July 28, 2021

PerpetualDiscounts now yield 4.78%, equivalent to 6.21% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 315bp since reported July 21.

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 -0.4269 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4269 % 4,911.6
Floater 3.24 % 3.28 % 107,974 19.03 3 -0.4269 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0579 % 3,694.4
SplitShare 4.63 % 3.90 % 34,038 3.31 6 -0.0579 % 4,411.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0579 % 3,442.4
Perpetual-Premium 5.19 % -11.37 % 57,322 0.09 25 -0.0451 % 3,283.4
Perpetual-Discount 4.70 % 4.78 % 96,146 15.78 8 -0.1945 % 3,968.6
FixedReset Disc 4.01 % 3.48 % 134,159 18.30 40 0.2362 % 2,799.1
Insurance Straight 4.90 % 1.78 % 74,375 0.09 22 -0.0802 % 3,716.1
FloatingReset 2.88 % 3.14 % 36,101 19.37 2 -0.4396 % 2,554.2
FixedReset Prem 4.81 % 3.03 % 151,053 1.59 32 0.0960 % 2,755.5
FixedReset Bank Non 1.80 % 1.49 % 110,943 0.16 1 0.0797 % 2,903.5
FixedReset Ins Non 4.07 % 3.38 % 120,463 18.21 20 0.2121 % 2,931.7
Performance Highlights
Issue Index Change Notes
RY.PR.P Perpetual-Premium -2.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-27
Maturity Price : 26.00
Evaluated at bid price : 26.00
Bid-YTW : 0.51 %
PWF.PR.P FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.56 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.96 %
BAM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.07 %
BAM.PF.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.11
Evaluated at bid price : 22.61
Bid-YTW : 3.94 %
TRP.PR.C FixedReset Disc 4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 150,738 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.92
Evaluated at bid price : 23.90
Bid-YTW : 3.21 %
PWF.PR.P FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.56 %
RY.PR.R FixedReset Prem 29,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.43 %
SLF.PR.G FixedReset Ins Non 25,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.50 %
NA.PR.S FixedReset Disc 20,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 23.05
Evaluated at bid price : 24.10
Bid-YTW : 3.35 %
TD.PF.K FixedReset Disc 15,965 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 23.59
Evaluated at bid price : 25.20
Bid-YTW : 3.40 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.P Perpetual-Premium Quote: 26.00 – 26.75
Spot Rate : 0.7500
Average : 0.4837

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-27
Maturity Price : 26.00
Evaluated at bid price : 26.00
Bid-YTW : 0.51 %

BAM.PR.R FixedReset Disc Quote: 19.43 – 20.00
Spot Rate : 0.5700
Average : 0.3686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.07 %

SLF.PR.G FixedReset Ins Non Quote: 15.41 – 15.86
Spot Rate : 0.4500
Average : 0.3213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.50 %

MIC.PR.A Perpetual-Premium Quote: 26.90 – 27.55
Spot Rate : 0.6500
Average : 0.5218

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.90
Bid-YTW : 4.43 %

MFC.PR.M FixedReset Ins Non Quote: 23.49 – 23.89
Spot Rate : 0.4000
Average : 0.2785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.67
Evaluated at bid price : 23.49
Bid-YTW : 3.44 %

BAM.PF.I FixedReset Prem Quote: 25.27 – 25.60
Spot Rate : 0.3300
Average : 0.2211

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 3.76 %

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