July 11, 2018

A good day for FixedResets, presumably due to the Bank of Canada policy hike and anticipation of increasing five-year Canada yields.

PerpetualDiscounts now yield 5.47%, equivalent to 7.11% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from July 4

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 1.3727 % 3,106.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3727 % 5,700.7
Floater 3.24 % 3.44 % 70,208 18.68 4 1.3727 % 3,285.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,184.3
SplitShare 4.61 % 4.70 % 61,802 4.93 5 -0.0793 % 3,802.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0793 % 2,967.0
Perpetual-Premium 5.64 % -15.63 % 61,148 0.09 9 0.0306 % 2,906.2
Perpetual-Discount 5.38 % 5.47 % 56,026 14.70 26 -0.0279 % 2,986.0
FixedReset 4.30 % 4.60 % 134,249 4.29 106 0.4840 % 2,558.1
Deemed-Retractible 5.14 % 5.92 % 63,454 5.49 27 -0.0920 % 2,968.2
FloatingReset 3.25 % 3.72 % 34,409 3.39 9 0.2727 % 2,832.5
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.54 %
MFC.PR.J FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.74 %
MFC.PR.L FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 6.02 %
BAM.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 3.44 %
IFC.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 5.39 %
GWO.PR.T Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.92 %
SLF.PR.J FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 6.42 %
MFC.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.58 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.46 %
PWF.PR.P FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.41 %
GWO.PR.N FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.98
Bid-YTW : 7.61 %
TRP.PR.A FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.83 %
BAM.PF.G FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.34
Evaluated at bid price : 24.37
Bid-YTW : 4.97 %
CU.PR.G Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.32 %
CU.PR.C FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.31
Evaluated at bid price : 22.94
Bid-YTW : 4.64 %
BAM.PR.R FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.06 %
BAM.PF.F FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 24.37
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
TRP.PR.C FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.83 %
SLF.PR.H FixedReset 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.67 %
MFC.PR.N FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.20 %
BAM.PR.C Floater 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.45 %
SLF.PR.G FixedReset 3.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 6.81 %
MFC.PR.M FixedReset 3.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 5.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Premium 408,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.26 %
TRP.PR.B FixedReset 150,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.76 %
PWF.PR.L Perpetual-Discount 104,234 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.51 %
PWF.PR.H Perpetual-Premium 94,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-10
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.79 %
IFC.PR.G FixedReset 75,456 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.02 %
PWF.PR.T FixedReset 75,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.60
Evaluated at bid price : 24.30
Bid-YTW : 4.53 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.6790

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.81 %

TRP.PR.A FixedReset Quote: 20.49 – 21.40
Spot Rate : 0.9100
Average : 0.7225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.83 %

TRP.PR.E FixedReset Quote: 22.61 – 22.98
Spot Rate : 0.3700
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.00
Evaluated at bid price : 22.61
Bid-YTW : 4.85 %

PWF.PR.F Perpetual-Discount Quote: 23.79 – 24.17
Spot Rate : 0.3800
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.52
Evaluated at bid price : 23.79
Bid-YTW : 5.52 %

W.PR.M FixedReset Quote: 25.60 – 25.85
Spot Rate : 0.2500
Average : 0.1671

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.41 %

TRP.PR.G FixedReset Quote: 24.21 – 24.55
Spot Rate : 0.3400
Average : 0.2600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.17
Evaluated at bid price : 24.21
Bid-YTW : 5.02 %

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