PerpetualDiscounts now yield 5.33%, equivalent to 6.93% 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, the same as reported August 16.
| 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 | -0.7554 % | 2,349.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7554 % | 4,311.7 |
| Floater | 3.68 % | 3.72 % | 118,272 | 17.96 | 3 | -0.7554 % | 2,484.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0552 % | 3,081.1 |
| SplitShare | 4.73 % | 3.94 % | 54,484 | 1.34 | 5 | 0.0552 % | 3,679.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0552 % | 2,870.9 |
| Perpetual-Premium | 5.40 % | 4.80 % | 58,904 | 5.89 | 17 | 0.0814 % | 2,779.6 |
| Perpetual-Discount | 5.31 % | 5.33 % | 64,666 | 14.89 | 20 | -0.0319 % | 2,929.5 |
| FixedReset | 4.38 % | 4.45 % | 142,074 | 6.34 | 98 | 0.0388 % | 2,382.8 |
| Deemed-Retractible | 5.07 % | 5.54 % | 107,258 | 6.04 | 31 | -0.0080 % | 2,869.5 |
| FloatingReset | 2.62 % | 3.04 % | 40,781 | 4.20 | 9 | 0.1276 % | 2,619.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.C | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-23 Maturity Price : 22.52 Evaluated at bid price : 23.00 Bid-YTW : 5.06 % |
| TRP.PR.C | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-23 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 4.52 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.B | Deemed-Retractible | 382,008 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-22 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 1.13 % |
| TD.PR.Z | FloatingReset | 273,800 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.44 Bid-YTW : 2.84 % |
| CM.PR.R | FixedReset | 185,199 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 4.60 % |
| TRP.PR.K | FixedReset | 130,399 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 4.02 % |
| BMO.PR.S | FixedReset | 104,330 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-23 Maturity Price : 21.65 Evaluated at bid price : 22.07 Bid-YTW : 4.35 % |
| BMO.PR.T | FixedReset | 100,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-08-23 Maturity Price : 21.28 Evaluated at bid price : 21.56 Bid-YTW : 4.36 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.J | FixedReset | Quote: 23.07 – 23.53 Spot Rate : 0.4600 Average : 0.3379 YTW SCENARIO |
| BAM.PF.G | FixedReset | Quote: 23.78 – 24.14 Spot Rate : 0.3600 Average : 0.2534 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 24.45 – 24.76 Spot Rate : 0.3100 Average : 0.2062 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.77 – 23.14 Spot Rate : 0.3700 Average : 0.2813 YTW SCENARIO |
| PWF.PR.Z | Perpetual-Discount | Quote: 24.63 – 24.92 Spot Rate : 0.2900 Average : 0.2052 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 16.16 – 16.40 Spot Rate : 0.2400 Average : 0.1622 YTW SCENARIO |