August 22, 2017

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 0.0236 % 2,367.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0236 % 4,344.5
Floater 3.66 % 3.69 % 115,262 18.03 3 0.0236 % 2,503.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,079.4
SplitShare 4.73 % 3.91 % 55,177 1.34 5 0.1421 % 3,677.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1421 % 2,869.3
Perpetual-Premium 5.41 % 4.83 % 61,088 5.89 17 -0.0116 % 2,777.4
Perpetual-Discount 5.30 % 5.32 % 61,259 14.89 20 0.3096 % 2,930.4
FixedReset 4.38 % 4.43 % 143,211 6.35 98 0.3667 % 2,381.9
Deemed-Retractible 5.07 % 5.57 % 108,476 6.04 31 0.1915 % 2,869.7
FloatingReset 2.63 % 3.07 % 40,611 4.20 9 0.1329 % 2,615.8
Performance Highlights
Issue Index Change Notes
CM.PR.O FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.36 %
CM.PR.P FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 4.36 %
HSE.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.68
Evaluated at bid price : 23.25
Bid-YTW : 5.00 %
TD.PF.D FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.74
Evaluated at bid price : 23.51
Bid-YTW : 4.43 %
TRP.PR.E FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.46 %
TRP.PR.B FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.47 %
TRP.PR.A FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.43 %
MFC.PR.G FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 4.91 %
BMO.PR.Y FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.74
Evaluated at bid price : 23.54
Bid-YTW : 4.37 %
PWF.PR.L Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.29 %
TRP.PR.G FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.74
Evaluated at bid price : 23.59
Bid-YTW : 4.57 %
TD.PF.H FixedReset 2.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 3.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 131,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.60 %
IFC.PR.F Deemed-Retractible 74,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 5.58 %
BMO.PR.C FixedReset 57,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.32 %
NA.PR.W FixedReset 55,667 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.48 %
BMO.PR.S FixedReset 51,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.65
Evaluated at bid price : 22.07
Bid-YTW : 4.35 %
TRP.PR.D FixedReset 45,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.51 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 22.31 – 22.80
Spot Rate : 0.4900
Average : 0.3333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.02
Evaluated at bid price : 22.31
Bid-YTW : 4.65 %

BAM.PR.K Floater Quote: 14.10 – 14.57
Spot Rate : 0.4700
Average : 0.3249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.70 %

TRP.PR.J FixedReset Quote: 26.55 – 26.78
Spot Rate : 0.2300
Average : 0.1462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.71 %

HSE.PR.G FixedReset Quote: 24.04 – 24.35
Spot Rate : 0.3100
Average : 0.2283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 23.01
Evaluated at bid price : 24.04
Bid-YTW : 5.17 %

MFC.PR.C Deemed-Retractible Quote: 21.62 – 21.89
Spot Rate : 0.2700
Average : 0.1933

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.83 %

SLF.PR.D Deemed-Retractible Quote: 21.36 – 21.60
Spot Rate : 0.2400
Average : 0.1872

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 7.16 %

2 Responses to “August 22, 2017”

  1. brian says:

    Just saw that RY.pr.B is going to be redeemed Sept 27 (at $25.11).
    RY.pr.B belongs to the group of non-NVCC bank perpetuals which are all expected to be redeemed by 2022.

    In the past, when a bank had several prefs in this group, they always seemed to redeem the issue with the lowest dividend first (eg. Bank of Nova Scotia redeemed BNS.pr.M [4.5%] and BNS.pr.N [5.25%] before finally redeeming BNS.pr.O [5.6%]). That made no sense and I’m hoping that someone can explain this backward thinking to me!

    Back to Royal Bank… because of the strange expectation that the highest dividend non-NVCC prefs would be redeemed last, they generally commanded the highest prices and so it was that RY.pr.B [4.7%] generally traded at a higher price than other similar issues, eg. RY.pr.A [4.45%]. Now this thinking has suddenly been turned upside down because RY.pr.B is being redeemed before several other similar issues with a lower dividend. This obviously caught the market by surprise because RY.pr.B had been trading at about $25.30 before todays announcement.

    I own several of these non-NVCC bank perpetuals (Royal Bank and HSBC)and now I don’t know whether to hold the ones with the higher dividends or the lower dividends! Any comments appreciated. Thanks.

  2. LD says:

    I believe that generally (though not always) the issuers showed a preference to wait in order to redeem shares at $25.00.

    This meant that they would sometimes redeem shares with a lower dividend, but that could be immediately redeemed at $25, instead of a series with a higher dividend but that would require a redemption price of $25.25 or $25.50. For these series, the issuers tended to wait until they could be redeemed at $25.00.

    If I’m not mistaken, all of RY’s non-nvcc perpetuals can now be redeemed at $25, so my opinion is that they would follow the pattern that you suggested (i.e. highest dividend to lowest dividend). As for the timeline, I have no guess, but would like to hear what others think.

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