PerpetualDiscounts now yield 5.67%, equivalent to 7.37% interest at the standard conversion factor of 1.3x. Long corporates yielded 4.89% on 2026-06-30. Therefore the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 250bp from the 245bp reported June 24.
| 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 | 5.59 % | 5.79 % | 21,393 | 14.75 | 1 | 0.1709 % | 2,622.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1194 % | 4,882.3 |
| Floater | 5.57 % | 5.68 % | 37,259 | 14.42 | 3 | 0.1194 % | 2,813.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0318 % | 3,627.3 |
| SplitShare | 4.80 % | 4.95 % | 60,370 | 2.71 | 5 | 0.0318 % | 4,331.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0318 % | 3,379.8 |
| Perpetual-Premium | 5.70 % | 5.57 % | 61,691 | 14.02 | 7 | -0.1021 % | 3,064.2 |
| Perpetual-Discount | 5.59 % | 5.67 % | 39,029 | 14.38 | 29 | -0.0710 % | 3,376.9 |
| FixedReset Disc | 5.63 % | 5.81 % | 110,471 | 13.93 | 19 | 0.4108 % | 3,305.0 |
| Insurance Straight | 5.49 % | 5.52 % | 47,460 | 14.60 | 22 | -0.0456 % | 3,281.9 |
| FloatingReset | 4.75 % | 4.77 % | 17,243 | 15.95 | 1 | 0.0000 % | 3,976.3 |
| FixedReset Prem | 5.92 % | 4.65 % | 78,458 | 2.21 | 29 | 0.1083 % | 2,654.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4108 % | 3,378.4 |
| FixedReset Ins Non | 5.32 % | 5.25 % | 49,877 | 14.64 | 14 | -0.0299 % | 3,210.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.P | Insurance Straight | -3.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.76 Evaluated at bid price : 23.04 Bid-YTW : 5.89 % |
| MFC.PR.J | FixedReset Ins Non | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 23.59 Evaluated at bid price : 24.82 Bid-YTW : 5.71 % |
| FTS.PR.F | Perpetual-Discount | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 5.34 % |
| POW.PR.C | Perpetual-Premium | -1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-07-30 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : -9.01 % |
| MFC.PR.B | Insurance Straight | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.24 % |
| FTS.PR.J | Perpetual-Discount | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 5.31 % |
| SLF.PR.G | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 5.30 % |
| ENB.PR.D | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.30 Evaluated at bid price : 22.65 Bid-YTW : 6.00 % |
| ENB.PR.F | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 23.12 Evaluated at bid price : 23.47 Bid-YTW : 5.94 % |
| PWF.PR.P | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.65 % |
| CCS.PR.C | Insurance Straight | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.55 % |
| GWO.PR.Q | Insurance Straight | 2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 5.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.D | FixedReset Disc | 46,730 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.30 Evaluated at bid price : 22.65 Bid-YTW : 6.00 % |
| GWO.PF.A | Perpetual-Discount | 41,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 24.62 Evaluated at bid price : 25.02 Bid-YTW : 5.72 % |
| CM.PR.S | FixedReset Prem | 30,992 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 3.71 % |
| MFC.PR.B | Insurance Straight | 21,098 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.24 % |
| ENB.PR.F | FixedReset Disc | 20,710 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-06-30 Maturity Price : 23.12 Evaluated at bid price : 23.47 Bid-YTW : 5.94 % |
| RY.PR.S | FixedReset Prem | 17,883 | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.67 Bid-YTW : 3.48 % |
| There were 4 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.PF.C | FixedReset Disc | Quote: 23.55 – 24.80 Spot Rate : 1.2500 Average : 0.7325 YTW SCENARIO |
| GWO.PR.P | Insurance Straight | Quote: 23.04 – 24.37 Spot Rate : 1.3300 Average : 0.8658 YTW SCENARIO |
| RY.PR.S | FixedReset Prem | Quote: 26.67 – 27.67 Spot Rate : 1.0000 Average : 0.6196 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 20.75 – 21.89 Spot Rate : 1.1400 Average : 0.8205 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 24.82 – 25.77 Spot Rate : 0.9500 Average : 0.6809 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 22.49 – 23.40 Spot Rate : 0.9100 Average : 0.7056 YTW SCENARIO |
[…] continue to yield more than PerpetualDiscounts; on June 30, I reported median YTWs of 5.81% and 5.67%, respectively, for these two indices; compare with mean […]
[…] PerpetualDiscounts now yield 5.56%, equivalent to 7.23% interest at the standard conversion factor of 1.3x. Long corporates yielded 5.06% on 2026-07-08. Therefore the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 215bp from the 250bp reported June 30. […]