PerpetualDiscounts now yield 5.15%, equivalent to 6.70% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.19%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 250bp, the same as reported March 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 | 3.19 % | 3.72 % | 29,513 | 19.69 | 1 | 1.4440 % | 2,802.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1654 % | 5,233.6 |
| Floater | 3.36 % | 3.35 % | 64,841 | 18.87 | 3 | -0.1654 % | 3,016.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0982 % | 3,635.1 |
| SplitShare | 4.72 % | 4.41 % | 30,685 | 3.39 | 7 | -0.0982 % | 4,341.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0982 % | 3,387.1 |
| Perpetual-Premium | 5.33 % | -1.80 % | 59,217 | 0.09 | 17 | 0.0512 % | 3,194.1 |
| Perpetual-Discount | 5.08 % | 5.15 % | 69,666 | 15.15 | 16 | -0.0744 % | 3,635.1 |
| FixedReset Disc | 4.15 % | 4.81 % | 118,555 | 15.51 | 46 | -0.6685 % | 2,736.4 |
| Insurance Straight | 5.09 % | 4.86 % | 89,251 | 15.21 | 18 | -0.1514 % | 3,523.9 |
| FloatingReset | 3.09 % | 2.72 % | 53,888 | 20.44 | 2 | -0.4211 % | 2,878.9 |
| FixedReset Prem | 4.75 % | 3.76 % | 140,996 | 1.69 | 23 | -0.0289 % | 2,705.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6685 % | 2,797.2 |
| FixedReset Ins Non | 4.14 % | 4.75 % | 73,729 | 15.95 | 15 | 0.3369 % | 2,899.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset Disc | -46.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 9.45 % |
| BAM.PR.R | FixedReset Disc | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.46 % |
| EMA.PR.L | Perpetual-Discount | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 4.92 % |
| TD.PF.M | FixedReset Prem | -1.64 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 4.01 % |
| BAM.PR.M | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 22.39 Evaluated at bid price : 22.65 Bid-YTW : 5.25 % |
| PVS.PR.F | SplitShare | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.31 % |
| MFC.PR.K | FixedReset Ins Non | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 23.18 Evaluated at bid price : 23.61 Bid-YTW : 4.63 % |
| ELF.PR.G | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 5.15 % |
| PWF.PR.T | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 23.39 Evaluated at bid price : 23.75 Bid-YTW : 4.77 % |
| PWF.PR.P | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.97 % |
| RY.PR.M | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 22.37 Evaluated at bid price : 23.00 Bid-YTW : 4.81 % |
| NA.PR.G | FixedReset Prem | 1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.29 % |
| BAM.PR.E | Ratchet | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 25.00 Evaluated at bid price : 19.67 Bid-YTW : 3.72 % |
| TD.PF.D | FixedReset Disc | 2.53 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 4.27 % |
| CM.PR.O | FixedReset Disc | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 22.52 Evaluated at bid price : 23.00 Bid-YTW : 4.78 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset Prem | 186,622 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 3.09 % |
| CM.PR.S | FixedReset Disc | 132,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 24.12 Evaluated at bid price : 24.61 Bid-YTW : 4.71 % |
| CU.PR.J | Perpetual-Premium | 88,087 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 23.28 Evaluated at bid price : 23.58 Bid-YTW : 5.07 % |
| TD.PF.A | FixedReset Disc | 85,693 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-23 Maturity Price : 22.50 Evaluated at bid price : 23.02 Bid-YTW : 4.68 % |
| IFC.PR.K | Perpetual-Premium | 67,316 | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.19 % |
| CM.PR.T | FixedReset Prem | 61,847 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 2.63 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 12.29 – 23.10 Spot Rate : 10.8100 Average : 6.9833 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 21.05 – 23.50 Spot Rate : 2.4500 Average : 1.7436 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 22.05 – 23.50 Spot Rate : 1.4500 Average : 0.8934 YTW SCENARIO |
| BAM.PR.E | Ratchet | Quote: 19.67 – 20.67 Spot Rate : 1.0000 Average : 0.6737 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 20.50 – 22.00 Spot Rate : 1.5000 Average : 1.1794 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 22.40 – 23.50 Spot Rate : 1.1000 Average : 0.8431 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.19%, equivalent to 6.75% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.45%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 230bp, a sharp narrowing from the 250bp reported March 23. […]