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TXPR closed at 629.36, up 0.73% on the day. Volume was 3.69-million, second only to February 13 in the past thirty days.
CPD closed at 12.62, up 0.80% on the day. Volume of 153,711 was above average but nothing special in the context of the past thirty days.
ZPR closed at 10.20, up 0.59% on the day. Volume of 1,007,639 was enormous in the context of the past thirty days, more than double the second place March 6, when 466,822 traded.
Five-year Canada yields were up a little, up 3bp to 1.66% today, but that’s not sufficient to be considered a glib explanation.
PerpetualDiscounts now yield 5.62%, equivalent to 7.31% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 355bp, a widening from the 345bp reported March 6.
| 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 | 0.7994 % | 2,121.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7994 % | 3,892.0 |
| Floater | 5.48 % | 5.77 % | 49,946 | 14.12 | 3 | 0.7994 % | 2,243.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0646 % | 3,272.0 |
| SplitShare | 4.88 % | 4.59 % | 68,048 | 3.92 | 8 | -0.0646 % | 3,907.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0646 % | 3,048.8 |
| Perpetual-Premium | 5.65 % | -1.06 % | 57,233 | 0.09 | 9 | 0.0176 % | 2,916.0 |
| Perpetual-Discount | 5.48 % | 5.62 % | 70,451 | 14.32 | 26 | 0.2228 % | 3,031.4 |
| FixedReset Disc | 5.19 % | 5.40 % | 191,191 | 14.80 | 64 | 0.3785 % | 2,190.7 |
| Deemed-Retractible | 5.32 % | 6.13 % | 95,752 | 8.18 | 27 | 0.1674 % | 3,013.8 |
| FloatingReset | 4.19 % | 4.28 % | 47,124 | 2.75 | 5 | -0.2372 % | 2,402.7 |
| FixedReset Prem | 5.09 % | 4.10 % | 321,027 | 2.26 | 19 | 0.1762 % | 2,558.6 |
| FixedReset Bank Non | 1.98 % | 4.12 % | 149,639 | 2.78 | 3 | 0.1394 % | 2,630.4 |
| FixedReset Ins Non | 5.02 % | 6.67 % | 122,266 | 8.33 | 22 | 0.7825 % | 2,240.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| EMA.PR.H | FixedReset Disc | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 22.31 Evaluated at bid price : 23.00 Bid-YTW : 5.35 % |
| RY.PR.S | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 4.85 % |
| BIP.PR.F | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 5.94 % |
| PWF.PR.F | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 23.36 Evaluated at bid price : 23.65 Bid-YTW : 5.62 % |
| SLF.PR.I | FixedReset Ins Non | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.43 Bid-YTW : 6.61 % |
| TRP.PR.C | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 13.32 Evaluated at bid price : 13.32 Bid-YTW : 5.91 % |
| BMO.PR.Y | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 5.38 % |
| BAM.PF.F | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.60 % |
| MFC.PR.B | Deemed-Retractible | 1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 6.29 % |
| BAM.PF.G | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 5.71 % |
| MFC.PR.L | FixedReset Ins Non | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.91 Bid-YTW : 7.76 % |
| RY.PR.J | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 5.29 % |
| POW.PR.G | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 5.16 % |
| TD.PF.D | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.18 % |
| NA.PR.W | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.60 % |
| MFC.PR.R | FixedReset Ins Non | 1.62 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.77 % |
| MFC.PR.N | FixedReset Ins Non | 1.89 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.35 Bid-YTW : 7.62 % |
| HSE.PR.C | FixedReset Disc | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 6.38 % |
| MFC.PR.F | FixedReset Ins Non | 1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.64 Bid-YTW : 8.88 % |
| MFC.PR.G | FixedReset Ins Non | 1.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.46 % |
| NA.PR.S | FixedReset Disc | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.51 % |
| BIP.PR.E | FixedReset Disc | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.83 % |
| BAM.PR.B | Floater | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 5.77 % |
| MFC.PR.M | FixedReset Ins Non | 2.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.44 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.J | FixedReset Prem | 212,174 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 4.09 % |
| SLF.PR.D | Deemed-Retractible | 198,217 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.45 Bid-YTW : 6.86 % |
| RY.PR.R | FixedReset Prem | 167,703 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.28 Bid-YTW : 3.45 % |
| SLF.PR.A | Deemed-Retractible | 125,700 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.42 Bid-YTW : 6.62 % |
| RY.PR.H | FixedReset Disc | 107,733 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-13 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 5.13 % |
| NA.PR.A | FixedReset Prem | 107,143 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 4.17 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.C | Deemed-Retractible | Quote: 20.85 – 21.57 Spot Rate : 0.7200 Average : 0.4249 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 18.75 – 19.48 Spot Rate : 0.7300 Average : 0.4815 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 11.93 – 12.63 Spot Rate : 0.7000 Average : 0.4735 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 17.30 – 18.00 Spot Rate : 0.7000 Average : 0.4854 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 21.85 – 22.40 Spot Rate : 0.5500 Average : 0.3361 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 20.60 – 21.34 Spot Rate : 0.7400 Average : 0.5443 YTW SCENARIO |