May 16, 2019

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 0.8906 % 2,053.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8906 % 3,768.4
Floater 5.72 % 6.07 % 47,292 13.73 3 0.8906 % 2,171.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1473 % 3,284.0
SplitShare 4.69 % 4.96 % 78,238 4.25 7 -0.1473 % 3,921.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1473 % 3,059.9
Perpetual-Premium 5.53 % 3.62 % 87,723 0.09 12 -0.0066 % 2,951.4
Perpetual-Discount 5.45 % 5.46 % 71,860 14.59 20 -0.0066 % 3,097.7
FixedReset Disc 5.29 % 5.41 % 150,309 14.90 63 0.0957 % 2,169.5
Deemed-Retractible 5.24 % 5.92 % 97,232 8.03 27 0.1730 % 3,070.4
FloatingReset 3.97 % 4.28 % 47,077 2.60 4 0.2697 % 2,407.1
FixedReset Prem 5.11 % 3.81 % 250,081 2.12 21 0.0501 % 2,589.0
FixedReset Bank Non 1.98 % 3.96 % 159,207 2.61 3 -0.1665 % 2,647.5
FixedReset Ins Non 5.10 % 6.80 % 97,487 8.24 22 0.3036 % 2,225.2
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.23 %
BIP.PR.F FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 6.02 %
HSE.PR.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.44 %
RY.PR.M FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.19 %
EMA.PR.F FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.74 %
BAM.PR.B Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.07 %
PWF.PR.A Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.23 %
IFC.PR.E Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.88 %
TRP.PR.F FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 6.18 %
TD.PF.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 5.28 %
IFC.PR.F Deemed-Retractible 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.72 %
IFC.PR.C FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.97 %
MFC.PR.K FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.89
Bid-YTW : 7.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Prem 84,143 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.96 %
CM.PR.T FixedReset Prem 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 23.23
Evaluated at bid price : 25.21
Bid-YTW : 4.87 %
RY.PR.H FixedReset Disc 57,326 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.15 %
MFC.PR.Q FixedReset Ins Non 51,785 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.43
Bid-YTW : 6.80 %
BMO.PR.Q FixedReset Bank Non 51,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 4.25 %
TD.PF.B FixedReset Disc 38,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.28 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 20.20 – 20.80
Spot Rate : 0.6000
Average : 0.4016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.44 %

EMA.PR.F FixedReset Disc Quote: 18.50 – 19.04
Spot Rate : 0.5400
Average : 0.3748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.74 %

NA.PR.W FixedReset Disc Quote: 17.50 – 17.88
Spot Rate : 0.3800
Average : 0.2279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.53 %

BAM.PF.A FixedReset Disc Quote: 20.17 – 20.69
Spot Rate : 0.5200
Average : 0.3807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-16
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.84 %

GWO.PR.Q Deemed-Retractible Quote: 23.40 – 23.80
Spot Rate : 0.4000
Average : 0.2793

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 6.09 %

MFC.PR.B Deemed-Retractible Quote: 21.44 – 21.79
Spot Rate : 0.3500
Average : 0.2326

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 6.50 %

4 Responses to “May 16, 2019”

  1. mr_j936 says:

    BIP.PR.E is an issue I struggle to understand, it fell 5$ in one year, even though it is a minimum rate reset (best of both worlds no?) issued by an investment grade company. It currently yields close to 6%
    I continue to hold this issue by I question myself if I am missing something glaring about it that other people see…

  2. skeptical says:

    IMHO, it’s the rate spread. For BIP.PR.E, it’s only 300 bps vs much wider levels for issues that are trading at par. Plus there’s lots to choose from in the BIP world, so ‘investors’ want the widest spread, forgetting the call risk and chances for capital gains as and when the interest rates rise. In this case it seems, the market isn’t giving much value to BIP.PR.E’s minimum reset values. Perhaps too much influence of James on that section of investors!

  3. mr_j936 says:

    I guess it is possible since they have so many outstanding preferred, and people do not like to buy a lot from the same issuer, that their issues start to slack.
    I bought more at 20.40$, with a 6% dividend as the minimum possible it is very tempting to me.

  4. skeptical says:

    It looks like a good buy, but unless you are a doomer and gloomer like me, BIP.PR.A is an even better value with a spread of 356 bps.
    Even at zero GOC 5 year(imagine that world!), you’ll still get 4.45% dividend, which isn’t bad at all when everything around you yields zero.
    With BIP.PR.E, you are always guaranteed a 6% yield at current prices.
    Overall, there are so many exceptional opportunities in the preferred market.

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