PerpetualDiscounts now yield 5.72%, equivalent to 7.44% 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 (in this context, the “Seniority Spread”) is now about 355bp, a slight (and perhaps spurious) widening from the 350bp reported February 13.
| 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 | 0.0000 % | 2,192.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,022.5 |
| Floater | 5.35 % | 5.59 % | 30,564 | 14.46 | 4 | 0.0000 % | 2,318.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3771 % | 3,251.3 |
| SplitShare | 4.87 % | 4.52 % | 59,931 | 3.93 | 8 | 0.3771 % | 3,882.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3771 % | 3,029.5 |
| Perpetual-Premium | 5.84 % | 0.58 % | 83,002 | 0.08 | 4 | 0.2083 % | 2,895.8 |
| Perpetual-Discount | 5.57 % | 5.72 % | 73,206 | 14.21 | 31 | 0.4852 % | 2,988.6 |
| FixedReset Disc | 5.16 % | 5.45 % | 222,373 | 14.80 | 65 | 0.3227 % | 2,200.4 |
| Deemed-Retractible | 5.35 % | 6.25 % | 98,954 | 8.11 | 27 | 0.0566 % | 2,967.1 |
| FloatingReset | 4.39 % | 5.69 % | 57,497 | 8.40 | 6 | 0.3961 % | 2,426.8 |
| FixedReset Prem | 5.14 % | 4.25 % | 299,917 | 2.26 | 18 | 0.1417 % | 2,534.2 |
| FixedReset Bank Non | 2.79 % | 4.49 % | 169,821 | 2.82 | 5 | 0.1243 % | 2,599.7 |
| FixedReset Ins Non | 5.01 % | 6.86 % | 130,322 | 8.24 | 22 | 0.4296 % | 2,220.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.G | FixedReset Ins Non | -2.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 7.10 % |
| MFC.PR.F | FixedReset Ins Non | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 9.49 % |
| BAM.PF.D | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.82 % |
| BAM.PR.C | Floater | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 5.71 % |
| BIP.PR.A | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 6.55 % |
| CU.PR.F | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 5.54 % |
| TD.PF.I | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 22.52 Evaluated at bid price : 23.26 Bid-YTW : 5.10 % |
| HSE.PR.C | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.60 % |
| MFC.PR.N | FixedReset Ins Non | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.52 % |
| EMA.PR.H | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 22.34 Evaluated at bid price : 23.05 Bid-YTW : 5.31 % |
| BAM.PR.K | Floater | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 12.56 Evaluated at bid price : 12.56 Bid-YTW : 5.59 % |
| MFC.PR.J | FixedReset Ins Non | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 6.72 % |
| BMO.PR.Y | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.23 % |
| SLF.PR.B | Deemed-Retractible | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.62 Bid-YTW : 6.69 % |
| MFC.PR.K | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 7.21 % |
| MFC.PR.M | FixedReset Ins Non | 1.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 7.19 % |
| GWO.PR.N | FixedReset Ins Non | 1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.50 Bid-YTW : 9.11 % |
| W.PR.M | FixedReset Prem | 1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.88 % |
| HSE.PR.A | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 13.34 Evaluated at bid price : 13.34 Bid-YTW : 6.42 % |
| TRP.PR.H | FloatingReset | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 5.75 % |
| SLF.PR.G | FixedReset Ins Non | 1.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.75 Bid-YTW : 9.14 % |
| RY.PR.S | FixedReset Disc | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 4.94 % |
| BIP.PR.F | FixedReset Disc | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 6.04 % |
| PVS.PR.G | SplitShare | 2.10 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.93 % |
| TRP.PR.B | FixedReset Disc | 2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 12.84 Evaluated at bid price : 12.84 Bid-YTW : 5.92 % |
| W.PR.J | Perpetual-Discount | 5.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-22 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 3.55 % |
| W.PR.H | Perpetual-Discount | 6.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-22 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 3.82 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| W.PR.H | Perpetual-Discount | 1,147,724 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-22 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 3.82 % |
| W.PR.J | Perpetual-Discount | 553,410 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-22 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 3.55 % |
| NA.PR.C | FixedReset Disc | 139,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 21.99 Evaluated at bid price : 22.41 Bid-YTW : 5.66 % |
| CM.PR.S | FixedReset Disc | 104,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.22 % |
| BAM.PF.J | FixedReset Disc | 93,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 22.96 Evaluated at bid price : 24.20 Bid-YTW : 5.02 % |
| CU.PR.D | Perpetual-Discount | 79,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-20 Maturity Price : 22.05 Evaluated at bid price : 22.05 Bid-YTW : 5.58 % |
| There were 33 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.N | FixedReset Ins Non | Quote: 18.85 – 21.99 Spot Rate : 3.1400 Average : 2.1250 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 20.91 – 22.80 Spot Rate : 1.8900 Average : 1.2794 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 23.51 – 24.55 Spot Rate : 1.0400 Average : 0.6234 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 22.80 – 23.74 Spot Rate : 0.9400 Average : 0.6159 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 21.91 – 22.60 Spot Rate : 0.6900 Average : 0.4221 YTW SCENARIO |
| CM.PR.O | FixedReset Disc | Quote: 19.36 – 19.95 Spot Rate : 0.5900 Average : 0.3446 YTW SCENARIO |