A hot day for FixedResets, perhaps due to a 5bp increase in the GOC-5 yield.
PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.1%, so the pre-tax interest-equivalent spread is now about 270bp, a sharp narrowing from the 285bp reported January 18.
| 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 | 4.01 % | 4.79 % | 20,766 | 18.10 | 1 | 0.5970 % | 1,939.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2154 % | 3,540.8 |
| Floater | 3.91 % | 4.02 % | 48,223 | 17.38 | 4 | 1.2154 % | 2,040.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0328 % | 2,961.0 |
| SplitShare | 4.79 % | 3.90 % | 53,522 | 4.19 | 6 | 0.0328 % | 3,536.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0328 % | 2,759.0 |
| Perpetual-Premium | 5.58 % | -4.47 % | 72,258 | 0.09 | 12 | 0.0066 % | 2,707.2 |
| Perpetual-Discount | 5.24 % | 5.23 % | 92,936 | 14.99 | 26 | 0.0341 % | 2,849.6 |
| FixedReset | 4.53 % | 4.21 % | 221,270 | 6.76 | 96 | 1.1293 % | 2,263.7 |
| Deemed-Retractible | 5.12 % | 4.60 % | 132,547 | 0.25 | 32 | 0.0661 % | 2,792.8 |
| FloatingReset | 2.42 % | 3.20 % | 44,731 | 4.72 | 11 | 0.2311 % | 2,438.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 3.60 % |
| TRP.PR.E | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.22 % |
| BMO.PR.T | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 4.09 % |
| BMO.PR.Y | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.79 Evaluated at bid price : 23.76 Bid-YTW : 3.97 % |
| MFC.PR.G | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.93 Bid-YTW : 5.29 % |
| BMO.PR.Q | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.63 % |
| TD.PF.C | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 4.18 % |
| SLF.PR.J | FloatingReset | 1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.01 Bid-YTW : 8.96 % |
| IAG.PR.G | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 5.17 % |
| TD.PF.D | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.29 Evaluated at bid price : 22.85 Bid-YTW : 4.15 % |
| HSE.PR.E | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 23.06 Evaluated at bid price : 24.25 Bid-YTW : 4.73 % |
| MFC.PR.J | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.41 Bid-YTW : 5.43 % |
| MFC.PR.I | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.14 Bid-YTW : 5.21 % |
| MFC.PR.M | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.86 Bid-YTW : 6.38 % |
| RY.PR.J | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.19 Evaluated at bid price : 22.66 Bid-YTW : 4.13 % |
| CM.PR.P | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 4.16 % |
| MFC.PR.H | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 4.87 % |
| TD.PF.A | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.10 % |
| HSE.PR.G | FixedReset | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 23.04 Evaluated at bid price : 24.27 Bid-YTW : 4.70 % |
| TD.PF.B | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.15 % |
| BNS.PR.Y | FixedReset | 1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.82 Bid-YTW : 4.79 % |
| SLF.PR.I | FixedReset | 1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.43 Bid-YTW : 5.47 % |
| CM.PR.Q | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.38 Evaluated at bid price : 23.00 Bid-YTW : 4.11 % |
| TD.PF.E | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.71 Evaluated at bid price : 23.65 Bid-YTW : 4.07 % |
| HSE.PR.A | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 4.61 % |
| BMO.PR.M | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 3.24 % |
| RY.PR.H | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.10 % |
| RY.PR.Z | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 4.06 % |
| MFC.PR.L | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.52 Bid-YTW : 6.44 % |
| BMO.PR.W | FixedReset | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 4.08 % |
| MFC.PR.K | FixedReset | 1.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.48 Bid-YTW : 6.41 % |
| MFC.PR.N | FixedReset | 1.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.99 Bid-YTW : 6.22 % |
| RY.PR.M | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.04 Evaluated at bid price : 22.50 Bid-YTW : 4.05 % |
| IFC.PR.A | FixedReset | 1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.92 Bid-YTW : 7.86 % |
| PWF.PR.P | FixedReset | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 15.27 Evaluated at bid price : 15.27 Bid-YTW : 4.27 % |
| CM.PR.O | FixedReset | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 4.16 % |
| NA.PR.S | FixedReset | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 4.15 % |
| PWF.PR.T | FixedReset | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.34 Evaluated at bid price : 21.64 Bid-YTW : 4.06 % |
| BMO.PR.S | FixedReset | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.54 Evaluated at bid price : 21.93 Bid-YTW : 3.99 % |
| BAM.PR.C | Floater | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.07 % |
| BAM.PR.K | Floater | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 11.64 Evaluated at bid price : 11.64 Bid-YTW : 4.09 % |
| HSE.PR.C | FixedReset | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.59 Evaluated at bid price : 23.24 Bid-YTW : 4.57 % |
| IFC.PR.C | FixedReset | 2.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 5.85 % |
| BAM.PF.B | FixedReset | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.60 % |
| FTS.PR.K | FixedReset | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 4.27 % |
| MFC.PR.F | FixedReset | 2.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 9.49 % |
| TRP.PR.B | FixedReset | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 14.31 Evaluated at bid price : 14.31 Bid-YTW : 4.08 % |
| BAM.PR.Z | FixedReset | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.43 Evaluated at bid price : 21.75 Bid-YTW : 4.70 % |
| BAM.PR.B | Floater | 2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 4.02 % |
| FTS.PR.M | FixedReset | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 4.20 % |
| BAM.PR.X | FixedReset | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 15.88 Evaluated at bid price : 15.88 Bid-YTW : 4.61 % |
| BAM.PR.T | FixedReset | 2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 4.69 % |
| FTS.PR.H | FixedReset | 2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 14.82 Evaluated at bid price : 14.82 Bid-YTW : 4.31 % |
| SLF.PR.G | FixedReset | 2.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 8.42 % |
| BAM.PF.F | FixedReset | 3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.50 Evaluated at bid price : 23.04 Bid-YTW : 4.36 % |
| BAM.PF.G | FixedReset | 3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.60 Evaluated at bid price : 23.37 Bid-YTW : 4.28 % |
| BAM.PF.E | FixedReset | 3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.46 Evaluated at bid price : 21.81 Bid-YTW : 4.31 % |
| FTS.PR.G | FixedReset | 3.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 4.25 % |
| BAM.PF.A | FixedReset | 3.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 22.17 Evaluated at bid price : 22.50 Bid-YTW : 4.48 % |
| BAM.PR.R | FixedReset | 3.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.41 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset | 200,183 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 4.52 % |
| BNS.PR.H | FixedReset | 190,198 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 4.02 % |
| TRP.PR.E | FixedReset | 75,888 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.22 % |
| TRP.PR.D | FixedReset | 64,418 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-01-25 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 4.38 % |
| MFC.PR.R | FixedReset | 63,170 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 4.60 % |
| CU.PR.I | FixedReset | 62,188 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 3.15 % |
| There were 80 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.E | Ratchet | Quote: 16.85 – 17.48 Spot Rate : 0.6300 Average : 0.4180 YTW SCENARIO |
| GRP.PR.A | SplitShare | Quote: 25.55 – 25.99 Spot Rate : 0.4400 Average : 0.3139 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 17.55 – 17.88 Spot Rate : 0.3300 Average : 0.2065 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 25.66 – 25.98 Spot Rate : 0.3200 Average : 0.2123 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 25.90 – 26.20 Spot Rate : 0.3000 Average : 0.2002 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 16.85 – 17.24 Spot Rate : 0.3900 Average : 0.2934 YTW SCENARIO |