PerpetualDiscounts now yield 5.57%, equivalent to 7.41% 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 345bp 330bp, a marked widening over month since reported at 315bp on April 13.
| 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 | 4.69 % | 5.70 % | 12,284 | 17.04 | 1 | 1.0526 % | 1,682.0 |
| FixedFloater | 6.79 % | 5.89 % | 19,874 | 16.62 | 1 | 0.0000 % | 2,978.3 |
| Floater | 4.52 % | 4.72 % | 45,745 | 15.97 | 4 | 0.6739 % | 1,718.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0580 % | 2,820.8 |
| SplitShare | 4.93 % | 5.37 % | 83,792 | 3.97 | 7 | 0.0580 % | 3,300.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0580 % | 2,575.5 |
| Perpetual-Premium | 5.77 % | -11.55 % | 75,316 | 0.09 | 6 | -0.0066 % | 2,596.7 |
| Perpetual-Discount | 5.50 % | 5.57 % | 101,208 | 14.53 | 33 | 0.0066 % | 2,666.9 |
| FixedReset | 5.17 % | 4.64 % | 163,681 | 7.44 | 88 | -0.0772 % | 1,975.7 |
| Deemed-Retractible | 5.16 % | 5.69 % | 127,823 | 6.78 | 33 | -0.0508 % | 2,661.5 |
| FloatingReset | 3.10 % | 4.86 % | 24,002 | 5.31 | 17 | 0.1263 % | 2,092.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.T | FixedReset | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 4.26 % |
| FTS.PR.H | FixedReset | -2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.24 % |
| SLF.PR.I | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 7.08 % |
| NA.PR.W | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 4.35 % |
| IAG.PR.G | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 7.00 % |
| TD.PF.C | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.21 % |
| SLF.PR.H | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.13 Bid-YTW : 8.92 % |
| BMO.PR.S | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 4.27 % |
| CM.PR.P | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 4.23 % |
| CU.PR.C | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 4.28 % |
| IAG.PR.A | Deemed-Retractible | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 6.70 % |
| TD.PF.B | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 4.19 % |
| TD.PF.A | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.16 % |
| BMO.PR.W | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 4.20 % |
| BAM.PR.T | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.18 % |
| BIP.PR.A | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.67 % |
| BAM.PR.E | Ratchet | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 25.00 Evaluated at bid price : 14.40 Bid-YTW : 5.70 % |
| BAM.PR.B | Floater | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 10.12 Evaluated at bid price : 10.12 Bid-YTW : 4.72 % |
| BNS.PR.Y | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 5.89 % |
| BMO.PR.Y | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 4.30 % |
| MFC.PR.H | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.04 % |
| BMO.PR.M | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 4.06 % |
| HSE.PR.A | FixedReset | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 5.43 % |
| BNS.PR.R | FixedReset | 1.74 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.41 Bid-YTW : 4.46 % |
| BNS.PR.Q | FixedReset | 1.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.99 Bid-YTW : 4.54 % |
| TRP.PR.F | FloatingReset | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 4.65 % |
| PWF.PR.Q | FloatingReset | 3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 4.12 % |
| TRP.PR.G | FixedReset | 3.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.81 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.S | FixedReset | 103,127 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 4.27 % |
| MFC.PR.O | FixedReset | 75,814 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 4.72 % |
| TRP.PR.J | FixedReset | 65,128 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 4.83 % |
| TD.PF.G | FixedReset | 58,303 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 4.60 % |
| BAM.PR.X | FixedReset | 50,875 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 4.85 % |
| VNR.PR.A | FixedReset | 42,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-11 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 5.05 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.I | FloatingReset | Quote: 11.20 – 12.81 Spot Rate : 1.6100 Average : 1.1031 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 13.10 – 13.90 Spot Rate : 0.8000 Average : 0.5242 YTW SCENARIO |
| MFC.PR.G | FixedReset | Quote: 19.50 – 19.86 Spot Rate : 0.3600 Average : 0.2210 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 17.80 – 18.16 Spot Rate : 0.3600 Average : 0.2284 YTW SCENARIO |
| BAM.PR.G | FixedFloater | Quote: 14.00 – 14.50 Spot Rate : 0.5000 Average : 0.4013 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 13.25 – 13.55 Spot Rate : 0.3000 Average : 0.2052 YTW SCENARIO |