February 6, 2019

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard conversion 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 340bp, a slight (and perhaps spurious) narrowing from the 345bp reported January 30.

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 -0.8600 % 2,297.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8600 % 4,216.3
Floater 5.10 % 5.39 % 31,151 14.81 4 -0.8600 % 2,429.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1499 % 3,226.3
SplitShare 4.90 % 4.87 % 65,446 3.97 8 0.1499 % 3,852.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1499 % 3,006.2
Perpetual-Premium 5.86 % -0.90 % 91,804 0.08 4 0.1492 % 2,886.9
Perpetual-Discount 5.58 % 5.65 % 72,807 14.30 31 0.2754 % 2,983.0
FixedReset Disc 5.06 % 5.44 % 217,632 14.81 65 0.1554 % 2,245.8
Deemed-Retractible 5.35 % 6.28 % 101,105 8.16 27 0.5102 % 2,966.4
FloatingReset 4.31 % 5.42 % 63,023 8.49 6 -0.0559 % 2,446.2
FixedReset Prem 5.14 % 4.23 % 268,468 2.30 18 0.2142 % 2,531.8
FixedReset Bank Non 2.79 % 3.91 % 155,199 2.86 5 0.2241 % 2,598.6
FixedReset Ins Non 5.03 % 7.01 % 131,661 8.25 22 -0.3065 % 2,212.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.30 %
RY.PR.J FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.34
Evaluated at bid price : 21.63
Bid-YTW : 5.25 %
HSE.PR.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.16 %
PWF.PR.A Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 4.49 %
MFC.PR.L FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.87
Bid-YTW : 8.11 %
MFC.PR.M FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.73 %
CM.PR.P FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.53 %
MFC.PR.F FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.39
Bid-YTW : 9.29 %
GWO.PR.N FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.54
Bid-YTW : 9.12 %
BAM.PR.K Floater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 5.44 %
MFC.PR.K FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.38 %
RY.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.21 %
GWO.PR.G Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 6.31 %
GWO.PR.I Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.38
Bid-YTW : 7.04 %
GWO.PR.T Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 6.19 %
BIP.PR.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 22.30
Evaluated at bid price : 22.80
Bid-YTW : 6.12 %
CCS.PR.C Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.30 %
SLF.PR.D Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.88 %
MFC.PR.J FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 6.58 %
BMO.PR.S FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.33 %
CU.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.40 %
PWF.PR.L Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 5.65 %
GWO.PR.S Deemed-Retractible 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.75 %
CU.PR.H Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 23.07
Evaluated at bid price : 23.45
Bid-YTW : 5.59 %
BAM.PR.M Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.78 %
BAM.PR.N Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.78 %
IFC.PR.F Deemed-Retractible 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 6.25 %
BAM.PF.D Perpetual-Discount 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.63 %
BIP.PR.F FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.66
Evaluated at bid price : 22.03
Bid-YTW : 5.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 226,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.22 %
TD.PF.A FixedReset Disc 142,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.23 %
RY.PR.H FixedReset Disc 132,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.20 %
RY.PR.Q FixedReset Prem 131,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.02 %
TD.PF.L FixedReset Prem 89,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 23.21
Evaluated at bid price : 25.20
Bid-YTW : 5.04 %
PWF.PR.K Perpetual-Discount 81,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.47
Evaluated at bid price : 21.73
Bid-YTW : 5.73 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 21.22 – 21.76
Spot Rate : 0.5400
Average : 0.3691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.41 %

SLF.PR.G FixedReset Ins Non Quote: 14.62 – 15.07
Spot Rate : 0.4500
Average : 0.3116

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.30 %

TRP.PR.K FixedReset Disc Quote: 24.38 – 24.74
Spot Rate : 0.3600
Average : 0.2268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 23.10
Evaluated at bid price : 24.38
Bid-YTW : 5.74 %

PWF.PR.S Perpetual-Discount Quote: 21.30 – 21.69
Spot Rate : 0.3900
Average : 0.2575

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %

MFC.PR.J FixedReset Ins Non Quote: 21.39 – 21.73
Spot Rate : 0.3400
Average : 0.2128

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 6.58 %

CM.PR.P FixedReset Disc Quote: 18.63 – 19.05
Spot Rate : 0.4200
Average : 0.2936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.53 %

Leave a Reply

You must be logged in to post a comment.