November 11, 2020

PerpetualDiscounts now yield 5.15%, equivalent to 6.70% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.96%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 375bp from the 365bp reported November 4.

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 -1.0821 % 1,753.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0821 % 3,218.0
Floater 4.85 % 4.91 % 41,740 15.62 3 -1.0821 % 1,854.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0592 % 3,549.1
SplitShare 4.78 % 4.51 % 42,321 3.50 8 0.0592 % 4,238.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0592 % 3,307.0
Perpetual-Premium 5.36 % 3.31 % 75,558 0.12 14 -0.0726 % 3,179.7
Perpetual-Discount 5.17 % 5.15 % 80,276 15.19 19 0.1952 % 3,584.9
FixedReset Disc 5.35 % 4.17 % 127,765 16.47 64 0.2192 % 2,163.1
Insurance Straight 5.08 % 4.90 % 104,185 15.14 22 0.1574 % 3,496.9
FloatingReset 1.97 % 1.93 % 52,901 1.21 3 0.0837 % 1,810.4
FixedReset Prem 5.20 % 2.95 % 233,656 0.74 15 0.0762 % 2,662.6
FixedReset Bank Non 1.94 % 2.10 % 181,276 1.20 2 0.0201 % 2,864.2
FixedReset Ins Non 5.36 % 4.28 % 65,746 16.35 22 0.3444 % 2,252.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.52 %
PWF.PR.P FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.88 %
BAM.PR.C Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 4.92 %
BMO.PR.S FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.07 %
BAM.PF.A FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.37 %
BAM.PR.B Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.84
Evaluated at bid price : 8.84
Bid-YTW : 4.91 %
TRP.PR.C FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 9.09
Evaluated at bid price : 9.09
Bid-YTW : 5.61 %
RY.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.84 %
BMO.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 23.87
Evaluated at bid price : 24.25
Bid-YTW : 3.96 %
BMO.PR.E FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.06 %
MFC.PR.F FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.30 %
CM.PR.Q FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.21 %
BAM.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 5.19 %
TRP.PR.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.67 %
MFC.PR.N FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.19 %
CM.PR.S FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.09 %
MFC.PR.I FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.14 %
BIK.PR.A FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 5.30 %
CM.PR.P FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
SLF.PR.G FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.48
Evaluated at bid price : 11.48
Bid-YTW : 4.13 %
TRP.PR.G FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.66 %
TRP.PR.B FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.83
Evaluated at bid price : 8.83
Bid-YTW : 5.00 %
NA.PR.W FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 4.28 %
BAM.PR.R FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 5.34 %
BMO.PR.Y FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.X FixedReset Disc 68,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 5.19 %
BAM.PR.T FixedReset Disc 38,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.33 %
RY.PR.Z FixedReset Disc 37,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.86 %
MFC.PR.J FixedReset Ins Non 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.32 %
TRP.PR.A FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.67 %
BMO.PR.T FixedReset Disc 18,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.04 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 18.04 – 21.00
Spot Rate : 2.9600
Average : 2.4036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.19 %

MFC.PR.I FixedReset Ins Non Quote: 21.05 – 21.87
Spot Rate : 0.8200
Average : 0.4732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.14 %

PWF.PR.P FixedReset Disc Quote: 10.75 – 11.75
Spot Rate : 1.0000
Average : 0.7374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.88 %

GWO.PR.N FixedReset Ins Non Quote: 10.00 – 10.49
Spot Rate : 0.4900
Average : 0.2999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.52 %

SLF.PR.H FixedReset Ins Non Quote: 15.71 – 16.40
Spot Rate : 0.6900
Average : 0.5231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.28 %

BMO.PR.T FixedReset Disc Quote: 17.94 – 18.36
Spot Rate : 0.4200
Average : 0.2743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.04 %

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