PerpetualDiscounts now yield 5.45%, equivalent to 7.08% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.90%, so the pre-tax interest equivalent spread is now about 320bp, a slight (and perhaps spurious) narrowing from the 325bp reported March 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 | -0.2365 % | 2,965.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2365 % | 5,441.1 |
| Floater | 3.37 % | 3.57 % | 104,531 | 18.40 | 4 | -0.2365 % | 3,135.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1879 % | 3,150.3 |
| SplitShare | 4.57 % | 4.57 % | 79,572 | 5.14 | 4 | -0.1879 % | 3,762.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1879 % | 2,935.3 |
| Perpetual-Premium | 5.55 % | -4.18 % | 70,816 | 0.09 | 11 | 0.0358 % | 2,857.1 |
| Perpetual-Discount | 5.38 % | 5.45 % | 74,409 | 14.66 | 24 | -0.0731 % | 2,939.0 |
| FixedReset | 4.32 % | 4.65 % | 172,503 | 5.83 | 104 | -0.0461 % | 2,498.9 |
| Deemed-Retractible | 5.17 % | 5.82 % | 93,603 | 5.68 | 28 | -0.2802 % | 2,922.5 |
| FloatingReset | 2.98 % | 3.04 % | 36,120 | 3.61 | 11 | -0.4087 % | 2,733.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Q | FloatingReset | -7.02 % | Clearly a nonsensical quote, as the issue traded 19,000 shares today in a range of 21.30-44, with the last trade actually appearing in the extended session, 5,900 shares at 21.40. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.
Nonsense Central also had trouble with this issue on March 20. YTW SCENARIO |
| TRP.PR.C | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-04-04 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.77 % |
| IFC.PR.F | Deemed-Retractible | -1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.70 % |
| PVS.PR.F | SplitShare | -1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.75 % |
| IFC.PR.C | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.97 Bid-YTW : 5.41 % |
| IFC.PR.E | Deemed-Retractible | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 5.82 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.S | FixedReset | 68,700 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.86 % |
| W.PR.M | FixedReset | 57,680 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 4.49 % |
| BNS.PR.Y | FixedReset | 54,700 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.37 % |
| BNS.PR.Z | FixedReset | 52,666 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.91 Bid-YTW : 4.76 % |
| BMO.PR.C | FixedReset | 41,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 4.32 % |
| TD.PR.T | FloatingReset | 40,100 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 3.04 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.Q | FloatingReset | Quote: 19.86 – 21.40 Spot Rate : 1.5400 Average : 1.0015 YTW SCENARIO |
| W.PR.K | FixedReset | Quote: 25.65 – 26.35 Spot Rate : 0.7000 Average : 0.4962 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 24.50 – 25.00 Spot Rate : 0.5000 Average : 0.3256 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 23.07 – 23.54 Spot Rate : 0.4700 Average : 0.3052 YTW SCENARIO |
| PVS.PR.B | SplitShare | Quote: 25.15 – 25.62 Spot Rate : 0.4700 Average : 0.3138 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 20.09 – 20.55 Spot Rate : 0.4600 Average : 0.3064 YTW SCENARIO |