PerpetualDiscounts now yield 4.04%, equivalent to 5.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.97%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 230bp, a dramatic narrowing from the 250bp reported August 18.
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 8/18 |
YTW 8/18 |
Bid 8/25 |
YTW 8/25 |
| BAM.PF.C | 25.23 | 4.45% | 25.31 | 4.04% |
| BAM.PF.D | 25.35 | 4.24% | 25.36 | 4.28% |
| BAM.PR.M | 25.25 | 0.33% | 25.00 | 4.80% |
| BAM.PR.N | 25.15 | 4.78% | 25.18 | 4.77% |
| CIU.PR.A | 25.00 | 2.46% | 25.00 | 3.55% |
| CU.PR.F | 25.20 | 3.28% | 25.15 | 3.63% |
| CU.PR.G | 25.20 | 3.57% | 25.20 | 3.64% |
| ELF.PR.G | 25.00 | 4.78% | 24.87 | 4.82% |
With so few constituents in the sub-index (and all of them near-par), small changes can have disproportionate effects! This measure can no longer be considered reliable, but I’ll keep reporting it … who knows, maybe we’ll get a batch of new issues!
| 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 | -0.3102 % | 2,603.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3102 % | 4,777.8 |
| Floater | 3.33 % | 3.38 % | 68,977 | 18.74 | 3 | -0.3102 % | 2,753.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0334 % | 3,676.3 |
| SplitShare | 4.61 % | 3.73 % | 26,521 | 3.27 | 7 | -0.0334 % | 4,390.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0334 % | 3,425.5 |
| Perpetual-Premium | 5.14 % | -22.65 % | 56,160 | 0.09 | 25 | -0.0077 % | 3,316.5 |
| Perpetual-Discount | 4.67 % | 4.04 % | 81,171 | 0.99 | 8 | -0.1391 % | 3,987.1 |
| FixedReset Disc | 3.97 % | 3.39 % | 120,148 | 18.08 | 40 | -0.2470 % | 2,828.0 |
| Insurance Straight | 4.86 % | -6.43 % | 70,544 | 0.09 | 22 | 0.1579 % | 3,742.5 |
| FloatingReset | 2.90 % | 3.23 % | 33,180 | 19.10 | 2 | -1.1484 % | 2,565.5 |
| FixedReset Prem | 4.74 % | 2.67 % | 139,119 | 2.19 | 30 | -0.0206 % | 2,769.3 |
| FixedReset Bank Non | 1.98 % | 2.00 % | 98,218 | 0.43 | 1 | 0.0000 % | 2,890.8 |
| FixedReset Ins Non | 4.04 % | 3.29 % | 104,131 | 18.33 | 20 | -0.2482 % | 2,952.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.G | FixedReset Ins Non | -4.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.38 % |
| TRP.PR.A | FixedReset Disc | -3.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 4.06 % |
| TRP.PR.G | FixedReset Disc | -2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 22.38 Evaluated at bid price : 23.10 Bid-YTW : 3.96 % |
| TRP.PR.F | FloatingReset | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 3.23 % |
| MFC.PR.F | FixedReset Ins Non | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 3.29 % |
| CM.PR.P | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 22.97 Evaluated at bid price : 24.11 Bid-YTW : 3.27 % |
| CU.PR.C | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 21.54 Evaluated at bid price : 21.90 Bid-YTW : 3.68 % |
| BAM.PR.M | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 4.80 % |
| IFC.PR.A | FixedReset Ins Non | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 3.18 % |
| TRP.PR.B | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 13.32 Evaluated at bid price : 13.32 Bid-YTW : 3.86 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.D | Insurance Straight | 739,631 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-24 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : -8.01 % |
| SLF.PR.A | Insurance Straight | 733,164 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-24 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 0.51 % |
| GWO.PR.I | Insurance Straight | 254,831 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-25 Maturity Price : 24.87 Evaluated at bid price : 25.16 Bid-YTW : 4.52 % |
| GWO.PR.R | Insurance Straight | 254,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-24 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : -3.19 % |
| MFC.PR.B | Insurance Straight | 190,253 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-24 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : -8.73 % |
| SLF.PR.E | Insurance Straight | 144,409 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-24 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : -6.15 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 23.10 – 24.12 Spot Rate : 1.0200 Average : 0.6436 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 18.02 – 18.90 Spot Rate : 0.8800 Average : 0.5250 YTW SCENARIO |
| GWO.PR.G | Insurance Straight | Quote: 25.90 – 26.90 Spot Rate : 1.0000 Average : 0.6495 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 16.40 – 17.45 Spot Rate : 1.0500 Average : 0.7732 YTW SCENARIO |
| BMO.PR.E | FixedReset Prem | Quote: 25.21 – 25.99 Spot Rate : 0.7800 Average : 0.5107 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 16.00 – 17.00 Spot Rate : 1.0000 Average : 0.7372 YTW SCENARIO |