PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 295bp, the same as reported on May 24.
| 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 | -0.2626 % | 2,145.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2626 % | 3,937.2 |
| Floater | 3.55 % | 3.69 % | 52,231 | 18.02 | 4 | -0.2626 % | 2,269.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0079 % | 3,052.7 |
| SplitShare | 4.71 % | 4.22 % | 70,653 | 1.55 | 5 | -0.0079 % | 3,645.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0079 % | 2,844.4 |
| Perpetual-Premium | 5.30 % | -2.00 % | 73,788 | 0.09 | 23 | 0.0680 % | 2,789.4 |
| Perpetual-Discount | 5.09 % | 5.08 % | 97,253 | 15.28 | 14 | 0.2285 % | 3,003.5 |
| FixedReset | 4.51 % | 4.12 % | 196,535 | 6.55 | 94 | 0.0694 % | 2,299.7 |
| Deemed-Retractible | 4.97 % | 4.90 % | 128,110 | 6.29 | 30 | 0.3069 % | 2,906.9 |
| FloatingReset | 2.51 % | 3.06 % | 48,838 | 4.41 | 10 | 0.2711 % | 2,534.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-31 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 3.30 % |
| TRP.PR.D | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-31 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 4.17 % |
| TD.PF.F | Perpetual-Premium | -1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.67 % |
| GWO.PR.N | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.64 Bid-YTW : 9.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset | 81,845 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.07 Bid-YTW : 3.97 % |
| RY.PR.R | FixedReset | 67,640 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.84 Bid-YTW : 3.66 % |
| BMO.PR.T | FixedReset | 48,686 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-31 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.96 % |
| PWF.PR.Z | Perpetual-Premium | 45,468 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-31 Maturity Price : 24.61 Evaluated at bid price : 25.00 Bid-YTW : 5.17 % |
| BAM.PF.I | FixedReset | 42,089 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.04 % |
| BMO.PR.S | FixedReset | 41,026 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-31 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 3.93 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.H | FixedReset | Quote: 26.10 – 26.58 Spot Rate : 0.4800 Average : 0.3739 YTW SCENARIO |
| TD.PF.F | Perpetual-Premium | Quote: 25.50 – 25.88 Spot Rate : 0.3800 Average : 0.2790 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 23.13 – 23.40 Spot Rate : 0.2700 Average : 0.1782 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 18.27 – 18.58 Spot Rate : 0.3100 Average : 0.2215 YTW SCENARIO |
| CU.PR.I | FixedReset | Quote: 26.12 – 26.34 Spot Rate : 0.2200 Average : 0.1496 YTW SCENARIO |
| PVS.PR.E | SplitShare | Quote: 26.36 – 26.70 Spot Rate : 0.3400 Average : 0.2698 YTW SCENARIO |