November 14, 2018

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.20%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported November 7.

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 0.2604 % 3,074.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2604 % 5,641.2
Floater 3.78 % 4.03 % 39,818 17.32 4 0.2604 % 3,251.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3313 % 3,211.2
SplitShare 4.49 % 4.77 % 54,036 4.16 6 -0.3313 % 3,834.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3313 % 2,992.1
Perpetual-Premium 5.85 % -8.13 % 52,812 0.08 3 0.2108 % 2,901.6
Perpetual-Discount 5.58 % 5.66 % 74,366 14.35 31 0.1897 % 2,936.4
FixedReset Disc 4.53 % 5.38 % 162,120 14.84 58 -0.0256 % 2,462.1
Deemed-Retractible 5.32 % 6.66 % 68,305 5.18 27 0.1891 % 2,917.3
FloatingReset 3.83 % 4.30 % 38,262 5.41 6 0.3103 % 2,747.7
FixedReset Prem 5.05 % 4.40 % 219,176 2.55 22 0.0214 % 2,533.8
FixedReset Bank Non 2.96 % 3.99 % 111,769 0.28 6 -0.0068 % 2,580.9
FixedReset Ins Non 4.56 % 6.44 % 127,135 5.27 22 -0.1385 % 2,459.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 5.61 %
IFC.PR.G FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 6.53 %
BAM.PF.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.96 %
IFC.PR.A FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 8.58 %
TRP.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 22.22
Evaluated at bid price : 22.51
Bid-YTW : 5.78 %
TRP.PR.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 5.87 %
PWF.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 21.87
Evaluated at bid price : 22.35
Bid-YTW : 5.39 %
IFC.PR.F Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.46 %
EIT.PR.A SplitShare -1.04 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.13 %
BIP.PR.D FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.77 %
CU.PR.E Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 5.63 %
MFC.PR.B Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.72
Bid-YTW : 8.45 %
SLF.PR.B Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.59
Bid-YTW : 7.78 %
PWF.PR.L Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 5.68 %
BAM.PR.R FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.78 %
PWF.PR.Q FloatingReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 3.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.I FixedReset Prem 156,579 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.36 %
BMO.PR.E FixedReset Prem 51,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 23.13
Evaluated at bid price : 24.90
Bid-YTW : 5.04 %
RY.PR.M FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 22.95
Evaluated at bid price : 23.28
Bid-YTW : 5.25 %
TRP.PR.G FixedReset Disc 41,993 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 22.22
Evaluated at bid price : 22.51
Bid-YTW : 5.78 %
PWF.PR.R Perpetual-Discount 28,805 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 24.16
Evaluated at bid price : 24.49
Bid-YTW : 5.65 %
BNS.PR.I FixedReset Disc 24,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 23.10
Evaluated at bid price : 24.85
Bid-YTW : 4.85 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Disc Quote: 23.95 – 24.70
Spot Rate : 0.7500
Average : 0.5381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 22.84
Evaluated at bid price : 23.95
Bid-YTW : 5.32 %

W.PR.J Perpetual-Discount Quote: 24.57 – 25.20
Spot Rate : 0.6300
Average : 0.4871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 5.76 %

MFC.PR.F FixedReset Ins Non Quote: 17.35 – 17.62
Spot Rate : 0.2700
Average : 0.2062

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 9.89 %

W.PR.K FixedReset Prem Quote: 25.35 – 25.68
Spot Rate : 0.3300
Average : 0.2691

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.80 %

PWF.PR.T FixedReset Disc Quote: 22.35 – 22.62
Spot Rate : 0.2700
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-14
Maturity Price : 21.87
Evaluated at bid price : 22.35
Bid-YTW : 5.39 %

IFC.PR.G FixedReset Ins Non Quote: 23.17 – 23.66
Spot Rate : 0.4900
Average : 0.4338

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 6.53 %

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