December 27, 2017

Well, that’s the last day of tax-loss selling, which I believe has played a role in December’s softness. Thanks to two-day settlement, tax-loss season lasted until after Christmas this year!

PerpetualDiscounts now yield 5.31%, equivalent to 6.90% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.70%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a significant widening from the 310bp reported December 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 2.3955 % 2,544.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.3955 % 4,669.4
Floater 3.61 % 3.76 % 35,392 17.94 4 2.3955 % 2,691.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1326 % 3,148.4
SplitShare 4.66 % 4.18 % 69,912 3.46 5 0.1326 % 3,759.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1326 % 2,933.6
Perpetual-Premium 5.36 % 4.80 % 49,161 2.15 20 0.1239 % 2,844.6
Perpetual-Discount 5.24 % 5.31 % 66,883 14.89 14 -0.0675 % 3,004.1
FixedReset 4.24 % 4.34 % 145,240 3.98 98 -0.0009 % 2,500.3
Deemed-Retractible 5.08 % 5.29 % 89,028 5.90 30 0.0041 % 2,935.8
FloatingReset 2.84 % 2.80 % 43,974 3.85 8 0.0433 % 2,694.6
Performance Highlights
Issue Index Change Notes
NA.PR.C FixedReset -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.03 %
HSE.PR.A FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.88 %
PWF.PR.A Floater 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 3.25 %
BAM.PR.B Floater 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.76 %
BAM.PR.K Floater 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.78 %
BAM.PR.C Floater 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.N Perpetual-Premium 40,915 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.80 %
BAM.PR.K Floater 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.78 %
PVS.PR.E SplitShare 19,141 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-01-26
Maturity Price : 26.00
Evaluated at bid price : 26.70
Bid-YTW : -22.23 %
TRP.PR.A FixedReset 15,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.72 %
RY.PR.M FixedReset 15,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 23.19
Evaluated at bid price : 24.45
Bid-YTW : 4.38 %
BMO.PR.Y FixedReset 15,427 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.29 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.M FixedReset Quote: 25.01 – 32.95
Spot Rate : 7.9400
Average : 4.2449

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.55 %

PWF.PR.A Floater Quote: 17.38 – 18.25
Spot Rate : 0.8700
Average : 0.5453

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 3.25 %

NA.PR.C FixedReset Quote: 25.61 – 25.95
Spot Rate : 0.3400
Average : 0.1987

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.03 %

BAM.PR.Z FixedReset Quote: 24.30 – 24.71
Spot Rate : 0.4100
Average : 0.2774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 22.90
Evaluated at bid price : 24.30
Bid-YTW : 4.87 %

TRP.PR.F FloatingReset Quote: 19.12 – 19.54
Spot Rate : 0.4200
Average : 0.3134

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-27
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 3.82 %

MFC.PR.B Deemed-Retractible Quote: 22.40 – 22.70
Spot Rate : 0.3000
Average : 0.2033

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.56 %

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