PerpetualDiscounts now yield 4.96%, equivalent to 6.45% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply narrower at 355bp than the 370bp reported January 20.
| 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 | 2.7308 % | 2,124.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.7308 % | 3,897.8 |
| Floater | 4.07 % | 4.10 % | 52,299 | 17.19 | 3 | 2.7308 % | 2,246.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0269 % | 3,630.8 |
| SplitShare | 4.70 % | 4.49 % | 38,656 | 4.17 | 8 | 0.0269 % | 4,336.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0269 % | 3,383.1 |
| Perpetual-Premium | 5.35 % | -4.65 % | 71,647 | 0.09 | 18 | -0.1025 % | 3,236.2 |
| Perpetual-Discount | 4.97 % | 4.96 % | 73,775 | 15.37 | 13 | 0.5407 % | 3,728.4 |
| FixedReset Disc | 4.79 % | 3.69 % | 147,512 | 17.71 | 56 | 0.7625 % | 2,449.1 |
| Insurance Straight | 4.98 % | 4.65 % | 91,346 | 4.10 | 22 | 0.4832 % | 3,607.5 |
| FloatingReset | 3.54 % | 3.04 % | 24,178 | 17.20 | 2 | 0.5076 % | 1,950.9 |
| FixedReset Prem | 5.12 % | 3.30 % | 193,621 | 1.04 | 20 | 0.0039 % | 2,714.6 |
| FixedReset Bank Non | 1.80 % | 1.58 % | 185,911 | 0.98 | 1 | 0.2004 % | 2,892.0 |
| FixedReset Ins Non | 4.71 % | 3.56 % | 93,818 | 17.89 | 22 | 1.5974 % | 2,587.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.H | Perpetual-Premium | -3.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 24.24 Evaluated at bid price : 24.57 Bid-YTW : 5.33 % |
| CU.PR.I | FixedReset Prem | -1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 3.88 % |
| CU.PR.E | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-01 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 4.44 % |
| BAM.PF.C | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.98 Evaluated at bid price : 24.25 Bid-YTW : 5.05 % |
| CM.PR.O | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 3.64 % |
| TD.PF.J | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.25 Evaluated at bid price : 23.55 Bid-YTW : 3.48 % |
| BMO.PR.E | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.75 Evaluated at bid price : 23.50 Bid-YTW : 3.49 % |
| GWO.PR.H | Insurance Straight | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 24.60 Evaluated at bid price : 24.85 Bid-YTW : 4.92 % |
| MFC.PR.M | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 3.65 % |
| RY.PR.S | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.74 Evaluated at bid price : 23.55 Bid-YTW : 3.21 % |
| BAM.PR.R | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 4.49 % |
| SLF.PR.C | Insurance Straight | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 24.14 Evaluated at bid price : 24.39 Bid-YTW : 4.60 % |
| NA.PR.W | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 19.96 Evaluated at bid price : 19.96 Bid-YTW : 3.64 % |
| CU.PR.F | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.58 Evaluated at bid price : 23.85 Bid-YTW : 4.71 % |
| MFC.PR.C | Insurance Straight | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 24.27 Evaluated at bid price : 24.57 Bid-YTW : 4.62 % |
| MFC.PR.Q | FixedReset Ins Non | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.20 Evaluated at bid price : 22.52 Bid-YTW : 3.54 % |
| TD.PF.K | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.62 Evaluated at bid price : 23.25 Bid-YTW : 3.44 % |
| MFC.PR.N | FixedReset Ins Non | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 20.58 Evaluated at bid price : 20.58 Bid-YTW : 3.58 % |
| MFC.PR.K | FixedReset Ins Non | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 3.56 % |
| TRP.PR.B | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 10.16 Evaluated at bid price : 10.16 Bid-YTW : 4.23 % |
| IAF.PR.B | Insurance Straight | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 24.59 Evaluated at bid price : 24.84 Bid-YTW : 4.67 % |
| PWF.PR.T | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 3.92 % |
| RY.PR.M | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 21.61 Evaluated at bid price : 21.95 Bid-YTW : 3.43 % |
| MFC.PR.I | FixedReset Ins Non | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.22 Evaluated at bid price : 23.62 Bid-YTW : 3.57 % |
| IFC.PR.A | FixedReset Ins Non | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 3.58 % |
| BAM.PF.E | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 17.19 Evaluated at bid price : 17.19 Bid-YTW : 4.57 % |
| BAM.PF.F | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.50 % |
| TRP.PR.D | FixedReset Disc | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.49 % |
| TRP.PR.C | FixedReset Disc | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 11.41 Evaluated at bid price : 11.41 Bid-YTW : 4.32 % |
| MFC.PR.F | FixedReset Ins Non | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 3.50 % |
| PWF.PR.P | FixedReset Disc | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 13.01 Evaluated at bid price : 13.01 Bid-YTW : 3.90 % |
| SLF.PR.J | FloatingReset | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 3.04 % |
| MFC.PR.G | FixedReset Ins Non | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.81 Evaluated at bid price : 23.40 Bid-YTW : 3.57 % |
| MFC.PR.J | FixedReset Ins Non | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.36 Evaluated at bid price : 22.65 Bid-YTW : 3.56 % |
| MFC.PR.H | FixedReset Ins Non | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 24.39 Evaluated at bid price : 24.76 Bid-YTW : 3.64 % |
| IAF.PR.G | FixedReset Ins Non | 2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.10 Evaluated at bid price : 23.55 Bid-YTW : 3.50 % |
| TRP.PR.G | FixedReset Disc | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.72 % |
| BAM.PR.B | Floater | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 4.10 % |
| IFC.PR.G | FixedReset Ins Non | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 3.81 % |
| CM.PR.S | FixedReset Disc | 2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.16 Evaluated at bid price : 22.45 Bid-YTW : 3.37 % |
| TRP.PR.A | FixedReset Disc | 2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 14.27 Evaluated at bid price : 14.27 Bid-YTW : 4.57 % |
| BAM.PR.K | Floater | 2.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.12 % |
| BAM.PR.C | Floater | 2.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 4.10 % |
| SLF.PR.I | FixedReset Ins Non | 2.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 21.91 Evaluated at bid price : 22.45 Bid-YTW : 3.53 % |
| TRP.PR.E | FixedReset Disc | 3.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 16.57 Evaluated at bid price : 16.57 Bid-YTW : 4.50 % |
| SLF.PR.G | FixedReset Ins Non | 3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 12.98 Evaluated at bid price : 12.98 Bid-YTW : 3.56 % |
| IAF.PR.I | FixedReset Ins Non | 4.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.05 Evaluated at bid price : 23.85 Bid-YTW : 3.47 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset Disc | 639,135 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.78 Evaluated at bid price : 24.97 Bid-YTW : 4.92 % |
| RY.PR.J | FixedReset Disc | 606,305 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 22.20 Evaluated at bid price : 22.80 Bid-YTW : 3.43 % |
| BAM.PR.X | FixedReset Disc | 362,145 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.22 % |
| BAM.PF.E | FixedReset Disc | 127,455 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 17.19 Evaluated at bid price : 17.19 Bid-YTW : 4.57 % |
| CM.PR.R | FixedReset Disc | 108,602 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 23.74 Evaluated at bid price : 25.00 Bid-YTW : 3.78 % |
| TRP.PR.B | FixedReset Disc | 65,560 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-03 Maturity Price : 10.16 Evaluated at bid price : 10.16 Bid-YTW : 4.23 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.H | Perpetual-Premium | Quote: 24.57 – 25.95 Spot Rate : 1.3800 Average : 0.8487 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 24.37 – 24.87 Spot Rate : 0.5000 Average : 0.3441 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 12.25 – 12.75 Spot Rate : 0.5000 Average : 0.3565 YTW SCENARIO |
| GWO.PR.P | Insurance Straight | Quote: 25.33 – 25.77 Spot Rate : 0.4400 Average : 0.2987 YTW SCENARIO |
| BAM.PR.Z | FixedReset Disc | Quote: 19.37 – 19.81 Spot Rate : 0.4400 Average : 0.3204 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 10.16 – 10.70 Spot Rate : 0.5400 Average : 0.4234 YTW SCENARIO |