PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is significantly narrower at 320bp than the 335bp reported March 3.
| 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 | 0.2679 % | 2,264.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2679 % | 4,155.6 |
| Floater | 3.82 % | 3.86 % | 55,312 | 17.64 | 3 | 0.2679 % | 2,394.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1343 % | 3,673.9 |
| SplitShare | 4.77 % | 4.03 % | 36,816 | 3.64 | 9 | -0.1343 % | 4,387.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1343 % | 3,423.2 |
| Perpetual-Premium | 5.33 % | 4.19 % | 74,997 | 0.10 | 21 | 0.0731 % | 3,232.6 |
| Perpetual-Discount | 4.96 % | 5.01 % | 81,953 | 15.45 | 13 | 0.0764 % | 3,722.5 |
| FixedReset Disc | 4.42 % | 3.82 % | 188,998 | 17.32 | 52 | -0.3198 % | 2,622.9 |
| Insurance Straight | 5.02 % | 4.63 % | 79,517 | 15.47 | 22 | -0.0803 % | 3,624.2 |
| FloatingReset | 3.00 % | 3.32 % | 39,126 | 18.97 | 2 | 0.7483 % | 2,385.9 |
| FixedReset Prem | 5.07 % | 3.71 % | 239,231 | 1.02 | 26 | 0.0664 % | 2,719.5 |
| FixedReset Bank Non | 1.81 % | 2.06 % | 222,986 | 0.46 | 1 | 0.0400 % | 2,890.8 |
| FixedReset Ins Non | 4.43 % | 3.78 % | 138,566 | 17.55 | 22 | 0.1251 % | 2,775.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.E | FixedReset Disc | -6.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.74 % |
| BIP.PR.E | FixedReset Disc | -3.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 23.48 Evaluated at bid price : 23.80 Bid-YTW : 5.25 % |
| TRP.PR.G | FixedReset Disc | -2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 4.55 % |
| IFC.PR.C | FixedReset Ins Non | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 21.89 Evaluated at bid price : 22.40 Bid-YTW : 4.01 % |
| PWF.PR.P | FixedReset Disc | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 3.99 % |
| BAM.PF.E | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.61 % |
| TRP.PR.C | FixedReset Disc | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 4.40 % |
| BMO.PR.Y | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 22.31 Evaluated at bid price : 23.00 Bid-YTW : 3.78 % |
| BAM.PR.T | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.64 % |
| SLF.PR.E | Insurance Straight | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 24.01 Evaluated at bid price : 24.26 Bid-YTW : 4.63 % |
| BAM.PR.Z | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 21.80 Evaluated at bid price : 22.30 Bid-YTW : 4.48 % |
| BAM.PF.C | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 24.10 Evaluated at bid price : 24.36 Bid-YTW : 5.05 % |
| IFC.PR.G | FixedReset Ins Non | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 22.55 Evaluated at bid price : 23.03 Bid-YTW : 3.99 % |
| CU.PR.F | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 22.82 Evaluated at bid price : 23.20 Bid-YTW : 4.86 % |
| SLF.PR.J | FloatingReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 14.37 Evaluated at bid price : 14.37 Bid-YTW : 2.63 % |
| MFC.PR.Q | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 22.89 Evaluated at bid price : 23.60 Bid-YTW : 3.78 % |
| MFC.PR.F | FixedReset Ins Non | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 3.56 % |
| SLF.PR.G | FixedReset Ins Non | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 3.69 % |
| BAM.PF.B | FixedReset Disc | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.46 % |
| TRP.PR.A | FixedReset Disc | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.42 % |
| BAM.PF.A | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 22.37 Evaluated at bid price : 22.80 Bid-YTW : 4.43 % |
| GWO.PR.N | FixedReset Ins Non | 2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 3.50 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.J | FixedReset Prem | 289,851 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 2.04 % |
| CU.PR.C | FixedReset Disc | 183,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 4.06 % |
| SLF.PR.A | Insurance Straight | 145,757 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 24.57 Evaluated at bid price : 24.83 Bid-YTW : 4.78 % |
| IAF.PR.G | FixedReset Ins Non | 90,364 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 23.54 Evaluated at bid price : 24.00 Bid-YTW : 3.90 % |
| CM.PR.R | FixedReset Disc | 87,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-10 Maturity Price : 23.79 Evaluated at bid price : 25.05 Bid-YTW : 4.27 % |
| MFC.PR.R | FixedReset Ins Non | 76,850 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 3.34 % |
| There were 59 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.E | FixedReset Disc | Quote: 19.25 – 20.80 Spot Rate : 1.5500 Average : 0.8663 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 18.00 – 19.45 Spot Rate : 1.4500 Average : 0.8483 YTW SCENARIO |
| RS.PR.A | SplitShare | Quote: 10.39 – 11.39 Spot Rate : 1.0000 Average : 0.6754 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 23.80 – 24.60 Spot Rate : 0.8000 Average : 0.4801 YTW SCENARIO |
| IFC.PR.C | FixedReset Ins Non | Quote: 22.40 – 23.16 Spot Rate : 0.7600 Average : 0.4533 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 15.10 – 15.77 Spot Rate : 0.6700 Average : 0.3908 YTW SCENARIO |