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.
| 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 | 6.87 % | 7.32 % | 36,910 | 13.10 | 1 | 0.4994 % | 2,405.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2032 % | 4,593.8 |
| Floater | 6.61 % | 6.91 % | 38,310 | 12.62 | 3 | -0.2032 % | 2,647.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0112 % | 3,687.9 |
| SplitShare | 4.75 % | 4.36 % | 51,664 | 2.38 | 7 | 0.0112 % | 4,404.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0112 % | 3,436.2 |
| Perpetual-Premium | 5.82 % | 1.64 % | 108,519 | 0.08 | 2 | -0.5345 % | 3,061.1 |
| Perpetual-Discount | 5.60 % | 5.75 % | 45,706 | 14.27 | 30 | -0.1398 % | 3,341.4 |
| FixedReset Disc | 5.62 % | 6.12 % | 117,420 | 13.36 | 37 | -0.6320 % | 3,022.5 |
| Insurance Straight | 5.53 % | 5.59 % | 56,642 | 14.39 | 18 | -0.0074 % | 3,264.0 |
| FloatingReset | 5.26 % | 5.32 % | 36,441 | 14.89 | 1 | 0.2823 % | 3,750.6 |
| FixedReset Prem | 5.88 % | 4.99 % | 115,741 | 2.50 | 17 | -0.1321 % | 2,628.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6320 % | 3,089.6 |
| FixedReset Ins Non | 5.27 % | 5.58 % | 71,732 | 14.19 | 15 | -1.5062 % | 3,038.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ENB.PR.B | FixedReset Disc | -19.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 8.16 % |
| MFC.PR.F | FixedReset Ins Non | -10.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.47 % |
| MFC.PR.Q | FixedReset Ins Non | -9.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 22.46 Evaluated at bid price : 23.00 Bid-YTW : 6.13 % |
| PWF.PR.S | Perpetual-Discount | -2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.84 % |
| ENB.PR.H | FixedReset Disc | -2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.10 % |
| MFC.PR.J | FixedReset Ins Non | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 23.45 Evaluated at bid price : 25.00 Bid-YTW : 5.66 % |
| SLF.PR.H | FixedReset Ins Non | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 21.43 Evaluated at bid price : 21.75 Bid-YTW : 5.72 % |
| FTS.PR.M | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 22.51 Evaluated at bid price : 23.35 Bid-YTW : 5.89 % |
| BN.PR.T | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 6.40 % |
| CIU.PR.A | Perpetual-Discount | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 5.76 % |
| ENB.PR.F | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 6.64 % |
| ENB.PR.Y | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.68 % |
| SLF.PR.E | Insurance Straight | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.31 % |
| BN.PR.X | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 6.10 % |
| SLF.PR.C | Insurance Straight | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 21.45 Evaluated at bid price : 21.71 Bid-YTW : 5.18 % |
| MFC.PR.C | Insurance Straight | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 21.34 Evaluated at bid price : 21.61 Bid-YTW : 5.27 % |
| BN.PR.R | FixedReset Disc | 6.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 6.37 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.M | FixedReset Disc | 730,650 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-24 Maturity Price : 25.00 Evaluated at bid price : 24.87 Bid-YTW : 4.55 % |
| BMO.PR.Y | FixedReset Disc | 280,958 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-09-24 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 5.12 % |
| RY.PR.N | Perpetual-Discount | 78,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 24.68 Evaluated at bid price : 24.95 Bid-YTW : 4.91 % |
| PWF.PR.T | FixedReset Disc | 75,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 23.07 Evaluated at bid price : 24.35 Bid-YTW : 5.48 % |
| NA.PR.C | FixedReset Prem | 51,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-11-15 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 4.41 % |
| FTS.PR.M | FixedReset Disc | 46,888 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-08-13 Maturity Price : 22.51 Evaluated at bid price : 23.35 Bid-YTW : 5.89 % |
| 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 |
| ENB.PR.B | FixedReset Disc | Quote: 16.70 – 20.67 Spot Rate : 3.9700 Average : 2.8036 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 16.50 – 19.30 Spot Rate : 2.8000 Average : 1.8318 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 23.00 – 25.50 Spot Rate : 2.5000 Average : 1.7562 YTW SCENARIO |
| GWO.PR.H | Insurance Straight | Quote: 20.10 – 22.35 Spot Rate : 2.2500 Average : 1.8094 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 22.12 – 23.30 Spot Rate : 1.1800 Average : 0.8994 YTW SCENARIO |
| BIP.PR.E | FixedReset Prem | Quote: 25.00 – 25.75 Spot Rate : 0.7500 Average : 0.4860 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.72%, equivalent to 7.44% interest at the standard conversion factor of 1.3x. Long corporates now yield 5.03%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 240bp, a sharp narrowing from the 255bp reported August 13. […]