PerpetualDiscounts now yield 4.24%, equivalent to 5.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 250bp, a dramatic narrowing from the 300bp reported August 11.
The dramatic change in the PerpetualDiscount reported yield is due to a few of the remaining elements of the PerpetualDiscount subindex going to sufficient premia to trigger a change in the YTW scenario with significant effects on the calculated YTW.
| Ticker | Bid 8/11 |
YTW 8/11 |
Bid 8/18 |
YTW 8/18 |
| BAM.PF.C | 25.15 | 4.83% | 25.23 | 4.45% |
| BAM.PF.D | 25.22 | 4.64% | 25.35 | 4.24% |
| BAM.PR.M | 25.00 | 4.79% | 25.25 | 0.33% |
| BAM.PR.N | 25.09 | 4.78 | 25.15 | 4.78% |
| CIU.PR.A | 24.75 | 4.64% | 25.00 | 2.46% |
| CU.PR.F | 25.25 | 1.34% | 25.20 | 3.28% |
| CU.PR.G | 25.28 | 1.77% | 25.20 | 3.57% |
| ELF.PR.G | 24.90 | 4.80% | 25.00 | 4.78% |
With so few constituents in the sub-index (and all of them near-par), small changes can have disproportionate effects!
| 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 | 0.4105 % | 2,642.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4105 % | 4,848.4 |
| Floater | 3.29 % | 3.33 % | 74,714 | 18.88 | 3 | 0.4105 % | 2,794.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1654 % | 3,714.2 |
| SplitShare | 4.56 % | 3.92 % | 27,527 | 3.77 | 7 | 0.1654 % | 4,435.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1654 % | 3,460.7 |
| Perpetual-Premium | 5.14 % | -21.73 % | 55,157 | 0.09 | 25 | 0.1003 % | 3,315.6 |
| Perpetual-Discount | 4.67 % | 4.24 % | 81,206 | 1.01 | 8 | 0.1891 % | 3,993.2 |
| FixedReset Disc | 3.99 % | 3.46 % | 118,060 | 18.22 | 40 | -0.1778 % | 2,812.7 |
| Insurance Straight | 4.86 % | -2.93 % | 69,900 | 0.09 | 22 | 0.0797 % | 3,745.6 |
| FloatingReset | 2.87 % | 3.20 % | 33,583 | 19.20 | 2 | -0.3454 % | 2,556.6 |
| FixedReset Prem | 4.78 % | 2.92 % | 140,825 | 1.54 | 31 | 0.1313 % | 2,761.1 |
| FixedReset Bank Non | 1.81 % | 1.87 % | 107,501 | 0.10 | 1 | 0.0000 % | 2,890.8 |
| FixedReset Ins Non | 4.04 % | 3.27 % | 109,442 | 18.28 | 20 | -0.1457 % | 2,950.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset Disc | -11.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 3.87 % |
| MFC.PR.F | FixedReset Ins Non | -8.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 3.51 % |
| TRP.PR.G | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 22.38 Evaluated at bid price : 23.10 Bid-YTW : 3.98 % |
| NA.PR.S | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 23.15 Evaluated at bid price : 24.30 Bid-YTW : 3.38 % |
| MFC.PR.N | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 22.82 Evaluated at bid price : 23.84 Bid-YTW : 3.32 % |
| IFC.PR.I | Perpetual-Premium | 1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-03-31 Maturity Price : 26.00 Evaluated at bid price : 27.41 Bid-YTW : 3.81 % |
| TRP.PR.B | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 3.95 % |
| IFC.PR.F | Insurance Straight | 1.60 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-30 Maturity Price : 26.00 Evaluated at bid price : 26.75 Bid-YTW : 3.10 % |
| BIP.PR.A | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 23.10 Evaluated at bid price : 24.55 Bid-YTW : 4.37 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.J | FixedReset Disc | 66,640 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 23.08 Evaluated at bid price : 24.48 Bid-YTW : 3.51 % |
| TD.PF.D | FixedReset Disc | 56,229 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-18 Maturity Price : 23.05 Evaluated at bid price : 24.45 Bid-YTW : 3.56 % |
| PVS.PR.J | SplitShare | 46,760 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.22 % |
| IFC.PR.E | Insurance Straight | 38,467 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-06-30 Maturity Price : 26.00 Evaluated at bid price : 26.65 Bid-YTW : 2.88 % |
| RY.PR.R | FixedReset Prem | 28,938 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-23 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 5.04 % |
| SLF.PR.B | Insurance Straight | 27,330 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-17 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : -0.02 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.P | FixedReset Disc | Quote: 15.35 – 17.20 Spot Rate : 1.8500 Average : 1.0866 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 16.30 – 17.85 Spot Rate : 1.5500 Average : 0.8711 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 25.15 – 25.52 Spot Rate : 0.3700 Average : 0.2512 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 24.48 – 24.79 Spot Rate : 0.3100 Average : 0.2121 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 24.30 – 24.58 Spot Rate : 0.2800 Average : 0.1881 YTW SCENARIO |
| CU.PR.I | FixedReset Prem | Quote: 26.80 – 27.16 Spot Rate : 0.3600 Average : 0.2681 YTW SCENARIO |