PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a sharp narrowing from the 355bp reported February 20.
| 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 | 0.6196 % | 2,204.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6196 % | 4,044.3 |
| Floater | 5.32 % | 5.57 % | 30,456 | 14.46 | 4 | 0.6196 % | 2,330.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0421 % | 3,258.5 |
| SplitShare | 4.90 % | 4.56 % | 91,700 | 3.95 | 8 | 0.0421 % | 3,891.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0421 % | 3,036.2 |
| Perpetual-Premium | 5.83 % | -4.47 % | 89,965 | 0.08 | 4 | -0.1479 % | 2,902.6 |
| Perpetual-Discount | 5.54 % | 5.58 % | 73,170 | 14.25 | 31 | 0.0515 % | 3,004.8 |
| FixedReset Disc | 5.13 % | 5.43 % | 216,512 | 14.77 | 65 | 0.2440 % | 2,216.2 |
| Deemed-Retractible | 5.30 % | 6.21 % | 91,744 | 8.10 | 27 | 0.1845 % | 2,996.9 |
| FloatingReset | 4.32 % | 5.57 % | 52,281 | 8.45 | 6 | 0.4556 % | 2,461.2 |
| FixedReset Prem | 5.11 % | 4.03 % | 306,662 | 2.24 | 18 | 0.2195 % | 2,544.4 |
| FixedReset Bank Non | 1.97 % | 4.03 % | 167,036 | 2.81 | 3 | 0.6287 % | 2,637.8 |
| FixedReset Ins Non | 5.01 % | 6.84 % | 131,859 | 8.35 | 22 | -0.0274 % | 2,239.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset Ins Non | -4.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.85 Bid-YTW : 9.63 % |
| VNR.PR.A | FixedReset Disc | -2.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 21.80 Evaluated at bid price : 22.13 Bid-YTW : 5.27 % |
| MFC.PR.K | FixedReset Ins Non | -2.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 7.51 % |
| TD.PF.I | FixedReset Disc | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 22.54 Evaluated at bid price : 23.31 Bid-YTW : 5.11 % |
| RY.PR.S | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 21.94 Evaluated at bid price : 22.44 Bid-YTW : 4.85 % |
| CM.PR.S | FixedReset Disc | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.41 % |
| MFC.PR.M | FixedReset Ins Non | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.29 Bid-YTW : 7.21 % |
| TD.PF.E | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 5.31 % |
| TD.PF.D | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 5.31 % |
| BIP.PR.D | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 21.86 Evaluated at bid price : 22.16 Bid-YTW : 6.17 % |
| SLF.PR.J | FloatingReset | 1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 8.89 % |
| EIT.PR.A | SplitShare | 1.01 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.73 % |
| GWO.PR.N | FixedReset Ins Non | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.75 % |
| PWF.PR.P | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 5.67 % |
| SLF.PR.C | Deemed-Retractible | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 6.78 % |
| SLF.PR.H | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.90 Bid-YTW : 7.62 % |
| RY.PR.W | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 24.09 Evaluated at bid price : 24.35 Bid-YTW : 5.05 % |
| SLF.PR.G | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.18 Bid-YTW : 8.84 % |
| SLF.PR.D | Deemed-Retractible | 1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.81 Bid-YTW : 6.78 % |
| TRP.PR.C | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 13.68 Evaluated at bid price : 13.68 Bid-YTW : 5.96 % |
| CM.PR.Q | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.39 % |
| BMO.PR.C | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 22.94 Evaluated at bid price : 24.00 Bid-YTW : 5.21 % |
| TRP.PR.G | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.80 % |
| SLF.PR.I | FixedReset Ins Non | 1.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.88 Bid-YTW : 6.56 % |
| HSE.PR.A | FixedReset Disc | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 6.36 % |
| TRP.PR.A | FixedReset Disc | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 15.78 Evaluated at bid price : 15.78 Bid-YTW : 5.89 % |
| BAM.PR.X | FixedReset Disc | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.82 % |
| BIP.PR.A | FixedReset Disc | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 6.44 % |
| BAM.PR.C | Floater | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 5.57 % |
| HSE.PR.E | FixedReset Disc | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.78 % |
| BAM.PF.I | FixedReset Prem | 2.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.73 % |
| MFC.PR.G | FixedReset Ins Non | 2.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.82 Bid-YTW : 6.64 % |
| BAM.PR.R | FixedReset Disc | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.98 % |
| RY.PR.J | FixedReset Disc | 2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 21.45 Evaluated at bid price : 21.78 Bid-YTW : 5.17 % |
| TD.PF.J | FixedReset Disc | 3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 22.15 Evaluated at bid price : 22.70 Bid-YTW : 5.04 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.R | FixedReset Disc | 91,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.98 % |
| NA.PR.A | FixedReset Prem | 91,250 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 4.38 % |
| TD.PF.L | FixedReset Prem | 71,464 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 23.22 Evaluated at bid price : 25.20 Bid-YTW : 5.02 % |
| MFC.PR.R | FixedReset Ins Non | 61,298 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 5.21 % |
| TD.PF.J | FixedReset Disc | 56,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 22.15 Evaluated at bid price : 22.70 Bid-YTW : 5.04 % |
| CM.PR.O | FixedReset Disc | 47,370 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-27 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 5.42 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EMA.PR.F | FixedReset Disc | Quote: 19.60 – 23.07 Spot Rate : 3.4700 Average : 1.9578 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 19.00 – 21.99 Spot Rate : 2.9900 Average : 1.7360 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 13.85 – 15.02 Spot Rate : 1.1700 Average : 0.7319 YTW SCENARIO |
| VNR.PR.A | FixedReset Disc | Quote: 22.13 – 23.30 Spot Rate : 1.1700 Average : 0.7356 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 18.95 – 19.89 Spot Rate : 0.9400 Average : 0.6020 YTW SCENARIO |
| BAM.PR.X | FixedReset Disc | Quote: 15.00 – 15.98 Spot Rate : 0.9800 Average : 0.6776 YTW SCENARIO |