PerpetualDiscounts now yield 5.06%, equivalent to 6.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield just a bit more than 3.8% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 275bp, a slight (and perhaps spurious) widening from the 270bp reported March 29.
| 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5537 % | 2,192.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5537 % | 4,023.5 |
| Floater | 3.47 % | 3.56 % | 40,361 | 18.41 | 4 | 0.5537 % | 2,318.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0391 % | 3,029.6 |
| SplitShare | 4.93 % | 4.04 % | 57,650 | 0.65 | 6 | 0.0391 % | 3,618.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0391 % | 2,822.9 |
| Perpetual-Premium | 5.28 % | -8.91 % | 73,787 | 0.09 | 23 | -0.0287 % | 2,792.2 |
| Perpetual-Discount | 5.07 % | 5.06 % | 115,306 | 15.38 | 13 | -0.0934 % | 3,006.2 |
| FixedReset | 4.33 % | 3.95 % | 241,189 | 6.66 | 94 | 0.0984 % | 2,389.3 |
| Deemed-Retractible | 4.97 % | 3.67 % | 142,040 | 0.12 | 31 | -0.0456 % | 2,899.5 |
| FloatingReset | 2.52 % | 3.01 % | 53,532 | 4.53 | 9 | 0.0887 % | 2,547.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.I | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 4.58 % |
| PWF.PR.T | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 23.02 Evaluated at bid price : 23.39 Bid-YTW : 3.76 % |
| TRP.PR.C | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 16.49 Evaluated at bid price : 16.49 Bid-YTW : 3.90 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Q | FixedReset | 112,655 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 27.32 Bid-YTW : 3.28 % |
| RY.PR.R | FixedReset | 110,275 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 27.50 Bid-YTW : 3.23 % |
| TRP.PR.B | FixedReset | 95,650 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 3.92 % |
| CU.PR.I | FixedReset | 78,497 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 2.97 % |
| MFC.PR.L | FixedReset | 74,933 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.71 Bid-YTW : 5.62 % |
| NA.PR.X | FixedReset | 73,592 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 27.20 Bid-YTW : 3.17 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.D | FixedReset | Quote: 25.52 – 25.75 Spot Rate : 0.2300 Average : 0.1528 YTW SCENARIO |
| BNS.PR.Y | FixedReset | Quote: 22.45 – 22.65 Spot Rate : 0.2000 Average : 0.1313 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 15.92 – 16.23 Spot Rate : 0.3100 Average : 0.2501 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 22.74 – 22.95 Spot Rate : 0.2100 Average : 0.1538 YTW SCENARIO |
| ELF.PR.F | Perpetual-Discount | Quote: 24.88 – 25.05 Spot Rate : 0.1700 Average : 0.1154 YTW SCENARIO |
| POW.PR.B | Perpetual-Premium | Quote: 25.39 – 25.64 Spot Rate : 0.2500 Average : 0.1958 YTW SCENARIO |