March 20, 2018

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 -0.2689 % 3,067.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2689 % 5,627.7
Floater 3.26 % 3.41 % 105,079 18.73 4 -0.2689 % 3,243.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1177 % 3,164.6
SplitShare 4.69 % 4.32 % 58,729 3.26 5 0.1177 % 3,779.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1177 % 2,948.7
Perpetual-Premium 5.59 % -0.91 % 77,873 0.09 11 -0.0179 % 2,845.6
Perpetual-Discount 5.34 % 5.45 % 85,410 14.67 23 -0.0817 % 2,942.8
FixedReset 4.29 % 4.56 % 175,017 5.88 104 -0.3864 % 2,510.5
Deemed-Retractible 5.18 % 5.75 % 91,981 5.73 28 -0.2866 % 2,918.4
FloatingReset 2.93 % 3.01 % 35,919 3.65 10 -0.7219 % 2,736.7
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset -23.76 % Completely nonsensical, of course, but this type of thing must be expected when the financial system is controlled by a privileged oligarchy. The issue traded a whopping 4,220 shares today in a range of 21.07-23; the last trade, 100 shares at 21.07 at 3:51pm, appears to have overwhelmed the system. Perhaps the closing quote is due to unexpectedly high retail demand! I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 6.39 %
PWF.PR.Q FloatingReset -8.69 % More nonsense from Nonsense Central. The issue traded 11,800 shares in a range of 21.40-75, with the last trade of 100 shares at 21.40 coming at 3:37pm. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.35 %
GWO.PR.M Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : -4.67 %
BAM.PF.E FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 22.80
Evaluated at bid price : 23.13
Bid-YTW : 4.88 %
BAM.PF.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 23.46
Evaluated at bid price : 24.19
Bid-YTW : 5.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 383,944 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 4.39 %
RY.PR.H FixedReset 208,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 23.00
Evaluated at bid price : 23.45
Bid-YTW : 4.51 %
TD.PF.E FixedReset 115,009 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 23.21
Evaluated at bid price : 24.40
Bid-YTW : 4.79 %
CM.PR.Q FixedReset 94,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 23.21
Evaluated at bid price : 24.28
Bid-YTW : 4.73 %
BAM.PF.C Perpetual-Discount 89,362 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 21.68
Evaluated at bid price : 21.68
Bid-YTW : 5.62 %
MFC.PR.Q FixedReset 60,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.89 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Quote: 16.08 – 21.16
Spot Rate : 5.0800
Average : 2.7700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 6.39 %

PWF.PR.Q FloatingReset Quote: 19.86 – 21.64
Spot Rate : 1.7800
Average : 1.0088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.35 %

GWO.PR.M Deemed-Retractible Quote: 25.50 – 25.87
Spot Rate : 0.3700
Average : 0.2108

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : -4.67 %

BMO.PR.S FixedReset Quote: 23.66 – 23.99
Spot Rate : 0.3300
Average : 0.2329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 23.15
Evaluated at bid price : 23.66
Bid-YTW : 4.54 %

PVS.PR.B SplitShare Quote: 25.22 – 25.62
Spot Rate : 0.4000
Average : 0.3104

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.44 %

TD.PF.F Perpetual-Discount Quote: 24.75 – 24.99
Spot Rate : 0.2400
Average : 0.1558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-20
Maturity Price : 24.32
Evaluated at bid price : 24.75
Bid-YTW : 5.00 %

4 Responses to “March 20, 2018”

  1. prefman says:

    Looks like Enbridge preferred shares are down around 3% over past couple of days. Any idea as to why?

  2. newbiepref says:

    You are right. The US prefs got killed today even the one that is about to reset at a rate close to 6 pc in a few weeks ( if the 5 years treasuries stay at the same rate of course). I don’t get it myself either. I have not heard of anything that would make the credit risk increase. Weird.

  3. jiHymas says:

    A good possibility is Pipeline selloff deepens as tax change threatens Enbridge unit’s rating:

    Credit ratings agency DBRS Ltd. is warning that one of Enbridge Inc. subsidiary’s revenues could tumble by $100 million this year and its credit ratings hurt by new policies in the U.S., which have led to a sector-wide stock selloff.

    DBRS said in a note Tuesday that said a recent decision by the U.S. Federal Regulatory Commission could “significantly weaken” the key credit metrics of Enbridge Energy Partners L.P. (EEP), a subsidiary of Calgary-based Enbridge.

    Last week, the FERC announced that master limited partnerships (MLPs) — a tax-friendly corporate structure popular with pipeline firms — would no longer be able to recover an income tax allowance in certain pipeline service contracts.

  4. newbiepref says:

    Thanks for this James.
    I had not picked up on it.

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