August 15, 2018

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) widening from the 320bp reported August 8.

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 -0.2965 % 3,086.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2965 % 5,664.0
Floater 3.50 % 3.71 % 50,096 18.00 4 -0.2965 % 3,264.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,212.1
SplitShare 4.57 % 4.72 % 49,063 4.83 5 0.0157 % 3,835.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,992.9
Perpetual-Premium 5.62 % -11.35 % 55,271 0.09 10 0.0590 % 2,914.2
Perpetual-Discount 5.41 % 5.53 % 56,587 14.58 25 0.0778 % 2,991.4
FixedReset 4.31 % 4.78 % 117,599 3.92 107 -0.0795 % 2,572.4
Deemed-Retractible 5.13 % 6.04 % 56,919 5.39 26 0.0952 % 2,983.3
FloatingReset 3.43 % 3.77 % 34,813 5.70 7 -0.1496 % 2,840.2
Performance Highlights
Issue Index Change Notes
EMA.PR.H FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 23.21
Evaluated at bid price : 25.15
Bid-YTW : 4.78 %
SLF.PR.H FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 106,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.16 %
TD.PF.B FixedReset 85,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 4.82 %
TRP.PR.E FixedReset 79,037 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.85
Evaluated at bid price : 22.36
Bid-YTW : 5.17 %
RY.PR.P Perpetual-Premium 64,880 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.18 %
CU.PR.H Perpetual-Discount 47,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 23.85
Evaluated at bid price : 24.30
Bid-YTW : 5.40 %
MFC.PR.C Deemed-Retractible 45,575 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 7.68 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.7497

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.73 %

MFC.PR.L FixedReset Quote: 22.88 – 23.68
Spot Rate : 0.8000
Average : 0.5684

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.14 %

MFC.PR.R FixedReset Quote: 26.07 – 26.42
Spot Rate : 0.3500
Average : 0.2057

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.81 %

MFC.PR.K FixedReset Quote: 23.00 – 23.50
Spot Rate : 0.5000
Average : 0.3586

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.19 %

BAM.PR.T FixedReset Quote: 21.11 – 21.48
Spot Rate : 0.3700
Average : 0.2669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.22 %

PWF.PR.A Floater Quote: 21.21 – 21.55
Spot Rate : 0.3400
Average : 0.2412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.05 %

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