PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a widening from the 285bp reported May 17.
| 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0373 % | 2,162.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0373 % | 3,967.5 |
| Floater | 3.53 % | 3.70 % | 57,208 | 18.02 | 4 | 0.0373 % | 2,286.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2596 % | 3,057.7 |
| SplitShare | 4.71 % | 4.12 % | 73,861 | 1.57 | 5 | 0.2596 % | 3,651.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2596 % | 2,849.1 |
| Perpetual-Premium | 5.33 % | 0.86 % | 67,554 | 0.09 | 22 | -0.0231 % | 2,778.5 |
| Perpetual-Discount | 5.12 % | 5.11 % | 101,151 | 15.23 | 14 | 0.0482 % | 2,989.5 |
| FixedReset | 4.49 % | 4.11 % | 198,825 | 6.58 | 94 | 0.0688 % | 2,307.0 |
| Deemed-Retractible | 5.01 % | 5.24 % | 135,105 | 6.26 | 32 | -0.0460 % | 2,884.6 |
| FloatingReset | 2.51 % | 3.08 % | 46,720 | 4.43 | 10 | 0.0093 % | 2,524.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.F | FloatingReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-24 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 3.33 % |
| SLF.PR.J | FloatingReset | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.30 Bid-YTW : 9.13 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IFC.PR.E | Deemed-Retractible | 601,313 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 5.29 % |
| GWO.PR.T | Deemed-Retractible | 183,066 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 5.22 % |
| BNS.PR.H | FixedReset | 171,363 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 26.41 Bid-YTW : 3.63 % |
| TD.PF.C | FixedReset | 127,703 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-24 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 3.99 % |
| SLF.PR.H | FixedReset | 101,504 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 7.08 % |
| TRP.PR.K | FixedReset | 94,579 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 3.97 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| VNR.PR.A | FixedReset | Quote: 20.85 – 21.30 Spot Rate : 0.4500 Average : 0.3406 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 18.22 – 18.72 Spot Rate : 0.5000 Average : 0.3967 YTW SCENARIO |
| BMO.PR.C | FixedReset | Quote: 25.56 – 25.80 Spot Rate : 0.2400 Average : 0.1478 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 18.57 – 18.80 Spot Rate : 0.2300 Average : 0.1637 YTW SCENARIO |
| SLF.PR.D | Deemed-Retractible | Quote: 22.50 – 22.70 Spot Rate : 0.2000 Average : 0.1356 YTW SCENARIO |
| BNS.PR.D | FloatingReset | Quote: 21.65 – 21.91 Spot Rate : 0.2600 Average : 0.2041 YTW SCENARIO |