May 31, 2017

PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 295bp, the same as reported on May 24.

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 -0.2626 % 2,145.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2626 % 3,937.2
Floater 3.55 % 3.69 % 52,231 18.02 4 -0.2626 % 2,269.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0079 % 3,052.7
SplitShare 4.71 % 4.22 % 70,653 1.55 5 -0.0079 % 3,645.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0079 % 2,844.4
Perpetual-Premium 5.30 % -2.00 % 73,788 0.09 23 0.0680 % 2,789.4
Perpetual-Discount 5.09 % 5.08 % 97,253 15.28 14 0.2285 % 3,003.5
FixedReset 4.51 % 4.12 % 196,535 6.55 94 0.0694 % 2,299.7
Deemed-Retractible 4.97 % 4.90 % 128,110 6.29 30 0.3069 % 2,906.9
FloatingReset 2.51 % 3.06 % 48,838 4.41 10 0.2711 % 2,534.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.30 %
TRP.PR.D FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
TD.PF.F Perpetual-Premium -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.67 %
GWO.PR.N FixedReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.64
Bid-YTW : 9.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 81,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.97 %
RY.PR.R FixedReset 67,640 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.66 %
BMO.PR.T FixedReset 48,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.96 %
PWF.PR.Z Perpetual-Premium 45,468 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 24.61
Evaluated at bid price : 25.00
Bid-YTW : 5.17 %
BAM.PF.I FixedReset 42,089 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.04 %
BMO.PR.S FixedReset 41,026 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 3.93 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.10 – 26.58
Spot Rate : 0.4800
Average : 0.3739

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.94 %

TD.PF.F Perpetual-Premium Quote: 25.50 – 25.88
Spot Rate : 0.3800
Average : 0.2790

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.67 %

ELF.PR.G Perpetual-Discount Quote: 23.13 – 23.40
Spot Rate : 0.2700
Average : 0.1782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.19 %

TRP.PR.A FixedReset Quote: 18.27 – 18.58
Spot Rate : 0.3100
Average : 0.2215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.00 %

CU.PR.I FixedReset Quote: 26.12 – 26.34
Spot Rate : 0.2200
Average : 0.1496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.15 %

PVS.PR.E SplitShare Quote: 26.36 – 26.70
Spot Rate : 0.3400
Average : 0.2698

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : -12.30 %

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