September 5, 2018

PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from the figure reported August 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 -0.0407 % 3,074.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0407 % 5,641.8
Floater 3.51 % 3.74 % 40,658 17.89 4 -0.0407 % 3,251.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1661 % 3,241.7
SplitShare 4.59 % 4.43 % 52,699 4.84 5 0.1661 % 3,871.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1661 % 3,020.5
Perpetual-Premium 5.54 % -0.76 % 53,300 0.09 12 -0.0131 % 2,921.8
Perpetual-Discount 5.40 % 5.51 % 57,963 14.58 22 -0.2505 % 3,002.0
FixedReset Disc 4.08 % 4.79 % 129,790 15.84 39 -0.2128 % 2,595.8
Deemed-Retractible 5.16 % 5.76 % 64,313 5.40 27 -0.0031 % 2,995.3
FloatingReset 3.40 % 4.12 % 41,154 5.69 5 -0.1530 % 2,862.1
FixedReset Prem 4.81 % 4.01 % 185,358 2.91 35 -0.1730 % 2,574.3
FixedReset Bank Non 3.19 % 3.34 % 62,232 0.46 9 -0.0316 % 2,575.6
FixedReset Ins Non 4.25 % 4.83 % 93,795 5.39 22 -0.0656 % 2,593.6
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.43 %
BAM.PR.X FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.86 %
BIP.PR.E FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.16
Evaluated at bid price : 24.89
Bid-YTW : 5.05 %
BIP.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.77
Evaluated at bid price : 24.11
Bid-YTW : 5.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.C FixedReset Disc 245,906 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 5.00 %
RY.PR.W Perpetual-Discount 127,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.96 %
BMO.PR.Q FixedReset Bank Non 109,191 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 3.74 %
MFC.PR.J FixedReset Ins Non 104,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.69 %
PWF.PR.L Perpetual-Discount 103,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 5.56 %
IFC.PR.C FixedReset Ins Non 78,082 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.41 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Deemed-Retractible Quote: 21.46 – 21.96
Spot Rate : 0.5000
Average : 0.3659

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 7.29 %

CM.PR.Q FixedReset Disc Quote: 24.41 – 24.82
Spot Rate : 0.4100
Average : 0.2849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.37
Evaluated at bid price : 24.41
Bid-YTW : 4.90 %

SLF.PR.H FixedReset Ins Non Quote: 21.90 – 22.35
Spot Rate : 0.4500
Average : 0.3320

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 5.93 %

MFC.PR.N FixedReset Ins Non Quote: 23.32 – 24.00
Spot Rate : 0.6800
Average : 0.5707

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.56 %

CU.PR.E Perpetual-Discount Quote: 22.67 – 23.05
Spot Rate : 0.3800
Average : 0.2783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.43 %

BAM.PR.K Floater Quote: 17.43 – 17.72
Spot Rate : 0.2900
Average : 0.2170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 3.76 %

3 Responses to “September 5, 2018”

  1. dodoi says:

    Busy, eh? No problem. I am keeping an eye on you. It looks you have missed “The Toronto-Dominion Bank 4.75% 5-Year Rate Reset Preferred Shares, Series 20” on Sept 4th. Today I just got another email about a new one: “Bank of Montreal 4.85% 5-Year Rate Reset Preferred Shares, Series 44”

  2. dodoi says:

    Oops, sorry… I was wrong! You have not missed it! It is too down and not on “Recent Posts” lists

  3. FletcherLynd says:

    The BMO one was notified to me as:

    Bank of Montreal 4.85% Non-Cumulative 5-yr Rate Reset Class B Preferred Shares, Series 44

    Short Description: Offering of Non-Cumulative 5-Year Rate Reset Class B Preferred Shares Series 44

    The BMO website link is:
    https://newsroom.bmo.com/2018-09-06-Bank-of-Montreal-Announces-Preferred-Share-Issue

Leave a Reply

You must be logged in to post a comment.