PerpetualDiscounts now yield 4.78%, equivalent to 6.21% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 315bp since reported July 21.
| 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 | -0.4269 % | 2,676.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4269 % | 4,911.6 |
| Floater | 3.24 % | 3.28 % | 107,974 | 19.03 | 3 | -0.4269 % | 2,830.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0579 % | 3,694.4 |
| SplitShare | 4.63 % | 3.90 % | 34,038 | 3.31 | 6 | -0.0579 % | 4,411.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0579 % | 3,442.4 |
| Perpetual-Premium | 5.19 % | -11.37 % | 57,322 | 0.09 | 25 | -0.0451 % | 3,283.4 |
| Perpetual-Discount | 4.70 % | 4.78 % | 96,146 | 15.78 | 8 | -0.1945 % | 3,968.6 |
| FixedReset Disc | 4.01 % | 3.48 % | 134,159 | 18.30 | 40 | 0.2362 % | 2,799.1 |
| Insurance Straight | 4.90 % | 1.78 % | 74,375 | 0.09 | 22 | -0.0802 % | 3,716.1 |
| FloatingReset | 2.88 % | 3.14 % | 36,101 | 19.37 | 2 | -0.4396 % | 2,554.2 |
| FixedReset Prem | 4.81 % | 3.03 % | 151,053 | 1.59 | 32 | 0.0960 % | 2,755.5 |
| FixedReset Bank Non | 1.80 % | 1.49 % | 110,943 | 0.16 | 1 | 0.0797 % | 2,903.5 |
| FixedReset Ins Non | 4.07 % | 3.38 % | 120,463 | 18.21 | 20 | 0.2121 % | 2,931.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.P | Perpetual-Premium | -2.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-27 Maturity Price : 26.00 Evaluated at bid price : 26.00 Bid-YTW : 0.51 % |
| PWF.PR.P | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 3.56 % |
| TRP.PR.E | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 3.96 % |
| BAM.PR.R | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 4.07 % |
| BAM.PF.G | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 22.11 Evaluated at bid price : 22.61 Bid-YTW : 3.94 % |
| TRP.PR.C | FixedReset Disc | 4.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 3.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.H | FixedReset Disc | 150,738 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 22.92 Evaluated at bid price : 23.90 Bid-YTW : 3.21 % |
| PWF.PR.P | FixedReset Disc | 50,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 3.56 % |
| RY.PR.R | FixedReset Prem | 29,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-23 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.43 % |
| SLF.PR.G | FixedReset Ins Non | 25,758 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 15.41 Evaluated at bid price : 15.41 Bid-YTW : 3.50 % |
| NA.PR.S | FixedReset Disc | 20,975 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 23.05 Evaluated at bid price : 24.10 Bid-YTW : 3.35 % |
| TD.PF.K | FixedReset Disc | 15,965 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-28 Maturity Price : 23.59 Evaluated at bid price : 25.20 Bid-YTW : 3.40 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.P | Perpetual-Premium | Quote: 26.00 – 26.75 Spot Rate : 0.7500 Average : 0.4837 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 19.43 – 20.00 Spot Rate : 0.5700 Average : 0.3686 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 15.41 – 15.86 Spot Rate : 0.4500 Average : 0.3213 YTW SCENARIO |
| MIC.PR.A | Perpetual-Premium | Quote: 26.90 – 27.55 Spot Rate : 0.6500 Average : 0.5218 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 23.49 – 23.89 Spot Rate : 0.4000 Average : 0.2785 YTW SCENARIO |
| BAM.PF.I | FixedReset Prem | Quote: 25.27 – 25.60 Spot Rate : 0.3300 Average : 0.2211 YTW SCENARIO |