PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 350bp, a dramatic widening from the 330bp reported January 16.
| 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 | 0.8090 % | 2,319.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8090 % | 4,256.6 |
| Floater | 5.04 % | 5.30 % | 37,030 | 14.98 | 4 | 0.8090 % | 2,453.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0855 % | 3,203.3 |
| SplitShare | 4.94 % | 4.59 % | 71,669 | 4.00 | 8 | 0.0855 % | 3,825.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0855 % | 2,984.8 |
| Perpetual-Premium | 5.93 % | -2.59 % | 153,297 | 0.08 | 2 | 0.0199 % | 2,877.7 |
| Perpetual-Discount | 5.64 % | 5.76 % | 85,217 | 14.24 | 33 | -0.2938 % | 2,947.0 |
| FixedReset Disc | 5.11 % | 5.64 % | 220,650 | 14.52 | 64 | 0.1311 % | 2,215.8 |
| Deemed-Retractible | 5.41 % | 6.38 % | 89,291 | 8.17 | 27 | 0.3314 % | 2,935.3 |
| FloatingReset | 4.13 % | 4.44 % | 50,323 | 2.88 | 7 | -0.0985 % | 2,435.2 |
| FixedReset Prem | 5.15 % | 4.45 % | 261,216 | 2.19 | 17 | -0.0422 % | 2,514.1 |
| FixedReset Bank Non | 2.99 % | 3.87 % | 141,307 | 2.84 | 6 | 0.0388 % | 2,569.9 |
| FixedReset Ins Non | 5.09 % | 7.04 % | 138,183 | 8.24 | 22 | -0.3102 % | 2,186.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.K | FixedReset Ins Non | -4.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.89 % |
| MFC.PR.L | FixedReset Ins Non | -3.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 8.27 % |
| BAM.PR.Z | FixedReset Disc | -3.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.72 % |
| RY.PR.J | FixedReset Disc | -2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 20.97 Evaluated at bid price : 20.97 Bid-YTW : 5.52 % |
| PWF.PR.P | FixedReset Disc | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 14.77 Evaluated at bid price : 14.77 Bid-YTW : 5.81 % |
| BAM.PF.C | Perpetual-Discount | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.96 % |
| BMO.PR.W | FixedReset Disc | -2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 5.72 % |
| W.PR.J | Perpetual-Discount | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 23.23 Evaluated at bid price : 23.53 Bid-YTW : 5.99 % |
| BAM.PR.M | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.01 % |
| HSE.PR.A | FixedReset Disc | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 12.95 Evaluated at bid price : 12.95 Bid-YTW : 6.85 % |
| IAF.PR.G | FixedReset Ins Non | -1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 7.02 % |
| MFC.PR.N | FixedReset Ins Non | -1.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.26 Bid-YTW : 8.03 % |
| BAM.PF.I | FixedReset Prem | -1.60 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.56 Bid-YTW : 5.54 % |
| BAM.PF.G | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 6.12 % |
| RY.PR.O | Perpetual-Discount | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 23.07 Evaluated at bid price : 23.44 Bid-YTW : 5.21 % |
| TRP.PR.B | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 12.86 Evaluated at bid price : 12.86 Bid-YTW : 6.19 % |
| PWF.PR.Q | FloatingReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 15.58 Evaluated at bid price : 15.58 Bid-YTW : 5.18 % |
| MFC.PR.Q | FixedReset Ins Non | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.29 Bid-YTW : 7.21 % |
| BAM.PF.E | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 19.69 Evaluated at bid price : 19.69 Bid-YTW : 5.78 % |
| CGI.PR.D | SplitShare | -1.21 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 4.48 % |
| BAM.PR.N | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 6.00 % |
| BIP.PR.A | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 6.59 % |
| BMO.PR.Z | Perpetual-Discount | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 24.11 Evaluated at bid price : 24.60 Bid-YTW : 5.14 % |
| ELF.PR.H | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 23.65 Evaluated at bid price : 23.99 Bid-YTW : 5.76 % |
| BAM.PR.T | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 17.43 Evaluated at bid price : 17.43 Bid-YTW : 5.97 % |
| PVS.PR.G | SplitShare | 1.03 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.36 % |
| MFC.PR.R | FixedReset Ins Non | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 5.95 % |
| CU.PR.C | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.66 % |
| MFC.PR.O | FixedReset Ins Non | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 4.67 % |
| MFC.PR.M | FixedReset Ins Non | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 7.76 % |
| MFC.PR.G | FixedReset Ins Non | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.01 % |
| VNR.PR.A | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 21.81 Evaluated at bid price : 22.15 Bid-YTW : 5.37 % |
| CM.PR.O | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 5.66 % |
| TD.PF.C | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.57 % |
| RY.PR.M | FixedReset Disc | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.24 % |
| IFC.PR.E | Deemed-Retractible | 1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 6.59 % |
| RY.PR.H | FixedReset Disc | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.40 % |
| TD.PF.E | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 21.69 Evaluated at bid price : 22.13 Bid-YTW : 5.33 % |
| EMA.PR.H | FixedReset Disc | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 22.60 Evaluated at bid price : 23.55 Bid-YTW : 5.24 % |
| BIP.PR.F | FixedReset Disc | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 22.10 Evaluated at bid price : 22.70 Bid-YTW : 5.65 % |
| TD.PF.J | FixedReset Disc | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 21.78 Evaluated at bid price : 22.15 Bid-YTW : 5.27 % |
| EMA.PR.F | FixedReset Disc | 2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 5.74 % |
| GWO.PR.N | FixedReset Ins Non | 2.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 9.42 % |
| IFC.PR.F | Deemed-Retractible | 2.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 6.49 % |
| TD.PF.I | FixedReset Disc | 3.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 22.35 Evaluated at bid price : 22.98 Bid-YTW : 5.29 % |
| BAM.PR.K | Floater | 3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 13.17 Evaluated at bid price : 13.17 Bid-YTW : 5.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.T | FixedReset Disc | 165,108 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 23.06 Evaluated at bid price : 24.75 Bid-YTW : 5.24 % |
| BMO.PR.B | FixedReset Prem | 159,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 4.38 % |
| MFC.PR.J | FixedReset Ins Non | 137,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 7.04 % |
| TD.PF.H | FixedReset Prem | 87,960 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 4.54 % |
| RY.PR.L | FixedReset Bank Non | 57,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 1.84 % |
| CU.PR.C | FixedReset Disc | 55,048 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-23 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.66 % |
| There were 36 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.Y | FixedReset Disc | Quote: 21.40 – 23.00 Spot Rate : 1.6000 Average : 1.0025 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 17.75 – 18.90 Spot Rate : 1.1500 Average : 0.8132 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 13.17 – 14.55 Spot Rate : 1.3800 Average : 1.0519 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 20.00 – 20.92 Spot Rate : 0.9200 Average : 0.6029 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 12.86 – 13.80 Spot Rate : 0.9400 Average : 0.6232 YTW SCENARIO |
| CM.PR.S | FixedReset Disc | Quote: 20.56 – 21.35 Spot Rate : 0.7900 Average : 0.4758 YTW SCENARIO |