PerpetualDiscounts now yield 5.41%, equivalent to 7.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a slight (and perhaps spurious) narrowing from the 315bp reported April 11.
| 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 | 1.1886 % | 2,992.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1886 % | 5,490.4 |
| Floater | 3.34 % | 3.54 % | 97,351 | 18.44 | 4 | 1.1886 % | 3,164.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0715 % | 3,148.5 |
| SplitShare | 4.62 % | 4.58 % | 78,321 | 5.10 | 5 | 0.0715 % | 3,759.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0715 % | 2,933.6 |
| Perpetual-Premium | 5.54 % | -11.94 % | 75,376 | 0.09 | 11 | 0.1431 % | 2,880.1 |
| Perpetual-Discount | 5.37 % | 5.41 % | 65,683 | 14.81 | 24 | 0.0587 % | 2,958.2 |
| FixedReset | 4.30 % | 4.70 % | 159,504 | 4.35 | 104 | 0.2155 % | 2,518.4 |
| Deemed-Retractible | 5.12 % | 5.69 % | 85,037 | 5.65 | 28 | -0.0703 % | 2,951.0 |
| FloatingReset | 3.02 % | 2.86 % | 32,356 | 3.59 | 11 | 0.2215 % | 2,766.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-18 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 3.56 % |
| TRP.PR.D | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-18 Maturity Price : 21.83 Evaluated at bid price : 22.33 Bid-YTW : 4.98 % |
| BMO.PR.Q | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.93 Bid-YTW : 4.47 % |
| TRP.PR.E | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-18 Maturity Price : 21.85 Evaluated at bid price : 22.38 Bid-YTW : 4.94 % |
| PWF.PR.A | Floater | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-18 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 2.88 % |
| BAM.PR.C | Floater | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-18 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 3.54 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.T | FixedReset | 124,214 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-18 Maturity Price : 22.36 Evaluated at bid price : 22.78 Bid-YTW : 4.77 % |
| EIT.PR.B | SplitShare | 96,665 | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2025-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.83 % |
| W.PR.M | FixedReset | 80,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 4.37 % |
| BMO.PR.Q | FixedReset | 60,255 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.93 Bid-YTW : 4.47 % |
| TD.PF.B | FixedReset | 56,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-18 Maturity Price : 22.27 Evaluated at bid price : 22.69 Bid-YTW : 4.76 % |
| GWO.PR.S | Deemed-Retractible | 54,541 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 5.30 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.T | FixedReset | Quote: 20.47 – 20.80 Spot Rate : 0.3300 Average : 0.2110 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 22.93 – 23.21 Spot Rate : 0.2800 Average : 0.1856 YTW SCENARIO |
| IAG.PR.G | FixedReset | Quote: 23.36 – 23.61 Spot Rate : 0.2500 Average : 0.1700 YTW SCENARIO |
| IFC.PR.E | Deemed-Retractible | Quote: 24.41 – 24.64 Spot Rate : 0.2300 Average : 0.1670 YTW SCENARIO |
| MFC.PR.N | FixedReset | Quote: 22.94 – 23.18 Spot Rate : 0.2400 Average : 0.1780 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 19.78 – 20.05 Spot Rate : 0.2700 Average : 0.2109 YTW SCENARIO |