Another new 52-week high for TXPR (price index) today; the index gained 0.13%.
PerpetualDiscounts now yield 5.93%, equivalent to 7.71% interest at the standard conversion factor of 1.3x. Long corporates now yield 4.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 280bp, a slight (and perhaps spurious) narrowing from the 285bp reported June 18
| 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 | 0.2010 % | 2,298.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2010 % | 4,473.3 |
| Floater | 6.95 % | 6.98 % | 69,315 | 12.61 | 2 | 0.2010 % | 2,578.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1735 % | 3,653.6 |
| SplitShare | 4.79 % | 4.48 % | 64,830 | 2.51 | 8 | 0.1735 % | 4,363.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1735 % | 3,404.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0686 % | 2,960.0 |
| Perpetual-Discount | 5.81 % | 5.93 % | 42,721 | 13.91 | 33 | 0.0686 % | 3,227.7 |
| FixedReset Disc | 5.57 % | 6.09 % | 113,286 | 13.14 | 46 | 0.1259 % | 2,918.9 |
| Insurance Straight | 5.78 % | 5.82 % | 50,412 | 14.21 | 20 | 0.1718 % | 3,134.6 |
| FloatingReset | 5.66 % | 5.72 % | 38,570 | 14.33 | 3 | 0.3361 % | 3,640.7 |
| FixedReset Prem | 6.05 % | 5.08 % | 109,761 | 3.27 | 12 | 0.1445 % | 2,624.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1259 % | 2,983.7 |
| FixedReset Ins Non | 5.10 % | 5.61 % | 65,840 | 14.34 | 14 | 0.4903 % | 3,020.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.F | Perpetual-Discount | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.06 % |
| ENB.PR.N | FixedReset Disc | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 22.32 Evaluated at bid price : 22.88 Bid-YTW : 6.34 % |
| IFC.PR.I | Insurance Straight | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 22.60 Evaluated at bid price : 23.00 Bid-YTW : 5.88 % |
| FTS.PR.H | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 6.09 % |
| CU.PR.J | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.85 % |
| CU.PR.G | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 5.88 % |
| BN.PR.T | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.58 % |
| IFC.PR.F | Insurance Straight | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 22.89 Evaluated at bid price : 23.30 Bid-YTW : 5.70 % |
| PWF.PR.P | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.28 % |
| GWO.PR.R | Insurance Straight | 3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.82 % |
| IFC.PR.A | FixedReset Ins Non | 6.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 21.34 Evaluated at bid price : 21.65 Bid-YTW : 5.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.C | Insurance Straight | 81,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 19.94 Evaluated at bid price : 19.94 Bid-YTW : 5.69 % |
| ENB.PR.D | FixedReset Disc | 53,315 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 19.63 Evaluated at bid price : 19.63 Bid-YTW : 6.75 % |
| MFC.PR.I | FixedReset Ins Non | 42,830 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 23.49 Evaluated at bid price : 24.90 Bid-YTW : 5.72 % |
| ENB.PR.P | FixedReset Disc | 36,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.71 % |
| BN.PR.N | Perpetual-Discount | 27,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.13 % |
| BN.PF.C | Perpetual-Discount | 26,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-25 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 6.13 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible. | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.C | FixedReset Disc | Quote: 22.50 – 25.37 Spot Rate : 2.8700 Average : 1.7615 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 21.16 – 23.54 Spot Rate : 2.3800 Average : 1.3965 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 23.68 – 24.68 Spot Rate : 1.0000 Average : 0.6645 YTW SCENARIO |
| GWO.PR.T | Insurance Straight | Quote: 20.50 – 22.31 Spot Rate : 1.8100 Average : 1.4949 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 18.80 – 21.75 Spot Rate : 2.9500 Average : 2.7035 YTW SCENARIO |
| PWF.PR.E | Perpetual-Discount | Quote: 23.57 – 24.53 Spot Rate : 0.9600 Average : 0.7258 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.90%, equivalent to 7.67% interest at the standard conversion factor of 1.3x. Long corporates now yield 4.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 275bp, a slight (and perhaps spurious) narrowing from the 280bp reported June 25 […]