December 30, 2020

PerpetualDiscounts now yield 5.05%, equivalent to 6.56% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 370bp from the 375bp reported December 16.

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 0.2680 % 1,896.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2680 % 3,479.1
Floater 4.58 % 4.57 % 77,058 16.27 2 0.2680 % 2,005.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0462 % 3,624.9
SplitShare 4.78 % 4.33 % 41,667 3.79 9 -0.0462 % 4,328.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0462 % 3,377.6
Perpetual-Premium 5.34 % 0.51 % 70,904 0.09 19 0.0503 % 3,206.8
Perpetual-Discount 5.00 % 5.05 % 73,922 15.39 12 0.3514 % 3,683.5
FixedReset Disc 5.03 % 3.88 % 144,178 17.32 56 0.1481 % 2,323.6
Insurance Straight 5.06 % 4.84 % 88,571 15.35 22 0.1032 % 3,555.1
FloatingReset 1.90 % 2.11 % 36,869 1.07 3 0.0327 % 1,853.9
FixedReset Prem 5.16 % 3.15 % 212,199 0.78 22 0.0274 % 2,679.9
FixedReset Bank Non 1.93 % 1.82 % 166,555 1.07 2 0.0000 % 2,881.5
FixedReset Ins Non 5.10 % 3.89 % 87,652 17.20 22 0.1010 % 2,402.0
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -9.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.62 %
IAF.PR.G FixedReset Ins Non -6.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.35 %
SLF.PR.H FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.78 %
RY.PR.H FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.49 %
CM.PR.Q FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.89 %
BAM.PR.R FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.65 %
CU.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 23.30
Evaluated at bid price : 23.77
Bid-YTW : 4.75 %
TRP.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.79 %
IFC.PR.A FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 3.74 %
TRP.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.05 %
NA.PR.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 22.23
Evaluated at bid price : 22.65
Bid-YTW : 3.82 %
BAM.PF.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.97 %
BAM.PF.B FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.89 %
MFC.PR.M FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.91 %
TRP.PR.A FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.94 %
IFC.PR.C FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.84 %
BAM.PR.T FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.74 %
MFC.PR.H FixedReset Ins Non 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 22.90
Evaluated at bid price : 23.39
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 124,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.64
Evaluated at bid price : 21.97
Bid-YTW : 3.61 %
TD.PF.A FixedReset Disc 44,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 3.48 %
TD.PF.G FixedReset Prem 30,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 2.34 %
TRP.PR.E FixedReset Disc 24,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.05 %
RY.PR.H FixedReset Disc 18,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.49 %
BMO.PR.D FixedReset Disc 17,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 23.84
Evaluated at bid price : 24.20
Bid-YTW : 3.79 %
There were 4 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: 21.28 – 25.50
Spot Rate : 4.2200
Average : 3.4422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.60 %

TRP.PR.D FixedReset Disc Quote: 13.41 – 15.30
Spot Rate : 1.8900
Average : 1.1581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.62 %

IAF.PR.I FixedReset Ins Non Quote: 21.10 – 22.85
Spot Rate : 1.7500
Average : 1.0542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.00 %

IAF.PR.G FixedReset Ins Non Quote: 19.10 – 20.79
Spot Rate : 1.6900
Average : 1.2533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.35 %

TRP.PR.A FixedReset Disc Quote: 13.20 – 13.95
Spot Rate : 0.7500
Average : 0.4493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.94 %

MFC.PR.L FixedReset Ins Non Quote: 17.90 – 18.75
Spot Rate : 0.8500
Average : 0.5911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.92 %

2 Responses to “December 30, 2020”

  1. Dan Good says:

    Thank you for all your posts James. Here’s hoping 2021 is a better year and we can see yield spreads narrow some more.

  2. jiHymas says:

    Thank you for all your posts James.

    You’re welcome! Best wishes for the new year!

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