June 27, 2018

PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a slight (and perhaps spurious) narrowing from the 340bp reported June 20.

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 0.2794 % 2,989.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2794 % 5,485.9
Floater 3.36 % 3.57 % 73,393 18.35 4 0.2794 % 3,161.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1274 % 3,177.2
SplitShare 4.62 % 4.61 % 65,965 4.97 5 0.1274 % 3,794.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1274 % 2,960.4
Perpetual-Premium 5.61 % -10.87 % 62,055 0.09 9 0.1089 % 2,894.3
Perpetual-Discount 5.36 % 5.51 % 62,194 14.62 26 0.2081 % 2,977.2
FixedReset 4.32 % 4.61 % 143,333 5.67 106 0.0639 % 2,535.0
Deemed-Retractible 5.15 % 5.77 % 71,316 5.53 27 0.3400 % 2,966.3
FloatingReset 3.05 % 3.72 % 34,192 3.42 9 0.0050 % 2,797.2
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.64 %
TRP.PR.C FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
EMA.PR.H FixedReset 110,128 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 23.19
Evaluated at bid price : 25.10
Bid-YTW : 4.82 %
RY.PR.W Perpetual-Discount 104,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.99 %
MFC.PR.N FixedReset 74,441 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 5.45 %
POW.PR.G Perpetual-Premium 52,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.36 %
NA.PR.S FixedReset 51,964 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 22.74
Evaluated at bid price : 23.32
Bid-YTW : 4.67 %
TRP.PR.K FixedReset 44,336 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.47 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Quote: 24.60 – 24.85
Spot Rate : 0.2500
Average : 0.1841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 23.06
Evaluated at bid price : 24.60
Bid-YTW : 4.86 %

PWF.PR.A Floater Quote: 21.25 – 21.54
Spot Rate : 0.2900
Average : 0.2248

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 2.86 %

PWF.PR.P FixedReset Quote: 19.28 – 19.49
Spot Rate : 0.2100
Average : 0.1556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 4.42 %

TD.PF.F Perpetual-Discount Quote: 24.80 – 24.96
Spot Rate : 0.1600
Average : 0.1081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 24.34
Evaluated at bid price : 24.80
Bid-YTW : 4.99 %

BAM.PF.C Perpetual-Discount Quote: 21.60 – 21.82
Spot Rate : 0.2200
Average : 0.1729

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-27
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.65 %

RY.PR.A Deemed-Retractible Quote: 25.18 – 25.33
Spot Rate : 0.1500
Average : 0.1039

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-27
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 0.72 %

Leave a Reply

You must be logged in to post a comment.