PerpetualDiscounts now have a yield of 5.38%, equivalent to 6.99% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.9%, so the pre-tax interest-equivalent spread is now about 310bp, narrowing from the 320bp reported June 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 | 0.4155 % | 1,682.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4155 % | 3,073.7 |
| Floater | 4.51 % | 4.58 % | 66,142 | 16.17 | 3 | 0.4155 % | 1,771.4 |
| OpRet | 4.87 % | -1.25 % | 42,959 | 0.08 | 1 | 0.0796 % | 2,831.3 |
| SplitShare | 4.88 % | 4.71 % | 86,961 | 4.69 | 7 | 0.2938 % | 3,341.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2938 % | 2,607.2 |
| Perpetual-Premium | 5.60 % | -1.34 % | 75,481 | 0.09 | 9 | 0.2131 % | 2,625.7 |
| Perpetual-Discount | 5.37 % | 5.38 % | 107,687 | 14.66 | 28 | 0.1639 % | 2,730.0 |
| FixedReset | 5.07 % | 4.53 % | 163,198 | 14.58 | 87 | 0.2324 % | 2,013.4 |
| Deemed-Retractible | 5.11 % | 5.35 % | 131,433 | 4.96 | 33 | 0.0832 % | 2,705.2 |
| FloatingReset | 3.10 % | 5.00 % | 26,842 | 5.23 | 17 | 0.1911 % | 2,119.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.Q | FixedReset | -3.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 6.58 % |
| MFC.PR.F | FixedReset | -2.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.58 Bid-YTW : 10.13 % |
| SLF.PR.H | FixedReset | -2.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.36 Bid-YTW : 8.54 % |
| EML.PR.A | FixedReset | -1.53 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.22 % |
| CU.PR.C | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.37 % |
| GWO.PR.N | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.30 Bid-YTW : 9.44 % |
| TD.PF.D | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.33 % |
| FTS.PR.K | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 17.48 Evaluated at bid price : 17.48 Bid-YTW : 4.12 % |
| TRP.PR.E | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.40 % |
| CCS.PR.C | Deemed-Retractible | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 6.31 % |
| FTS.PR.H | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 13.91 Evaluated at bid price : 13.91 Bid-YTW : 3.91 % |
| FTS.PR.G | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.27 % |
| RY.PR.M | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 4.32 % |
| FTS.PR.I | FloatingReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 4.09 % |
| HSE.PR.G | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.16 % |
| RY.PR.J | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.35 % |
| CM.PR.Q | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.35 % |
| NA.PR.S | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.37 % |
| MFC.PR.J | FixedReset | 1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.20 % |
| TRP.PR.F | FloatingReset | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 14.58 Evaluated at bid price : 14.58 Bid-YTW : 4.16 % |
| HSE.PR.E | FixedReset | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.19 % |
| NA.PR.W | FixedReset | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 4.32 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.G | FixedReset | 137,715 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.31 Bid-YTW : 4.46 % |
| TD.PF.C | FixedReset | 74,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 18.63 Evaluated at bid price : 18.63 Bid-YTW : 4.15 % |
| RY.PR.R | FixedReset | 72,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 4.57 % |
| NA.PR.S | FixedReset | 72,025 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.37 % |
| RY.PR.H | FixedReset | 58,978 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 4.10 % |
| TRP.PR.D | FixedReset | 54,863 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-08 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.52 % |
| There were 41 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.H | FixedReset | Quote: 16.36 – 16.74 Spot Rate : 0.3800 Average : 0.2566 YTW SCENARIO |
| ALB.PR.C | SplitShare | Quote: 26.02 – 26.55 Spot Rate : 0.5300 Average : 0.4167 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.03 – 22.45 Spot Rate : 0.4200 Average : 0.3214 YTW SCENARIO |
| BMO.PR.R | FloatingReset | Quote: 21.85 – 22.25 Spot Rate : 0.4000 Average : 0.3033 YTW SCENARIO |
| TRP.PR.I | FloatingReset | Quote: 11.35 – 12.00 Spot Rate : 0.6500 Average : 0.5567 YTW SCENARIO |
| FTS.PR.I | FloatingReset | Quote: 12.05 – 12.53 Spot Rate : 0.4800 Average : 0.3869 YTW SCENARIO |