November 22, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a slight (and perhaps spurious) narrowing from the 305bp reported November 15

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 0.0876 % 2,458.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0876 % 4,511.1
Floater 3.68 % 3.90 % 98,567 17.57 3 0.0876 % 2,599.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0593 % 3,114.1
SplitShare 4.74 % 4.52 % 66,104 4.33 6 0.0593 % 3,718.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0593 % 2,901.7
Perpetual-Premium 5.34 % 2.46 % 44,925 0.11 20 0.1275 % 2,843.3
Perpetual-Discount 5.19 % 5.23 % 64,539 15.04 15 0.0734 % 3,024.8
FixedReset 4.21 % 4.19 % 155,101 4.41 98 0.1274 % 2,508.4
Deemed-Retractible 5.01 % 5.28 % 88,488 5.91 30 0.1625 % 2,948.4
FloatingReset 2.70 % 2.74 % 43,079 3.96 8 0.1463 % 2,690.1
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %
MFC.PR.B Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 6.06 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 466,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %
RY.PR.Q FixedReset 289,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.20 %
TRP.PR.J FixedReset 257,205 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 3.45 %
TD.PF.G FixedReset 187,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.14 %
NA.PR.A FixedReset 178,206 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 3.29 %
SLF.PR.H FixedReset 76,912 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.11 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 24.00 – 24.40
Spot Rate : 0.4000
Average : 0.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %

MFC.PR.R FixedReset Quote: 26.18 – 26.39
Spot Rate : 0.2100
Average : 0.1517

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.59 %

BMO.PR.Y FixedReset Quote: 24.79 – 25.00
Spot Rate : 0.2100
Average : 0.1523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %

CU.PR.I FixedReset Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1956

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.08 %

RY.PR.A Deemed-Retractible Quote: 25.42 – 25.58
Spot Rate : 0.1600
Average : 0.1106

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-22
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -15.50 %

BAM.PF.J FixedReset Quote: 25.88 – 26.15
Spot Rate : 0.2700
Average : 0.2217

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.20 %

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