PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a significant widening from the 295bp reported January 10.
| 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 | 1.5855 % | 2,893.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.5855 % | 5,309.7 |
| Floater | 3.18 % | 3.31 % | 35,275 | 18.97 | 4 | 1.5855 % | 3,060.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1169 % | 3,149.7 |
| SplitShare | 4.66 % | 4.07 % | 60,088 | 3.40 | 5 | 0.1169 % | 3,761.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1169 % | 2,934.8 |
| Perpetual-Premium | 5.38 % | 1.10 % | 61,993 | 0.09 | 18 | 0.0701 % | 2,853.3 |
| Perpetual-Discount | 5.33 % | 5.30 % | 74,034 | 14.94 | 16 | 0.1645 % | 2,983.7 |
| FixedReset | 4.20 % | 4.44 % | 140,325 | 4.10 | 98 | 0.1686 % | 2,524.9 |
| Deemed-Retractible | 5.08 % | 5.42 % | 78,611 | 5.84 | 28 | 0.1010 % | 2,938.0 |
| FloatingReset | 3.03 % | 2.87 % | 40,279 | 1.01 | 10 | 0.3134 % | 2,768.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.I | FixedReset | -3.22 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 4.60 % |
| RY.PR.Z | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.44 Evaluated at bid price : 23.89 Bid-YTW : 4.40 % |
| PWF.PR.P | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.52 % |
| TRP.PR.A | FixedReset | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 4.64 % |
| BAM.PR.B | Floater | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.31 % |
| TRP.PR.H | FloatingReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 3.62 % |
| RY.PR.H | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.66 Evaluated at bid price : 24.05 Bid-YTW : 4.41 % |
| PWF.PR.A | Floater | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 2.88 % |
| BAM.PR.C | Floater | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 3.33 % |
| BAM.PR.K | Floater | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 3.32 % |
| NA.PR.W | FixedReset | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 22.76 Evaluated at bid price : 23.08 Bid-YTW : 4.53 % |
| TRP.PR.F | FloatingReset | 2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 3.76 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.H | FixedReset | 140,015 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 3.67 % |
| BNS.PR.B | FloatingReset | 133,904 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 24.87 Bid-YTW : 2.57 % |
| BMO.PR.B | FixedReset | 74,522 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.13 Bid-YTW : 3.86 % |
| CM.PR.O | FixedReset | 67,151 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.22 Evaluated at bid price : 23.64 Bid-YTW : 4.50 % |
| RY.PR.H | FixedReset | 53,876 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.66 Evaluated at bid price : 24.05 Bid-YTW : 4.41 % |
| TRP.PR.C | FixedReset | 49,136 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.52 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.I | FixedReset | Quote: 25.27 – 26.15 Spot Rate : 0.8800 Average : 0.5060 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 25.01 – 25.44 Spot Rate : 0.4300 Average : 0.3232 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 20.27 – 20.52 Spot Rate : 0.2500 Average : 0.1586 YTW SCENARIO |
| BAM.PF.H | FixedReset | Quote: 26.24 – 26.55 Spot Rate : 0.3100 Average : 0.2283 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 18.74 – 18.94 Spot Rate : 0.2000 Average : 0.1395 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 20.72 – 21.00 Spot Rate : 0.2800 Average : 0.2196 YTW SCENARIO |