FixedResets got whacked today, probably due to strength in the bond market. The five-year Canada yield dropped to 0.91%.
PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 285bp, a narrowing from the 295bp reported May 3.
| 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 | -0.5784 % | 2,150.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5784 % | 3,945.3 |
| Floater | 3.55 % | 3.73 % | 60,958 | 17.96 | 4 | -0.5784 % | 2,273.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7522 % | 3,048.5 |
| SplitShare | 4.71 % | 4.16 % | 65,640 | 1.59 | 5 | 0.7522 % | 3,640.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7522 % | 2,840.5 |
| Perpetual-Premium | 5.32 % | 3.76 % | 69,819 | 0.09 | 22 | -0.0480 % | 2,779.0 |
| Perpetual-Discount | 5.09 % | 5.10 % | 104,377 | 15.30 | 14 | -0.1347 % | 3,005.5 |
| FixedReset | 4.49 % | 4.13 % | 206,233 | 6.57 | 94 | -0.8627 % | 2,307.4 |
| Deemed-Retractible | 5.00 % | 5.03 % | 137,429 | 3.46 | 30 | -0.1616 % | 2,883.8 |
| FloatingReset | 2.51 % | 3.16 % | 49,686 | 4.45 | 10 | -0.5247 % | 2,526.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset | -4.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 15.24 Evaluated at bid price : 15.24 Bid-YTW : 4.42 % |
| MFC.PR.N | FixedReset | -2.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 6.29 % |
| MFC.PR.M | FixedReset | -2.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.78 Bid-YTW : 6.33 % |
| TD.PF.D | FixedReset | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.07 Evaluated at bid price : 22.47 Bid-YTW : 4.18 % |
| BAM.PF.B | FixedReset | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.44 % |
| RY.PR.M | FixedReset | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.49 Evaluated at bid price : 21.85 Bid-YTW : 4.13 % |
| CM.PR.O | FixedReset | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 4.02 % |
| VNR.PR.A | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.58 % |
| BAM.PR.T | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.47 % |
| CU.PR.C | FixedReset | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 4.06 % |
| BAM.PF.A | FixedReset | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.71 Evaluated at bid price : 22.16 Bid-YTW : 4.48 % |
| TRP.PR.H | FloatingReset | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 13.73 Evaluated at bid price : 13.73 Bid-YTW : 3.32 % |
| TRP.PR.G | FixedReset | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.13 Evaluated at bid price : 22.60 Bid-YTW : 4.33 % |
| CU.PR.I | FixedReset | -1.78 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.25 % |
| CM.PR.P | FixedReset | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 4.01 % |
| BAM.PR.Z | FixedReset | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.72 Evaluated at bid price : 22.15 Bid-YTW : 4.53 % |
| MFC.PR.K | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 6.61 % |
| TD.PF.C | FixedReset | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 4.02 % |
| TD.PF.E | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.39 Evaluated at bid price : 23.00 Bid-YTW : 4.16 % |
| BAM.PF.E | FixedReset | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.43 % |
| BAM.PR.K | Floater | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 12.71 Evaluated at bid price : 12.71 Bid-YTW : 3.75 % |
| CM.PR.Q | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.29 Evaluated at bid price : 22.80 Bid-YTW : 4.11 % |
| RY.PR.J | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.02 Evaluated at bid price : 22.37 Bid-YTW : 4.14 % |
| TD.PF.B | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 3.99 % |
| 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 : 21.88 Bid-YTW : 5.64 % |
| MFC.PR.L | FixedReset | -1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 6.67 % |
| SLF.PR.H | FixedReset | -1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.90 Bid-YTW : 7.24 % |
| IFC.PR.C | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 5.87 % |
| TRP.PR.C | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 15.42 Evaluated at bid price : 15.42 Bid-YTW : 4.07 % |
| TD.PF.A | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 3.96 % |
| TRP.PR.B | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.96 % |
| TRP.PR.F | FloatingReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 3.29 % |
| RY.PR.H | FixedReset | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 3.94 % |
| BAM.PF.G | FixedReset | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.32 Evaluated at bid price : 22.83 Bid-YTW : 4.35 % |
| NA.PR.W | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 4.01 % |
| MFC.PR.H | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.23 Bid-YTW : 4.58 % |
| BAM.PR.M | Perpetual-Discount | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.68 Evaluated at bid price : 22.92 Bid-YTW : 5.24 % |
| W.PR.K | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 4.56 % |
| BAM.PR.X | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 4.34 % |
| TRP.PR.D | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 4.20 % |
| BMO.PR.Y | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 22.09 Evaluated at bid price : 22.50 Bid-YTW : 4.12 % |
| IFC.PR.A | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 7.47 % |
| BMO.PR.S | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 3.98 % |
| BMO.PR.W | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 3.98 % |
| TRP.PR.E | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.16 % |
| RY.PR.Z | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 3.88 % |
| RY.PR.I | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.57 % |
| EIT.PR.A | SplitShare | 1.05 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.87 Bid-YTW : 4.37 % |
| PVS.PR.E | SplitShare | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-16 Maturity Price : 26.00 Evaluated at bid price : 26.15 Bid-YTW : -5.35 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BIP.PR.D | FixedReset | 130,508 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.75 % |
| MFC.PR.R | FixedReset | 119,414 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 4.22 % |
| MFC.PR.O | FixedReset | 87,651 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.80 Bid-YTW : 3.59 % |
| TD.PF.G | FixedReset | 76,390 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.97 Bid-YTW : 3.44 % |
| RY.PR.P | Perpetual-Premium | 67,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.04 Bid-YTW : 4.62 % |
| BAM.PR.K | Floater | 42,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-17 Maturity Price : 12.71 Evaluated at bid price : 12.71 Bid-YTW : 3.75 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.N | FixedReset | Quote: 20.75 – 21.31 Spot Rate : 0.5600 Average : 0.3846 YTW SCENARIO |
| W.PR.K | FixedReset | Quote: 25.71 – 26.20 Spot Rate : 0.4900 Average : 0.3421 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 15.24 – 15.72 Spot Rate : 0.4800 Average : 0.3356 YTW SCENARIO |
| GWO.PR.S | Deemed-Retractible | Quote: 25.35 – 25.76 Spot Rate : 0.4100 Average : 0.2665 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 19.01 – 19.37 Spot Rate : 0.3600 Average : 0.2228 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 22.92 – 23.23 Spot Rate : 0.3100 Average : 0.1945 YTW SCENARIO |