PerpetualDiscounts now yield 5.45%, equivalent to 7.08% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.66%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a slight (and perhaps spurious) narrowing from the 345bp reported May 15.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.7667 % | 2,084.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7667 % | 3,825.6 |
| Floater | 5.64 % | 5.98 % | 52,978 | 13.86 | 3 | 0.7667 % | 2,204.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3185 % | 3,308.3 |
| SplitShare | 4.70 % | 4.74 % | 81,084 | 4.29 | 7 | 0.3185 % | 3,950.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3185 % | 3,082.6 |
| Perpetual-Premium | 5.53 % | 4.62 % | 82,526 | 0.09 | 12 | 0.0099 % | 2,953.2 |
| Perpetual-Discount | 5.44 % | 5.45 % | 75,236 | 14.71 | 20 | -0.1343 % | 3,104.4 |
| FixedReset Disc | 5.30 % | 5.46 % | 149,812 | 14.82 | 63 | -0.2249 % | 2,171.3 |
| Deemed-Retractible | 5.22 % | 5.87 % | 95,016 | 8.02 | 27 | -0.0694 % | 3,082.1 |
| FloatingReset | 3.95 % | 4.32 % | 44,655 | 2.58 | 4 | 0.1150 % | 2,415.1 |
| FixedReset Prem | 5.11 % | 3.84 % | 239,191 | 2.10 | 21 | -0.1131 % | 2,586.3 |
| FixedReset Bank Non | 1.98 % | 3.95 % | 155,282 | 2.60 | 3 | -0.0417 % | 2,648.3 |
| FixedReset Ins Non | 5.07 % | 6.76 % | 94,703 | 8.23 | 22 | 0.1436 % | 2,240.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.A | FixedReset Disc | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 5.95 % |
| HSE.PR.C | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 6.71 % |
| RY.PR.M | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.28 % |
| BIP.PR.F | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.17 % |
| BIP.PR.A | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.58 % |
| GWO.PR.T | Deemed-Retractible | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 5.97 % |
| TRP.PR.C | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 12.86 Evaluated at bid price : 12.86 Bid-YTW : 6.05 % |
| BAM.PF.J | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 22.40 Evaluated at bid price : 23.05 Bid-YTW : 5.19 % |
| PWF.PR.K | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 22.19 Evaluated at bid price : 22.47 Bid-YTW : 5.55 % |
| EMA.PR.F | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.74 % |
| IFC.PR.C | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.92 % |
| MFC.PR.N | FixedReset Ins Non | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.12 Bid-YTW : 7.75 % |
| IFC.PR.A | FixedReset Ins Non | 1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.13 Bid-YTW : 9.42 % |
| BAM.PR.K | Floater | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 5.98 % |
| SLF.PR.G | FixedReset Ins Non | 2.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.80 Bid-YTW : 9.06 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.F | Perpetual-Discount | 209,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 23.58 Evaluated at bid price : 23.85 Bid-YTW : 5.55 % |
| GWO.PR.G | Deemed-Retractible | 129,542 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 5.87 % |
| IAF.PR.G | FixedReset Ins Non | 89,864 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.15 % |
| PWF.PR.K | Perpetual-Discount | 72,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 22.19 Evaluated at bid price : 22.47 Bid-YTW : 5.55 % |
| BMO.PR.F | FixedReset Prem | 53,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.96 % |
| BIP.PR.F | FixedReset Disc | 45,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-22 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.17 % |
| There were 36 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.M | FixedReset Disc | Quote: 19.99 – 20.49 Spot Rate : 0.5000 Average : 0.3634 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 19.90 – 20.24 Spot Rate : 0.3400 Average : 0.2224 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 23.85 – 24.13 Spot Rate : 0.2800 Average : 0.1790 YTW SCENARIO |
| HSE.PR.C | FixedReset Disc | Quote: 18.01 – 18.46 Spot Rate : 0.4500 Average : 0.3575 YTW SCENARIO |
| BIK.PR.A | FixedReset Prem | Quote: 25.71 – 25.97 Spot Rate : 0.2600 Average : 0.1856 YTW SCENARIO |
| PVS.PR.E | SplitShare | Quote: 25.60 – 25.88 Spot Rate : 0.2800 Average : 0.2075 YTW SCENARIO |