PerpetualDiscounts now yield 5.36%, equivalent to 6.97% interest at the standard equivalency factor of 1.3x. Long corporates now yield slightly under 4.0%, so the pre-tax interest-equivalent spread (in the context, the “Seniority Spread”) is now about 300bp, unchanged from February 7.
| 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 | 0.3511 % | 2,939.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3511 % | 5,392.9 |
| Floater | 3.38 % | 3.57 % | 70,001 | 18.31 | 4 | 0.3511 % | 3,108.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0312 % | 3,142.8 |
| SplitShare | 4.67 % | 4.49 % | 65,348 | 4.10 | 5 | -0.0312 % | 3,753.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0312 % | 2,928.4 |
| Perpetual-Premium | 5.43 % | 4.92 % | 63,986 | 14.28 | 20 | -0.0418 % | 2,836.6 |
| Perpetual-Discount | 5.39 % | 5.36 % | 77,923 | 14.83 | 14 | -0.2644 % | 2,951.1 |
| FixedReset | 4.24 % | 4.55 % | 158,551 | 4.11 | 101 | -0.0375 % | 2,518.6 |
| Deemed-Retractible | 5.14 % | 5.72 % | 92,260 | 5.75 | 28 | -0.1184 % | 2,911.1 |
| FloatingReset | 3.09 % | 3.06 % | 38,303 | 3.73 | 10 | -0.2999 % | 2,757.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.G | Perpetual-Discount | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-14 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.36 % |
| TRP.PR.F | FloatingReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-14 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 3.81 % |
| TRP.PR.H | FloatingReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-14 Maturity Price : 17.06 Evaluated at bid price : 17.06 Bid-YTW : 3.70 % |
| CU.PR.C | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-14 Maturity Price : 21.65 Evaluated at bid price : 21.97 Bid-YTW : 4.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset | 401,013 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 4.08 % |
| BMO.PR.W | FixedReset | 154,146 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-14 Maturity Price : 22.86 Evaluated at bid price : 23.23 Bid-YTW : 4.55 % |
| BAM.PF.J | FixedReset | 108,871 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.75 % |
| CM.PR.S | FixedReset | 106,140 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-14 Maturity Price : 23.05 Evaluated at bid price : 24.68 Bid-YTW : 4.51 % |
| BAM.PF.I | FixedReset | 84,330 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.87 Bid-YTW : 4.05 % |
| BMO.PR.M | FixedReset | 81,870 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 3.87 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.Q | FixedReset | Quote: 22.53 – 22.98 Spot Rate : 0.4500 Average : 0.2665 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 25.45 – 25.85 Spot Rate : 0.4000 Average : 0.2364 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 24.10 – 24.48 Spot Rate : 0.3800 Average : 0.2570 YTW SCENARIO |
| PVS.PR.E | SplitShare | Quote: 26.21 – 26.55 Spot Rate : 0.3400 Average : 0.2351 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 21.06 – 21.57 Spot Rate : 0.5100 Average : 0.4130 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 20.91 – 21.33 Spot Rate : 0.4200 Average : 0.3249 YTW SCENARIO |