PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.00%, so the pre-tax interest-equivalent spread is now about 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported May 11.
| 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 | 4.67 % | 5.68 % | 11,772 | 17.05 | 1 | 0.1384 % | 1,690.2 |
| FixedFloater | 6.62 % | 5.74 % | 18,540 | 16.79 | 1 | 0.0000 % | 3,052.8 |
| Floater | 4.54 % | 4.75 % | 44,961 | 15.89 | 4 | -0.7395 % | 1,709.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2191 % | 2,826.1 |
| SplitShare | 4.95 % | 5.05 % | 82,785 | 2.49 | 7 | 0.2191 % | 3,307.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2191 % | 2,580.3 |
| Perpetual-Premium | 5.76 % | -9.37 % | 74,272 | 0.09 | 6 | 0.0000 % | 2,598.0 |
| Perpetual-Discount | 5.48 % | 5.59 % | 103,383 | 14.50 | 33 | -0.2022 % | 2,675.4 |
| FixedReset | 5.21 % | 4.69 % | 166,294 | 13.81 | 88 | -0.1286 % | 1,961.6 |
| Deemed-Retractible | 5.15 % | 5.56 % | 131,545 | 6.76 | 33 | -0.0773 % | 2,665.9 |
| FloatingReset | 3.16 % | 5.00 % | 26,458 | 5.28 | 17 | -0.2111 % | 2,080.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.A | FixedReset | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 14.27 Evaluated at bid price : 14.27 Bid-YTW : 4.88 % |
| TD.PF.E | FixedReset | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 4.48 % |
| PWF.PR.A | Floater | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 11.51 Evaluated at bid price : 11.51 Bid-YTW : 4.13 % |
| FTS.PR.I | FloatingReset | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 4.39 % |
| FTS.PR.J | Perpetual-Discount | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 22.09 Evaluated at bid price : 22.36 Bid-YTW : 5.32 % |
| TRP.PR.G | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 4.86 % |
| MFC.PR.F | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.56 Bid-YTW : 10.15 % |
| FTS.PR.F | Perpetual-Discount | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 5.32 % |
| TRP.PR.E | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.60 % |
| CU.PR.G | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 5.44 % |
| CM.PR.P | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 4.31 % |
| NA.PR.W | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.43 % |
| CU.PR.I | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.80 % |
| FTS.PR.H | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 4.31 % |
| MFC.PR.J | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 6.62 % |
| SLF.PR.G | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.70 Bid-YTW : 9.27 % |
| BIP.PR.A | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.72 % |
| PWF.PR.Q | FloatingReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 12.85 Evaluated at bid price : 12.85 Bid-YTW : 4.15 % |
| FTS.PR.M | FixedReset | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.60 % |
| SLF.PR.H | FixedReset | 1.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.57 Bid-YTW : 8.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.O | Deemed-Retractible | 30,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-06-17 Maturity Price : 25.25 Evaluated at bid price : 25.40 Bid-YTW : 1.63 % |
| RY.PR.R | FixedReset | 24,063 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 4.64 % |
| BAM.PF.D | Perpetual-Discount | 22,186 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.93 % |
| BAM.PF.C | Perpetual-Discount | 18,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-18 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.91 % |
| EML.PR.A | FixedReset | 17,080 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.15 % |
| TD.PF.G | FixedReset | 15,297 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.13 Bid-YTW : 4.56 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FTS.PR.I | FloatingReset | Quote: 11.22 – 11.85 Spot Rate : 0.6300 Average : 0.4375 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 12.77 – 13.25 Spot Rate : 0.4800 Average : 0.3117 YTW SCENARIO |
| EML.PR.A | FixedReset | Quote: 25.80 – 26.25 Spot Rate : 0.4500 Average : 0.2942 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 14.27 – 14.82 Spot Rate : 0.5500 Average : 0.4110 YTW SCENARIO |
| BAM.PF.B | FixedReset | Quote: 17.30 – 17.77 Spot Rate : 0.4700 Average : 0.3421 YTW SCENARIO |
| NA.PR.W | FixedReset | Quote: 17.75 – 18.09 Spot Rate : 0.3400 Average : 0.2418 YTW SCENARIO |