PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from August 1.
| 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 | 0.3350 % | 3,124.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3350 % | 5,733.0 |
| Floater | 3.46 % | 3.65 % | 53,614 | 18.15 | 4 | 0.3350 % | 3,303.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0551 % | 3,211.3 |
| SplitShare | 4.57 % | 4.38 % | 47,761 | 4.85 | 5 | -0.0551 % | 3,835.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0551 % | 2,992.2 |
| Perpetual-Premium | 5.62 % | -11.09 % | 59,610 | 0.09 | 10 | -0.0157 % | 2,912.1 |
| Perpetual-Discount | 5.40 % | 5.53 % | 56,651 | 14.60 | 25 | 0.0138 % | 2,986.8 |
| FixedReset | 4.29 % | 4.74 % | 128,026 | 3.84 | 107 | 0.1093 % | 2,576.2 |
| Deemed-Retractible | 5.14 % | 5.98 % | 55,704 | 5.41 | 26 | 0.0793 % | 2,976.3 |
| FloatingReset | 3.35 % | 3.55 % | 30,735 | 5.74 | 7 | -0.0521 % | 2,837.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-08 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.34 % |
| BAM.PF.B | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-08 Maturity Price : 23.26 Evaluated at bid price : 23.95 Bid-YTW : 5.10 % |
| CU.PR.G | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-08 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 5.37 % |
| MFC.PR.L | FixedReset | 8.87 % | Mostly reversing yesterday‘s reported loss of 4.93% – but still basically flat on the month-to-date. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.08 Bid-YTW : 5.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.G | FixedReset | 103,721 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.39 Bid-YTW : 3.59 % |
| TD.PF.C | FixedReset | 103,642 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-08 Maturity Price : 23.08 Evaluated at bid price : 23.51 Bid-YTW : 4.75 % |
| CM.PR.O | FixedReset | 103,312 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-08 Maturity Price : 22.89 Evaluated at bid price : 23.45 Bid-YTW : 4.85 % |
| PWF.PR.L | Perpetual-Discount | 101,375 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-08 Maturity Price : 22.81 Evaluated at bid price : 23.09 Bid-YTW : 5.55 % |
| PWF.PR.F | Perpetual-Discount | 99,086 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-08 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 5.56 % |
| BIP.PR.B | FixedReset | 90,822 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 4.68 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.P | FixedReset | Quote: 23.06 – 23.35 Spot Rate : 0.2900 Average : 0.1904 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 25.24 – 25.59 Spot Rate : 0.3500 Average : 0.2639 YTW SCENARIO |
| MFC.PR.J | FixedReset | Quote: 25.11 – 25.40 Spot Rate : 0.2900 Average : 0.2072 YTW SCENARIO |
| EMA.PR.H | FixedReset | Quote: 25.55 – 25.85 Spot Rate : 0.3000 Average : 0.2202 YTW SCENARIO |
| RY.PR.H | FixedReset | Quote: 23.60 – 23.89 Spot Rate : 0.2900 Average : 0.2109 YTW SCENARIO |
| TRP.PR.H | FloatingReset | Quote: 17.17 – 17.43 Spot Rate : 0.2600 Average : 0.1843 YTW SCENARIO |