PerpetualDiscounts now yield 5.25%, equivalent to 6.82% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 280bp, a sharp narrowing from the 295bp reported July 26.
| 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0862 % | 2,444.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0862 % | 4,486.0 |
| Floater | 3.54 % | 3.56 % | 130,013 | 18.36 | 3 | 1.0862 % | 2,585.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1333 % | 3,062.3 |
| SplitShare | 4.70 % | 4.37 % | 54,379 | 1.38 | 5 | 0.1333 % | 3,657.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1333 % | 2,853.4 |
| Perpetual-Premium | 5.39 % | 4.59 % | 60,190 | 2.49 | 17 | 0.1206 % | 2,784.8 |
| Perpetual-Discount | 5.29 % | 5.25 % | 69,476 | 14.95 | 20 | 0.1444 % | 2,933.1 |
| FixedReset | 4.32 % | 4.42 % | 171,191 | 6.34 | 98 | 0.0952 % | 2,412.8 |
| Deemed-Retractible | 5.06 % | 5.40 % | 111,710 | 6.11 | 30 | 0.1122 % | 2,865.9 |
| FloatingReset | 2.60 % | 2.95 % | 41,946 | 4.26 | 9 | -0.0657 % | 2,640.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.C | Floater | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-02 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 3.56 % |
| TD.PF.D | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-02 Maturity Price : 23.02 Evaluated at bid price : 24.10 Bid-YTW : 4.42 % |
| NA.PR.A | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.41 Bid-YTW : 3.85 % |
| BAM.PR.B | Floater | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-02 Maturity Price : 14.54 Evaluated at bid price : 14.54 Bid-YTW : 3.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.O | FixedReset | 202,776 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 27.13 Bid-YTW : 3.45 % |
| RY.PR.L | FixedReset | 163,108 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 3.63 % |
| CM.PR.R | FixedReset | 161,237 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 4.53 % |
| SLF.PR.D | Deemed-Retractible | 129,325 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.38 Bid-YTW : 7.08 % |
| RY.PR.Q | FixedReset | 102,017 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.64 Bid-YTW : 3.57 % |
| TRP.PR.J | FixedReset | 98,373 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 27.05 Bid-YTW : 3.48 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.O | Perpetual-Premium | Quote: 25.55 – 26.25 Spot Rate : 0.7000 Average : 0.5520 YTW SCENARIO |
| TRP.PR.J | FixedReset | Quote: 27.05 – 27.35 Spot Rate : 0.3000 Average : 0.1733 YTW SCENARIO |
| BNS.PR.H | FixedReset | Quote: 26.11 – 26.40 Spot Rate : 0.2900 Average : 0.1981 YTW SCENARIO |
| TD.PR.S | FixedReset | Quote: 24.76 – 24.98 Spot Rate : 0.2200 Average : 0.1388 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 19.83 – 20.27 Spot Rate : 0.4400 Average : 0.3589 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 23.03 – 23.28 Spot Rate : 0.2500 Average : 0.1689 YTW SCENARIO |