PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a slight (and perhaps spurious) narrowing from the 345bp reported January 30.
| 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 | -0.8600 % | 2,297.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.8600 % | 4,216.3 |
| Floater | 5.10 % | 5.39 % | 31,151 | 14.81 | 4 | -0.8600 % | 2,429.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1499 % | 3,226.3 |
| SplitShare | 4.90 % | 4.87 % | 65,446 | 3.97 | 8 | 0.1499 % | 3,852.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1499 % | 3,006.2 |
| Perpetual-Premium | 5.86 % | -0.90 % | 91,804 | 0.08 | 4 | 0.1492 % | 2,886.9 |
| Perpetual-Discount | 5.58 % | 5.65 % | 72,807 | 14.30 | 31 | 0.2754 % | 2,983.0 |
| FixedReset Disc | 5.06 % | 5.44 % | 217,632 | 14.81 | 65 | 0.1554 % | 2,245.8 |
| Deemed-Retractible | 5.35 % | 6.28 % | 101,105 | 8.16 | 27 | 0.5102 % | 2,966.4 |
| FloatingReset | 4.31 % | 5.42 % | 63,023 | 8.49 | 6 | -0.0559 % | 2,446.2 |
| FixedReset Prem | 5.14 % | 4.23 % | 268,468 | 2.30 | 18 | 0.2142 % | 2,531.8 |
| FixedReset Bank Non | 2.79 % | 3.91 % | 155,199 | 2.86 | 5 | 0.2241 % | 2,598.6 |
| FixedReset Ins Non | 5.03 % | 7.01 % | 131,661 | 8.25 | 22 | -0.3065 % | 2,212.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.G | FixedReset Ins Non | -2.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.62 Bid-YTW : 9.30 % |
| RY.PR.J | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 21.34 Evaluated at bid price : 21.63 Bid-YTW : 5.25 % |
| HSE.PR.A | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 6.16 % |
| PWF.PR.A | Floater | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 15.39 Evaluated at bid price : 15.39 Bid-YTW : 4.49 % |
| MFC.PR.L | FixedReset Ins Non | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.87 Bid-YTW : 8.11 % |
| MFC.PR.M | FixedReset Ins Non | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.73 % |
| CM.PR.P | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 18.63 Evaluated at bid price : 18.63 Bid-YTW : 5.53 % |
| MFC.PR.F | FixedReset Ins Non | -1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.39 Bid-YTW : 9.29 % |
| GWO.PR.N | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.54 Bid-YTW : 9.12 % |
| BAM.PR.K | Floater | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 12.86 Evaluated at bid price : 12.86 Bid-YTW : 5.44 % |
| MFC.PR.K | FixedReset Ins Non | -1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 7.38 % |
| RY.PR.Z | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 5.21 % |
| GWO.PR.G | Deemed-Retractible | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 6.31 % |
| GWO.PR.I | Deemed-Retractible | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.38 Bid-YTW : 7.04 % |
| GWO.PR.T | Deemed-Retractible | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 6.19 % |
| BIP.PR.D | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 22.30 Evaluated at bid price : 22.80 Bid-YTW : 6.12 % |
| CCS.PR.C | Deemed-Retractible | 1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 6.30 % |
| SLF.PR.D | Deemed-Retractible | 1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 6.88 % |
| MFC.PR.J | FixedReset Ins Non | 1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.39 Bid-YTW : 6.58 % |
| BMO.PR.S | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 5.33 % |
| CU.PR.C | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.40 % |
| PWF.PR.L | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 5.65 % |
| GWO.PR.S | Deemed-Retractible | 1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 5.75 % |
| CU.PR.H | Perpetual-Discount | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 23.07 Evaluated at bid price : 23.45 Bid-YTW : 5.59 % |
| BAM.PR.M | Perpetual-Discount | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.78 % |
| BAM.PR.N | Perpetual-Discount | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.78 % |
| IFC.PR.F | Deemed-Retractible | 2.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 6.25 % |
| BAM.PF.D | Perpetual-Discount | 2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 21.71 Evaluated at bid price : 22.00 Bid-YTW : 5.63 % |
| BIP.PR.F | FixedReset Disc | 3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 21.66 Evaluated at bid price : 22.03 Bid-YTW : 5.85 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.M | FixedReset Disc | 226,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.22 % |
| TD.PF.A | FixedReset Disc | 142,350 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 5.23 % |
| RY.PR.H | FixedReset Disc | 132,750 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.20 % |
| RY.PR.Q | FixedReset Prem | 131,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.02 % |
| TD.PF.L | FixedReset Prem | 89,927 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 23.21 Evaluated at bid price : 25.20 Bid-YTW : 5.04 % |
| PWF.PR.K | Perpetual-Discount | 81,320 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-06 Maturity Price : 21.47 Evaluated at bid price : 21.73 Bid-YTW : 5.73 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.Q | FixedReset Disc | Quote: 21.22 – 21.76 Spot Rate : 0.5400 Average : 0.3691 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 14.62 – 15.07 Spot Rate : 0.4500 Average : 0.3116 YTW SCENARIO |
| TRP.PR.K | FixedReset Disc | Quote: 24.38 – 24.74 Spot Rate : 0.3600 Average : 0.2268 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 21.30 – 21.69 Spot Rate : 0.3900 Average : 0.2575 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 21.39 – 21.73 Spot Rate : 0.3400 Average : 0.2128 YTW SCENARIO |
| CM.PR.P | FixedReset Disc | Quote: 18.63 – 19.05 Spot Rate : 0.4200 Average : 0.2936 YTW SCENARIO |