PerpetualDiscounts now yield 6.10%, equivalent to 7.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.23%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 270bp from the 255bp reported June 29.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | 0.2339 % | 2,469.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2339 % | 4,736.6 |
| Floater | 5.04 % | 5.09 % | 40,282 | 15.39 | 3 | 0.2339 % | 2,729.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4949 % | 3,485.3 |
| SplitShare | 4.88 % | 5.54 % | 47,849 | 3.17 | 8 | 0.4949 % | 4,162.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4949 % | 3,247.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2924 % | 2,846.4 |
| Perpetual-Discount | 5.99 % | 6.10 % | 66,888 | 13.74 | 34 | 0.2924 % | 3,103.8 |
| FixedReset Disc | 4.77 % | 6.30 % | 113,026 | 13.62 | 56 | 0.8942 % | 2,471.8 |
| Insurance Straight | 6.02 % | 6.09 % | 92,171 | 13.78 | 18 | -0.2322 % | 2,986.7 |
| FloatingReset | 5.93 % | 6.31 % | 44,809 | 13.48 | 2 | -0.7502 % | 2,577.0 |
| FixedReset Prem | 5.01 % | 4.58 % | 134,396 | 1.96 | 10 | 0.0119 % | 2,603.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8942 % | 2,526.7 |
| FixedReset Ins Non | 4.77 % | 6.62 % | 64,283 | 13.45 | 14 | -0.9510 % | 2,557.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.E | FixedReset Disc | -7.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 17.18 Evaluated at bid price : 17.18 Bid-YTW : 7.55 % |
| MFC.PR.K | FixedReset Ins Non | -3.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.62 % |
| TRP.PR.D | FixedReset Disc | -3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 7.58 % |
| MFC.PR.J | FixedReset Ins Non | -2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.99 Evaluated at bid price : 22.57 Bid-YTW : 6.30 % |
| BAM.PR.R | FixedReset Disc | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 16.49 Evaluated at bid price : 16.49 Bid-YTW : 7.36 % |
| TRP.PR.G | FixedReset Disc | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 6.97 % |
| IFC.PR.A | FixedReset Ins Non | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.58 % |
| MFC.PR.L | FixedReset Ins Non | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 6.93 % |
| IFC.PR.G | FixedReset Ins Non | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 6.54 % |
| TRP.PR.A | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 15.41 Evaluated at bid price : 15.41 Bid-YTW : 7.72 % |
| MFC.PR.B | Insurance Straight | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.09 % |
| TRP.PR.F | FloatingReset | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 6.31 % |
| TRP.PR.C | FixedReset Disc | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 7.79 % |
| BAM.PR.X | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 7.18 % |
| TRP.PR.B | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 12.18 Evaluated at bid price : 12.18 Bid-YTW : 7.87 % |
| IAF.PR.I | FixedReset Ins Non | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 23.16 Evaluated at bid price : 23.81 Bid-YTW : 6.08 % |
| BAM.PF.G | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 7.35 % |
| EIT.PR.A | SplitShare | 1.04 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.25 % |
| PVS.PR.J | SplitShare | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.76 % |
| CU.PR.H | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 22.10 Evaluated at bid price : 22.10 Bid-YTW : 6.02 % |
| RY.PR.J | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.30 % |
| CU.PR.C | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.37 % |
| PVS.PR.G | SplitShare | 1.23 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 5.54 % |
| IFC.PR.C | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.89 % |
| ELF.PR.F | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 6.01 % |
| BIP.PR.F | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 22.50 Evaluated at bid price : 22.91 Bid-YTW : 6.48 % |
| FTS.PR.G | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 6.50 % |
| BIP.PR.E | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 22.68 Evaluated at bid price : 23.30 Bid-YTW : 6.49 % |
| NA.PR.G | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 22.90 Evaluated at bid price : 23.36 Bid-YTW : 6.17 % |
| BAM.PF.A | FixedReset Disc | 4.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 6.91 % |
| TD.PF.D | FixedReset Disc | 7.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.36 % |
| PWF.PR.T | FixedReset Disc | 81.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PF.A | Perpetual-Discount | 390,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.18 % |
| BNS.PR.I | FixedReset Disc | 102,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 23.10 Evaluated at bid price : 23.52 Bid-YTW : 5.79 % |
| CM.PR.R | FixedReset Disc | 96,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-08-30 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.00 % |
| BIP.PR.F | FixedReset Disc | 56,915 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 22.50 Evaluated at bid price : 22.91 Bid-YTW : 6.48 % |
| MIC.PR.A | Perpetual-Discount | 55,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-07-06 Maturity Price : 21.14 Evaluated at bid price : 21.14 Bid-YTW : 6.44 % |
| BAM.PF.H | FixedReset Prem | 48,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.12 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MIC.PR.A | Perpetual-Discount | Quote: 21.14 – 24.49 Spot Rate : 3.3500 Average : 1.9237 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 22.10 – 25.10 Spot Rate : 3.0000 Average : 2.0751 YTW SCENARIO |
| BAM.PR.X | FixedReset Disc | Quote: 16.85 – 19.99 Spot Rate : 3.1400 Average : 2.3256 YTW SCENARIO |
| PWF.PR.H | Perpetual-Discount | Quote: 23.86 – 25.33 Spot Rate : 1.4700 Average : 0.8561 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 17.18 – 19.50 Spot Rate : 2.3200 Average : 1.7525 YTW SCENARIO |
| RY.PR.N | Perpetual-Discount | Quote: 23.65 – 24.80 Spot Rate : 1.1500 Average : 0.7228 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.23%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) remains at 270bp, the same as reported July 6. […]