PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 330bp, a slight (and perhaps spurious) widening from the 325bp reported August 15.
| 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 | 0.4303 % | 3,116.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4303 % | 5,718.4 |
| Floater | 3.47 % | 3.68 % | 45,954 | 18.07 | 4 | 0.4303 % | 3,295.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2216 % | 3,240.8 |
| SplitShare | 4.59 % | 4.11 % | 50,305 | 4.87 | 5 | 0.2216 % | 3,870.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2216 % | 3,019.6 |
| Perpetual-Premium | 5.62 % | -9.47 % | 60,793 | 0.08 | 10 | 0.0433 % | 2,913.3 |
| Perpetual-Discount | 5.41 % | 5.54 % | 56,118 | 14.56 | 25 | -0.0259 % | 2,991.8 |
| FixedReset | 4.31 % | 4.70 % | 117,678 | 4.08 | 107 | 0.0454 % | 2,575.3 |
| Deemed-Retractible | 5.13 % | 5.94 % | 63,927 | 5.37 | 26 | 0.1404 % | 2,988.3 |
| FloatingReset | 3.43 % | 3.68 % | 37,978 | 5.68 | 7 | -0.0130 % | 2,841.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset | -3.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.33 Bid-YTW : 8.46 % |
| BAM.PF.G | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-22 Maturity Price : 23.43 Evaluated at bid price : 24.51 Bid-YTW : 5.08 % |
| NA.PR.E | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-22 Maturity Price : 22.87 Evaluated at bid price : 24.17 Bid-YTW : 4.83 % |
| RY.PR.M | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-22 Maturity Price : 23.25 Evaluated at bid price : 24.33 Bid-YTW : 4.74 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.E | FixedReset | 127,724 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-22 Maturity Price : 21.99 Evaluated at bid price : 22.59 Bid-YTW : 5.00 % |
| MFC.PR.J | FixedReset | 59,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-03-19 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 4.71 % |
| RY.PR.W | Perpetual-Discount | 59,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-22 Maturity Price : 24.49 Evaluated at bid price : 24.72 Bid-YTW : 4.97 % |
| MFC.PR.O | FixedReset | 53,050 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.59 % |
| GWO.PR.N | FixedReset | 40,559 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.33 Bid-YTW : 8.46 % |
| NA.PR.E | FixedReset | 37,425 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-08-22 Maturity Price : 22.87 Evaluated at bid price : 24.17 Bid-YTW : 4.83 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.N | FixedReset | Quote: 18.33 – 19.15 Spot Rate : 0.8200 Average : 0.4825 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 24.81 – 25.32 Spot Rate : 0.5100 Average : 0.3278 YTW SCENARIO |
| BAM.PF.G | FixedReset | Quote: 24.51 – 24.90 Spot Rate : 0.3900 Average : 0.2367 YTW SCENARIO |
| BAM.PF.F | FixedReset | Quote: 24.80 – 25.10 Spot Rate : 0.3000 Average : 0.1727 YTW SCENARIO |
| MFC.PR.L | FixedReset | Quote: 22.80 – 23.11 Spot Rate : 0.3100 Average : 0.2398 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 19.30 – 19.80 Spot Rate : 0.5000 Average : 0.4325 YTW SCENARIO |