April 12, 2017

PerpetualDiscounts now yield 5.06%, equivalent to 6.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield just a bit more than 3.8% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 275bp, a slight (and perhaps spurious) widening from the 270bp reported March 29.

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 0.5537 % 2,192.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5537 % 4,023.5
Floater 3.47 % 3.56 % 40,361 18.41 4 0.5537 % 2,318.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0391 % 3,029.6
SplitShare 4.93 % 4.04 % 57,650 0.65 6 0.0391 % 3,618.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0391 % 2,822.9
Perpetual-Premium 5.28 % -8.91 % 73,787 0.09 23 -0.0287 % 2,792.2
Perpetual-Discount 5.07 % 5.06 % 115,306 15.38 13 -0.0934 % 3,006.2
FixedReset 4.33 % 3.95 % 241,189 6.66 94 0.0984 % 2,389.3
Deemed-Retractible 4.97 % 3.67 % 142,040 0.12 31 -0.0456 % 2,899.5
FloatingReset 2.52 % 3.01 % 53,532 4.53 9 0.0887 % 2,547.0
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 4.58 %
PWF.PR.T FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-12
Maturity Price : 23.02
Evaluated at bid price : 23.39
Bid-YTW : 3.76 %
TRP.PR.C FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-12
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 3.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 112,655 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.32
Bid-YTW : 3.28 %
RY.PR.R FixedReset 110,275 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 3.23 %
TRP.PR.B FixedReset 95,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-12
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 3.92 %
CU.PR.I FixedReset 78,497 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 2.97 %
MFC.PR.L FixedReset 74,933 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 5.62 %
NA.PR.X FixedReset 73,592 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 3.17 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.D FixedReset Quote: 25.52 – 25.75
Spot Rate : 0.2300
Average : 0.1528

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.59 %

BNS.PR.Y FixedReset Quote: 22.45 – 22.65
Spot Rate : 0.2000
Average : 0.1313

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 4.29 %

SLF.PR.J FloatingReset Quote: 15.92 – 16.23
Spot Rate : 0.3100
Average : 0.2501

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.92
Bid-YTW : 8.43 %

CU.PR.C FixedReset Quote: 22.74 – 22.95
Spot Rate : 0.2100
Average : 0.1538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-12
Maturity Price : 22.12
Evaluated at bid price : 22.74
Bid-YTW : 3.84 %

ELF.PR.F Perpetual-Discount Quote: 24.88 – 25.05
Spot Rate : 0.1700
Average : 0.1154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-12
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 5.34 %

POW.PR.B Perpetual-Premium Quote: 25.39 – 25.64
Spot Rate : 0.2500
Average : 0.1958

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-12
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : -13.56 %

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