PerpetualDiscounts now yield 5.55%, equivalent to 7.22% at the standard equivalency factor of 1.3x. Long corporates now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported April 6.
| 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 | 4.60 % | 5.58 % | 9,732 | 17.17 | 1 | 1.9431 % | 1,709.2 |
| FixedFloater | 6.62 % | 5.72 % | 20,818 | 16.89 | 1 | -1.8338 % | 3,052.8 |
| Floater | 4.56 % | 4.69 % | 55,975 | 16.08 | 4 | -0.4083 % | 1,698.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0338 % | 2,804.2 |
| SplitShare | 4.72 % | 5.09 % | 90,306 | 1.57 | 6 | -0.0338 % | 3,281.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0338 % | 2,560.3 |
| Perpetual-Premium | 5.77 % | -14.34 % | 90,904 | 0.09 | 6 | -0.0263 % | 2,593.6 |
| Perpetual-Discount | 5.51 % | 5.55 % | 91,674 | 14.61 | 33 | 0.0013 % | 2,649.8 |
| FixedReset | 5.11 % | 4.58 % | 175,557 | 14.35 | 87 | -0.9732 % | 1,992.1 |
| Deemed-Retractible | 5.16 % | 5.34 % | 124,685 | 5.09 | 34 | -0.1752 % | 2,643.2 |
| FloatingReset | 3.05 % | 4.62 % | 34,569 | 5.39 | 17 | -0.1052 % | 2,086.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset | -7.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.85 % |
| BMO.PR.T | FixedReset | -4.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.32 % |
| TRP.PR.E | FixedReset | -4.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.37 % |
| IFC.PR.C | FixedReset | -4.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.00 Bid-YTW : 7.93 % |
| TRP.PR.C | FixedReset | -3.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 12.10 Evaluated at bid price : 12.10 Bid-YTW : 4.65 % |
| TRP.PR.D | FixedReset | -3.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.55 % |
| MFC.PR.F | FixedReset | -2.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.16 Bid-YTW : 10.58 % |
| BMO.PR.W | FixedReset | -2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 4.21 % |
| TRP.PR.B | FixedReset | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 4.40 % |
| TRP.PR.F | FloatingReset | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 12.63 Evaluated at bid price : 12.63 Bid-YTW : 4.73 % |
| TD.PF.B | FixedReset | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.15 % |
| BMO.PR.S | FixedReset | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 4.17 % |
| HSE.PR.A | FixedReset | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 11.11 Evaluated at bid price : 11.11 Bid-YTW : 5.50 % |
| TD.PF.A | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.12 % |
| BAM.PR.G | FixedFloater | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 25.00 Evaluated at bid price : 14.35 Bid-YTW : 5.72 % |
| TD.PF.C | FixedReset | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.15 % |
| MFC.PR.H | FixedReset | -1.82 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.40 % |
| IFC.PR.A | FixedReset | -1.76 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.11 Bid-YTW : 9.67 % |
| HSE.PR.C | FixedReset | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.67 % |
| IAG.PR.G | FixedReset | -1.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.35 Bid-YTW : 6.52 % |
| BAM.PF.B | FixedReset | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 4.81 % |
| MFC.PR.J | FixedReset | -1.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.66 Bid-YTW : 6.82 % |
| NA.PR.S | FixedReset | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.27 % |
| CM.PR.P | FixedReset | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.83 Evaluated at bid price : 18.83 Bid-YTW : 4.13 % |
| CM.PR.Q | FixedReset | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.38 % |
| PWF.PR.T | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 3.91 % |
| RY.PR.Z | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.08 % |
| RY.PR.H | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.13 % |
| NA.PR.W | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.32 % |
| BNS.PR.F | FloatingReset | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.02 Bid-YTW : 6.85 % |
| BNS.PR.E | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 4.74 % |
| BMO.PR.Q | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.24 % |
| MFC.PR.B | Deemed-Retractible | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 6.78 % |
| SLF.PR.J | FloatingReset | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.36 Bid-YTW : 11.00 % |
| BAM.PR.E | Ratchet | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 25.00 Evaluated at bid price : 14.69 Bid-YTW : 5.58 % |
| GWO.PR.O | FloatingReset | 2.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 10.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.L | Deemed-Retractible | 658,750 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-27 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.45 % |
| TD.PF.G | FixedReset | 230,449 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 4.62 % |
| EML.PR.A | FixedReset | 100,837 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 5.31 % |
| BMO.PR.W | FixedReset | 56,223 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 4.21 % |
| BAM.PF.H | FixedReset | 45,711 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 4.53 % |
| RY.PR.H | FixedReset | 41,880 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-13 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.13 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.J | FixedReset | Quote: 19.66 – 20.26 Spot Rate : 0.6000 Average : 0.3766 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 13.16 – 13.78 Spot Rate : 0.6200 Average : 0.3983 YTW SCENARIO |
| BMO.PR.T | FixedReset | Quote: 18.25 – 18.90 Spot Rate : 0.6500 Average : 0.4330 YTW SCENARIO |
| BNS.PR.E | FixedReset | Quote: 25.82 – 26.27 Spot Rate : 0.4500 Average : 0.2797 YTW SCENARIO |
| GWO.PR.O | FloatingReset | Quote: 12.60 – 14.25 Spot Rate : 1.6500 Average : 1.4809 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 21.75 – 22.25 Spot Rate : 0.5000 Average : 0.3356 YTW SCENARIO |