July 24, 2019

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.43%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 375bp, a slight (and perhaps spurious) narrowing from the 380bp reported July 17.

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 1.0037 % 1,955.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0037 % 3,588.9
Floater 6.11 % 6.26 % 37,051 13.51 4 1.0037 % 2,068.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0113 % 3,341.9
SplitShare 4.66 % 4.63 % 78,093 4.12 7 -0.0113 % 3,991.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0113 % 3,113.9
Perpetual-Premium 5.61 % -18.11 % 56,843 0.09 7 0.1224 % 2,985.8
Perpetual-Discount 5.45 % 5.54 % 56,685 14.55 25 0.1246 % 3,124.3
FixedReset Disc 5.41 % 5.25 % 164,740 14.97 69 0.0489 % 2,127.3
Deemed-Retractible 5.22 % 5.86 % 64,511 7.96 27 0.1019 % 3,118.9
FloatingReset 4.05 % 4.24 % 38,737 2.43 4 -0.0264 % 2,353.9
FixedReset Prem 5.13 % 3.80 % 164,271 1.90 17 0.0703 % 2,600.4
FixedReset Bank Non 1.98 % 3.92 % 91,868 2.44 3 0.0695 % 2,657.2
FixedReset Ins Non 5.25 % 7.33 % 85,027 8.04 22 -0.2225 % 2,172.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.39 %
MFC.PR.H FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.87 %
TRP.PR.B FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 5.79 %
TRP.PR.D FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 16.29
Evaluated at bid price : 16.29
Bid-YTW : 5.88 %
HSE.PR.E FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.41 %
TD.PF.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.14 %
HSE.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.22 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.65 %
BIK.PR.A FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.44 %
EMA.PR.F FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.97 %
TRP.PR.C FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 6.04 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 8.46 %
IAF.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.34 %
RY.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.80 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.05 %
TD.PF.E FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.16 %
PWF.PR.A Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.84 %
BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.16 %
PWF.PR.T FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.31 %
NA.PR.G FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.25 %
CM.PR.S FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.B Deemed-Retractible 151,443 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.24 %
RY.PR.R FixedReset Prem 145,595 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.27 %
BNS.PR.Z FixedReset Bank Non 142,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 3.92 %
NA.PR.A FixedReset Prem 133,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.80 %
BMO.PR.W FixedReset Disc 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.19 %
BMO.PR.S FixedReset Disc 56,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 5.26 %
There were 40 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: 19.15 – 19.78
Spot Rate : 0.6300
Average : 0.4167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.43 %

BAM.PR.K Floater Quote: 11.17 – 11.70
Spot Rate : 0.5300
Average : 0.3321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.26 %

BAM.PR.M Perpetual-Discount Quote: 20.60 – 21.03
Spot Rate : 0.4300
Average : 0.2911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.83 %

BAM.PR.T FixedReset Disc Quote: 15.17 – 15.74
Spot Rate : 0.5700
Average : 0.4316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 6.10 %

CU.PR.C FixedReset Disc Quote: 17.76 – 18.23
Spot Rate : 0.4700
Average : 0.3566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.33 %

MFC.PR.N FixedReset Ins Non Quote: 16.97 – 17.33
Spot Rate : 0.3600
Average : 0.2496

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 8.46 %

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