PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.60%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a slight (and perhaps spurious) widening from the 295bp reported May 31.
| 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 | 0.5839 % | 2,097.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5839 % | 3,847.8 |
| Floater | 3.74 % | 3.78 % | 81,177 | 17.81 | 3 | 0.5839 % | 2,217.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0393 % | 3,050.1 |
| SplitShare | 4.72 % | 4.22 % | 73,642 | 1.53 | 5 | 0.0393 % | 3,642.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0393 % | 2,842.0 |
| Perpetual-Premium | 5.28 % | 3.77 % | 69,539 | 0.09 | 25 | 0.0281 % | 2,792.8 |
| Perpetual-Discount | 5.09 % | 5.08 % | 99,799 | 15.28 | 12 | -0.1271 % | 3,001.3 |
| FixedReset | 4.56 % | 4.17 % | 198,449 | 6.52 | 95 | -0.0885 % | 2,270.4 |
| Deemed-Retractible | 4.98 % | 4.99 % | 124,444 | 6.27 | 30 | -0.0789 % | 2,901.2 |
| FloatingReset | 2.52 % | 3.16 % | 48,809 | 4.39 | 10 | 0.1080 % | 2,519.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.A | FixedReset | -2.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.56 Bid-YTW : 9.25 % |
| IFC.PR.C | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 6.53 % |
| BAM.PR.X | FixedReset | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-07 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 4.48 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset | 241,253 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-07 Maturity Price : 23.13 Evaluated at bid price : 24.94 Bid-YTW : 4.25 % |
| IFC.PR.E | Deemed-Retractible | 135,585 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.26 % |
| BNS.PR.G | FixedReset | 130,030 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.97 Bid-YTW : 3.62 % |
| TD.PF.H | FixedReset | 122,924 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.04 Bid-YTW : 3.96 % |
| TRP.PR.E | FixedReset | 72,610 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-07 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 4.23 % |
| TRP.PR.K | FixedReset | 58,234 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.94 Bid-YTW : 4.10 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.A | FixedReset | Quote: 16.56 – 17.01 Spot Rate : 0.4500 Average : 0.3105 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 20.48 – 20.79 Spot Rate : 0.3100 Average : 0.2319 YTW SCENARIO |
| MFC.PR.O | FixedReset | Quote: 26.70 – 26.94 Spot Rate : 0.2400 Average : 0.1680 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 24.91 – 25.09 Spot Rate : 0.1800 Average : 0.1118 YTW SCENARIO |
| BAM.PF.H | FixedReset | Quote: 26.20 – 26.44 Spot Rate : 0.2400 Average : 0.1734 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.90 – 23.14 Spot Rate : 0.2400 Average : 0.1829 YTW SCENARIO |