YTW : 3.55 % |
| BAM.PR.B | Floater | 3.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 3.54 % |
| BAM.PR.C | Floater | 3.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 3.55 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset | 400,779 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 4.46 % |
| BMO.PR.D | FixedReset | 332,505 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 4.46 % |
| BAM.PR.C | Floater | 111,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 3.55 % |
| RY.PR.M | FixedReset | 81,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-05 Maturity Price : 22.55 Evaluated at bid price : 23.27 Bid-YTW : 4.27 % |
| NA.PR.C | FixedReset | 68,250 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 4.54 % |
| TD.PF.H | FixedReset | 66,237 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.37 Bid-YTW : 3.70 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.J | FixedReset | Quote: 26.90 – 27.40 Spot Rate : 0.5000 Average : 0.2988 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 20.00 – 20.35 Spot Rate : 0.3500 Average : 0.2467 YTW SCENARIO |
| NA.PR.W | FixedReset | Quote: 21.80 – 22.00 Spot Rate : 0.2000 Average : 0.1303 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 24.78 – 25.00 Spot Rate : 0.2200 Average : 0.1573 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 16.70 – 17.02 Spot Rate : 0.3200 Average : 0.2577 YTW SCENARIO |
| TRP.PR.H | FloatingReset | Quote: 14.34 – 14.85 Spot Rate : 0.5100 Average : 0.4505 YTW SCENARIO |