PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported May 30.
| 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 | 0.6723 % | 2,977.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6723 % | 5,464.0 |
| Floater | 3.36 % | 3.59 % | 70,473 | 18.23 | 4 | 0.6723 % | 3,148.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1590 % | 3,173.9 |
| SplitShare | 4.63 % | 4.53 % | 78,777 | 5.02 | 5 | -0.1590 % | 3,790.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1590 % | 2,957.4 |
| Perpetual-Premium | 5.63 % | -6.28 % | 63,267 | 0.09 | 9 | -0.0654 % | 2,872.6 |
| Perpetual-Discount | 5.41 % | 5.52 % | 61,559 | 14.57 | 26 | -0.0116 % | 2,940.5 |
| FixedReset | 4.31 % | 4.72 % | 155,303 | 5.68 | 105 | 0.0103 % | 2,536.1 |
| Deemed-Retractible | 5.19 % | 5.75 % | 70,170 | 5.58 | 27 | 0.0724 % | 2,940.7 |
| FloatingReset | 3.05 % | 3.70 % | 36,083 | 3.47 | 9 | 0.2607 % | 2,791.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.K | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.19 Bid-YTW : 6.45 % |
| GWO.PR.N | FixedReset | -1.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 7.42 % |
| SLF.PR.G | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.64 Bid-YTW : 7.23 % |
| BAM.PR.K | Floater | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-06 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 3.59 % |
| CU.PR.C | FixedReset | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-06 Maturity Price : 22.07 Evaluated at bid price : 22.56 Bid-YTW : 4.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IFC.PR.G | FixedReset | 45,843 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 5.13 % |
| TD.PF.J | FixedReset | 34,670 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-06 Maturity Price : 23.21 Evaluated at bid price : 25.12 Bid-YTW : 4.75 % |
| EMA.PR.H | FixedReset | 26,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-06 Maturity Price : 23.17 Evaluated at bid price : 25.07 Bid-YTW : 4.81 % |
| TD.PF.H | FixedReset | 26,191 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.99 Bid-YTW : 3.77 % |
| RY.PR.P | Perpetual-Premium | 23,310 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 5.15 % |
| TD.PR.T | FloatingReset | 23,302 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 2.28 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PVS.PR.B | SplitShare | Quote: 25.05 – 25.62 Spot Rate : 0.5700 Average : 0.4517 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 24.85 – 25.25 Spot Rate : 0.4000 Average : 0.2965 YTW SCENARIO |
| MFC.PR.O | FixedReset | Quote: 26.21 – 26.54 Spot Rate : 0.3300 Average : 0.2298 YTW SCENARIO |
| RY.PR.P | Perpetual-Premium | Quote: 25.23 – 25.50 Spot Rate : 0.2700 Average : 0.1762 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 19.09 – 19.42 Spot Rate : 0.3300 Average : 0.2529 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 22.19 – 22.64 Spot Rate : 0.4500 Average : 0.3832 YTW SCENARIO |