A good day for FixedResets, presumably due to the Bank of Canada policy hike and anticipation of increasing five-year Canada yields.
PerpetualDiscounts now yield 5.47%, equivalent to 7.11% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from July 4
| 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 | 1.3727 % | 3,106.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.3727 % | 5,700.7 |
| Floater | 3.24 % | 3.44 % | 70,208 | 18.68 | 4 | 1.3727 % | 3,285.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0793 % | 3,184.3 |
| SplitShare | 4.61 % | 4.70 % | 61,802 | 4.93 | 5 | -0.0793 % | 3,802.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0793 % | 2,967.0 |
| Perpetual-Premium | 5.64 % | -15.63 % | 61,148 | 0.09 | 9 | 0.0306 % | 2,906.2 |
| Perpetual-Discount | 5.38 % | 5.47 % | 56,026 | 14.70 | 26 | -0.0279 % | 2,986.0 |
| FixedReset | 4.30 % | 4.60 % | 134,249 | 4.29 | 106 | 0.4840 % | 2,558.1 |
| Deemed-Retractible | 5.14 % | 5.92 % | 63,454 | 5.49 | 27 | -0.0920 % | 2,968.2 |
| FloatingReset | 3.25 % | 3.72 % | 34,409 | 3.39 | 9 | 0.2727 % | 2,832.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 7.54 % |
| MFC.PR.J | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.74 % |
| MFC.PR.L | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 6.02 % |
| BAM.PR.B | Floater | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 3.44 % |
| IFC.PR.C | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 5.39 % |
| GWO.PR.T | Deemed-Retractible | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.92 % |
| SLF.PR.J | FloatingReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 6.42 % |
| MFC.PR.G | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-19 Maturity Price : 25.00 Evaluated at bid price : 24.53 Bid-YTW : 4.58 % |
| BAM.PR.K | Floater | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 17.53 Evaluated at bid price : 17.53 Bid-YTW : 3.46 % |
| PWF.PR.P | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.41 % |
| GWO.PR.N | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.98 Bid-YTW : 7.61 % |
| TRP.PR.A | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 20.49 Evaluated at bid price : 20.49 Bid-YTW : 4.83 % |
| BAM.PF.G | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 23.34 Evaluated at bid price : 24.37 Bid-YTW : 4.97 % |
| CU.PR.G | Perpetual-Discount | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.32 % |
| CU.PR.C | FixedReset | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 22.31 Evaluated at bid price : 22.94 Bid-YTW : 4.64 % |
| BAM.PR.R | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 20.66 Evaluated at bid price : 20.66 Bid-YTW : 5.06 % |
| BAM.PF.F | FixedReset | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 24.37 Evaluated at bid price : 24.73 Bid-YTW : 4.97 % |
| TRP.PR.C | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 4.83 % |
| SLF.PR.H | FixedReset | 1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.67 % |
| MFC.PR.N | FixedReset | 2.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.20 % |
| BAM.PR.C | Floater | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 3.45 % |
| SLF.PR.G | FixedReset | 3.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 6.81 % |
| MFC.PR.M | FixedReset | 3.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 5.32 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| POW.PR.G | Perpetual-Premium | 408,060 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 5.26 % |
| TRP.PR.B | FixedReset | 150,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.76 % |
| PWF.PR.L | Perpetual-Discount | 104,234 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 22.86 Evaluated at bid price : 23.13 Bid-YTW : 5.51 % |
| PWF.PR.H | Perpetual-Premium | 94,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-08-10 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : -15.79 % |
| IFC.PR.G | FixedReset | 75,456 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.02 % |
| PWF.PR.T | FixedReset | 75,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-11 Maturity Price : 23.60 Evaluated at bid price : 24.30 Bid-YTW : 4.53 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EIT.PR.A | SplitShare | Quote: 25.11 – 26.11 Spot Rate : 1.0000 Average : 0.6790 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 20.49 – 21.40 Spot Rate : 0.9100 Average : 0.7225 YTW SCENARIO |
| TRP.PR.E | FixedReset | Quote: 22.61 – 22.98 Spot Rate : 0.3700 Average : 0.2307 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 23.79 – 24.17 Spot Rate : 0.3800 Average : 0.2696 YTW SCENARIO |
| W.PR.M | FixedReset | Quote: 25.60 – 25.85 Spot Rate : 0.2500 Average : 0.1671 YTW SCENARIO |
| TRP.PR.G | FixedReset | Quote: 24.21 – 24.55 Spot Rate : 0.3400 Average : 0.2600 YTW SCENARIO |