PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) widening from the 320bp reported August 8.
| 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 | -0.2965 % | 3,086.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2965 % | 5,664.0 |
| Floater | 3.50 % | 3.71 % | 50,096 | 18.00 | 4 | -0.2965 % | 3,264.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0157 % | 3,212.1 |
| SplitShare | 4.57 % | 4.72 % | 49,063 | 4.83 | 5 | 0.0157 % | 3,835.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0157 % | 2,992.9 |
| Perpetual-Premium | 5.62 % | -11.35 % | 55,271 | 0.09 | 10 | 0.0590 % | 2,914.2 |
| Perpetual-Discount | 5.41 % | 5.53 % | 56,587 | 14.58 | 25 | 0.0778 % | 2,991.4 |
| FixedReset | 4.31 % | 4.78 % | 117,599 | 3.92 | 107 | -0.0795 % | 2,572.4 |
| Deemed-Retractible | 5.13 % | 6.04 % | 56,919 | 5.39 | 26 | 0.0952 % | 2,983.3 |
| FloatingReset | 3.43 % | 3.77 % | 34,813 | 5.70 | 7 | -0.1496 % | 2,840.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| EMA.PR.H | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-15 Maturity Price : 23.21 Evaluated at bid price : 25.15 Bid-YTW : 4.78 % |
| SLF.PR.H | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.77 Bid-YTW : 6.19 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset | 106,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 4.16 % |
| TD.PF.B | FixedReset | 85,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-15 Maturity Price : 22.93 Evaluated at bid price : 23.50 Bid-YTW : 4.82 % |
| TRP.PR.E | FixedReset | 79,037 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-15 Maturity Price : 21.85 Evaluated at bid price : 22.36 Bid-YTW : 5.17 % |
| RY.PR.P | Perpetual-Premium | 64,880 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.18 % |
| CU.PR.H | Perpetual-Discount | 47,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-15 Maturity Price : 23.85 Evaluated at bid price : 24.30 Bid-YTW : 5.40 % |
| MFC.PR.C | Deemed-Retractible | 45,575 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.23 Bid-YTW : 7.68 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAG.PR.I | FixedReset | Quote: 25.25 – 26.25 Spot Rate : 1.0000 Average : 0.7497 YTW SCENARIO |
| MFC.PR.L | FixedReset | Quote: 22.88 – 23.68 Spot Rate : 0.8000 Average : 0.5684 YTW SCENARIO |
| MFC.PR.R | FixedReset | Quote: 26.07 – 26.42 Spot Rate : 0.3500 Average : 0.2057 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 23.00 – 23.50 Spot Rate : 0.5000 Average : 0.3586 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 21.11 – 21.48 Spot Rate : 0.3700 Average : 0.2669 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 21.21 – 21.55 Spot Rate : 0.3400 Average : 0.2412 YTW SCENARIO |