PerpetualDiscounts now yield 5.42%, equivalent to 7.05% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.9%, so the pre-tax interest-equivalent spread is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported April 4.
| 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 | 0.1509 % | 3,019.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1509 % | 5,539.7 |
| Floater | 3.31 % | 3.50 % | 108,290 | 18.54 | 4 | 0.1509 % | 3,192.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0888 % | 3,159.3 |
| SplitShare | 4.56 % | 4.55 % | 80,959 | 5.12 | 4 | -0.0888 % | 3,772.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0888 % | 2,943.8 |
| Perpetual-Premium | 5.57 % | -5.27 % | 76,386 | 0.09 | 11 | 0.0827 % | 2,862.8 |
| Perpetual-Discount | 5.40 % | 5.42 % | 70,343 | 14.80 | 24 | 0.0555 % | 2,942.1 |
| FixedReset | 4.32 % | 4.68 % | 166,088 | 5.79 | 104 | 0.0498 % | 2,505.4 |
| Deemed-Retractible | 5.13 % | 5.65 % | 84,859 | 5.67 | 28 | 0.1427 % | 2,944.3 |
| FloatingReset | 2.98 % | 2.95 % | 36,701 | 3.61 | 11 | 0.0767 % | 2,755.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.G | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.90 Bid-YTW : 7.73 % |
| PWF.PR.Q | FloatingReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-11 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 3.17 % |
| MFC.PR.Q | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.74 % |
| GWO.PR.N | FixedReset | 1.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.63 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Q | FixedReset | 158,139 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.42 Bid-YTW : 3.81 % |
| W.PR.M | FixedReset | 98,646 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.45 % |
| CM.PR.S | FixedReset | 89,331 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-11 Maturity Price : 22.90 Evaluated at bid price : 24.25 Bid-YTW : 4.53 % |
| BMO.PR.C | FixedReset | 82,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.35 % |
| PWF.PR.Z | Perpetual-Discount | 70,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-11 Maturity Price : 23.50 Evaluated at bid price : 23.83 Bid-YTW : 5.40 % |
| RY.PR.I | FixedReset | 64,968 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 3.74 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.Q | FloatingReset | Quote: 21.21 – 21.74 Spot Rate : 0.5300 Average : 0.3419 YTW SCENARIO |
| SLF.PR.G | FixedReset | Quote: 18.90 – 19.48 Spot Rate : 0.5800 Average : 0.4018 YTW SCENARIO |
| TRP.PR.G | FixedReset | Quote: 23.51 – 24.03 Spot Rate : 0.5200 Average : 0.3715 YTW SCENARIO |
| TD.PF.D | FixedReset | Quote: 23.92 – 24.30 Spot Rate : 0.3800 Average : 0.2359 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 18.63 – 19.00 Spot Rate : 0.3700 Average : 0.2266 YTW SCENARIO |
| BIP.PR.A | FixedReset | Quote: 24.41 – 24.75 Spot Rate : 0.3400 Average : 0.2146 YTW SCENARIO |