PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at the 315bp reported September 7.
| 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 | -1.2908 % | 2,498.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2908 % | 4,792.5 |
| Floater | 7.34 % | 7.36 % | 52,024 | 12.13 | 2 | -1.2908 % | 2,761.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2069 % | 3,449.7 |
| SplitShare | 4.93 % | 5.42 % | 30,005 | 2.97 | 8 | -0.2069 % | 4,119.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2069 % | 3,214.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2080 % | 2,785.4 |
| Perpetual-Discount | 6.12 % | 6.26 % | 62,500 | 13.49 | 35 | -0.2080 % | 3,037.3 |
| FixedReset Disc | 4.80 % | 6.47 % | 95,176 | 13.34 | 58 | -0.3813 % | 2,465.8 |
| Insurance Straight | 6.15 % | 6.16 % | 75,379 | 13.72 | 19 | -0.7740 % | 2,925.5 |
| FloatingReset | 7.86 % | 8.07 % | 37,553 | 11.35 | 2 | 0.0311 % | 2,608.7 |
| FixedReset Prem | 5.15 % | 5.31 % | 107,315 | 1.77 | 6 | 0.0796 % | 2,573.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3813 % | 2,520.5 |
| FixedReset Ins Non | 4.84 % | 6.79 % | 50,703 | 13.07 | 14 | 0.1093 % | 2,519.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.S | FixedReset Disc | -4.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 6.68 % |
| CM.PR.P | FixedReset Disc | -3.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.66 % |
| BAM.PF.A | FixedReset Disc | -3.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.32 % |
| GWO.PR.P | Insurance Straight | -3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.44 % |
| BAM.PF.F | FixedReset Disc | -2.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 7.76 % |
| RY.PR.O | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 22.86 Evaluated at bid price : 23.15 Bid-YTW : 5.33 % |
| SLF.PR.H | FixedReset Ins Non | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 7.10 % |
| ELF.PR.H | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.36 % |
| TD.PF.A | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.49 % |
| IFC.PR.F | Insurance Straight | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 6.20 % |
| RY.PR.N | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 23.01 Evaluated at bid price : 23.31 Bid-YTW : 5.29 % |
| POW.PR.D | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 6.35 % |
| MFC.PR.L | FixedReset Ins Non | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.22 % |
| BAM.PF.E | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.83 % |
| PWF.PR.G | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 6.37 % |
| MFC.PR.B | Insurance Straight | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.16 % |
| ELF.PR.F | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 6.40 % |
| BAM.PR.N | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.20 % |
| BAM.PF.J | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 23.78 Evaluated at bid price : 24.62 Bid-YTW : 6.44 % |
| BAM.PF.H | FixedReset Prem | 1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.30 % |
| BNS.PR.I | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 23.33 Evaluated at bid price : 23.78 Bid-YTW : 6.00 % |
| IFC.PR.I | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.99 Evaluated at bid price : 22.30 Bid-YTW : 6.06 % |
| RY.PR.M | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.40 % |
| MIC.PR.A | Perpetual-Discount | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.54 % |
| BIP.PR.A | FixedReset Disc | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 8.24 % |
| IFC.PR.K | Perpetual-Discount | 4.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.79 Evaluated at bid price : 22.10 Bid-YTW : 5.95 % |
| BAM.PR.R | FixedReset Disc | 5.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 7.73 % |
| MFC.PR.Q | FixedReset Ins Non | 7.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.54 Evaluated at bid price : 21.90 Bid-YTW : 6.63 % |
| CU.PR.J | Perpetual-Discount | 7.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.20 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.O | FixedReset Disc | 100,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 6.56 % |
| TRP.PR.A | FixedReset Disc | 78,579 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 15.46 Evaluated at bid price : 15.46 Bid-YTW : 7.96 % |
| BAM.PF.F | FixedReset Disc | 76,203 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 7.76 % |
| TD.PF.L | FixedReset Disc | 67,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.63 % |
| TRP.PR.E | FixedReset Disc | 34,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 7.91 % |
| BAM.PR.Z | FixedReset Disc | 21,588 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-09-14 Maturity Price : 21.80 Evaluated at bid price : 22.25 Bid-YTW : 6.99 % |
| There were 7 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.G | Perpetual-Discount | Quote: 18.63 – 20.88 Spot Rate : 2.2500 Average : 1.2581 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 20.62 – 23.50 Spot Rate : 2.8800 Average : 2.0544 YTW SCENARIO |
| BAM.PF.A | FixedReset Disc | Quote: 21.00 – 22.09 Spot Rate : 1.0900 Average : 0.7677 YTW SCENARIO |
| RY.PR.N | Perpetual-Discount | Quote: 23.31 – 24.19 Spot Rate : 0.8800 Average : 0.5781 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 18.94 – 19.75 Spot Rate : 0.8100 Average : 0.5132 YTW SCENARIO |
| GWO.PR.P | Insurance Straight | Quote: 21.05 – 21.83 Spot Rate : 0.7800 Average : 0.4897 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.32%, equivalent to 8.22% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.06%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at the 315bp reported September 14. […]