PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 330bp, a significant narrowing from the 340bp reported January 9.
| 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.6331 % | 2,420.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.6331 % | 4,442.2 |
| Floater | 4.83 % | 5.15 % | 36,850 | 15.26 | 4 | -1.6331 % | 2,560.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0604 % | 3,200.9 |
| SplitShare | 4.94 % | 5.01 % | 65,970 | 4.03 | 8 | 0.0604 % | 3,822.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0604 % | 2,982.5 |
| Perpetual-Premium | 5.89 % | -11.39 % | 166,683 | 0.08 | 2 | 0.1984 % | 2,895.5 |
| Perpetual-Discount | 5.57 % | 5.65 % | 77,420 | 14.35 | 33 | 0.1975 % | 2,979.4 |
| FixedReset Disc | 4.96 % | 5.37 % | 198,309 | 14.95 | 63 | -0.2761 % | 2,278.1 |
| Deemed-Retractible | 5.35 % | 6.26 % | 81,817 | 8.20 | 27 | 0.0890 % | 2,959.5 |
| FloatingReset | 4.04 % | 4.18 % | 43,686 | 2.91 | 7 | 0.1264 % | 2,489.2 |
| FixedReset Prem | 5.11 % | 4.41 % | 219,163 | 2.20 | 17 | 0.0991 % | 2,529.2 |
| FixedReset Bank Non | 2.98 % | 3.53 % | 116,909 | 0.11 | 6 | -0.0827 % | 2,570.7 |
| FixedReset Ins Non | 4.89 % | 6.70 % | 140,215 | 8.40 | 22 | -0.4737 % | 2,250.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -4.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 13.12 Evaluated at bid price : 13.12 Bid-YTW : 5.32 % |
| IAF.PR.G | FixedReset Ins Non | -4.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.36 Bid-YTW : 6.85 % |
| TRP.PR.B | FixedReset Disc | -3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.92 % |
| TRP.PR.A | FixedReset Disc | -2.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.96 % |
| SLF.PR.I | FixedReset Ins Non | -2.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.91 Bid-YTW : 6.51 % |
| MFC.PR.Q | FixedReset Ins Non | -2.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.72 % |
| TD.PF.A | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.23 % |
| RY.PR.J | FixedReset Disc | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.47 % |
| RY.PR.Z | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.14 % |
| MFC.PR.N | FixedReset Ins Non | -1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.29 Bid-YTW : 7.25 % |
| SLF.PR.G | FixedReset Ins Non | -1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 8.56 % |
| BAM.PR.C | Floater | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 5.15 % |
| TRP.PR.K | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 23.04 Evaluated at bid price : 24.25 Bid-YTW : 5.76 % |
| IFC.PR.G | FixedReset Ins Non | -1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.69 Bid-YTW : 6.41 % |
| GWO.PR.Q | Deemed-Retractible | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.52 Bid-YTW : 6.49 % |
| TD.PF.B | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 5.25 % |
| CU.PR.D | Perpetual-Discount | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.62 % |
| BAM.PR.X | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 5.42 % |
| IFC.PR.A | FixedReset Ins Non | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 8.09 % |
| RY.PR.H | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.18 % |
| TD.PF.C | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.29 % |
| BMO.PR.W | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 5.32 % |
| BMO.PR.S | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.28 % |
| BAM.PR.M | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 5.83 % |
| NA.PR.W | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 5.45 % |
| MFC.PR.I | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.42 Bid-YTW : 6.50 % |
| TD.PF.D | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.57 Evaluated at bid price : 21.95 Bid-YTW : 5.21 % |
| RY.PR.O | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 23.84 Evaluated at bid price : 24.30 Bid-YTW : 5.09 % |
| RY.PR.S | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 22.38 Evaluated at bid price : 23.20 Bid-YTW : 4.79 % |
| BMO.PR.Y | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.33 % |
| BAM.PR.R | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 5.59 % |
| RY.PR.M | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 5.23 % |
| PWF.PR.Q | FloatingReset | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 4.95 % |
| HSE.PR.G | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.54 % |
| PWF.PR.P | FixedReset Disc | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.37 % |
| BAM.PR.T | FixedReset Disc | 2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 5.67 % |
| GWO.PR.N | FixedReset Ins Non | 7.91 % | Just a (partial) reversal of yesterday‘s nonsense.
The issue traded 675 shares in a range of 15.01-40 before being quoted at 15.00-31. The closing price was 15.40. YTW SCENARIO |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.G | FixedReset Prem | 73,125 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.28 % |
| BNS.PR.G | FixedReset Prem | 69,325 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 4.18 % |
| BIP.PR.D | FixedReset Disc | 67,997 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 22.88 Evaluated at bid price : 23.85 Bid-YTW : 5.81 % |
| BNS.PR.C | FloatingReset | 60,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-25 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 0.73 % |
| MFC.PR.L | FixedReset Ins Non | 56,519 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.07 Bid-YTW : 7.28 % |
| SLF.PR.H | FixedReset Ins Non | 50,686 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.08 Bid-YTW : 7.46 % |
| 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.K | FixedReset Ins Non | No reversal from yesterday‘s idiocy!
The issue traded 2300 shares in a range of 20.33-50 before being quoted at 17.10-20.49. I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. Quote: 17.10 – 20.49 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 23.40 – 24.50 Spot Rate : 1.1000 Average : 0.6850 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 16.00 – 17.00 Spot Rate : 1.0000 Average : 0.5885 YTW SCENARIO |
| BAM.PF.I | FixedReset Prem | Quote: 25.22 – 26.15 Spot Rate : 0.9300 Average : 0.5538 YTW SCENARIO |
| HSE.PR.C | FixedReset Disc | Quote: 19.90 – 20.90 Spot Rate : 1.0000 Average : 0.6751 YTW SCENARIO |
| IAF.PR.G | FixedReset Ins Non | Quote: 20.36 – 21.36 Spot Rate : 1.0000 Average : 0.6866 YTW SCENARIO |