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 narrowed sharply to 230bp from the 250bp reported March 23.
| 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 | 3.22 % | 3.73 % | 26,699 | 19.68 | 1 | 1.2887 % | 2,799.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2841 % | 5,247.3 |
| Floater | 3.35 % | 3.35 % | 61,934 | 18.87 | 3 | 0.2841 % | 3,024.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2701 % | 3,634.0 |
| SplitShare | 4.68 % | 4.45 % | 29,711 | 3.42 | 8 | -0.2701 % | 4,339.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2701 % | 3,386.1 |
| Perpetual-Premium | 5.36 % | -1.08 % | 61,677 | 0.09 | 17 | -0.1191 % | 3,176.2 |
| Perpetual-Discount | 5.14 % | 5.19 % | 69,305 | 15.12 | 16 | -0.0940 % | 3,596.3 |
| FixedReset Disc | 4.14 % | 5.18 % | 116,947 | 15.11 | 46 | 0.5169 % | 2,740.4 |
| Insurance Straight | 5.19 % | 5.08 % | 89,221 | 15.17 | 18 | -0.0164 % | 3,458.4 |
| FloatingReset | 3.12 % | 3.45 % | 44,834 | 18.62 | 2 | 0.1140 % | 2,851.3 |
| FixedReset Prem | 4.77 % | 3.77 % | 145,640 | 1.98 | 23 | 0.3031 % | 2,694.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5169 % | 2,801.3 |
| FixedReset Ins Non | 4.20 % | 5.16 % | 77,887 | 15.32 | 15 | 0.3695 % | 2,857.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| EMA.PR.L | Perpetual-Discount | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.07 Evaluated at bid price : 22.38 Bid-YTW : 5.19 % |
| PWF.PR.T | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.60 Evaluated at bid price : 22.95 Bid-YTW : 5.23 % |
| CU.PR.E | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 23.34 Evaluated at bid price : 23.63 Bid-YTW : 5.23 % |
| PWF.PR.Z | Perpetual-Premium | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 24.41 Evaluated at bid price : 24.70 Bid-YTW : 5.29 % |
| RY.PR.H | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.32 Evaluated at bid price : 22.71 Bid-YTW : 5.05 % |
| TRP.PR.A | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 5.92 % |
| SLF.PR.H | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.01 % |
| BAM.PF.H | FixedReset Prem | 1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.14 Bid-YTW : 3.70 % |
| TRP.PR.D | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.84 % |
| TRP.PR.E | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 5.83 % |
| RS.PR.A | SplitShare | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.45 Bid-YTW : 3.91 % |
| TRP.PR.G | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.01 Evaluated at bid price : 22.43 Bid-YTW : 5.54 % |
| BAM.PR.T | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 5.81 % |
| BAM.PF.B | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.40 Evaluated at bid price : 22.71 Bid-YTW : 5.52 % |
| FTS.PR.H | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.38 % |
| TD.PF.J | FixedReset Prem | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 24.56 Evaluated at bid price : 24.90 Bid-YTW : 5.20 % |
| PWF.PR.P | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.47 % |
| BAM.PR.E | Ratchet | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 3.73 % |
| IFC.PR.C | FixedReset Disc | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.31 Evaluated at bid price : 23.00 Bid-YTW : 5.08 % |
| BAM.PF.G | FixedReset Disc | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.06 Evaluated at bid price : 22.45 Bid-YTW : 5.46 % |
| MFC.PR.F | FixedReset Ins Non | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.11 % |
| BAM.PR.Z | FixedReset Disc | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 23.94 Evaluated at bid price : 24.50 Bid-YTW : 5.49 % |
| SLF.PR.G | FixedReset Ins Non | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.16 % |
| BAM.PF.F | FixedReset Disc | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.44 Evaluated at bid price : 22.90 Bid-YTW : 5.59 % |
| TRP.PR.C | FixedReset Disc | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.88 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.B | FixedReset Disc | 147,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.21 Evaluated at bid price : 22.54 Bid-YTW : 5.13 % |
| CM.PR.S | FixedReset Disc | 108,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 23.66 Evaluated at bid price : 24.23 Bid-YTW : 5.00 % |
| PVS.PR.I | SplitShare | 50,347 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.85 % |
| BMO.PR.C | FixedReset Prem | 48,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 3.50 % |
| GWO.PR.Y | Insurance Straight | 39,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.15 Evaluated at bid price : 22.50 Bid-YTW : 5.01 % |
| TD.PF.A | FixedReset Disc | 39,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-30 Maturity Price : 22.17 Evaluated at bid price : 22.52 Bid-YTW : 5.08 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.T | FixedReset Disc | Quote: 22.95 – 23.95 Spot Rate : 1.0000 Average : 0.7444 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 23.55 – 24.15 Spot Rate : 0.6000 Average : 0.3819 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 23.63 – 24.50 Spot Rate : 0.8700 Average : 0.6965 YTW SCENARIO |
| TD.PF.C | FixedReset Disc | Quote: 22.65 – 23.25 Spot Rate : 0.6000 Average : 0.4438 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 23.01 – 23.68 Spot Rate : 0.6700 Average : 0.5262 YTW SCENARIO |
| BMO.PR.W | FixedReset Disc | Quote: 22.55 – 22.99 Spot Rate : 0.4400 Average : 0.3064 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.36%, equivalent to 6.97% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.24%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to 275bp from the 230bp reported March 30. […]