Another 52-week high, with the TXPR price index up 0.31% on the day. It is of interest to note that the YTW spread between FixedReset (Discounts) and PerpetualDiscounts is now only 10bp.
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
| 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 | 0.8000 % | 2,322.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8000 % | 4,521.8 |
| Floater | 6.88 % | 6.94 % | 56,682 | 12.66 | 2 | 0.8000 % | 2,605.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1435 % | 3,659.6 |
| SplitShare | 4.78 % | 4.22 % | 59,211 | 2.49 | 8 | 0.1435 % | 4,370.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1435 % | 3,409.9 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0027 % | 2,973.0 |
| Perpetual-Discount | 5.78 % | 5.90 % | 43,117 | 13.98 | 33 | 0.0027 % | 3,241.9 |
| FixedReset Disc | 5.56 % | 6.00 % | 111,081 | 13.23 | 45 | 0.5160 % | 2,942.9 |
| Insurance Straight | 5.71 % | 5.75 % | 50,947 | 14.29 | 20 | 0.3769 % | 3,172.7 |
| FloatingReset | 5.64 % | 5.72 % | 36,005 | 14.30 | 3 | -0.0758 % | 3,654.0 |
| FixedReset Prem | 6.03 % | 5.05 % | 100,584 | 3.02 | 12 | 0.2275 % | 2,632.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5160 % | 3,008.3 |
| FixedReset Ins Non | 5.08 % | 5.58 % | 63,758 | 14.35 | 14 | 0.4112 % | 3,037.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.N | Perpetual-Discount | -5.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.44 % |
| CU.PR.J | Perpetual-Discount | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.00 % |
| ENB.PR.J | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.66 % |
| POW.PR.D | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 5.71 % |
| CU.PR.D | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.82 % |
| MFC.PR.I | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.61 % |
| BN.PR.X | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.33 % |
| ENB.PF.C | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 6.75 % |
| ENB.PF.G | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 6.75 % |
| ENB.PR.T | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 21.73 Evaluated at bid price : 22.06 Bid-YTW : 6.42 % |
| PWF.PR.L | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 21.82 Evaluated at bid price : 22.06 Bid-YTW : 5.88 % |
| ENB.PR.P | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.62 % |
| NA.PR.G | FixedReset Prem | 1.28 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-11-16 Maturity Price : 25.00 Evaluated at bid price : 26.80 Bid-YTW : 5.04 % |
| FTS.PR.M | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 22.41 Evaluated at bid price : 23.18 Bid-YTW : 5.83 % |
| CU.PR.F | Perpetual-Discount | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.76 % |
| BN.PF.F | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 21.98 Evaluated at bid price : 22.45 Bid-YTW : 6.43 % |
| MFC.PR.M | FixedReset Ins Non | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 22.63 Evaluated at bid price : 23.60 Bid-YTW : 5.61 % |
| BN.PR.T | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.54 % |
| GWO.PR.R | Insurance Straight | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.89 % |
| FTS.PR.H | FixedReset Disc | 2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 5.93 % |
| GWO.PR.I | Insurance Straight | 3.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.74 % |
| CU.PR.C | FixedReset Disc | 7.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 23.29 Evaluated at bid price : 23.64 Bid-YTW : 5.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.Q | FixedReset Disc | 210,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-30 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 4.69 % |
| ENB.PF.E | FixedReset Disc | 91,807 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.77 % |
| ENB.PF.G | FixedReset Disc | 23,111 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 6.75 % |
| BN.PR.X | FixedReset Disc | 13,322 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.33 % |
| PWF.PR.G | Perpetual-Discount | 13,112 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-07-02 Maturity Price : 24.85 Evaluated at bid price : 25.06 Bid-YTW : 5.99 % |
| TD.PF.D | FixedReset Disc | 12,899 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-30 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 4.73 % |
| There were 6 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 |
| FTS.PR.H | FixedReset Disc | Quote: 18.21 – 23.80 Spot Rate : 5.5900 Average : 2.9945 YTW SCENARIO |
| ENB.PR.B | FixedReset Disc | Quote: 19.46 – 24.00 Spot Rate : 4.5400 Average : 2.4341 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 21.25 – 23.54 Spot Rate : 2.2900 Average : 1.4822 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 18.60 – 20.45 Spot Rate : 1.8500 Average : 1.0440 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 20.73 – 21.75 Spot Rate : 1.0200 Average : 0.6172 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 17.84 – 19.95 Spot Rate : 2.1100 Average : 1.7225 YTW SCENARIO |
[…] Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 275bp on 2025-7-2, up sharply from the 295bp on 2025-6-4 (chart end-date […]