PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a slight (and perhaps spurious) narrowing from the 340bp reported June 20.
| 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 | 0.2794 % | 2,989.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2794 % | 5,485.9 |
| Floater | 3.36 % | 3.57 % | 73,393 | 18.35 | 4 | 0.2794 % | 3,161.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1274 % | 3,177.2 |
| SplitShare | 4.62 % | 4.61 % | 65,965 | 4.97 | 5 | 0.1274 % | 3,794.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1274 % | 2,960.4 |
| Perpetual-Premium | 5.61 % | -10.87 % | 62,055 | 0.09 | 9 | 0.1089 % | 2,894.3 |
| Perpetual-Discount | 5.36 % | 5.51 % | 62,194 | 14.62 | 26 | 0.2081 % | 2,977.2 |
| FixedReset | 4.32 % | 4.61 % | 143,333 | 5.67 | 106 | 0.0639 % | 2,535.0 |
| Deemed-Retractible | 5.15 % | 5.77 % | 71,316 | 5.53 | 27 | 0.3400 % | 2,966.3 |
| FloatingReset | 3.05 % | 3.72 % | 34,192 | 3.42 | 9 | 0.0050 % | 2,797.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset | -1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 7.64 % |
| TRP.PR.C | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-27 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 4.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| EMA.PR.H | FixedReset | 110,128 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-27 Maturity Price : 23.19 Evaluated at bid price : 25.10 Bid-YTW : 4.82 % |
| RY.PR.W | Perpetual-Discount | 104,670 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-27 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 4.99 % |
| MFC.PR.N | FixedReset | 74,441 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 5.45 % |
| POW.PR.G | Perpetual-Premium | 52,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.36 % |
| NA.PR.S | FixedReset | 51,964 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-27 Maturity Price : 22.74 Evaluated at bid price : 23.32 Bid-YTW : 4.67 % |
| TRP.PR.K | FixedReset | 44,336 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.47 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.Z | FixedReset | Quote: 24.60 – 24.85 Spot Rate : 0.2500 Average : 0.1841 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 21.25 – 21.54 Spot Rate : 0.2900 Average : 0.2248 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 19.28 – 19.49 Spot Rate : 0.2100 Average : 0.1556 YTW SCENARIO |
| TD.PF.F | Perpetual-Discount | Quote: 24.80 – 24.96 Spot Rate : 0.1600 Average : 0.1081 YTW SCENARIO |
| BAM.PF.C | Perpetual-Discount | Quote: 21.60 – 21.82 Spot Rate : 0.2200 Average : 0.1729 YTW SCENARIO |
| RY.PR.A | Deemed-Retractible | Quote: 25.18 – 25.33 Spot Rate : 0.1500 Average : 0.1039 YTW SCENARIO |