PerpetualDiscounts now yield 4.89%, equivalent to 6.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.01%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply wider at 335bp than the 310bp reported February 10.
| 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 | -0.2687 % | 2,245.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2687 % | 4,121.0 |
| Floater | 3.85 % | 3.88 % | 53,479 | 17.62 | 3 | -0.2687 % | 2,375.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0973 % | 3,640.1 |
| SplitShare | 4.69 % | 4.42 % | 36,494 | 4.13 | 8 | -0.0973 % | 4,347.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0973 % | 3,391.7 |
| Perpetual-Premium | 5.34 % | -1.39 % | 72,294 | 0.08 | 18 | -0.1300 % | 3,246.6 |
| Perpetual-Discount | 4.93 % | 4.89 % | 83,762 | 15.44 | 13 | -0.0406 % | 3,757.3 |
| FixedReset Disc | 4.61 % | 3.61 % | 172,797 | 17.91 | 56 | 0.1228 % | 2,544.8 |
| Insurance Straight | 4.95 % | 4.66 % | 81,539 | 15.32 | 22 | 0.0144 % | 3,634.2 |
| FloatingReset | 3.27 % | 2.59 % | 28,940 | 20.77 | 2 | -6.8724 % | 2,115.0 |
| FixedReset Prem | 5.12 % | 2.88 % | 229,684 | 0.92 | 20 | -0.0803 % | 2,713.4 |
| FixedReset Bank Non | 1.80 % | 1.69 % | 174,300 | 0.94 | 1 | 0.0000 % | 2,892.0 |
| FixedReset Ins Non | 4.41 % | 3.37 % | 115,970 | 18.34 | 22 | -0.1793 % | 2,760.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.F | FloatingReset | -11.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 12.17 Evaluated at bid price : 12.17 Bid-YTW : 4.13 % |
| SLF.PR.J | FloatingReset | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 14.39 Evaluated at bid price : 14.39 Bid-YTW : 2.59 % |
| BAM.PF.D | Perpetual-Discount | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 24.20 Evaluated at bid price : 24.51 Bid-YTW : 5.05 % |
| BIP.PR.E | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 23.26 Evaluated at bid price : 24.27 Bid-YTW : 5.17 % |
| BAM.PF.F | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.41 % |
| EIT.PR.A | SplitShare | -1.54 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.42 % |
| TD.PF.J | FixedReset Disc | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 23.08 Evaluated at bid price : 23.93 Bid-YTW : 3.45 % |
| MFC.PR.I | FixedReset Ins Non | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 24.17 Evaluated at bid price : 24.50 Bid-YTW : 3.52 % |
| MFC.PR.N | FixedReset Ins Non | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 21.81 Evaluated at bid price : 22.18 Bid-YTW : 3.36 % |
| TD.PF.D | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 22.51 Evaluated at bid price : 23.36 Bid-YTW : 3.45 % |
| BMO.PR.Y | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 22.00 Evaluated at bid price : 22.50 Bid-YTW : 3.49 % |
| TRP.PR.D | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.26 % |
| BIP.PR.A | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 22.38 Evaluated at bid price : 23.11 Bid-YTW : 4.37 % |
| TRP.PR.E | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 4.25 % |
| MFC.PR.J | FixedReset Ins Non | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 23.26 Evaluated at bid price : 24.25 Bid-YTW : 3.34 % |
| CU.PR.F | Perpetual-Discount | 2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 23.29 Evaluated at bid price : 23.54 Bid-YTW : 4.78 % |
| PWF.PR.P | FixedReset Disc | 3.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 3.49 % |
| NA.PR.E | FixedReset Disc | 3.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 23.05 Evaluated at bid price : 23.35 Bid-YTW : 3.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.F | FloatingReset | 100,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 12.17 Evaluated at bid price : 12.17 Bid-YTW : 4.13 % |
| SLF.PR.B | Insurance Straight | 76,306 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 24.84 Evaluated at bid price : 25.07 Bid-YTW : 4.84 % |
| BNS.PR.H | FixedReset Prem | 70,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.63 Bid-YTW : 2.45 % |
| MFC.PR.L | FixedReset Ins Non | 68,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 21.34 Evaluated at bid price : 21.65 Bid-YTW : 3.29 % |
| TD.PF.H | FixedReset Prem | 66,193 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.44 Bid-YTW : 2.65 % |
| CU.PR.C | FixedReset Disc | 62,780 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-17 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 3.76 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.F | FloatingReset | Quote: 12.17 – 14.00 Spot Rate : 1.8300 Average : 1.0818 YTW SCENARIO |
| IFC.PR.F | Insurance Straight | Quote: 25.85 – 27.24 Spot Rate : 1.3900 Average : 1.1208 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 25.50 – 26.15 Spot Rate : 0.6500 Average : 0.4200 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 20.00 – 20.74 Spot Rate : 0.7400 Average : 0.5244 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 23.76 – 24.25 Spot Rate : 0.4900 Average : 0.2992 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 24.50 – 25.05 Spot Rate : 0.5500 Average : 0.3790 YTW SCENARIO |