August 5, 2020

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 450bp, the same as the 450bp reported July 29. We remain slightly above the pre-2020 record of 445bp briefly touched in 2008.

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 -0.3666 % 1,588.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3666 % 2,914.0
Floater 5.26 % 5.32 % 58,631 14.92 3 -0.3666 % 1,679.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,486.6
SplitShare 4.68 % 4.72 % 45,775 3.27 8 0.0099 % 4,163.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,248.8
Perpetual-Premium 5.58 % 4.87 % 81,918 4.05 4 0.2468 % 3,085.0
Perpetual-Discount 5.49 % 5.66 % 75,407 14.38 31 0.1622 % 3,326.5
FixedReset Disc 5.74 % 4.44 % 120,506 16.11 67 0.4148 % 1,994.3
Deemed-Retractible 5.25 % 5.34 % 92,274 14.53 27 0.0730 % 3,271.0
FloatingReset 2.93 % 2.35 % 32,537 1.47 3 0.3863 % 1,765.0
FixedReset Prem 5.28 % 4.39 % 239,728 1.00 11 0.0722 % 2,602.6
FixedReset Bank Non 1.96 % 2.54 % 112,192 1.46 2 0.1217 % 2,828.0
FixedReset Ins Non 5.83 % 4.54 % 97,581 15.73 22 -0.4836 % 2,041.8
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset Ins Non -13.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %
PWF.PR.P FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.92 %
IFC.PR.A FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %
RY.PR.S FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.13 %
CM.PR.Q FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.54 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.20 %
CCS.PR.C Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 5.61 %
POW.PR.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.02 %
PWF.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
IFC.PR.C FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.22 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.52 %
CU.PR.I FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 24.14
Evaluated at bid price : 24.85
Bid-YTW : 4.49 %
BMO.PR.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.21 %
TRP.PR.G FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.44 %
BAM.PR.R FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
TRP.PR.B FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 17.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 204,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 80,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
TD.PF.H FixedReset Prem 41,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.85
Evaluated at bid price : 25.05
Bid-YTW : 4.39 %
RY.PR.Q FixedReset Prem 33,842 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.11 %
BMO.PR.B FixedReset Prem 27,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.75
Evaluated at bid price : 25.10
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc 23,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.50 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 15.50 – 18.26
Spot Rate : 2.7600
Average : 1.6030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %

BAM.PR.R FixedReset Disc Quote: 12.45 – 13.27
Spot Rate : 0.8200
Average : 0.5967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %

RY.PR.H FixedReset Disc Quote: 17.01 – 17.43
Spot Rate : 0.4200
Average : 0.2639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.11 %

TRP.PR.A FixedReset Disc Quote: 11.98 – 12.54
Spot Rate : 0.5600
Average : 0.4165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 5.43 %

TRP.PR.C FixedReset Disc Quote: 8.53 – 9.25
Spot Rate : 0.7200
Average : 0.5791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %

IFC.PR.A FixedReset Ins Non Quote: 12.21 – 12.90
Spot Rate : 0.6900
Average : 0.5583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %

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