July 9, 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 -0.7619 % 1,963.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7619 % 3,603.1
Floater 6.06 % 6.19 % 37,565 13.65 4 -0.7619 % 2,076.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0452 % 3,337.6
SplitShare 4.67 % 4.61 % 80,927 4.16 7 -0.0452 % 3,985.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0452 % 3,109.9
Perpetual-Premium 5.63 % -16.13 % 60,763 0.09 7 0.0944 % 2,973.6
Perpetual-Discount 5.47 % 5.54 % 64,830 14.59 25 0.0830 % 3,107.4
FixedReset Disc 5.34 % 5.35 % 167,400 14.91 69 0.1384 % 2,151.7
Deemed-Retractible 5.24 % 5.91 % 71,754 8.00 27 0.0285 % 3,105.0
FloatingReset 4.04 % 4.32 % 44,897 2.47 4 -0.1050 % 2,362.6
FixedReset Prem 5.14 % 3.70 % 172,435 1.94 17 0.0496 % 2,593.4
FixedReset Bank Non 1.98 % 4.28 % 108,202 2.48 3 -0.2505 % 2,646.5
FixedReset Ins Non 5.21 % 7.36 % 87,608 8.06 22 -0.0500 % 2,186.3
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.53 %
BAM.PR.K Floater -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 6.34 %
HSE.PR.C FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 6.42 %
MFC.PR.Q FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.52
Bid-YTW : 7.48 %
IFC.PR.A FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.52
Bid-YTW : 9.01 %
EMA.PR.F FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.15 %
IFC.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.26
Bid-YTW : 7.08 %
IFC.PR.F Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.87 %
BMO.PR.S FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.15 %
SLF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 9.83 %
BIP.PR.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.64 %
TRP.PR.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 6.20 %
BAM.PF.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.89 %
TD.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 5.21 %
PWF.PR.P FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 5.73 %
BAM.PR.R FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 6.12 %
CU.PR.C FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.40 %
MFC.PR.N FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.24 %
CM.PR.P FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.41 %
TRP.PR.G FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 405,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.65 %
CM.PR.R FixedReset Disc 87,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 21.79
Evaluated at bid price : 22.06
Bid-YTW : 5.46 %
TRP.PR.K FixedReset Disc 84,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.17 %
RY.PR.A Deemed-Retractible 65,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-08
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : -2.33 %
TRP.PR.D FixedReset Disc 49,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 5.79 %
BAM.PR.T FixedReset Disc 47,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 6.13 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Disc Quote: 17.26 – 17.96
Spot Rate : 0.7000
Average : 0.4740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.15 %

TRP.PR.A FixedReset Disc Quote: 14.05 – 14.49
Spot Rate : 0.4400
Average : 0.2876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 6.20 %

IFC.PR.F Deemed-Retractible Quote: 24.00 – 24.45
Spot Rate : 0.4500
Average : 0.3022

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.87 %

HSE.PR.C FixedReset Disc Quote: 18.33 – 18.90
Spot Rate : 0.5700
Average : 0.4639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 6.42 %

PWF.PR.T FixedReset Disc Quote: 18.09 – 18.45
Spot Rate : 0.3600
Average : 0.2652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.53 %

NA.PR.G FixedReset Disc Quote: 21.20 – 21.60
Spot Rate : 0.4000
Average : 0.3080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.26 %

6 Responses to “July 9, 2019”

  1. Jingaly says:

    Question for James please: any thoughts on why there might be differences in the prices of certain of straight perpetuals (discounts)? For example: SLF.PR.E quoted at 21.05/21.20, last trade at 21.05. vs. SLF.PR.C quoted at 21.46/21.50, last trade at 21.47

    YTC on SLF.PR.E using last trade & July 10th settlement = 6.6%
    YTC on SLF.PR.C using last trade & July 10th settlement = 6.3%

    Shouldn’t the YTC’s be theoretically equivalent between these two issues (not to mention that SLF.PR.E pays $1.125 vs $1.1125 for SLF.PR.C)

    Maybe I’m missing something obvious.

  2. skeptical says:

    Maybe I’m missing something obvious.

    Yes, it’s the inefficiency of the Canadian preferred market. Not all issues have the same size, holding patterns(e.g. ETF holdings) and liquidity. Hence different market prices for essentially the same product.

  3. Jingaly says:

    Thanks @skeptical

  4. jiHymas says:

    any thoughts on why there might be differences in the prices of certain of straight perpetuals (discounts)?

    The higher-coupon, higher-price issue will normally trade to yield a bit more than its lower-coupon, lower-price siblings. This is because the higher-coupon, higher-price issue has greater call risk and purchasers require compensation for assuming this risk.

    For all the math, explanations and a handy-dandy calculator that applies the theory to user-defined prices, see Implied Volatility of Straight Perpetuals.

    As skeptical pointed out, the inefficiency of the Canadian preferred market means there’s a lot of noise in the charts … but there is also, generally speaking, a pretty clear ‘signal’.

  5. Jingaly says:

    @james Thank you sir

  6. skeptical says:

    Thanks for that very informative link James.

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