An eMail from the New York Fed brought news of a new index:
The Federal Reserve Bank of New York today announced the monthly publication of a first-of-its-kind research product focused on identifying periods of widespread distress in the U.S. corporate bond market. Starting with today’s publication, the Corporate Bond Market Distress Index (CMDI)—a summary metric of U.S. corporate bond market functioning—will be updated regularly at 10:00 AM ET on the last Wednesday of each month. The CMDI was first introduced through a New York Fed Staff Report in January 2021, and a subsequent Liberty Street Economics blog post in February 2021.
The CMDI is a unified measure that identifies periods of dislocations and is associated with future realizations of other financial market conditions. By applying the CMDI to historical data, the index identifies past periods of market distress, such as those around the global financial crisis peaking in late 2008 and early 2009 as well as during COVID-19-related market stress in 2020. Additional periods since the beginning of 2022 were identified in a recent Liberty Street Economics blog post in June 2022.
PerpetualDiscounts now yield 6.07%, equivalent to 7.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.33%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 255bp from the 260bp reported June 22.
| 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< br>Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.0 0 |
0 | 2.0619 % | 2,535.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.0619 % | 4,863.1 |
| Floater | 4.91 % | 4.88 % | 43,873 | 15.71 | 3 | 2.0619 % | 2,802.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0129 % | 3,463.3 |
| SplitShare | 4.91 % | 5.62 % | 44,842 | 3.19 | 8 | -0. 0129 % |
4,135.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0129 % | 3,227.0 |
| Perpetual-Premium | 6.14 % | 6.20 % | 78,333 | 13.51 | 2 | -1.1012 % | 2,813.5 |
| Perpetual-Discount | 5.99 % | 6.07 % | 61,918 | 13.79 | 34 | 0.2711 % | 3,098.1 |
| FixedReset Disc | 4.66 % | 6.41 % | 116,655 | 13.51 | 57 | 0.3124 % | 2,506.0 |
| Insurance Straight | 6.03 % | 6.08 % | 88,190 | 13.83 | 19 | 0.5528 % | 2 ,984.4 |
| FloatingReset | 5.79 % | 6.01 % | 45,356 | 13.88 | 2 | 1.1798 % | 2,645.2 |
| FixedReset Prem | 5.06 % | 4.90 % | 138,256 | 1.98 | 9 | 0.1055 % | 2,605.6 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3124 % | 2,561.7 |
| FixedReset Ins Non | 4.60 % | 6.40 % | 69,411 | 13.48 | 15 | -0. 0865 % |
2,611.6 |
<
td>Notes
| Performance Highlights | |||
| Issue | Index | Change | |
| GWO.PR.P | Insurance Straight | -2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 6.27 % |
| TRP.PR.E | FixedReset Disc | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 7.52 % |
| TRP.PR.D | FixedReset Disc | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 7.51 % |
| MFC.PR.F | FixedReset Ins Non | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 7.10 % |
| POW.PR.C | Perpetual-Premium | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 6.21 % |
| SLF.PR.G | FixedReset Ins Non | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 7.10 % |
| IFC.PR.A | FixedReset Ins Non | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 6.46 % |
| PWF.PR.T | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.76 % |
| FTS.PR.G | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.71 % |
| PWF.PR.Z | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 6.13 % |
| ELF.PR.F | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.03 % |
| MFC.PR.J | FixedReset Ins Non | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 22.90 Evaluated at bid price : 23.55 Bid-YTW : 6.19 % |
| CCS.PR.C | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.85 % |
| TD.PF.K | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 23.24 Evaluated at bid price : 23.70 Bid-YTW : 6.12 % |
| NA.PR.S | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 6.40 % |
| CU.PR.J | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.01 % |
| ELF.PR.H | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 23.00 Evaluated at bid price : 23.27 Bid-YTW : 5.92 % |
| POW.PR.D | Perpetual-Discount | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 6.02 % |
| FTS.PR.M | FixedReset Disc | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.76 % |
| IFC.PR.F | Insurance Straight | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 22.01 Evaluated at bid price : 22.30 Bid-YTW : 5.97 % |
| GWO.PR.T | Insurance Straight | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.05 % |
| BMO.PR.T | FixedReset Disc | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.34 % |
| RY.PR.O | Perpetual-Discount | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 23.04 Evaluated at bid price : 23.45 Bid-YTW : 5.27 % |
| GWO.PR.Y | Insurance Straight | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.13 % |
| IFC.PR.K | Perpetual-Discount | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.51 Evaluated at bid price : 21.81 Bid-YTW : 6.04 % |
| GWO.PR.R | Insurance Straight | 2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 6.19 % |
| BAM.PR.B | Floater | 2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 13.29 Evaluated at bid price : 13.29 Bid-YTW : 4.88 % |
| TRP.PR.F | FloatingReset | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 6.01 % |
| BAM.PR.K | Floater | 3.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 13.29 Evaluated at bid price : 13.29 Bid-YTW : 4.88 % |
| RY.PR.J | FixedReset Disc | 4.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 6.41 % |
| IFC.PR.C | FixedReset Disc | 8.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.73 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RS.PR.A | SplitShare | 49,385 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.03 Bid-YTW : 5.11 % |
| TD.PF.J | FixedReset Disc | 47,720 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 23.24 Evaluated at bid price : 23.85 Bid-YTW : 6.25 % |
| GWO.PR.M | Insurance Straight | 45,745 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 6.27 % |
| IFC.PR.G | FixedReset Ins Non | 37,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.98 Evaluated at bid price : 22.56 Bid-YTW : 6.38 % |
| BMO.PR.E | FixedReset Disc | 31,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 23.57 Evaluated at bid price : 24.00 Bid-YTW : 6.13 % |
| PWF.PF.A | Perpetual-Discount | 27,169 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 6.15 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.K | Floater | Quote: 13.29 – 15.31 Spot Rate : 2.0200 Average : 1.3907 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 13.29 Evaluated at bid price : 13.29 Bid-YTW : 4.88 % |
| PWF.PR.T | FixedReset Disc | Quote: 20.50 – 22.25 Spot Rate : 1.7500 Average : 1.1378 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.76 % |
| MFC.PR.L | FixedReset Ins Non | Quote: 18.75 – 24.35 Spot Rate : 5.6000 Average : 5.0790 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.99 % |
| GWO.PR.P | Insurance Straight | Quote: 21.65 – 22.65 Spot Rate : 1.0000 Average : 0.6891 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 6.27 % |
| RY.PR.O | Perpetual-Discount | Quote: 23.45 – 24.40 Spot Rate : 0.9500 Average : 0.6495 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 23.04 Evaluated at bid price : 23.45 Bid-YTW : 5.27 % |
| CCS.PR.C | Insurance Straight | Quote: 21.50 – 24.25 Spot Rate : 2.7500 Average : 2.4497 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-29 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.85 % |
[…] PerpetualDiscounts now yield 6.10%, equivalent to 7.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.23%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 270bp from the 255bp reported June 29. […]