PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, unchanged from February 14.
| 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 | 1.1782 % | 3,037.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1782 % | 5,574.1 |
| Floater | 3.27 % | 3.48 % | 93,144 | 18.51 | 4 | 1.1782 % | 3,212.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5281 % | 3,158.9 |
| SplitShare | 4.69 % | 3.99 % | 66,014 | 3.34 | 5 | 0.5281 % | 3,772.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5281 % | 2,943.4 |
| Perpetual-Premium | 5.45 % | 4.95 % | 65,142 | 14.38 | 20 | -0.1455 % | 2,829.8 |
| Perpetual-Discount | 5.42 % | 5.40 % | 85,128 | 14.77 | 14 | -0.0317 % | 2,936.3 |
| FixedReset | 4.25 % | 4.62 % | 157,756 | 5.89 | 102 | 0.2279 % | 2,516.8 |
| Deemed-Retractible | 5.14 % | 5.67 % | 89,652 | 5.73 | 28 | 0.0150 % | 2,909.3 |
| FloatingReset | 3.01 % | 3.03 % | 37,965 | 3.72 | 10 | -0.0347 % | 2,766.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.Z | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 23.08 Evaluated at bid price : 24.75 Bid-YTW : 4.97 % |
| BAM.PR.T | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 4.92 % |
| MFC.PR.G | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-19 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 4.16 % |
| BAM.PR.R | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 4.97 % |
| PWF.PR.P | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.41 % |
| PVS.PR.F | SplitShare | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.58 % |
| BAM.PR.C | Floater | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.48 % |
| PWF.PR.A | Floater | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 21.27 Evaluated at bid price : 21.54 Bid-YTW : 2.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.Q | FixedReset | 176,690 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 3.88 % |
| TD.PF.A | FixedReset | 118,862 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 23.07 Evaluated at bid price : 23.46 Bid-YTW : 4.58 % |
| TD.PF.D | FixedReset | 109,486 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 23.19 Evaluated at bid price : 24.26 Bid-YTW : 4.82 % |
| TRP.PR.G | FixedReset | 100,525 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-21 Maturity Price : 23.01 Evaluated at bid price : 24.00 Bid-YTW : 5.00 % |
| W.PR.M | FixedReset | 100,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.07 Bid-YTW : 4.11 % |
| MFC.PR.Q | FixedReset | 71,660 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.75 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.D | FixedReset | Quote: 25.07 – 25.49 Spot Rate : 0.4200 Average : 0.2601 YTW SCENARIO |
| BAM.PF.G | FixedReset | Quote: 24.29 – 24.66 Spot Rate : 0.3700 Average : 0.2231 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 17.32 – 17.73 Spot Rate : 0.4100 Average : 0.2633 YTW SCENARIO |
| BAM.PF.D | Perpetual-Discount | Quote: 21.76 – 22.25 Spot Rate : 0.4900 Average : 0.3531 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 21.26 – 21.71 Spot Rate : 0.4500 Average : 0.3336 YTW SCENARIO |
| BAM.PF.E | FixedReset | Quote: 23.56 – 24.04 Spot Rate : 0.4800 Average : 0.3757 YTW SCENARIO |