PerpetualDiscounts now yield 4.99%, equivalent to 6.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.16%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is slightly (and perhaps spuriously) wider at 335bp than the 330bp reported February 24.
| 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 | -0.6878 % | 2,232.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6878 % | 4,096.4 |
| Floater | 3.87 % | 3.87 % | 49,959 | 17.62 | 3 | -0.6878 % | 2,360.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2340 % | 3,669.2 |
| SplitShare | 4.78 % | 4.05 % | 34,743 | 3.66 | 9 | -0.2340 % | 4,381.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2340 % | 3,418.8 |
| Perpetual-Premium | 5.32 % | -1.50 % | 73,400 | 0.09 | 21 | -0.0971 % | 3,238.4 |
| Perpetual-Discount | 4.94 % | 4.99 % | 86,413 | 15.43 | 13 | -0.0190 % | 3,741.6 |
| FixedReset Disc | 4.42 % | 3.76 % | 181,156 | 17.50 | 52 | 0.6513 % | 2,622.4 |
| Insurance Straight | 5.02 % | 4.62 % | 80,875 | 15.05 | 22 | 0.2913 % | 3,624.2 |
| FloatingReset | 3.06 % | 3.40 % | 33,078 | 18.79 | 2 | 1.0381 % | 2,352.0 |
| FixedReset Prem | 5.08 % | 3.61 % | 231,311 | 1.19 | 26 | 0.1178 % | 2,718.2 |
| FixedReset Bank Non | 1.81 % | 1.98 % | 234,614 | 0.48 | 1 | 0.0000 % | 2,890.8 |
| FixedReset Ins Non | 4.41 % | 3.70 % | 137,947 | 17.78 | 22 | 0.3031 % | 2,784.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 3.87 % |
| RY.PR.O | Perpetual-Premium | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 24.77 Evaluated at bid price : 25.26 Bid-YTW : 4.86 % |
| IFC.PR.I | Perpetual-Premium | -1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.96 % |
| EIT.PR.A | SplitShare | -1.12 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.04 % |
| CU.PR.G | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 23.04 Evaluated at bid price : 23.50 Bid-YTW : 4.79 % |
| IFC.PR.C | FixedReset Ins Non | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 22.17 Evaluated at bid price : 22.86 Bid-YTW : 3.80 % |
| BMO.PR.C | FixedReset Prem | 1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 3.61 % |
| CCS.PR.C | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 24.55 Evaluated at bid price : 24.80 Bid-YTW : 5.03 % |
| TRP.PR.F | FloatingReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 3.40 % |
| GWO.PR.N | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 3.46 % |
| BMO.PR.S | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 22.42 Evaluated at bid price : 23.01 Bid-YTW : 3.51 % |
| CM.PR.Q | FixedReset Disc | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 22.70 Evaluated at bid price : 23.74 Bid-YTW : 3.64 % |
| RY.PR.M | FixedReset Disc | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 22.22 Evaluated at bid price : 22.88 Bid-YTW : 3.62 % |
| TRP.PR.A | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 4.35 % |
| TRP.PR.G | FixedReset Disc | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.50 % |
| CU.PR.C | FixedReset Disc | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 20.44 Evaluated at bid price : 20.44 Bid-YTW : 3.97 % |
| BAM.PR.X | FixedReset Disc | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 15.54 Evaluated at bid price : 15.54 Bid-YTW : 4.29 % |
| BAM.PF.B | FixedReset Disc | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 4.45 % |
| TRP.PR.B | FixedReset Disc | 3.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 12.44 Evaluated at bid price : 12.44 Bid-YTW : 4.05 % |
| TRP.PR.E | FixedReset Disc | 7.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.F | FloatingReset | 413,533 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 3.40 % |
| TRP.PR.J | FixedReset Prem | 213,340 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 2.21 % |
| TRP.PR.A | FixedReset Disc | 191,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 4.35 % |
| TRP.PR.D | FixedReset Disc | 138,528 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 4.30 % |
| TD.PF.A | FixedReset Disc | 121,980 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 22.30 Evaluated at bid price : 22.88 Bid-YTW : 3.44 % |
| MFC.PR.O | FixedReset Ins Non | 116,558 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 2.05 % |
| TD.PF.J | FixedReset Disc | 102,260 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 23.31 Evaluated at bid price : 24.41 Bid-YTW : 3.69 % |
| TRP.PR.E | FixedReset Disc | 100,670 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-03 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.33 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.O | Perpetual-Premium | Quote: 25.26 – 25.80 Spot Rate : 0.5400 Average : 0.3318 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 25.51 – 25.92 Spot Rate : 0.4100 Average : 0.2488 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 23.76 – 24.25 Spot Rate : 0.4900 Average : 0.3731 YTW SCENARIO |
| PVS.PR.F | SplitShare | Quote: 25.70 – 26.05 Spot Rate : 0.3500 Average : 0.2348 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 20.44 – 20.95 Spot Rate : 0.5100 Average : 0.4004 YTW SCENARIO |
| IFC.PR.I | Perpetual-Premium | Quote: 26.00 – 26.70 Spot Rate : 0.7000 Average : 0.6019 YTW SCENARIO |
