PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported July 11.
| 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 | -1.2202 % | 3,102.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2202 % | 5,692.3 |
| Floater | 3.48 % | 3.69 % | 68,463 | 18.11 | 4 | -1.2202 % | 3,280.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0079 % | 3,201.2 |
| SplitShare | 4.59 % | 4.55 % | 58,582 | 4.91 | 5 | 0.0079 % | 3,822.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0079 % | 2,982.8 |
| Perpetual-Premium | 5.64 % | -13.95 % | 61,600 | 0.09 | 9 | 0.0087 % | 2,906.3 |
| Perpetual-Discount | 5.38 % | 5.51 % | 56,848 | 14.66 | 26 | -0.0886 % | 2,984.2 |
| FixedReset | 4.30 % | 4.60 % | 129,253 | 4.27 | 106 | 0.0601 % | 2,559.7 |
| Deemed-Retractible | 5.13 % | 5.87 % | 64,734 | 5.47 | 27 | -0.1817 % | 2,977.5 |
| FloatingReset | 3.29 % | 3.87 % | 33,868 | 3.37 | 9 | -0.2122 % | 2,831.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-18 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 3.69 % |
| BAM.PR.K | Floater | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-18 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 3.69 % |
| BAM.PR.C | Floater | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-18 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 3.69 % |
| PWF.PR.Q | FloatingReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-18 Maturity Price : 21.34 Evaluated at bid price : 21.65 Bid-YTW : 3.50 % |
| SLF.PR.E | Deemed-Retractible | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.74 Bid-YTW : 7.11 % |
| SLF.PR.B | Deemed-Retractible | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 6.60 % |
| MFC.PR.B | Deemed-Retractible | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 7.08 % |
| HSE.PR.G | FixedReset | 4.38 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.64 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.F | FloatingReset | 277,700 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 4.26 % |
| TRP.PR.E | FixedReset | 201,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-18 Maturity Price : 22.01 Evaluated at bid price : 22.63 Bid-YTW : 4.83 % |
| PWF.PR.I | Perpetual-Premium | 120,401 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-08-17 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : -23.09 % |
| PWF.PR.L | Perpetual-Discount | 112,433 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-18 Maturity Price : 22.86 Evaluated at bid price : 23.13 Bid-YTW : 5.52 % |
| PWF.PR.T | FixedReset | 100,436 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-07-18 Maturity Price : 23.47 Evaluated at bid price : 24.20 Bid-YTW : 4.53 % |
| POW.PR.G | Perpetual-Premium | 99,739 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.33 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.R | FixedReset | Quote: 25.04 – 25.38 Spot Rate : 0.3400 Average : 0.2006 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 17.65 – 18.05 Spot Rate : 0.4000 Average : 0.2996 YTW SCENARIO |
| TRP.PR.H | FloatingReset | Quote: 17.20 – 17.55 Spot Rate : 0.3500 Average : 0.2596 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 21.48 – 21.91 Spot Rate : 0.4300 Average : 0.3432 YTW SCENARIO |
| TRP.PR.G | FixedReset | Quote: 24.24 – 24.54 Spot Rate : 0.3000 Average : 0.2205 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 22.80 – 23.15 Spot Rate : 0.3500 Average : 0.2711 YTW SCENARIO |