PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.43%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 375bp, a slight (and perhaps spurious) narrowing from the 380bp reported July 17.
| 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 | 1.0037 % | 1,955.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0037 % | 3,588.9 |
| Floater | 6.11 % | 6.26 % | 37,051 | 13.51 | 4 | 1.0037 % | 2,068.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0113 % | 3,341.9 |
| SplitShare | 4.66 % | 4.63 % | 78,093 | 4.12 | 7 | -0.0113 % | 3,991.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0113 % | 3,113.9 |
| Perpetual-Premium | 5.61 % | -18.11 % | 56,843 | 0.09 | 7 | 0.1224 % | 2,985.8 |
| Perpetual-Discount | 5.45 % | 5.54 % | 56,685 | 14.55 | 25 | 0.1246 % | 3,124.3 |
| FixedReset Disc | 5.41 % | 5.25 % | 164,740 | 14.97 | 69 | 0.0489 % | 2,127.3 |
| Deemed-Retractible | 5.22 % | 5.86 % | 64,511 | 7.96 | 27 | 0.1019 % | 3,118.9 |
| FloatingReset | 4.05 % | 4.24 % | 38,737 | 2.43 | 4 | -0.0264 % | 2,353.9 |
| FixedReset Prem | 5.13 % | 3.80 % | 164,271 | 1.90 | 17 | 0.0703 % | 2,600.4 |
| FixedReset Bank Non | 1.98 % | 3.92 % | 91,868 | 2.44 | 3 | 0.0695 % | 2,657.2 |
| FixedReset Ins Non | 5.25 % | 7.33 % | 85,027 | 8.04 | 22 | -0.2225 % | 2,172.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset Disc | -3.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 12.01 Evaluated at bid price : 12.01 Bid-YTW : 6.39 % |
| MFC.PR.H | FixedReset Ins Non | -2.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.71 Bid-YTW : 6.87 % |
| TRP.PR.B | FixedReset Disc | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 5.79 % |
| TRP.PR.D | FixedReset Disc | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 16.29 Evaluated at bid price : 16.29 Bid-YTW : 5.88 % |
| HSE.PR.E | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 19.48 Evaluated at bid price : 19.48 Bid-YTW : 6.41 % |
| TD.PF.D | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 5.14 % |
| HSE.PR.C | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.22 % |
| BIP.PR.A | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 6.65 % |
| BIK.PR.A | FixedReset Prem | -1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 5.44 % |
| EMA.PR.F | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.97 % |
| TRP.PR.C | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 11.95 Evaluated at bid price : 11.95 Bid-YTW : 6.04 % |
| MFC.PR.N | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.97 Bid-YTW : 8.46 % |
| IAF.PR.G | FixedReset Ins Non | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.85 Bid-YTW : 6.34 % |
| RY.PR.S | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 4.80 % |
| RY.PR.H | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.05 % |
| TD.PF.E | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.16 % |
| PWF.PR.A | Floater | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 5.84 % |
| BMO.PR.Y | FixedReset Disc | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.16 % |
| PWF.PR.T | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 5.31 % |
| NA.PR.G | FixedReset Disc | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 5.25 % |
| CM.PR.S | FixedReset Disc | 2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 5.19 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.B | Deemed-Retractible | 151,443 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 6.24 % |
| RY.PR.R | FixedReset Prem | 145,595 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 3.27 % |
| BNS.PR.Z | FixedReset Bank Non | 142,500 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 3.92 % |
| NA.PR.A | FixedReset Prem | 133,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 3.80 % |
| BMO.PR.W | FixedReset Disc | 59,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 5.19 % |
| BMO.PR.S | FixedReset Disc | 56,939 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-24 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 5.26 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.Q | FixedReset Disc | Quote: 19.15 – 19.78 Spot Rate : 0.6300 Average : 0.4167 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 11.17 – 11.70 Spot Rate : 0.5300 Average : 0.3321 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 20.60 – 21.03 Spot Rate : 0.4300 Average : 0.2911 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 15.17 – 15.74 Spot Rate : 0.5700 Average : 0.4316 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 17.76 – 18.23 Spot Rate : 0.4700 Average : 0.3566 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 16.97 – 17.33 Spot Rate : 0.3600 Average : 0.2496 YTW SCENARIO |