PerpetualDiscounts now yield 5.74%, equivalent to 7.46% interest at the standard conversion factor of 1.3x. Long corporates now yield 4.89%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 255bp, unchanged from that reported July 30.
| 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 | 6.90 % | 7.35 % | 36,313 | 13.08 | 1 | 1.5823 % | 2,398.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2798 % | 4,609.0 |
| Floater | 6.59 % | 6.88 % | 43,636 | 12.66 | 3 | 0.2798 % | 2,656.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0392 % | 3,686.8 |
| SplitShare | 4.75 % | 4.15 % | 50,745 | 0.55 | 7 | -0.0392 % | 4,402.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0392 % | 3,435.3 |
| Perpetual-Premium | 5.84 % | 1.23 % | 116,842 | 0.08 | 2 | 0.0200 % | 3,053.8 |
| Perpetual-Discount | 5.60 % | 5.74 % | 44,363 | 14.25 | 30 | 0.3564 % | 3,341.3 |
| FixedReset Disc | 5.58 % | 6.16 % | 116,547 | 13.35 | 37 | 0.6481 % | 3,041.4 |
| Insurance Straight | 5.57 % | 5.68 % | 57,494 | 14.35 | 18 | 0.7220 % | 3,241.8 |
| FloatingReset | 5.28 % | 5.34 % | 36,345 | 14.87 | 1 | 0.2024 % | 3,732.6 |
| FixedReset Prem | 5.87 % | 4.95 % | 115,172 | 2.55 | 17 | -0.0182 % | 2,635.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6481 % | 3,108.9 |
| FixedReset Ins Non | 5.22 % | 5.62 % | 72,797 | 14.28 | 15 | -0.3269 % | 3,067.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.N | FixedReset Ins Non | -3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 22.43 Evaluated at bid price : 23.24 Bid-YTW : 5.66 % |
| IFC.PR.C | FixedReset Ins Non | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 22.84 Evaluated at bid price : 23.35 Bid-YTW : 5.86 % |
| RY.PR.S | FixedReset Prem | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.07 Bid-YTW : 4.50 % |
| BN.PF.B | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 22.46 Evaluated at bid price : 23.15 Bid-YTW : 6.22 % |
| NA.PR.C | FixedReset Prem | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-11-15 Maturity Price : 25.00 Evaluated at bid price : 26.87 Bid-YTW : 3.53 % |
| CU.PR.F | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 5.51 % |
| CIU.PR.A | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.72 % |
| CU.PR.E | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 22.06 Evaluated at bid price : 22.29 Bid-YTW : 5.59 % |
| PWF.PR.O | Perpetual-Discount | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 24.68 Evaluated at bid price : 24.99 Bid-YTW : 5.83 % |
| ENB.PR.J | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 22.17 Evaluated at bid price : 22.67 Bid-YTW : 6.31 % |
| BN.PF.K | Ratchet | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 22.00 Evaluated at bid price : 16.05 Bid-YTW : 7.35 % |
| GWO.PR.P | Insurance Straight | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 5.70 % |
| BN.PR.N | Perpetual-Discount | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 5.75 % |
| SLF.PR.E | Insurance Straight | 3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.33 % |
| IFC.PR.I | Insurance Straight | 5.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 23.67 Evaluated at bid price : 24.15 Bid-YTW : 5.64 % |
| BN.PR.R | FixedReset Disc | 6.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 20.34 Evaluated at bid price : 20.34 Bid-YTW : 6.36 % |
| ENB.PR.H | FixedReset Disc | 7.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 22.17 Evaluated at bid price : 22.60 Bid-YTW : 5.94 % |
| BIP.PR.F | FixedReset Disc | 9.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 23.32 Evaluated at bid price : 25.00 Bid-YTW : 6.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.H | FixedReset Prem | 225,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.43 % |
| SLF.PR.G | FixedReset Ins Non | 123,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 5.88 % |
| ENB.PF.C | FixedReset Disc | 111,661 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.64 % |
| ENB.PF.G | FixedReset Disc | 52,730 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-06 Maturity Price : 21.56 Evaluated at bid price : 21.90 Bid-YTW : 6.48 % |
| BEP.PR.G | FixedReset Ins Non | 52,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 4.67 % |
| CU.PR.I | FixedReset Prem | 50,612 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 2.65 % |
| There were 16 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 |
| BN.PF.E | FixedReset Disc | Quote: 21.80 – 25.00 Spot Rate : 3.2000 Average : 1.7703 YTW SCENARIO |
| ENB.PR.B | FixedReset Disc | Quote: 20.67 – 24.00 Spot Rate : 3.3300 Average : 1.9547 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 20.69 – 22.30 Spot Rate : 1.6100 Average : 0.9983 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 23.94 – 24.99 Spot Rate : 1.0500 Average : 0.5941 YTW SCENARIO |
| GWO.PR.H | Insurance Straight | Quote: 20.10 – 22.38 Spot Rate : 2.2800 Average : 1.8395 YTW SCENARIO |
| BN.PR.Z | FixedReset Disc | Quote: 23.75 – 24.80 Spot Rate : 1.0500 Average : 0.6217 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.75%, equivalent to 7.48% interest at the standard conversion factor of 1.3x. Long corporates now yield 4.93%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 255bp, unchanged from that reported August 6. […]