February 28, 2018

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a sharp widening from the 300bp reported February 21.

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 2.7426 % 3,066.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.7426 % 5,626.9
Floater 3.24 % 3.45 % 102,761 18.57 4 2.7426 % 3,242.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2205 % 3,157.4
SplitShare 4.70 % 4.07 % 62,502 3.32 5 0.2205 % 3,770.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2205 % 2,942.0
Perpetual-Premium 5.45 % 5.05 % 77,646 14.35 20 -0.0420 % 2,825.4
Perpetual-Discount 5.42 % 5.43 % 86,305 14.72 14 -0.1900 % 2,936.3
FixedReset 4.24 % 4.57 % 166,005 4.27 102 0.1690 % 2,524.8
Deemed-Retractible 5.19 % 5.73 % 92,658 5.78 28 0.0030 % 2,907.6
FloatingReset 2.94 % 2.90 % 36,532 3.70 10 0.1458 % 2,773.6
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 5.65 %
BAM.PR.M Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %
BAM.PF.J FixedReset 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.68 %
BAM.PR.X FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.88 %
MFC.PR.R FixedReset 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.83 %
PWF.PR.A Floater 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 2.78 %
BAM.PR.K Floater 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.46 %
BAM.PR.C Floater 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 3.46 %
BAM.PR.B Floater 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 3.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.Q FixedReset 124,465 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.82 %
BAM.PF.I FixedReset 52,173 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.12 %
W.PR.M FixedReset 41,930 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.10 %
TD.PR.S FixedReset 41,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 3.79 %
MFC.PR.H FixedReset 21,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.42 %
SLF.PR.A Deemed-Retractible 21,160 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.80 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.M Perpetual-Discount Quote: 21.30 – 21.69
Spot Rate : 0.3900
Average : 0.2625

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %

CCS.PR.C Deemed-Retractible Quote: 23.01 – 23.56
Spot Rate : 0.5500
Average : 0.4426

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 6.40 %

BAM.PF.D Perpetual-Discount Quote: 22.00 – 22.37
Spot Rate : 0.3700
Average : 0.2710

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 5.65 %

PWF.PR.L Perpetual-Discount Quote: 23.40 – 23.70
Spot Rate : 0.3000
Average : 0.2117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-28
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 5.50 %

HSE.PR.E FixedReset Quote: 25.11 – 25.32
Spot Rate : 0.2100
Average : 0.1271

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.67 %

GWO.PR.P Deemed-Retractible Quote: 24.67 – 24.91
Spot Rate : 0.2400
Average : 0.1589

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 5.59 %

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