PerpetualDiscounts now yield 5.26%, equivalent to 6.84% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.03%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 380bp from the 385bp reported February 5.
| 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 | -1.3508 % | 2,068.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.3508 % | 3,794.7 |
| Floater | 5.92 % | 6.05 % | 53,301 | 13.77 | 4 | -1.3508 % | 2,186.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0322 % | 3,483.2 |
| SplitShare | 4.73 % | 3.99 % | 41,377 | 3.68 | 6 | -0.0322 % | 4,159.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0322 % | 3,245.6 |
| Perpetual-Premium | 5.56 % | 0.40 % | 58,201 | 0.09 | 11 | 0.0573 % | 3,071.2 |
| Perpetual-Discount | 5.20 % | 5.26 % | 67,903 | 14.95 | 24 | 0.0018 % | 3,363.1 |
| FixedReset Disc | 5.49 % | 5.35 % | 185,645 | 14.89 | 64 | 0.1193 % | 2,183.6 |
| Deemed-Retractible | 5.10 % | 5.20 % | 75,726 | 14.94 | 27 | 0.1064 % | 3,279.5 |
| FloatingReset | 5.97 % | 6.03 % | 59,831 | 13.87 | 3 | 0.7797 % | 2,563.0 |
| FixedReset Prem | 5.07 % | 3.49 % | 129,549 | 1.44 | 22 | 0.0425 % | 2,663.4 |
| FixedReset Bank Non | 1.93 % | 3.28 % | 74,347 | 1.92 | 3 | -0.0948 % | 2,753.9 |
| FixedReset Ins Non | 5.30 % | 5.34 % | 108,675 | 14.81 | 22 | 0.4331 % | 2,213.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -4.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 11.27 Evaluated at bid price : 11.27 Bid-YTW : 6.23 % |
| TRP.PR.A | FixedReset Disc | -2.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 14.61 Evaluated at bid price : 14.61 Bid-YTW : 5.75 % |
| HSE.PR.G | FixedReset Disc | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 18.49 Evaluated at bid price : 18.49 Bid-YTW : 6.65 % |
| BAM.PF.C | Perpetual-Discount | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 22.17 Evaluated at bid price : 22.44 Bid-YTW : 5.47 % |
| CU.PR.C | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 5.35 % |
| BMO.PR.W | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 5.27 % |
| TRP.PR.E | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 5.74 % |
| MFC.PR.I | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 5.40 % |
| TRP.PR.C | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 5.85 % |
| SLF.PR.I | FixedReset Ins Non | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.34 % |
| NA.PR.E | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 5.35 % |
| IFC.PR.C | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.47 % |
| BAM.PR.N | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 22.40 Evaluated at bid price : 22.66 Bid-YTW : 5.30 % |
| TRP.PR.F | FloatingReset | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 6.27 % |
| SLF.PR.H | FixedReset Ins Non | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 5.26 % |
| SLF.PR.G | FixedReset Ins Non | 2.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 5.15 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.J | FixedReset Disc | 31,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.17 % |
| TRP.PR.E | FixedReset Disc | 26,795 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 5.74 % |
| BAM.PF.J | FixedReset Prem | 25,262 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 23.47 Evaluated at bid price : 25.20 Bid-YTW : 4.67 % |
| EMA.PR.H | FixedReset Prem | 24,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.49 % |
| BAM.PR.N | Perpetual-Discount | 19,618 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 22.40 Evaluated at bid price : 22.66 Bid-YTW : 5.30 % |
| BMO.PR.E | FixedReset Disc | 17,757 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-12 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.20 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.N | FixedReset Ins Non | Quote: 17.23 – 19.40 Spot Rate : 2.1700 Average : 1.2582 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 18.96 – 20.85 Spot Rate : 1.8900 Average : 1.1814 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 11.47 – 12.20 Spot Rate : 0.7300 Average : 0.4354 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 16.91 – 17.88 Spot Rate : 0.9700 Average : 0.6795 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 19.74 – 20.53 Spot Rate : 0.7900 Average : 0.5305 YTW SCENARIO |
| IAF.PR.I | FixedReset Ins Non | Quote: 20.14 – 20.74 Spot Rate : 0.6000 Average : 0.3792 YTW SCENARIO |