PerpetualDiscounts now yield 4.97%, equivalent to 6.46% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.16%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is slightly (and perhaps spuriously) narrower at 330bp than the 335bp reported February 17.
| 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 | -0.6068 % | 2,312.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6068 % | 4,243.2 |
| Floater | 3.74 % | 3.77 % | 51,764 | 17.86 | 3 | -0.6068 % | 2,445.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1609 % | 3,672.6 |
| SplitShare | 4.70 % | 4.16 % | 36,248 | 4.19 | 8 | -0.1609 % | 4,385.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1609 % | 3,422.0 |
| Perpetual-Premium | 5.35 % | 2.76 % | 71,541 | 0.08 | 19 | -0.0227 % | 3,240.9 |
| Perpetual-Discount | 4.92 % | 4.97 % | 98,783 | 15.43 | 13 | -0.1400 % | 3,765.7 |
| FixedReset Disc | 4.57 % | 3.74 % | 179,119 | 17.57 | 56 | -0.0312 % | 2,564.2 |
| Insurance Straight | 4.97 % | 4.67 % | 77,241 | 15.29 | 22 | -0.2295 % | 3,617.3 |
| FloatingReset | 3.12 % | 2.68 % | 30,546 | 20.51 | 2 | 0.3194 % | 2,251.2 |
| FixedReset Prem | 5.12 % | 3.19 % | 235,394 | 0.90 | 20 | 0.0727 % | 2,709.9 |
| FixedReset Bank Non | 1.81 % | 1.86 % | 202,821 | 0.92 | 1 | -0.0400 % | 2,890.8 |
| FixedReset Ins Non | 4.43 % | 3.52 % | 131,013 | 18.13 | 22 | 0.1170 % | 2,765.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.B | FixedReset Disc | -3.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 3.52 % |
| BAM.PR.Z | FixedReset Disc | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 4.36 % |
| GWO.PR.I | Insurance Straight | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 23.84 Evaluated at bid price : 24.09 Bid-YTW : 4.73 % |
| BAM.PF.G | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.39 % |
| GWO.PR.N | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.35 % |
| MFC.PR.C | Insurance Straight | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 4.58 % |
| PWF.PR.P | FixedReset Disc | 4.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 15.13 Evaluated at bid price : 15.13 Bid-YTW : 3.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.E | FixedReset Prem | 512,825 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.19 % |
| NA.PR.X | FixedReset Prem | 180,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 2.38 % |
| BMO.PR.Y | FixedReset Disc | 133,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 22.10 Evaluated at bid price : 22.65 Bid-YTW : 3.61 % |
| CU.PR.G | Perpetual-Discount | 61,570 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 23.96 Evaluated at bid price : 24.25 Bid-YTW : 4.64 % |
| CM.PR.R | FixedReset Disc | 61,043 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 23.76 Evaluated at bid price : 25.00 Bid-YTW : 4.02 % |
| TRP.PR.D | FixedReset Disc | 56,876 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-24 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 4.41 % |
| There were 36 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.B | FixedReset Disc | Quote: 21.70 – 22.53 Spot Rate : 0.8300 Average : 0.4829 YTW SCENARIO |
| BAM.PR.Z | FixedReset Disc | Quote: 21.60 – 22.08 Spot Rate : 0.4800 Average : 0.3073 YTW SCENARIO |
| BMO.PR.S | FixedReset Disc | Quote: 22.30 – 22.62 Spot Rate : 0.3200 Average : 0.2066 YTW SCENARIO |
| TRP.PR.D | FixedReset Disc | Quote: 18.22 – 18.88 Spot Rate : 0.6600 Average : 0.5821 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 19.75 – 20.00 Spot Rate : 0.2500 Average : 0.1724 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 21.35 – 21.71 Spot Rate : 0.3600 Average : 0.2877 YTW SCENARIO |