PerpetualDiscounts now yield 5.36%, equivalent to 6.97% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a slight (and perhaps spurious) narrowing from the 295bp reported January 4.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 4.19 % | 5.04 % | 25,992 | 17.83 | 1 | 0.0000 % | 1,853.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0634 % | 3,461.7 |
| Floater | 3.99 % | 4.07 % | 52,850 | 17.29 | 4 | 0.0634 % | 1,995.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0725 % | 2,949.4 |
| SplitShare | 4.80 % | 4.43 % | 78,953 | 4.22 | 6 | 0.0725 % | 3,522.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0725 % | 2,748.1 |
| Perpetual-Premium | 5.59 % | -5.56 % | 73,499 | 0.09 | 12 | 0.2431 % | 2,702.4 |
| Perpetual-Discount | 5.29 % | 5.36 % | 95,038 | 14.88 | 26 | 0.2300 % | 2,818.9 |
| FixedReset | 4.63 % | 4.39 % | 230,979 | 6.77 | 96 | 0.2439 % | 2,214.0 |
| Deemed-Retractible | 5.12 % | 3.78 % | 132,269 | 0.29 | 32 | 0.1220 % | 2,784.9 |
| FloatingReset | 2.47 % | 3.58 % | 41,521 | 4.76 | 11 | -0.1329 % | 2,392.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.H | FloatingReset | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-11 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 3.41 % |
| MFC.PR.O | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.63 Bid-YTW : 4.10 % |
| IFC.PR.C | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.13 Bid-YTW : 5.99 % |
| VNR.PR.A | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-11 Maturity Price : 20.28 Evaluated at bid price : 20.28 Bid-YTW : 4.87 % |
| IAG.PR.A | Deemed-Retractible | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.38 Bid-YTW : 6.34 % |
| NA.PR.S | FixedReset | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-11 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 4.42 % |
| BMO.PR.Q | FixedReset | 1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.16 Bid-YTW : 5.43 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.B | FixedReset | 358,301 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.88 Bid-YTW : 4.34 % |
| BAM.PR.Z | FixedReset | 323,640 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-11 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 4.93 % |
| RY.PR.Q | FixedReset | 275,811 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.86 Bid-YTW : 3.84 % |
| TD.PF.H | FixedReset | 257,197 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.64 Bid-YTW : 4.25 % |
| TRP.PR.K | FixedReset | 231,439 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.53 % |
| BNS.PR.H | FixedReset | 203,305 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 4.21 % |
| MFC.PR.R | FixedReset | 171,771 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.63 % |
| RY.PR.M | FixedReset | 112,640 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-11 Maturity Price : 21.64 Evaluated at bid price : 21.93 Bid-YTW : 4.25 % |
| BAM.PF.I | FixedReset | 108,810 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.67 Bid-YTW : 4.39 % |
| BMO.PR.K | Deemed-Retractible | 106,012 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-02-10 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : -7.23 % |
| There were 25 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.B | FixedReset | Quote: 25.92 – 26.39 Spot Rate : 0.4700 Average : 0.2884 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 21.25 – 21.70 Spot Rate : 0.4500 Average : 0.3261 YTW SCENARIO |
| BAM.PF.A | FixedReset | Quote: 21.53 – 21.83 Spot Rate : 0.3000 Average : 0.1881 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 16.49 – 16.78 Spot Rate : 0.2900 Average : 0.1898 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 17.40 – 17.68 Spot Rate : 0.2800 Average : 0.1857 YTW SCENARIO |
| SLF.PR.H | FixedReset | Quote: 18.05 – 18.39 Spot Rate : 0.3400 Average : 0.2507 YTW SCENARIO |