PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a slight (and perhaps spurious) widening from the 285bp reported April 19.
| 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 | -1.1391 % | 2,136.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.1391 % | 3,919.4 |
| Floater | 3.57 % | 3.69 % | 51,689 | 18.10 | 4 | -1.1391 % | 2,258.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0718 % | 3,019.9 |
| SplitShare | 4.94 % | 4.27 % | 53,141 | 0.61 | 6 | -0.0718 % | 3,606.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0718 % | 2,813.9 |
| Perpetual-Premium | 5.30 % | 0.24 % | 75,286 | 0.09 | 23 | 0.0476 % | 2,784.1 |
| Perpetual-Discount | 5.08 % | 5.10 % | 113,577 | 15.33 | 13 | 0.2496 % | 2,997.8 |
| FixedReset | 4.38 % | 3.93 % | 229,186 | 6.60 | 94 | -0.0289 % | 2,363.6 |
| Deemed-Retractible | 5.00 % | 4.75 % | 146,070 | 0.16 | 31 | -0.1360 % | 2,892.7 |
| FloatingReset | 2.51 % | 2.96 % | 55,968 | 4.50 | 9 | 0.7883 % | 2,545.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-26 Maturity Price : 14.29 Evaluated at bid price : 14.29 Bid-YTW : 3.30 % |
| BAM.PR.R | FixedReset | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-26 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 4.25 % |
| BAM.PR.Z | FixedReset | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-26 Maturity Price : 22.32 Evaluated at bid price : 23.13 Bid-YTW : 4.31 % |
| BAM.PF.B | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-26 Maturity Price : 22.19 Evaluated at bid price : 22.49 Bid-YTW : 4.13 % |
| BAM.PR.T | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-26 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 4.31 % |
| TRP.PR.D | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-26 Maturity Price : 21.32 Evaluated at bid price : 21.62 Bid-YTW : 3.99 % |
| BMO.PR.Z | Perpetual-Premium | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-08-25 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.49 % |
| BNS.PR.E | FixedReset | 1.41 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 27.28 Bid-YTW : 3.07 % |
| TRP.PR.F | FloatingReset | 8.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-26 Maturity Price : 18.93 Evaluated at bid price : 18.93 Bid-YTW : 3.28 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.R | FixedReset | 292,428 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 27.16 Bid-YTW : 3.26 % |
| TD.PF.G | FixedReset | 212,840 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.17 Bid-YTW : 3.18 % |
| TD.PF.H | FixedReset | 203,805 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.44 Bid-YTW : 3.47 % |
| TRP.PR.K | FixedReset | 119,831 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 3.93 % |
| IFC.PR.A | FixedReset | 110,606 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.33 Bid-YTW : 7.53 % |
| RY.PR.Q | FixedReset | 62,907 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 27.24 Bid-YTW : 3.05 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.G | FixedReset | Quote: 27.17 – 27.35 Spot Rate : 0.1800 Average : 0.1055 YTW SCENARIO |
| MFC.PR.O | FixedReset | Quote: 27.30 – 27.53 Spot Rate : 0.2300 Average : 0.1609 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 12.91 – 13.19 Spot Rate : 0.2800 Average : 0.2152 YTW SCENARIO |
| PVS.PR.E | SplitShare | Quote: 26.37 – 26.65 Spot Rate : 0.2800 Average : 0.2191 YTW SCENARIO |
| BAM.PF.F | FixedReset | Quote: 23.45 – 23.70 Spot Rate : 0.2500 Average : 0.1904 YTW SCENARIO |
| ELF.PR.H | Perpetual-Premium | Quote: 25.22 – 25.47 Spot Rate : 0.2500 Average : 0.1915 YTW SCENARIO |