July 18, 2018

PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported July 11.

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 -1.2202 % 3,102.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2202 % 5,692.3
Floater 3.48 % 3.69 % 68,463 18.11 4 -1.2202 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,201.2
SplitShare 4.59 % 4.55 % 58,582 4.91 5 0.0079 % 3,822.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 2,982.8
Perpetual-Premium 5.64 % -13.95 % 61,600 0.09 9 0.0087 % 2,906.3
Perpetual-Discount 5.38 % 5.51 % 56,848 14.66 26 -0.0886 % 2,984.2
FixedReset 4.30 % 4.60 % 129,253 4.27 106 0.0601 % 2,559.7
Deemed-Retractible 5.13 % 5.87 % 64,734 5.47 27 -0.1817 % 2,977.5
FloatingReset 3.29 % 3.87 % 33,868 3.37 9 -0.2122 % 2,831.9
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 3.69 %
BAM.PR.K Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 3.69 %
BAM.PR.C Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 3.69 %
PWF.PR.Q FloatingReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.50 %
SLF.PR.E Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 7.11 %
SLF.PR.B Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.60 %
MFC.PR.B Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 7.08 %
HSE.PR.G FixedReset 4.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.F FloatingReset 277,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 4.26 %
TRP.PR.E FixedReset 201,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 22.01
Evaluated at bid price : 22.63
Bid-YTW : 4.83 %
PWF.PR.I Perpetual-Premium 120,401 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-17
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -23.09 %
PWF.PR.L Perpetual-Discount 112,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.52 %
PWF.PR.T FixedReset 100,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 23.47
Evaluated at bid price : 24.20
Bid-YTW : 4.53 %
POW.PR.G Perpetual-Premium 99,739 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.33 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.R FixedReset Quote: 25.04 – 25.38
Spot Rate : 0.3400
Average : 0.2006

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.34 %

HSE.PR.A FixedReset Quote: 17.65 – 18.05
Spot Rate : 0.4000
Average : 0.2996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 5.08 %

TRP.PR.H FloatingReset Quote: 17.20 – 17.55
Spot Rate : 0.3500
Average : 0.2596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.01 %

PWF.PR.A Floater Quote: 21.48 – 21.91
Spot Rate : 0.4300
Average : 0.3432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.04 %

TRP.PR.G FixedReset Quote: 24.24 – 24.54
Spot Rate : 0.3000
Average : 0.2205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 23.19
Evaluated at bid price : 24.24
Bid-YTW : 5.00 %

CU.PR.C FixedReset Quote: 22.80 – 23.15
Spot Rate : 0.3500
Average : 0.2711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 4.66 %

Leave a Reply

You must be logged in to post a comment.