May 22, 2019

PerpetualDiscounts now yield 5.45%, equivalent to 7.08% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.66%, 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 May 15.

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 0.7667 % 2,084.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7667 % 3,825.6
Floater 5.64 % 5.98 % 52,978 13.86 3 0.7667 % 2,204.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3185 % 3,308.3
SplitShare 4.70 % 4.74 % 81,084 4.29 7 0.3185 % 3,950.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3185 % 3,082.6
Perpetual-Premium 5.53 % 4.62 % 82,526 0.09 12 0.0099 % 2,953.2
Perpetual-Discount 5.44 % 5.45 % 75,236 14.71 20 -0.1343 % 3,104.4
FixedReset Disc 5.30 % 5.46 % 149,812 14.82 63 -0.2249 % 2,171.3
Deemed-Retractible 5.22 % 5.87 % 95,016 8.02 27 -0.0694 % 3,082.1
FloatingReset 3.95 % 4.32 % 44,655 2.58 4 0.1150 % 2,415.1
FixedReset Prem 5.11 % 3.84 % 239,191 2.10 21 -0.1131 % 2,586.3
FixedReset Bank Non 1.98 % 3.95 % 155,282 2.60 3 -0.0417 % 2,648.3
FixedReset Ins Non 5.07 % 6.76 % 94,703 8.23 22 0.1436 % 2,240.4
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 5.95 %
HSE.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.71 %
RY.PR.M FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.28 %
BIP.PR.F FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.17 %
BIP.PR.A FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.58 %
GWO.PR.T Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 5.97 %
TRP.PR.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 6.05 %
BAM.PF.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 22.40
Evaluated at bid price : 23.05
Bid-YTW : 5.19 %
PWF.PR.K Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.55 %
EMA.PR.F FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.74 %
IFC.PR.C FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.92 %
MFC.PR.N FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.12
Bid-YTW : 7.75 %
IFC.PR.A FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.13
Bid-YTW : 9.42 %
BAM.PR.K Floater 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 5.98 %
SLF.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 9.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.F Perpetual-Discount 209,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.55 %
GWO.PR.G Deemed-Retractible 129,542 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.87 %
IAF.PR.G FixedReset Ins Non 89,864 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 6.15 %
PWF.PR.K Perpetual-Discount 72,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.55 %
BMO.PR.F FixedReset Prem 53,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.96 %
BIP.PR.F FixedReset Disc 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.17 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 19.99 – 20.49
Spot Rate : 0.5000
Average : 0.3634

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.28 %

BIP.PR.A FixedReset Disc Quote: 19.90 – 20.24
Spot Rate : 0.3400
Average : 0.2224

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.58 %

PWF.PR.F Perpetual-Discount Quote: 23.85 – 24.13
Spot Rate : 0.2800
Average : 0.1790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.55 %

HSE.PR.C FixedReset Disc Quote: 18.01 – 18.46
Spot Rate : 0.4500
Average : 0.3575

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.71 %

BIK.PR.A FixedReset Prem Quote: 25.71 – 25.97
Spot Rate : 0.2600
Average : 0.1856

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 5.41 %

PVS.PR.E SplitShare Quote: 25.60 – 25.88
Spot Rate : 0.2800
Average : 0.2075

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.69 %

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