PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.79%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 455bp from the 450bp reported August 5. We remain 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 | 2.2286 % | 1,608.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.2286 % | 2,950.9 |
| Floater | 5.19 % | 5.26 % | 63,074 | 15.01 | 3 | 2.2286 % | 1,700.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0839 % | 3,509.1 |
| SplitShare | 4.65 % | 4.32 % | 40,924 | 3.26 | 8 | 0.0839 % | 4,190.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0839 % | 3,269.7 |
| Perpetual-Premium | 5.56 % | 4.69 % | 83,081 | 4.03 | 4 | -0.0694 % | 3,094.8 |
| Perpetual-Discount | 5.45 % | 5.65 % | 77,608 | 14.39 | 31 | -0.1099 % | 3,348.6 |
| FixedReset Disc | 5.64 % | 4.35 % | 115,360 | 16.08 | 67 | 0.2327 % | 2,029.5 |
| Deemed-Retractible | 5.23 % | 5.33 % | 90,489 | 14.57 | 27 | -0.0095 % | 3,284.4 |
| FloatingReset | 2.90 % | 2.23 % | 42,810 | 1.45 | 3 | 0.0451 % | 1,771.7 |
| FixedReset Prem | 5.28 % | 4.42 % | 229,428 | 0.92 | 11 | -0.1044 % | 2,604.6 |
| FixedReset Bank Non | 1.95 % | 2.39 % | 105,673 | 1.44 | 2 | 0.0000 % | 2,839.4 |
| FixedReset Ins Non | 5.79 % | 4.55 % | 97,982 | 15.87 | 22 | -0.0399 % | 2,057.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.R | FixedReset Disc | -4.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 12.12 Evaluated at bid price : 12.12 Bid-YTW : 5.55 % |
| MFC.PR.I | FixedReset Ins Non | -2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.60 % |
| CM.PR.Q | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.42 % |
| TRP.PR.C | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 8.80 Evaluated at bid price : 8.80 Bid-YTW : 5.38 % |
| TRP.PR.D | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 5.42 % |
| RY.PR.S | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 3.96 % |
| BAM.PF.G | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 5.39 % |
| BIP.PR.D | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 21.56 Evaluated at bid price : 21.95 Bid-YTW : 5.76 % |
| CM.PR.S | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.11 % |
| TD.PF.K | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 4.15 % |
| BAM.PR.X | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 10.96 Evaluated at bid price : 10.96 Bid-YTW : 5.08 % |
| BAM.PR.C | Floater | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 8.23 Evaluated at bid price : 8.23 Bid-YTW : 5.28 % |
| BAM.PR.K | Floater | 2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 8.25 Evaluated at bid price : 8.25 Bid-YTW : 5.26 % |
| BAM.PF.J | FixedReset Disc | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 23.08 Evaluated at bid price : 24.00 Bid-YTW : 4.96 % |
| BAM.PR.B | Floater | 2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 8.29 Evaluated at bid price : 8.29 Bid-YTW : 5.24 % |
| SLF.PR.G | FixedReset Ins Non | 3.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 4.33 % |
| GWO.PR.N | FixedReset Ins Non | 4.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 9.97 Evaluated at bid price : 9.97 Bid-YTW : 4.18 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.O | FixedReset Disc | 57,812 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 4.31 % |
| BAM.PF.B | FixedReset Disc | 56,298 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.45 % |
| RY.PR.Q | FixedReset Prem | 37,293 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 4.16 % |
| BAM.PF.G | FixedReset Disc | 35,295 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 5.39 % |
| BMO.PR.E | FixedReset Disc | 32,125 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.16 % |
| MFC.PR.G | FixedReset Ins Non | 31,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-08-12 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.52 % |
| There were 38 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 Ins Non | Quote: 9.97 – 13.00 Spot Rate : 3.0300 Average : 1.8259 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 25.61 – 27.00 Spot Rate : 1.3900 Average : 0.9979 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 12.12 – 13.21 Spot Rate : 1.0900 Average : 0.7021 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 17.80 – 18.45 Spot Rate : 0.6500 Average : 0.4381 YTW SCENARIO |
| TD.PF.J | FixedReset Disc | Quote: 18.50 – 19.99 Spot Rate : 1.4900 Average : 1.3241 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 18.35 – 18.90 Spot Rate : 0.5500 Average : 0.3864 YTW SCENARIO |