PerpetualDiscounts now yield 5.60%, equivalent to 7.28% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.42%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 385bp, a slight (and perhaps spurious) narrowing from the 390bp reported June 19.
| 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 | 1.9079 % | 1,921.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.9079 % | 3,525.2 |
| Floater | 6.16 % | 6.43 % | 75,160 | 13.29 | 3 | 1.9079 % | 2,031.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1252 % | 3,307.8 |
| SplitShare | 4.71 % | 4.81 % | 80,115 | 4.20 | 7 | -0.1252 % | 3,950.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1252 % | 3,082.1 |
| Perpetual-Premium | 5.61 % | -11.81 % | 71,746 | 0.09 | 7 | 0.1628 % | 2,954.9 |
| Perpetual-Discount | 5.49 % | 5.60 % | 60,372 | 14.46 | 26 | 0.1367 % | 3,081.3 |
| FixedReset Disc | 5.53 % | 5.37 % | 165,128 | 14.71 | 70 | 0.2518 % | 2,067.8 |
| Deemed-Retractible | 5.27 % | 5.95 % | 72,560 | 8.01 | 27 | 0.1835 % | 3,084.6 |
| FloatingReset | 4.08 % | 4.61 % | 51,562 | 2.49 | 4 | 0.0530 % | 2,336.9 |
| FixedReset Prem | 5.11 % | 3.92 % | 183,812 | 1.82 | 16 | -0.0921 % | 2,581.3 |
| FixedReset Bank Non | 1.98 % | 4.08 % | 142,363 | 2.51 | 3 | -0.1666 % | 2,646.4 |
| FixedReset Ins Non | 5.36 % | 7.56 % | 91,824 | 8.08 | 22 | 0.4316 % | 2,121.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset Disc | -2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 12.27 Evaluated at bid price : 12.27 Bid-YTW : 6.28 % |
| BAM.PF.I | FixedReset Disc | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 22.91 Evaluated at bid price : 23.80 Bid-YTW : 5.36 % |
| BAM.PR.Z | FixedReset Disc | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 6.19 % |
| HSE.PR.C | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.25 % |
| MFC.PR.C | Deemed-Retractible | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.79 Bid-YTW : 6.80 % |
| BAM.PF.A | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.02 % |
| BIP.PR.F | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 21.49 Evaluated at bid price : 21.49 Bid-YTW : 5.97 % |
| TRP.PR.G | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.04 % |
| PWF.PR.S | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 21.84 Evaluated at bid price : 22.10 Bid-YTW : 5.51 % |
| BMO.PR.W | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.44 % |
| PWF.PR.P | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.61 % |
| NA.PR.C | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.56 % |
| HSE.PR.A | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 6.11 % |
| NA.PR.E | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 5.31 % |
| TD.PF.B | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 5.24 % |
| MFC.PR.N | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.61 Bid-YTW : 8.59 % |
| TRP.PR.D | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 5.91 % |
| NA.PR.G | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 5.25 % |
| BMO.PR.Y | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 5.37 % |
| BAM.PF.G | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 6.27 % |
| CU.PR.C | FixedReset Disc | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.40 % |
| TRP.PR.A | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 5.99 % |
| SLF.PR.A | Deemed-Retractible | 1.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 6.27 % |
| MFC.PR.L | FixedReset Ins Non | 1.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 8.32 % |
| PWF.PR.T | FixedReset Disc | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 5.38 % |
| SLF.PR.I | FixedReset Ins Non | 1.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 7.34 % |
| IFC.PR.A | FixedReset Ins Non | 1.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.58 % |
| PWF.PR.A | Floater | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 5.77 % |
| BAM.PR.K | Floater | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 6.43 % |
| TRP.PR.B | FixedReset Disc | 3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 5.75 % |
| SLF.PR.G | FixedReset Ins Non | 3.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.95 Bid-YTW : 9.40 % |
| TRP.PR.C | FixedReset Disc | 3.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 5.90 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.K | FixedReset Ins Non | 106,400 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.02 Bid-YTW : 7.97 % |
| BMO.PR.W | FixedReset Disc | 70,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.44 % |
| CM.PR.O | FixedReset Disc | 66,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 5.52 % |
| BAM.PF.E | FixedReset Disc | 54,699 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-26 Maturity Price : 15.69 Evaluated at bid price : 15.69 Bid-YTW : 6.29 % |
| MFC.PR.O | FixedReset Ins Non | 54,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 4.18 % |
| IFC.PR.A | FixedReset Ins Non | 50,700 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.58 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.Z | FixedReset Disc | Quote: 17.86 – 18.49 Spot Rate : 0.6300 Average : 0.3695 YTW SCENARIO |
| BAM.PF.I | FixedReset Disc | Quote: 23.80 – 24.44 Spot Rate : 0.6400 Average : 0.3875 YTW SCENARIO |
| BIP.PR.D | FixedReset Disc | Quote: 22.45 – 22.95 Spot Rate : 0.5000 Average : 0.3414 YTW SCENARIO |
| BMO.PR.T | FixedReset Disc | Quote: 16.55 – 16.90 Spot Rate : 0.3500 Average : 0.2279 YTW SCENARIO |
| TRP.PR.D | FixedReset Disc | Quote: 16.26 – 16.60 Spot Rate : 0.3400 Average : 0.2194 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 19.02 – 19.40 Spot Rate : 0.3800 Average : 0.2646 YTW SCENARIO |