PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 450bp, the same as the 450bp reported July 29. We remain slightly above the pre-2020 record of 445bp briefly touched in 2008.
| 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 | -0.3666 % | 1,588.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3666 % | 2,914.0 |
| Floater | 5.26 % | 5.32 % | 58,631 | 14.92 | 3 | -0.3666 % | 1,679.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0099 % | 3,486.6 |
| SplitShare | 4.68 % | 4.72 % | 45,775 | 3.27 | 8 | 0.0099 % | 4,163.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0099 % | 3,248.8 |
| Perpetual-Premium | 5.58 % | 4.87 % | 81,918 | 4.05 | 4 | 0.2468 % | 3,085.0 |
| Perpetual-Discount | 5.49 % | 5.66 % | 75,407 | 14.38 | 31 | 0.1622 % | 3,326.5 |
| FixedReset Disc | 5.74 % | 4.44 % | 120,506 | 16.11 | 67 | 0.4148 % | 1,994.3 |
| Deemed-Retractible | 5.25 % | 5.34 % | 92,274 | 14.53 | 27 | 0.0730 % | 3,271.0 |
| FloatingReset | 2.93 % | 2.35 % | 32,537 | 1.47 | 3 | 0.3863 % | 1,765.0 |
| FixedReset Prem | 5.28 % | 4.39 % | 239,728 | 1.00 | 11 | 0.0722 % | 2,602.6 |
| FixedReset Bank Non | 1.96 % | 2.54 % | 112,192 | 1.46 | 2 | 0.1217 % | 2,828.0 |
| FixedReset Ins Non | 5.83 % | 4.54 % | 97,581 | 15.73 | 22 | -0.4836 % | 2,041.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.I | FixedReset Ins Non | -13.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.08 % |
| TRP.PR.C | FixedReset Disc | -2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 8.53 Evaluated at bid price : 8.53 Bid-YTW : 5.48 % |
| PWF.PR.P | FixedReset Disc | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.92 % |
| IFC.PR.A | FixedReset Ins Non | -2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 12.21 Evaluated at bid price : 12.21 Bid-YTW : 4.62 % |
| RY.PR.S | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 4.13 % |
| CM.PR.Q | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.54 % |
| TD.PF.A | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.20 % |
| CCS.PR.C | Deemed-Retractible | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 22.27 Evaluated at bid price : 22.54 Bid-YTW : 5.61 % |
| POW.PR.C | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-09-04 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.02 % |
| PWF.PR.T | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 15.98 Evaluated at bid price : 15.98 Bid-YTW : 4.67 % |
| IFC.PR.C | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.59 % |
| TRP.PR.F | FloatingReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 10.13 Evaluated at bid price : 10.13 Bid-YTW : 5.22 % |
| CM.PR.O | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 4.44 % |
| MFC.PR.Q | FixedReset Ins Non | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 4.52 % |
| CU.PR.I | FixedReset Disc | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 24.14 Evaluated at bid price : 24.85 Bid-YTW : 4.49 % |
| BMO.PR.E | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 19.63 Evaluated at bid price : 19.63 Bid-YTW : 4.21 % |
| TRP.PR.G | FixedReset Disc | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.44 % |
| BAM.PR.R | FixedReset Disc | 2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 12.45 Evaluated at bid price : 12.45 Bid-YTW : 5.35 % |
| TRP.PR.B | FixedReset Disc | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 8.25 Evaluated at bid price : 8.25 Bid-YTW : 4.96 % |
| TD.PF.E | FixedReset Disc | 4.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.27 % |
| RY.PR.M | FixedReset Disc | 17.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.S | FixedReset Disc | 204,960 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.27 % |
| RY.PR.M | FixedReset Disc | 80,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.08 % |
| TD.PF.H | FixedReset Prem | 41,915 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 23.85 Evaluated at bid price : 25.05 Bid-YTW : 4.39 % |
| RY.PR.Q | FixedReset Prem | 33,842 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.11 % |
| BMO.PR.B | FixedReset Prem | 27,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 23.75 Evaluated at bid price : 25.10 Bid-YTW : 4.31 % |
| TRP.PR.D | FixedReset Disc | 23,452 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-05 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 5.50 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.I | FixedReset Ins Non | Quote: 15.50 – 18.26 Spot Rate : 2.7600 Average : 1.6030 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 12.45 – 13.27 Spot Rate : 0.8200 Average : 0.5967 YTW SCENARIO |
| RY.PR.H | FixedReset Disc | Quote: 17.01 – 17.43 Spot Rate : 0.4200 Average : 0.2639 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 11.98 – 12.54 Spot Rate : 0.5600 Average : 0.4165 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 8.53 – 9.25 Spot Rate : 0.7200 Average : 0.5791 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 12.21 – 12.90 Spot Rate : 0.6900 Average : 0.5583 YTW SCENARIO |