September 27, 2017

PerpetualDiscounts now yield 5.46%, equivalent to 7.10% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread” is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported September 20.

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 -0.5859 % 2,392.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5859 % 4,390.1
Floater 3.96 % 3.96 % 96,350 17.50 3 -0.5859 % 2,530.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0330 % 3,065.5
SplitShare 4.76 % 4.71 % 94,085 4.42 6 -0.0330 % 3,660.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,856.3
Perpetual-Premium 5.43 % 4.86 % 57,088 5.98 16 0.1238 % 2,778.6
Perpetual-Discount 5.38 % 5.46 % 70,408 14.65 19 0.0275 % 2,887.6
FixedReset 4.35 % 4.57 % 152,341 6.20 99 0.1781 % 2,411.9
Deemed-Retractible 5.14 % 5.70 % 103,476 6.04 31 0.1304 % 2,852.9
FloatingReset 2.84 % 3.18 % 54,177 4.07 8 0.0711 % 2,650.2
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.97 %
CM.PR.O FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.57 %
HSE.PR.C FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 23.06
Evaluated at bid price : 23.92
Bid-YTW : 5.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 333,138 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.31 %
NA.PR.A FixedReset 118,429 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.14 %
RY.PR.R FixedReset 112,524 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.85 %
BAM.PF.F FixedReset 71,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 23.52
Evaluated at bid price : 23.85
Bid-YTW : 4.86 %
TRP.PR.G FixedReset 66,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 22.90
Evaluated at bid price : 23.90
Bid-YTW : 4.78 %
TD.PF.A FixedReset 62,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.56 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Quote: 21.20 – 22.14
Spot Rate : 0.9400
Average : 0.7233

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.68 %

MFC.PR.O FixedReset Quote: 26.80 – 27.30
Spot Rate : 0.5000
Average : 0.3519

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.58 %

VNR.PR.A FixedReset Quote: 22.75 – 23.20
Spot Rate : 0.4500
Average : 0.3182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 22.13
Evaluated at bid price : 22.75
Bid-YTW : 5.11 %

IAG.PR.A Deemed-Retractible Quote: 22.18 – 22.58
Spot Rate : 0.4000
Average : 0.3272

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 6.59 %

CU.PR.I FixedReset Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1773

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.29 %

TD.PF.I FixedReset Quote: 25.31 – 25.51
Spot Rate : 0.2000
Average : 0.1311

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.45 %

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