PerpetualDiscounts now yield 5.47%, equivalent to 7.11% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.71%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a slight (and perhaps spurious) widening from the 335bp reported May 1.
| 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 | 0.0274 % | 2,071.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0274 % | 3,801.7 |
| Floater | 5.67 % | 6.06 % | 49,672 | 13.77 | 3 | 0.0274 % | 2,190.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1642 % | 3,297.8 |
| SplitShare | 4.67 % | 4.81 % | 80,592 | 4.27 | 7 | 0.1642 % | 3,938.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1642 % | 3,072.8 |
| Perpetual-Premium | 5.53 % | 3.08 % | 97,140 | 0.09 | 12 | -0.0988 % | 2,950.9 |
| Perpetual-Discount | 5.42 % | 5.47 % | 79,119 | 14.70 | 20 | 0.1896 % | 3,111.3 |
| FixedReset Disc | 5.27 % | 5.37 % | 167,946 | 14.92 | 63 | -0.0729 % | 2,179.9 |
| Deemed-Retractible | 5.22 % | 5.82 % | 100,141 | 8.07 | 27 | 0.1501 % | 3,079.9 |
| FloatingReset | 3.96 % | 4.30 % | 53,612 | 2.62 | 4 | 0.1540 % | 2,406.5 |
| FixedReset Prem | 5.12 % | 3.81 % | 259,827 | 2.14 | 21 | -0.0461 % | 2,581.2 |
| FixedReset Bank Non | 1.98 % | 3.96 % | 155,024 | 2.64 | 3 | -0.0695 % | 2,645.0 |
| FixedReset Ins Non | 5.04 % | 6.85 % | 99,696 | 8.19 | 22 | -0.0138 % | 2,235.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BIP.PR.E | FixedReset Disc | -2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.97 % |
| BAM.PF.F | FixedReset Disc | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.93 % |
| SLF.PR.G | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.13 % |
| TRP.PR.C | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 12.86 Evaluated at bid price : 12.86 Bid-YTW : 5.97 % |
| HSE.PR.C | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.47 % |
| SLF.PR.H | FixedReset Ins Non | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 7.75 % |
| HSE.PR.E | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 6.52 % |
| IAF.PR.B | Deemed-Retractible | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 6.22 % |
| MFC.PR.M | FixedReset Ins Non | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.65 % |
| PWF.PR.F | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 23.72 Evaluated at bid price : 24.03 Bid-YTW : 5.49 % |
| CCS.PR.C | Deemed-Retractible | 1.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.86 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.H | FixedReset Ins Non | 103,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 7.75 % |
| TD.PF.B | FixedReset Disc | 94,831 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 5.30 % |
| IAF.PR.G | FixedReset Ins Non | 70,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.09 % |
| GWO.PR.R | Deemed-Retractible | 50,068 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 6.21 % |
| BMO.PR.W | FixedReset Disc | 47,330 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.31 % |
| BMO.PR.S | FixedReset Disc | 43,415 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-08 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 5.29 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.E | FixedReset Disc | Quote: 21.25 – 21.90 Spot Rate : 0.6500 Average : 0.4508 YTW SCENARIO |
| BAM.PR.Z | FixedReset Disc | Quote: 19.98 – 20.33 Spot Rate : 0.3500 Average : 0.2234 YTW SCENARIO |
| NA.PR.G | FixedReset Disc | Quote: 21.60 – 22.00 Spot Rate : 0.4000 Average : 0.2778 YTW SCENARIO |
| IAF.PR.G | FixedReset Ins Non | Quote: 21.50 – 21.80 Spot Rate : 0.3000 Average : 0.1859 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 22.71 – 23.23 Spot Rate : 0.5200 Average : 0.4071 YTW SCENARIO |
| NA.PR.C | FixedReset Disc | Quote: 22.42 – 22.74 Spot Rate : 0.3200 Average : 0.2186 YTW SCENARIO |