January 3, 2018

Another good day, although volume remains low – perhaps because of problems with brokerage accounts! I’m not sure whose fault it is: the clients who refuse to do anything until the actual change of year, or the banks who are astonished by the volume every single year.

PerpetualDiscounts now yield 5.25%, equivalent to 6.82% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a sharp narrowing from the 320bp reported December 27.

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 0.9576 % 2,640.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9576 % 4,844.9
Floater 3.48 % 3.66 % 34,230 18.18 4 0.9576 % 2,792.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3830 % 3,148.7
SplitShare 4.66 % 4.10 % 61,844 3.44 5 0.3830 % 3,760.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3830 % 2,933.9
Perpetual-Premium 5.35 % 0.92 % 44,853 0.09 18 0.0937 % 2,855.2
Perpetual-Discount 5.25 % 5.25 % 62,947 14.92 16 0.1622 % 3,014.4
FixedReset 4.22 % 4.38 % 133,913 3.96 98 0.0955 % 2,512.5
Deemed-Retractible 5.05 % 5.35 % 77,018 5.88 28 0.2488 % 2,950.6
FloatingReset 2.97 % 2.80 % 38,305 3.83 10 0.0797 % 2,711.8
Performance Highlights
Issue Index Change Notes
EML.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.68 %
BAM.PR.Z FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-03
Maturity Price : 23.02
Evaluated at bid price : 24.60
Bid-YTW : 4.82 %
BAM.PR.K Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-03
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 3.66 %
IFC.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.37
Bid-YTW : 6.83 %
SLF.PR.D Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 6.83 %
PWF.PR.A Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-03
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.09 %
SLF.PR.G FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.65 %
PVS.PR.E SplitShare 1.68 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-02-02
Maturity Price : 26.00
Evaluated at bid price : 26.70
Bid-YTW : -21.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 49,201 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 3.86 %
TRP.PR.K FixedReset 46,393 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.92 %
BMO.PR.M FixedReset 39,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.62 %
BNS.PR.G FixedReset 36,029 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.93
Bid-YTW : 3.11 %
MFC.PR.K FixedReset 30,317 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 5.66 %
IFC.PR.F Deemed-Retractible 26,353 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 5.01 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 17.44 – 17.94
Spot Rate : 0.5000
Average : 0.3511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-03
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.91 %

HSE.PR.E FixedReset Quote: 24.71 – 25.15
Spot Rate : 0.4400
Average : 0.3002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 5.10 %

EML.PR.A FixedReset Quote: 26.55 – 26.89
Spot Rate : 0.3400
Average : 0.2512

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.68 %

SLF.PR.H FixedReset Quote: 21.29 – 21.60
Spot Rate : 0.3100
Average : 0.2347

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.29
Bid-YTW : 6.02 %

GWO.PR.Q Deemed-Retractible Quote: 24.57 – 24.95
Spot Rate : 0.3800
Average : 0.3069

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 5.49 %

PWF.PR.T FixedReset Quote: 24.41 – 24.63
Spot Rate : 0.2200
Average : 0.1683

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-03
Maturity Price : 23.95
Evaluated at bid price : 24.41
Bid-YTW : 4.40 %

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