PerpetualDiscounts now yield 5.48%, equivalent to 7.12% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.69%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 345bp, a slight (and perhaps spurious) widening from the 340bp reported May 8.
| 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 | -0.2775 % | 2,035.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2775 % | 3,735.2 |
| Floater | 5.77 % | 6.14 % | 49,288 | 13.63 | 3 | -0.2775 % | 2,152.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0453 % | 3,288.8 |
| SplitShare | 4.68 % | 4.89 % | 75,216 | 4.25 | 7 | -0.0453 % | 3,927.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0453 % | 3,064.4 |
| Perpetual-Premium | 5.53 % | 3.45 % | 88,936 | 0.09 | 12 | -0.0329 % | 2,951.6 |
| Perpetual-Discount | 5.45 % | 5.48 % | 74,230 | 14.63 | 20 | -0.4662 % | 3,097.9 |
| FixedReset Disc | 5.30 % | 5.40 % | 150,664 | 14.89 | 63 | -0.3148 % | 2,167.5 |
| Deemed-Retractible | 5.25 % | 5.97 % | 97,482 | 8.03 | 27 | -0.4471 % | 3,065.1 |
| FloatingReset | 3.98 % | 4.32 % | 47,239 | 2.60 | 4 | -0.8152 % | 2,400.6 |
| FixedReset Prem | 5.11 % | 3.82 % | 252,150 | 2.12 | 21 | 0.0575 % | 2,587.7 |
| FixedReset Bank Non | 1.97 % | 3.97 % | 147,383 | 2.62 | 3 | 0.0833 % | 2,652.0 |
| FixedReset Ins Non | 5.12 % | 6.83 % | 101,448 | 8.25 | 22 | -0.5366 % | 2,218.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.C | FixedReset Ins Non | -2.74 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.77 Bid-YTW : 8.20 % |
| TRP.PR.F | FloatingReset | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 6.26 % |
| BAM.PR.T | FixedReset Disc | -2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 15.33 Evaluated at bid price : 15.33 Bid-YTW : 6.33 % |
| BAM.PR.R | FixedReset Disc | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 6.30 % |
| MFC.PR.K | FixedReset Ins Non | -2.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.48 Bid-YTW : 7.70 % |
| BAM.PF.F | FixedReset Disc | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.15 % |
| IFC.PR.A | FixedReset Ins Non | -2.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.80 Bid-YTW : 9.64 % |
| RY.PR.M | FixedReset Disc | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 5.24 % |
| TD.PF.D | FixedReset Disc | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.35 % |
| BAM.PF.E | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 16.97 Evaluated at bid price : 16.97 Bid-YTW : 6.22 % |
| PWF.PR.Z | Perpetual-Discount | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 23.01 Evaluated at bid price : 23.32 Bid-YTW : 5.56 % |
| IFC.PR.E | Deemed-Retractible | -1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.62 Bid-YTW : 6.02 % |
| BAM.PF.C | Perpetual-Discount | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.98 % |
| IFC.PR.F | Deemed-Retractible | -1.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.93 % |
| BAM.PR.M | Perpetual-Discount | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.97 % |
| BAM.PF.A | FixedReset Disc | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.79 % |
| BAM.PF.B | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 6.05 % |
| CCS.PR.C | Deemed-Retractible | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 6.14 % |
| SLF.PR.J | FloatingReset | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.41 % |
| GWO.PR.Q | Deemed-Retractible | -1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 6.06 % |
| BAM.PR.K | Floater | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 11.36 Evaluated at bid price : 11.36 Bid-YTW : 6.18 % |
| BAM.PR.Z | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 5.91 % |
| MFC.PR.B | Deemed-Retractible | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 6.59 % |
| SLF.PR.H | FixedReset Ins Non | -1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.05 Bid-YTW : 8.08 % |
| CM.PR.R | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 22.18 Evaluated at bid price : 22.63 Bid-YTW : 5.39 % |
| MFC.PR.F | FixedReset Ins Non | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.86 Bid-YTW : 9.51 % |
| BIP.PR.F | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 21.47 Evaluated at bid price : 21.75 Bid-YTW : 5.94 % |
| EMA.PR.H | FixedReset Disc | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 22.74 Evaluated at bid price : 23.79 Bid-YTW : 5.12 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IAF.PR.G | FixedReset Ins Non | 115,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.10 % |
| BNS.PR.G | FixedReset Prem | 94,588 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 3.53 % |
| CM.PR.R | FixedReset Disc | 62,520 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 22.18 Evaluated at bid price : 22.63 Bid-YTW : 5.39 % |
| RY.PR.H | FixedReset Disc | 60,720 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.17 % |
| MFC.PR.C | Deemed-Retractible | 57,900 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 6.82 % |
| TRP.PR.B | FixedReset Disc | 57,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-15 Maturity Price : 12.24 Evaluated at bid price : 12.24 Bid-YTW : 5.85 % |
| There were 42 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.G | Perpetual-Discount | Quote: 21.00 – 21.46 Spot Rate : 0.4600 Average : 0.2979 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 20.35 – 20.83 Spot Rate : 0.4800 Average : 0.3536 YTW SCENARIO |
| NA.PR.G | FixedReset Disc | Quote: 21.70 – 22.10 Spot Rate : 0.4000 Average : 0.2750 YTW SCENARIO |
| PWF.PR.H | Perpetual-Premium | Quote: 25.36 – 25.70 Spot Rate : 0.3400 Average : 0.2197 YTW SCENARIO |
| IAF.PR.B | Deemed-Retractible | Quote: 21.72 – 22.27 Spot Rate : 0.5500 Average : 0.4499 YTW SCENARIO |
| TRP.PR.K | FixedReset Prem | Quote: 25.21 – 25.55 Spot Rate : 0.3400 Average : 0.2402 YTW SCENARIO |