PerpetualDiscounts now yield 5.61%, equivalent to 7.29% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.49%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now an unbelievable 380bp, a sharp widening from the 365bp reported June 5.
| 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 | 0.3780 % | 1,955.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3780 % | 3,588.6 |
| Floater | 6.01 % | 6.41 % | 69,333 | 13.19 | 3 | 0.3780 % | 2,068.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0228 % | 3,309.9 |
| SplitShare | 4.71 % | 4.71 % | 73,853 | 4.23 | 7 | -0.0228 % | 3,952.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0228 % | 3,084.1 |
| Perpetual-Premium | 5.62 % | -9.83 % | 77,071 | 0.08 | 7 | 0.0562 % | 2,940.8 |
| Perpetual-Discount | 5.51 % | 5.61 % | 65,975 | 14.42 | 26 | 0.0118 % | 3,055.8 |
| FixedReset Disc | 5.51 % | 5.44 % | 171,229 | 14.70 | 70 | -0.1075 % | 2,068.8 |
| Deemed-Retractible | 5.32 % | 6.08 % | 89,135 | 8.03 | 27 | -0.1558 % | 3,050.7 |
| FloatingReset | 4.09 % | 4.93 % | 53,117 | 2.52 | 4 | 0.3455 % | 2,338.5 |
| FixedReset Prem | 5.13 % | 4.02 % | 205,363 | 1.86 | 16 | -0.0195 % | 2,569.1 |
| FixedReset Bank Non | 1.99 % | 4.45 % | 160,172 | 2.54 | 3 | -0.2516 % | 2,625.8 |
| FixedReset Ins Non | 5.30 % | 7.35 % | 94,634 | 8.15 | 22 | -0.1715 % | 2,148.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.D | FixedReset Disc | -2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 5.38 % |
| IFC.PR.A | FixedReset Ins Non | -2.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.98 Bid-YTW : 9.44 % |
| MFC.PR.F | FixedReset Ins Non | -1.78 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.21 Bid-YTW : 9.97 % |
| PWF.PR.P | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 5.78 % |
| IFC.PR.F | Deemed-Retractible | -1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 6.04 % |
| TRP.PR.D | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 5.95 % |
| CU.PR.C | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 5.50 % |
| BIP.PR.A | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 6.64 % |
| BMO.PR.Y | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 5.46 % |
| MFC.PR.I | FixedReset Ins Non | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 7.43 % |
| MFC.PR.G | FixedReset Ins Non | -1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.83 Bid-YTW : 7.64 % |
| GWO.PR.S | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 6.08 % |
| NA.PR.W | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 5.73 % |
| NA.PR.C | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.62 % |
| MFC.PR.K | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.73 Bid-YTW : 7.49 % |
| BAM.PR.Z | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.07 % |
| EMA.PR.F | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 5.78 % |
| BAM.PF.J | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 22.61 Evaluated at bid price : 23.40 Bid-YTW : 5.13 % |
| SLF.PR.J | FloatingReset | 1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.70 Bid-YTW : 10.11 % |
| BIP.PR.D | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 5.90 % |
| GWO.PR.N | FixedReset Ins Non | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.82 Bid-YTW : 9.31 % |
| NA.PR.S | FixedReset Disc | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 5.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.X | FixedReset Disc | 51,663 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 12.93 Evaluated at bid price : 12.93 Bid-YTW : 6.14 % |
| BMO.PR.S | FixedReset Disc | 49,137 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 5.31 % |
| GWO.PR.Q | Deemed-Retractible | 48,050 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.93 Bid-YTW : 6.23 % |
| TD.PF.L | FixedReset Disc | 43,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 22.98 Evaluated at bid price : 24.47 Bid-YTW : 4.89 % |
| TD.PF.K | FixedReset Disc | 42,825 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 5.25 % |
| PWF.PR.R | Perpetual-Premium | 36,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-12 Maturity Price : 24.43 Evaluated at bid price : 24.82 Bid-YTW : 5.60 % |
| 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: 19.70 – 20.60 Spot Rate : 0.9000 Average : 0.6236 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 17.16 – 17.72 Spot Rate : 0.5600 Average : 0.3733 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 19.51 – 19.98 Spot Rate : 0.4700 Average : 0.3196 YTW SCENARIO |
| HSE.PR.A | FixedReset Disc | Quote: 12.10 – 12.50 Spot Rate : 0.4000 Average : 0.2636 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 18.91 – 19.25 Spot Rate : 0.3400 Average : 0.2106 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 20.60 – 20.99 Spot Rate : 0.3900 Average : 0.2613 YTW SCENARIO |