PerpetualDiscounts now yield 5.00%, equivalent to 6.50% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.37%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is slightly (and perhaps spuriously) narrower at 315bp than the 320bp reported March 10.
| 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 | -0.2337 % | 2,323.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2337 % | 4,263.3 |
| Floater | 3.77 % | 3.76 % | 59,709 | 17.96 | 3 | -0.2337 % | 2,457.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3713 % | 3,677.7 |
| SplitShare | 4.77 % | 4.11 % | 38,931 | 3.63 | 9 | -0.3713 % | 4,391.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3713 % | 3,426.8 |
| Perpetual-Premium | 5.31 % | -0.68 % | 75,768 | 0.09 | 21 | 0.0429 % | 3,248.5 |
| Perpetual-Discount | 4.97 % | 5.00 % | 81,102 | 15.47 | 13 | 0.0032 % | 3,731.0 |
| FixedReset Disc | 4.37 % | 3.87 % | 191,790 | 17.22 | 52 | 0.4153 % | 2,658.1 |
| Insurance Straight | 5.00 % | 4.64 % | 87,209 | 15.50 | 22 | 0.2281 % | 3,641.3 |
| FloatingReset | 2.96 % | 3.27 % | 48,835 | 19.08 | 2 | 0.2677 % | 2,413.3 |
| FixedReset Prem | 5.07 % | 3.69 % | 237,229 | 1.01 | 26 | 0.0437 % | 2,727.0 |
| FixedReset Bank Non | 1.80 % | 2.06 % | 204,480 | 0.44 | 1 | 0.0801 % | 2,892.0 |
| FixedReset Ins Non | 4.41 % | 3.86 % | 149,304 | 17.42 | 22 | 0.0896 % | 2,795.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.F | FixedReset Disc | -6.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 4.72 % |
| RS.PR.A | SplitShare | -3.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.33 Bid-YTW : 4.76 % |
| TRP.PR.C | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 13.71 Evaluated at bid price : 13.71 Bid-YTW : 4.44 % |
| IFC.PR.C | FixedReset Ins Non | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 22.02 Evaluated at bid price : 22.60 Bid-YTW : 4.03 % |
| IFC.PR.G | FixedReset Ins Non | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 22.47 Evaluated at bid price : 22.90 Bid-YTW : 4.04 % |
| CM.PR.Q | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 22.58 Evaluated at bid price : 23.50 Bid-YTW : 3.87 % |
| MFC.PR.H | FixedReset Ins Non | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 24.68 Evaluated at bid price : 25.01 Bid-YTW : 4.15 % |
| TRP.PR.D | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.55 % |
| BIP.PR.E | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 23.56 Evaluated at bid price : 24.95 Bid-YTW : 4.94 % |
| CIU.PR.A | Perpetual-Discount | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 4.81 % |
| TD.PF.K | FixedReset Disc | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 23.24 Evaluated at bid price : 24.45 Bid-YTW : 3.80 % |
| BAM.PR.R | FixedReset Disc | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 4.67 % |
| TD.PF.E | FixedReset Disc | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 22.78 Evaluated at bid price : 23.95 Bid-YTW : 3.86 % |
| TRP.PR.E | FixedReset Disc | 6.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 4.55 % |
| PWF.PR.P | FixedReset Disc | 15.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 4.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.X | FixedReset Prem | 114,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 1.25 % |
| RY.PR.Q | FixedReset Prem | 112,479 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 1.81 % |
| SLF.PR.I | FixedReset Ins Non | 83,090 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 23.22 Evaluated at bid price : 23.85 Bid-YTW : 3.90 % |
| BAM.PR.C | Floater | 65,095 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 3.76 % |
| TD.PF.I | FixedReset Disc | 64,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 23.73 Evaluated at bid price : 25.10 Bid-YTW : 4.01 % |
| BAM.PR.B | Floater | 56,625 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-17 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 3.77 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.F | FixedReset Disc | Quote: 20.77 – 22.35 Spot Rate : 1.5800 Average : 0.8711 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 21.77 – 22.88 Spot Rate : 1.1100 Average : 0.6616 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 18.18 – 19.15 Spot Rate : 0.9700 Average : 0.6687 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 23.50 – 23.96 Spot Rate : 0.4600 Average : 0.3137 YTW SCENARIO |
| PVS.PR.I | SplitShare | Quote: 25.56 – 25.88 Spot Rate : 0.3200 Average : 0.2301 YTW SCENARIO |
| CU.PR.I | FixedReset Prem | Quote: 26.00 – 26.40 Spot Rate : 0.4000 Average : 0.3116 YTW SCENARIO |