PerpetualDiscounts now yield 4.64%, equivalent to 6.03% 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 narrowed to 300bp from the 315bp since reported July 28.
| 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 | -0.5518 % | 2,676.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5518 % | 4,911.6 |
| Floater | 3.24 % | 3.28 % | 96,042 | 19.03 | 3 | -0.5518 % | 2,830.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2597 % | 3,709.7 |
| SplitShare | 4.57 % | 3.98 % | 30,806 | 3.81 | 7 | 0.2597 % | 4,430.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2597 % | 3,456.6 |
| Perpetual-Premium | 5.19 % | -14.22 % | 59,842 | 0.09 | 25 | -0.0451 % | 3,285.8 |
| Perpetual-Discount | 4.70 % | 4.64 % | 91,256 | 1.11 | 8 | -0.1598 % | 3,964.3 |
| FixedReset Disc | 4.02 % | 3.40 % | 129,684 | 18.36 | 40 | -0.5321 % | 2,792.3 |
| Insurance Straight | 4.89 % | 0.60 % | 73,483 | 0.09 | 22 | 0.1231 % | 3,719.1 |
| FloatingReset | 2.85 % | 3.11 % | 36,882 | 19.44 | 2 | 0.0312 % | 2,583.2 |
| FixedReset Prem | 4.82 % | 3.17 % | 145,175 | 1.57 | 32 | -0.1785 % | 2,750.0 |
| FixedReset Bank Non | 1.81 % | 1.64 % | 127,663 | 0.14 | 1 | -0.0400 % | 2,889.7 |
| FixedReset Ins Non | 4.05 % | 3.27 % | 119,878 | 18.31 | 20 | -0.0409 % | 2,942.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.E | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 20.44 Evaluated at bid price : 20.44 Bid-YTW : 3.94 % |
| BMO.PR.T | FixedReset Disc | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 22.57 Evaluated at bid price : 23.23 Bid-YTW : 3.26 % |
| MFC.PR.F | FixedReset Ins Non | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 3.24 % |
| BMO.PR.S | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 22.93 Evaluated at bid price : 23.85 Bid-YTW : 3.26 % |
| CU.PR.C | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 21.38 Evaluated at bid price : 21.68 Bid-YTW : 3.62 % |
| TD.PF.E | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 22.99 Evaluated at bid price : 24.36 Bid-YTW : 3.55 % |
| TRP.PR.G | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 22.64 Evaluated at bid price : 23.60 Bid-YTW : 3.83 % |
| BMO.PR.W | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 22.74 Evaluated at bid price : 23.60 Bid-YTW : 3.22 % |
| TRP.PR.D | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 3.96 % |
| BAM.PR.K | Floater | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 13.12 Evaluated at bid price : 13.12 Bid-YTW : 3.29 % |
| NA.PR.S | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 23.03 Evaluated at bid price : 24.05 Bid-YTW : 3.32 % |
| TRP.PR.A | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 3.85 % |
| SLF.PR.J | FloatingReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 15.22 Evaluated at bid price : 15.22 Bid-YTW : 2.59 % |
| CU.PR.F | Perpetual-Discount | 1.13 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.12 % |
| CU.PR.D | Perpetual-Premium | 1.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : -6.13 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.H | FixedReset Disc | 258,130 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 22.87 Evaluated at bid price : 23.80 Bid-YTW : 3.18 % |
| CU.PR.C | FixedReset Disc | 84,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 21.38 Evaluated at bid price : 21.68 Bid-YTW : 3.62 % |
| TRP.PR.K | FixedReset Prem | 67,829 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 2.83 % |
| BAM.PF.E | FixedReset Disc | 60,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 3.99 % |
| CU.PR.H | Perpetual-Premium | 52,033 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-01 Maturity Price : 25.75 Evaluated at bid price : 25.77 Bid-YTW : 2.15 % |
| MFC.PR.Q | FixedReset Ins Non | 27,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-04 Maturity Price : 23.60 Evaluated at bid price : 24.95 Bid-YTW : 3.37 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EIT.PR.A | SplitShare | Quote: 25.90 – 26.40 Spot Rate : 0.5000 Average : 0.3007 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 26.10 – 26.65 Spot Rate : 0.5500 Average : 0.3804 YTW SCENARIO |
| BAM.PR.Z | FixedReset Disc | Quote: 23.81 – 24.69 Spot Rate : 0.8800 Average : 0.7129 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 25.75 – 26.25 Spot Rate : 0.5000 Average : 0.3339 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 26.05 – 27.05 Spot Rate : 1.0000 Average : 0.8616 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 24.36 – 24.73 Spot Rate : 0.3700 Average : 0.2347 YTW SCENARIO |