PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from the July 25 report.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.0401 % | 3,124.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0401 % | 5,733.7 |
| Floater | 3.46 % | 3.64 % | 55,502 | 18.19 | 4 | 0.0401 % | 3,304.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0158 % | 3,206.8 |
| SplitShare | 4.58 % | 4.40 % | 48,072 | 4.87 | 5 | 0.0158 % | 3,829.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0158 % | 2,988.0 |
| Perpetual-Premium | 5.62 % | -13.67 % | 59,188 | 0.09 | 10 | -0.0354 % | 2,914.3 |
| Perpetual-Discount | 5.40 % | 5.52 % | 54,382 | 14.62 | 25 | 0.0447 % | 2,987.7 |
| FixedReset | 4.29 % | 4.65 % | 127,183 | 3.90 | 107 | 0.2047 % | 2,575.4 |
| Deemed-Retractible | 5.14 % | 5.98 % | 63,270 | 5.43 | 26 | -0.0194 % | 2,978.3 |
| FloatingReset | 3.35 % | 3.56 % | 33,058 | 5.76 | 7 | 0.1292 % | 2,836.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.K | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.89 Bid-YTW : 6.13 % |
| PWF.PR.A | Floater | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-01 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 3.04 % |
| GWO.PR.N | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.13 Bid-YTW : 7.63 % |
| BAM.PR.C | Floater | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-01 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 3.65 % |
| NA.PR.W | FixedReset | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-01 Maturity Price : 22.51 Evaluated at bid price : 22.91 Bid-YTW : 4.80 % |
| TD.PF.A | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-01 Maturity Price : 23.31 Evaluated at bid price : 23.79 Bid-YTW : 4.62 % |
| EMA.PR.C | FixedReset | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-01 Maturity Price : 22.82 Evaluated at bid price : 24.11 Bid-YTW : 4.97 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.B | FixedReset | 79,603 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-01 Maturity Price : 22.93 Evaluated at bid price : 23.49 Bid-YTW : 4.71 % |
| TD.PF.H | FixedReset | 70,075 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.94 Bid-YTW : 3.63 % |
| CM.PR.S | FixedReset | 60,353 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-01 Maturity Price : 22.73 Evaluated at bid price : 23.81 Bid-YTW : 4.80 % |
| BMO.PR.C | FixedReset | 57,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 4.08 % |
| CM.PR.R | FixedReset | 53,919 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 4.11 % |
| MFC.PR.K | FixedReset | 53,194 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.89 Bid-YTW : 6.13 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.A | Floater | Quote: 21.24 – 22.00 Spot Rate : 0.7600 Average : 0.6079 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 22.89 – 23.40 Spot Rate : 0.5100 Average : 0.3658 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 24.99 – 25.35 Spot Rate : 0.3600 Average : 0.2715 YTW SCENARIO |
| IAG.PR.G | FixedReset | Quote: 23.79 – 24.12 Spot Rate : 0.3300 Average : 0.2478 YTW SCENARIO |
| BAM.PF.E | FixedReset | Quote: 23.72 – 24.02 Spot Rate : 0.3000 Average : 0.2208 YTW SCENARIO |
| RY.PR.H | FixedReset | Quote: 23.69 – 23.89 Spot Rate : 0.2000 Average : 0.1327 YTW SCENARIO |