PerpetualDiscounts now yield 5.36%, equivalent to 6.97% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a very sharp widening from the 280bp reported August 2.
| 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 | -1.2739 % | 2,425.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2739 % | 4,451.2 |
| Floater | 3.57 % | 3.61 % | 122,782 | 18.25 | 3 | -1.2739 % | 2,565.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3140 % | 3,064.9 |
| SplitShare | 4.70 % | 4.42 % | 56,895 | 1.36 | 5 | 0.3140 % | 3,660.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3140 % | 2,855.8 |
| Perpetual-Premium | 5.40 % | 4.68 % | 66,073 | 6.06 | 17 | -0.2386 % | 2,780.5 |
| Perpetual-Discount | 5.33 % | 5.36 % | 69,662 | 14.84 | 20 | -0.3259 % | 2,918.1 |
| FixedReset | 4.35 % | 4.41 % | 159,727 | 6.34 | 98 | -0.5686 % | 2,394.0 |
| Deemed-Retractible | 5.06 % | 5.47 % | 110,088 | 6.08 | 30 | -0.1258 % | 2,865.1 |
| FloatingReset | 2.61 % | 3.00 % | 41,122 | 4.24 | 9 | -0.1418 % | 2,631.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.E | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 22.31 Evaluated at bid price : 22.65 Bid-YTW : 4.35 % |
| TRP.PR.D | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.77 Evaluated at bid price : 22.26 Bid-YTW : 4.42 % |
| BAM.PR.K | Floater | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 3.61 % |
| BAM.PR.B | Floater | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 14.43 Evaluated at bid price : 14.43 Bid-YTW : 3.61 % |
| BMO.PR.T | FixedReset | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 4.32 % |
| HSE.PR.C | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 22.76 Evaluated at bid price : 23.40 Bid-YTW : 5.00 % |
| CM.PR.Q | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 22.82 Evaluated at bid price : 23.68 Bid-YTW : 4.42 % |
| NA.PR.S | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.78 Evaluated at bid price : 22.27 Bid-YTW : 4.43 % |
| BMO.PR.W | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.33 Evaluated at bid price : 21.64 Bid-YTW : 4.35 % |
| IFC.PR.C | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.03 Bid-YTW : 5.76 % |
| MFC.PR.H | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.04 % |
| MFC.PR.K | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.25 % |
| PWF.PR.P | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.41 % |
| RY.PR.M | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 22.47 Evaluated at bid price : 23.11 Bid-YTW : 4.37 % |
| NA.PR.W | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 4.46 % |
| TD.PF.B | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 4.38 % |
| RY.PR.Z | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.53 Evaluated at bid price : 21.90 Bid-YTW : 4.30 % |
| HSE.PR.E | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 23.09 Evaluated at bid price : 24.13 Bid-YTW : 5.21 % |
| CM.PR.P | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.47 Evaluated at bid price : 21.83 Bid-YTW : 4.34 % |
| BMO.PR.Y | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 22.73 Evaluated at bid price : 23.52 Bid-YTW : 4.41 % |
| TD.PF.D | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 22.85 Evaluated at bid price : 23.73 Bid-YTW : 4.42 % |
| TD.PF.C | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-09 Maturity Price : 21.42 Evaluated at bid price : 21.76 Bid-YTW : 4.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset | 170,552 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 4.56 % |
| BMO.PR.C | FixedReset | 150,685 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.33 % |
| TD.PR.Z | FloatingReset | 102,100 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 2.83 % |
| TD.PF.H | FixedReset | 69,731 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 3.75 % |
| TRP.PR.K | FixedReset | 44,609 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.79 Bid-YTW : 4.13 % |
| RY.PR.Q | FixedReset | 32,817 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.63 Bid-YTW : 3.60 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.K | Floater | Quote: 14.41 – 14.67 Spot Rate : 0.2600 Average : 0.2008 YTW SCENARIO |
| PWF.PR.Z | Perpetual-Discount | Quote: 24.62 – 24.80 Spot Rate : 0.1800 Average : 0.1217 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 14.43 – 14.64 Spot Rate : 0.2100 Average : 0.1529 YTW SCENARIO |
| TRP.PR.D | FixedReset | Quote: 22.26 – 22.43 Spot Rate : 0.1700 Average : 0.1182 YTW SCENARIO |
| RY.PR.M | FixedReset | Quote: 23.11 – 23.38 Spot Rate : 0.2700 Average : 0.2205 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 23.61 – 23.89 Spot Rate : 0.2800 Average : 0.2309 YTW SCENARIO |