PerpetualDiscounts now yield about 5.49%, equivalent to 7.14% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a slight (and perhaps spurious) widening from the 315bp reported February 28.
| 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 | 0.4301 % | 3,073.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4301 % | 5,640.5 |
| Floater | 3.23 % | 3.44 % | 113,922 | 18.59 | 4 | 0.4301 % | 3,250.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0548 % | 3,167.6 |
| SplitShare | 4.69 % | 3.91 % | 63,045 | 3.31 | 5 | 0.0548 % | 3,782.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0548 % | 2,951.5 |
| Perpetual-Premium | 5.63 % | 4.98 % | 79,697 | 0.79 | 11 | -0.0790 % | 2,826.0 |
| Perpetual-Discount | 5.35 % | 5.49 % | 91,128 | 14.61 | 23 | 0.0000 % | 2,926.7 |
| FixedReset | 4.27 % | 4.59 % | 170,601 | 5.92 | 103 | -0.0737 % | 2,510.6 |
| Deemed-Retractible | 5.19 % | 5.74 % | 94,934 | 5.76 | 28 | -0.0091 % | 2,907.8 |
| FloatingReset | 3.01 % | 3.03 % | 39,966 | 3.68 | 10 | 0.1284 % | 2,760.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.B | FixedReset | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-03-07 Maturity Price : 16.63 Evaluated at bid price : 16.63 Bid-YTW : 4.68 % |
| PWF.PR.Z | Perpetual-Discount | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-03-07 Maturity Price : 23.53 Evaluated at bid price : 23.87 Bid-YTW : 5.45 % |
| RY.PR.O | Perpetual-Discount | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-03-07 Maturity Price : 24.00 Evaluated at bid price : 24.41 Bid-YTW : 5.04 % |
| BAM.PF.D | Perpetual-Discount | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-03-07 Maturity Price : 21.71 Evaluated at bid price : 22.07 Bid-YTW : 5.64 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.H | FixedReset | 430,266 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.87 Bid-YTW : 4.05 % |
| IAG.PR.I | FixedReset | 382,460 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.89 % |
| PWF.PR.P | FixedReset | 108,195 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-03-07 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 4.32 % |
| TD.PR.T | FloatingReset | 100,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 2.91 % |
| GWO.PR.N | FixedReset | 98,815 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.48 % |
| BNS.PR.Q | FixedReset | 56,702 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 3.82 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NA.PR.E | FixedReset | Quote: 24.38 – 24.79 Spot Rate : 0.4100 Average : 0.2554 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 18.76 – 19.05 Spot Rate : 0.2900 Average : 0.1706 YTW SCENARIO |
| RY.PR.O | Perpetual-Discount | Quote: 24.41 – 24.71 Spot Rate : 0.3000 Average : 0.1899 YTW SCENARIO |
| W.PR.K | FixedReset | Quote: 25.85 – 26.15 Spot Rate : 0.3000 Average : 0.1929 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 24.70 – 24.95 Spot Rate : 0.2500 Average : 0.1601 YTW SCENARIO |
| CM.PR.S | FixedReset | Quote: 24.41 – 24.65 Spot Rate : 0.2400 Average : 0.1554 YTW SCENARIO |