PerpetualDiscounts now yield 4.97%, equivalent to 6.46% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.89%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 260bp, the same as reported February 16.
| 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 | 3.02 % | 3.50 % | 36,972 | 20.05 | 1 | -0.0987 % | 2,884.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0674 % | 5,507.4 |
| Floater | 2.89 % | 2.91 % | 63,585 | 19.91 | 3 | -0.0674 % | 3,173.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0066 % | 3,637.9 |
| SplitShare | 4.66 % | 4.24 % | 32,321 | 3.64 | 6 | -0.0066 % | 4,344.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0066 % | 3,389.7 |
| Perpetual-Premium | 5.26 % | -0.83 % | 58,441 | 0.09 | 22 | -0.3061 % | 3,202.5 |
| Perpetual-Discount | 4.92 % | 4.97 % | 59,505 | 15.51 | 11 | -0.3762 % | 3,747.9 |
| FixedReset Disc | 4.07 % | 4.48 % | 114,220 | 16.37 | 44 | -1.0937 % | 2,755.7 |
| Insurance Straight | 5.02 % | 4.82 % | 84,754 | 15.41 | 18 | -0.2800 % | 3,575.4 |
| FloatingReset | 2.76 % | 2.42 % | 63,645 | 21.22 | 2 | 0.0000 % | 2,949.6 |
| FixedReset Prem | 4.79 % | 3.94 % | 107,825 | 2.06 | 26 | 0.5282 % | 2,698.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0937 % | 2,816.9 |
| FixedReset Ins Non | 4.18 % | 4.45 % | 80,243 | 16.36 | 17 | -0.1969 % | 2,908.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.M | FixedReset Disc | -42.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 13.88 Evaluated at bid price : 13.88 Bid-YTW : 7.33 % |
| TD.PF.E | FixedReset Disc | -4.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 22.53 Evaluated at bid price : 23.29 Bid-YTW : 4.67 % |
| BAM.PF.D | Perpetual-Premium | -4.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 23.03 Evaluated at bid price : 23.29 Bid-YTW : 5.33 % |
| BAM.PR.M | Perpetual-Discount | -3.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 5.21 % |
| RY.PR.Z | FixedReset Disc | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 22.41 Evaluated at bid price : 22.80 Bid-YTW : 4.31 % |
| SLF.PR.G | FixedReset Ins Non | -2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.34 % |
| SLF.PR.H | FixedReset Ins Non | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 21.33 Evaluated at bid price : 21.62 Bid-YTW : 4.31 % |
| SLF.PR.D | Insurance Straight | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 23.16 Evaluated at bid price : 23.42 Bid-YTW : 4.81 % |
| FTS.PR.K | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.65 % |
| CU.PR.F | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 23.02 Evaluated at bid price : 23.30 Bid-YTW : 4.83 % |
| BAM.PR.R | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.83 % |
| TRP.PR.B | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 13.46 Evaluated at bid price : 13.46 Bid-YTW : 5.24 % |
| BAM.PR.T | FixedReset Disc | 4.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 4.86 % |
| TD.PF.K | FixedReset Prem | 17.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 23.51 Evaluated at bid price : 24.60 Bid-YTW : 4.43 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.Y | FixedReset Prem | 66,515 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.92 Bid-YTW : 3.74 % |
| PWF.PR.R | Perpetual-Premium | 57,371 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-25 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : -7.29 % |
| BMO.PR.F | FixedReset Prem | 43,232 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.92 Bid-YTW : 3.40 % |
| PWF.PR.L | Perpetual-Premium | 32,702 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-23 Maturity Price : 24.83 Evaluated at bid price : 25.05 Bid-YTW : 5.13 % |
| PWF.PR.F | Perpetual-Premium | 32,584 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-25 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : -5.38 % |
| BAM.PF.J | FixedReset Prem | 28,165 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 4.12 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.M | FixedReset Disc | Quote: 13.88 – 24.08 Spot Rate : 10.2000 Average : 6.5966 YTW SCENARIO |
| BAM.PF.D | Perpetual-Premium | Quote: 23.29 – 24.29 Spot Rate : 1.0000 Average : 0.6498 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 23.10 – 24.00 Spot Rate : 0.9000 Average : 0.5719 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 23.29 – 24.29 Spot Rate : 1.0000 Average : 0.6851 YTW SCENARIO |
| RY.PR.Z | FixedReset Disc | Quote: 22.80 – 23.33 Spot Rate : 0.5300 Average : 0.3019 YTW SCENARIO |
| SLF.PR.D | Insurance Straight | Quote: 23.42 – 23.78 Spot Rate : 0.3600 Average : 0.2588 YTW SCENARIO |
Anyone know of any preferreds that rest soon.
ie in the next 3-6 months?
many thanks
BMO.PR.C
TRP.PR.K
CU.PR.C
BAM.PR.X
IAF.PR.G
CM.PR.R
BMO.PR.D
[…] PerpetualDiscounts now yield 5.00%, equivalent to 6.50% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.93%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 255bp from the 260bp reported February 23. […]