PerpetualDiscounts now yield 5.45%, equivalent to 7.08% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a slight (and perhaps spurious) widening from the 305bp reported May 2.
| 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 | -0.5985 % | 2,958.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5985 % | 5,429.0 |
| Floater | 3.38 % | 3.61 % | 90,201 | 18.23 | 4 | -0.5985 % | 3,128.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0554 % | 3,159.5 |
| SplitShare | 4.60 % | 4.68 % | 82,976 | 5.04 | 5 | 0.0554 % | 3,773.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0554 % | 2,943.9 |
| Perpetual-Premium | 5.63 % | -4.04 % | 70,422 | 0.09 | 10 | -0.0552 % | 2,867.2 |
| Perpetual-Discount | 5.42 % | 5.45 % | 63,124 | 14.72 | 24 | -0.1104 % | 2,940.7 |
| FixedReset | 4.27 % | 4.64 % | 166,869 | 4.04 | 103 | 0.3944 % | 2,542.7 |
| Deemed-Retractible | 5.13 % | 5.62 % | 81,779 | 5.60 | 27 | 0.1216 % | 2,944.5 |
| FloatingReset | 3.06 % | 3.35 % | 31,139 | 3.56 | 8 | 0.3837 % | 2,791.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.A | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 5.06 % |
| CU.PR.I | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 2.22 % |
| RY.PR.Z | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 22.86 Evaluated at bid price : 23.40 Bid-YTW : 4.62 % |
| TRP.PR.B | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 4.95 % |
| W.PR.K | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.22 % |
| GWO.PR.N | FixedReset | 1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.60 % |
| BMO.PR.S | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 23.22 Evaluated at bid price : 23.76 Bid-YTW : 4.67 % |
| BAM.PF.E | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 23.29 Evaluated at bid price : 23.64 Bid-YTW : 4.98 % |
| RY.PR.H | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 23.02 Evaluated at bid price : 23.50 Bid-YTW : 4.64 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.H | FixedReset | 164,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 5.04 % |
| RY.PR.Q | FixedReset | 73,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 3.48 % |
| NA.PR.X | FixedReset | 57,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.19 Bid-YTW : 3.89 % |
| BMO.PR.S | FixedReset | 57,176 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 23.22 Evaluated at bid price : 23.76 Bid-YTW : 4.67 % |
| IAG.PR.I | FixedReset | 53,435 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 4.71 % |
| RY.PR.Z | FixedReset | 47,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-09 Maturity Price : 22.86 Evaluated at bid price : 23.40 Bid-YTW : 4.62 % |
| There were 21 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: 21.29 – 25.00 Spot Rate : 3.7100 Average : 2.2059 YTW SCENARIO |
| HSE.PR.G | FixedReset | Quote: 25.10 – 27.00 Spot Rate : 1.9000 Average : 1.1179 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 19.00 – 19.50 Spot Rate : 0.5000 Average : 0.2847 YTW SCENARIO |
| PWF.PR.E | Perpetual-Discount | Quote: 24.68 – 25.05 Spot Rate : 0.3700 Average : 0.2935 YTW SCENARIO |
| ELF.PR.H | Perpetual-Discount | Quote: 24.65 – 24.89 Spot Rate : 0.2400 Average : 0.1783 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 21.04 – 21.38 Spot Rate : 0.3400 Average : 0.2795 YTW SCENARIO |
BK.PR.A had an overnight offering… any comments?
https://docs.wixstatic.com/ugd/78f11d_8304e56f11554d318e076cf7b07176af.pdf