PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a significant widening from the 300bp reported May 16.
| 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 | 0.1117 % | 2,971.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1117 % | 5,452.6 |
| Floater | 3.37 % | 3.60 % | 81,233 | 18.23 | 4 | 0.1117 % | 3,142.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2229 % | 3,181.5 |
| SplitShare | 4.62 % | 4.61 % | 82,848 | 5.07 | 5 | 0.2229 % | 3,799.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2229 % | 2,964.4 |
| Perpetual-Premium | 5.62 % | -4.70 % | 68,416 | 0.09 | 10 | -0.0354 % | 2,870.9 |
| Perpetual-Discount | 5.42 % | 5.52 % | 66,662 | 14.60 | 24 | 0.0971 % | 2,941.4 |
| FixedReset | 4.26 % | 4.70 % | 158,279 | 3.87 | 103 | -0.2148 % | 2,554.6 |
| Deemed-Retractible | 5.14 % | 5.67 % | 79,363 | 5.56 | 27 | -0.0436 % | 2,943.3 |
| FloatingReset | 3.18 % | 3.68 % | 33,111 | 3.51 | 8 | -0.6233 % | 2,793.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Q | FloatingReset | -6.72 % | A nonsensical quote of 19.86-21.47 was reported by Nonsense Central, despite the facts that the security traded in a range of 21.46-47. Perhaps it was the overwhelming volume of 200 shares that fouled up the systems! Or that the last trade was at 2:27pm, giving the market maker barely one and a half hours to restore indications of an orderly market!
I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO |
| MFC.PR.M | FixedReset | -4.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 6.11 % |
| TRP.PR.A | FixedReset | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.20 % |
| TRP.PR.B | FixedReset | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.17 % |
| CU.PR.C | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 22.20 Evaluated at bid price : 22.76 Bid-YTW : 4.83 % |
| TRP.PR.D | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 22.51 Evaluated at bid price : 23.04 Bid-YTW : 5.06 % |
| PWF.PR.P | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.78 % |
| TRP.PR.C | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 5.11 % |
| BAM.PR.X | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 5.13 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.D | FixedReset | 78,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 4.29 % |
| BAM.PF.J | FixedReset | 66,057 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 4.41 % |
| CM.PR.P | FixedReset | 60,960 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 23.07 Evaluated at bid price : 23.46 Bid-YTW : 4.77 % |
| TRP.PR.D | FixedReset | 35,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 22.51 Evaluated at bid price : 23.04 Bid-YTW : 5.06 % |
| NA.PR.W | FixedReset | 30,002 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 22.97 Evaluated at bid price : 23.35 Bid-YTW : 4.82 % |
| RY.PR.Z | FixedReset | 26,335 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-23 Maturity Price : 23.25 Evaluated at bid price : 23.80 Bid-YTW : 4.70 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.Q | FloatingReset | Quote: 19.86 – 21.47 Spot Rate : 1.6100 Average : 1.0075 YTW SCENARIO |
| MFC.PR.M | FixedReset | Quote: 22.75 – 23.79 Spot Rate : 1.0400 Average : 0.6092 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 20.10 – 20.92 Spot Rate : 0.8200 Average : 0.5202 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 20.90 – 21.50 Spot Rate : 0.6000 Average : 0.3838 YTW SCENARIO |
| GWO.PR.Q | Deemed-Retractible | Quote: 24.24 – 24.75 Spot Rate : 0.5100 Average : 0.3126 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 16.70 – 17.25 Spot Rate : 0.5500 Average : 0.3656 YTW SCENARIO |