PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a sharp widening from the 300bp reported February 21.
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 | 2.7426 % | 3,066.5 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.7426 % | 5,626.9 |
Floater | 3.24 % | 3.45 % | 102,761 | 18.57 | 4 | 2.7426 % | 3,242.8 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2205 % | 3,157.4 |
SplitShare | 4.70 % | 4.07 % | 62,502 | 3.32 | 5 | 0.2205 % | 3,770.7 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2205 % | 2,942.0 |
Perpetual-Premium | 5.45 % | 5.05 % | 77,646 | 14.35 | 20 | -0.0420 % | 2,825.4 |
Perpetual-Discount | 5.42 % | 5.43 % | 86,305 | 14.72 | 14 | -0.1900 % | 2,936.3 |
FixedReset | 4.24 % | 4.57 % | 166,005 | 4.27 | 102 | 0.1690 % | 2,524.8 |
Deemed-Retractible | 5.19 % | 5.73 % | 92,658 | 5.78 | 28 | 0.0030 % | 2,907.6 |
FloatingReset | 2.94 % | 2.90 % | 36,532 | 3.70 | 10 | 0.1458 % | 2,773.6 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BAM.PF.D | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-28 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 5.65 % |
BAM.PR.M | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-28 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.68 % |
BAM.PF.J | FixedReset | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.68 % |
BAM.PR.X | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-28 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.88 % |
MFC.PR.R | FixedReset | 1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.83 % |
PWF.PR.A | Floater | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-28 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 2.78 % |
BAM.PR.K | Floater | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-28 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 3.46 % |
BAM.PR.C | Floater | 3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-28 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 3.46 % |
BAM.PR.B | Floater | 3.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-28 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 3.45 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
MFC.PR.Q | FixedReset | 124,465 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 4.82 % |
BAM.PF.I | FixedReset | 52,173 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.12 % |
W.PR.M | FixedReset | 41,930 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 4.10 % |
TD.PR.S | FixedReset | 41,900 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 3.79 % |
MFC.PR.H | FixedReset | 21,800 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 5.42 % |
SLF.PR.A | Deemed-Retractible | 21,160 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 6.80 % |
There were 17 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
BAM.PR.M | Perpetual-Discount | Quote: 21.30 – 21.69 Spot Rate : 0.3900 Average : 0.2625 YTW SCENARIO |
CCS.PR.C | Deemed-Retractible | Quote: 23.01 – 23.56 Spot Rate : 0.5500 Average : 0.4426 YTW SCENARIO |
BAM.PF.D | Perpetual-Discount | Quote: 22.00 – 22.37 Spot Rate : 0.3700 Average : 0.2710 YTW SCENARIO |
PWF.PR.L | Perpetual-Discount | Quote: 23.40 – 23.70 Spot Rate : 0.3000 Average : 0.2117 YTW SCENARIO |
HSE.PR.E | FixedReset | Quote: 25.11 – 25.32 Spot Rate : 0.2100 Average : 0.1271 YTW SCENARIO |
GWO.PR.P | Deemed-Retractible | Quote: 24.67 – 24.91 Spot Rate : 0.2400 Average : 0.1589 YTW SCENARIO |