PerpetualDiscounts now yield 5.27%, equivalent to 6.85% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a slight (and perhaps spurious) widening from the 295bp reported January 31.
| 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 | 1.4970 % | 2,900.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.4970 % | 5,322.0 |
| Floater | 3.43 % | 3.60 % | 48,538 | 18.27 | 4 | 1.4970 % | 3,067.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0389 % | 3,148.4 |
| SplitShare | 4.66 % | 4.36 % | 68,022 | 4.14 | 5 | -0.0389 % | 3,759.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0389 % | 2,933.6 |
| Perpetual-Premium | 5.36 % | -1.97 % | 65,098 | 0.09 | 18 | 0.0573 % | 2,871.4 |
| Perpetual-Discount | 5.28 % | 5.27 % | 70,590 | 15.03 | 16 | 0.0561 % | 3,010.8 |
| FixedReset | 4.20 % | 4.47 % | 151,082 | 3.82 | 101 | 0.0674 % | 2,542.5 |
| Deemed-Retractible | 5.06 % | 5.44 % | 84,097 | 5.80 | 28 | -0.0798 % | 2,955.9 |
| FloatingReset | 3.03 % | 2.91 % | 41,188 | 3.76 | 10 | 0.1339 % | 2,778.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.97 Bid-YTW : 7.35 % |
| BIP.PR.E | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.10 Evaluated at bid price : 24.86 Bid-YTW : 5.02 % |
| BAM.PR.T | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 21.54 Evaluated at bid price : 21.82 Bid-YTW : 4.82 % |
| GWO.PR.N | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 6.59 % |
| PWF.PR.A | Floater | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 3.03 % |
| BAM.PF.E | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.21 Evaluated at bid price : 24.18 Bid-YTW : 4.75 % |
| BAM.PR.R | FixedReset | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 4.90 % |
| POW.PR.D | Perpetual-Discount | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.86 Evaluated at bid price : 24.11 Bid-YTW : 5.22 % |
| BAM.PR.C | Floater | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 3.61 % |
| BAM.PR.K | Floater | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 3.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.P | FixedReset | 251,984 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.35 % |
| CM.PR.S | FixedReset | 192,908 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.12 Evaluated at bid price : 24.87 Bid-YTW : 4.47 % |
| NA.PR.E | FixedReset | 168,525 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.07 Evaluated at bid price : 24.80 Bid-YTW : 4.60 % |
| BNS.PR.Q | FixedReset | 104,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.81 % |
| TD.PF.I | FixedReset | 79,735 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 4.14 % |
| BMO.PR.B | FixedReset | 77,722 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.17 Bid-YTW : 3.54 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EIT.PR.A | SplitShare | Quote: 25.60 – 26.55 Spot Rate : 0.9500 Average : 0.5855 YTW SCENARIO |
| PWF.PR.R | Perpetual-Premium | Quote: 25.60 – 25.99 Spot Rate : 0.3900 Average : 0.2528 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 23.80 – 24.50 Spot Rate : 0.7000 Average : 0.5814 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 18.97 – 19.37 Spot Rate : 0.4000 Average : 0.2918 YTW SCENARIO |
| RY.PR.L | FixedReset | Quote: 25.20 – 25.49 Spot Rate : 0.2900 Average : 0.1849 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 24.51 – 24.79 Spot Rate : 0.2800 Average : 0.1790 YTW SCENARIO |