PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread is now 285bp, a slight (and perhaps spurious) narrowing from the 290bp reported January 11.
| 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 | 4.07 % | 4.87 % | 23,455 | 18.02 | 1 | 0.0000 % | 1,910.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1047 % | 3,494.6 |
| Floater | 3.95 % | 4.07 % | 51,356 | 17.28 | 4 | 0.1047 % | 2,013.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0394 % | 2,954.2 |
| SplitShare | 4.80 % | 4.32 % | 52,656 | 4.20 | 6 | 0.0394 % | 3,528.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0394 % | 2,752.7 |
| Perpetual-Premium | 5.58 % | -4.78 % | 71,083 | 0.09 | 12 | 0.1181 % | 2,703.9 |
| Perpetual-Discount | 5.22 % | 5.30 % | 88,331 | 14.89 | 26 | 0.3425 % | 2,856.7 |
| FixedReset | 4.61 % | 4.34 % | 229,733 | 6.74 | 96 | -0.4164 % | 2,225.1 |
| Deemed-Retractible | 5.11 % | 3.77 % | 130,014 | 0.20 | 32 | -0.0517 % | 2,791.5 |
| FloatingReset | 2.46 % | 3.34 % | 43,241 | 4.74 | 11 | -0.1181 % | 2,423.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset | -2.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.62 Bid-YTW : 9.96 % |
| MFC.PR.H | FixedReset | -1.76 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.27 % |
| MFC.PR.L | FixedReset | -1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.94 Bid-YTW : 6.90 % |
| CU.PR.C | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 4.20 % |
| MFC.PR.K | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.82 Bid-YTW : 6.94 % |
| BMO.PR.Y | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 22.42 Evaluated at bid price : 23.08 Bid-YTW : 4.16 % |
| MFC.PR.N | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 6.71 % |
| SLF.PR.G | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.82 Bid-YTW : 8.97 % |
| MFC.PR.I | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 5.57 % |
| SLF.PR.I | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 5.94 % |
| MFC.PR.M | FixedReset | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 6.82 % |
| BAM.PF.H | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 3.61 % |
| MFC.PR.J | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 5.74 % |
| BAM.PF.G | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 21.97 Evaluated at bid price : 22.35 Bid-YTW : 4.56 % |
| BAM.PR.N | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 5.39 % |
| TRP.PR.C | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 4.34 % |
| BAM.PR.M | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 21.95 Evaluated at bid price : 22.19 Bid-YTW : 5.39 % |
| BAM.PF.C | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 22.15 Evaluated at bid price : 22.41 Bid-YTW : 5.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.H | FixedReset | 211,844 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 4.23 % |
| BAM.PF.I | FixedReset | 159,887 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 4.30 % |
| MFC.PR.G | FixedReset | 92,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.17 Bid-YTW : 5.80 % |
| FTS.PR.H | FixedReset | 59,821 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-18 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 4.47 % |
| MFC.PR.C | Deemed-Retractible | 55,085 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 6.80 % |
| SLF.PR.I | FixedReset | 52,604 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 5.94 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.H | FixedReset | Quote: 23.50 – 23.81 Spot Rate : 0.3100 Average : 0.1999 YTW SCENARIO |
| SLF.PR.G | FixedReset | Quote: 15.82 – 16.08 Spot Rate : 0.2600 Average : 0.1702 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 24.48 – 24.73 Spot Rate : 0.2500 Average : 0.1636 YTW SCENARIO |
| W.PR.M | FixedReset | Quote: 25.96 – 26.17 Spot Rate : 0.2100 Average : 0.1394 YTW SCENARIO |
| RY.PR.W | Perpetual-Discount | Quote: 24.96 – 25.20 Spot Rate : 0.2400 Average : 0.1777 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 23.52 – 23.89 Spot Rate : 0.3700 Average : 0.3106 YTW SCENARIO |