PerpetualDiscounts now yield 5.41%, equivalent to 7.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.67%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, unchanged from the 335bp reported March 27.
| 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 | 1.1682 % | 2,102.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1682 % | 3,857.6 |
| Floater | 5.57 % | 5.76 % | 38,999 | 14.30 | 3 | 1.1682 % | 2,223.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1040 % | 3,285.5 |
| SplitShare | 4.87 % | 4.67 % | 85,008 | 3.86 | 8 | -0.1040 % | 3,923.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1040 % | 3,061.4 |
| Perpetual-Premium | 5.54 % | -8.57 % | 91,368 | 0.09 | 10 | 0.0274 % | 2,949.2 |
| Perpetual-Discount | 5.36 % | 5.41 % | 72,981 | 14.68 | 23 | 0.2751 % | 3,118.8 |
| FixedReset Disc | 5.22 % | 5.30 % | 201,763 | 15.01 | 61 | 0.3942 % | 2,196.7 |
| Deemed-Retractible | 5.21 % | 5.75 % | 95,454 | 8.17 | 27 | -0.0094 % | 3,081.7 |
| FloatingReset | 4.23 % | 4.11 % | 53,381 | 2.72 | 5 | -0.0867 % | 2,399.8 |
| FixedReset Prem | 5.05 % | 3.61 % | 305,639 | 2.21 | 22 | 0.1661 % | 2,584.5 |
| FixedReset Bank Non | 1.97 % | 3.88 % | 134,964 | 2.73 | 3 | 0.2225 % | 2,648.2 |
| FixedReset Ins Non | 4.96 % | 6.41 % | 115,641 | 8.36 | 22 | 0.2337 % | 2,272.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.C | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 6.59 % |
| TRP.PR.E | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.74 % |
| TD.PF.B | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 5.15 % |
| BAM.PF.D | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 5.67 % |
| MFC.PR.L | FixedReset Ins Non | 1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 7.59 % |
| BAM.PR.K | Floater | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 5.80 % |
| IFC.PR.C | FixedReset Ins Non | 1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.13 Bid-YTW : 7.15 % |
| BAM.PR.T | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.78 % |
| CU.PR.G | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 5.36 % |
| TRP.PR.G | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.82 % |
| MFC.PR.I | FixedReset Ins Non | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.83 Bid-YTW : 6.05 % |
| TRP.PR.J | FixedReset Prem | 1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.03 Bid-YTW : 3.78 % |
| TD.PF.E | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 5.14 % |
| BAM.PR.M | Perpetual-Discount | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.67 % |
| TRP.PR.C | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 13.21 Evaluated at bid price : 13.21 Bid-YTW : 5.68 % |
| BMO.PR.Y | FixedReset Disc | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.08 % |
| BAM.PR.N | Perpetual-Discount | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 5.71 % |
| TRP.PR.A | FixedReset Disc | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 5.82 % |
| BAM.PR.X | FixedReset Disc | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 14.28 Evaluated at bid price : 14.28 Bid-YTW : 5.69 % |
| PWF.PR.A | Floater | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 5.33 % |
| PWF.PR.P | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 5.44 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSE.PR.G | FixedReset Disc | 83,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.53 % |
| TD.PF.H | FixedReset Prem | 71,113 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.98 Bid-YTW : 3.61 % |
| BNS.PR.D | FloatingReset | 69,275 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 3.47 % |
| TRP.PR.D | FixedReset Disc | 63,630 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.69 % |
| RY.PR.S | FixedReset Disc | 61,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 21.68 Evaluated at bid price : 22.05 Bid-YTW : 4.74 % |
| BAM.PR.Z | FixedReset Disc | 55,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-03 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.69 % |
| There were 25 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.E | FixedReset Disc | Quote: 19.55 – 20.05 Spot Rate : 0.5000 Average : 0.3059 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 17.72 – 18.26 Spot Rate : 0.5400 Average : 0.3595 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 18.30 – 18.78 Spot Rate : 0.4800 Average : 0.3383 YTW SCENARIO |
| SLF.PR.D | Deemed-Retractible | Quote: 21.12 – 21.49 Spot Rate : 0.3700 Average : 0.2407 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 14.95 – 15.42 Spot Rate : 0.4700 Average : 0.3747 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 14.63 – 14.99 Spot Rate : 0.3600 Average : 0.2682 YTW SCENARIO |