PerpetualDiscounts now yield 4.63%, equivalent to 6.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.21%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is narrower at 281bp than the 315bp reported March 17.
| 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 | -0.3762 % | 2,681.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3762 % | 4,920.2 |
| Floater | 3.24 % | 3.26 % | 97,724 | 19.12 | 3 | -0.3762 % | 2,835.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0902 % | 3,695.6 |
| SplitShare | 4.63 % | 3.82 % | 42,673 | 3.37 | 6 | 0.0902 % | 4,413.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0902 % | 3,443.5 |
| Perpetual-Premium | 5.12 % | -7.79 % | 62,727 | 0.09 | 30 | 0.1714 % | 3,304.7 |
| Perpetual-Discount | 4.63 % | 4.68 % | 47,543 | 16.03 | 4 | 0.0808 % | 3,936.7 |
| FixedReset Disc | 4.04 % | 3.74 % | 133,742 | 17.85 | 40 | 0.1972 % | 2,782.5 |
| Insurance Straight | 4.89 % | -1.62 % | 80,550 | 0.09 | 22 | 0.1570 % | 3,722.0 |
| FloatingReset | 2.79 % | 3.04 % | 36,173 | 19.66 | 2 | 0.3096 % | 2,609.8 |
| FixedReset Prem | 4.81 % | 2.66 % | 183,008 | 1.43 | 33 | 0.2095 % | 2,764.7 |
| FixedReset Bank Non | 1.80 % | 1.90 % | 91,434 | 0.13 | 1 | 0.0799 % | 2,897.8 |
| FixedReset Ins Non | 4.05 % | 3.59 % | 121,326 | 17.91 | 20 | 0.3976 % | 2,942.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset Disc | -3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 22.45 Evaluated at bid price : 23.25 Bid-YTW : 4.09 % |
| CU.PR.E | Perpetual-Premium | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 24.72 Evaluated at bid price : 25.00 Bid-YTW : 4.94 % |
| RY.PR.J | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 22.87 Evaluated at bid price : 24.00 Bid-YTW : 3.74 % |
| SLF.PR.G | FixedReset Ins Non | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 3.63 % |
| IFC.PR.I | Perpetual-Premium | -1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 4.52 % |
| BIP.PR.A | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 21.80 Evaluated at bid price : 22.16 Bid-YTW : 5.01 % |
| PWF.PR.T | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 23.00 Evaluated at bid price : 23.92 Bid-YTW : 3.62 % |
| TRP.PR.B | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 4.02 % |
| MFC.PR.H | FixedReset Ins Non | 1.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 1.16 % |
| GWO.PR.N | FixedReset Ins Non | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.42 % |
| TRP.PR.A | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 4.01 % |
| MFC.PR.F | FixedReset Ins Non | 2.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 3.42 % |
| CU.PR.H | Perpetual-Premium | 3.72 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-01 Maturity Price : 25.75 Evaluated at bid price : 25.93 Bid-YTW : 3.81 % |
| BAM.PR.X | FixedReset Disc | 13.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 4.06 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.C | FixedReset Disc | 167,213 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 21.48 Evaluated at bid price : 21.82 Bid-YTW : 3.91 % |
| CIU.PR.A | Perpetual-Discount | 72,258 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 24.54 Evaluated at bid price : 24.79 Bid-YTW : 4.68 % |
| PWF.PR.P | FixedReset Disc | 50,984 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 3.81 % |
| TRP.PR.D | FixedReset Disc | 44,362 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 4.14 % |
| TRP.PR.E | FixedReset Disc | 40,588 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 4.14 % |
| BAM.PF.E | FixedReset Disc | 39,072 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 4.20 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.I | Perpetual-Premium | Quote: 26.50 – 27.45 Spot Rate : 0.9500 Average : 0.5963 YTW SCENARIO |
| BIP.PR.B | FixedReset Prem | Quote: 26.86 – 27.86 Spot Rate : 1.0000 Average : 0.7353 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 23.25 – 24.06 Spot Rate : 0.8100 Average : 0.5626 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 24.00 – 24.60 Spot Rate : 0.6000 Average : 0.3932 YTW SCENARIO |
| CU.PR.E | Perpetual-Premium | Quote: 25.00 – 25.45 Spot Rate : 0.4500 Average : 0.3074 YTW SCENARIO |
| TD.PF.J | FixedReset Prem | Quote: 25.40 – 25.80 Spot Rate : 0.4000 Average : 0.2747 YTW SCENARIO |