PerpetualDiscounts now yield 5.22%, equivalent to 6.79% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 280bp, a significant widening from the 270bp reported January 25.
| 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 | -0.7600 % | 1,982.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7600 % | 3,637.6 |
| Floater | 3.81 % | 3.97 % | 46,934 | 17.45 | 4 | -0.7600 % | 2,096.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3045 % | 2,972.6 |
| SplitShare | 4.70 % | 4.48 % | 58,241 | 4.15 | 4 | 0.3045 % | 3,549.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3045 % | 2,769.7 |
| Perpetual-Premium | 5.44 % | -2.39 % | 75,050 | 0.09 | 16 | 0.1743 % | 2,723.6 |
| Perpetual-Discount | 5.18 % | 5.22 % | 92,935 | 15.04 | 22 | 0.3143 % | 2,901.6 |
| FixedReset | 4.49 % | 4.13 % | 228,123 | 6.74 | 97 | -0.1409 % | 2,291.0 |
| Deemed-Retractible | 5.05 % | 0.41 % | 131,833 | 0.14 | 31 | 0.1761 % | 2,831.7 |
| FloatingReset | 2.48 % | 3.14 % | 48,934 | 4.70 | 9 | -0.7469 % | 2,436.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.H | FloatingReset | -3.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 12.59 Evaluated at bid price : 12.59 Bid-YTW : 3.46 % |
| TRP.PR.F | FloatingReset | -2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 3.63 % |
| BAM.PR.C | Floater | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 4.01 % |
| BAM.PR.K | Floater | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 4.00 % |
| BAM.PR.B | Floater | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 12.01 Evaluated at bid price : 12.01 Bid-YTW : 3.97 % |
| BAM.PR.R | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.37 % |
| FTS.PR.K | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 4.15 % |
| TRP.PR.C | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 4.18 % |
| BNS.PR.D | FloatingReset | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 4.97 % |
| FTS.PR.G | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.13 % |
| BAM.PR.N | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 22.76 Evaluated at bid price : 23.04 Bid-YTW : 5.21 % |
| PWF.PR.A | Floater | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 3.42 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.B | FloatingReset | 108,100 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 3.14 % |
| TD.PF.C | FixedReset | 101,102 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 4.09 % |
| TD.PF.A | FixedReset | 98,932 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-08 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 4.03 % |
| TD.PR.T | FloatingReset | 75,824 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 2.95 % |
| TD.PR.Z | FloatingReset | 51,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 3.08 % |
| BMO.PR.R | FloatingReset | 50,700 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 3.20 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.O | FixedReset | Quote: 26.77 – 27.04 Spot Rate : 0.2700 Average : 0.1857 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 21.96 – 22.34 Spot Rate : 0.3800 Average : 0.3198 YTW SCENARIO |
| PVS.PR.E | SplitShare | Quote: 26.19 – 26.39 Spot Rate : 0.2000 Average : 0.1441 YTW SCENARIO |
| HSB.PR.C | Deemed-Retractible | Quote: 25.31 – 25.48 Spot Rate : 0.1700 Average : 0.1178 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 17.87 – 18.11 Spot Rate : 0.2400 Average : 0.1895 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 18.29 – 18.58 Spot Rate : 0.2900 Average : 0.2411 YTW SCENARIO |