November 13, 2019

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.47%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 360bp from the 375bp reported November 6.

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 0.2435 % 1,978.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2435 % 3,631.2
Floater 6.11 % 6.30 % 47,122 13.41 4 0.2435 % 2,092.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,404.1
SplitShare 4.63 % 4.54 % 48,678 3.87 7 0.0168 % 4,065.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,171.9
Perpetual-Premium 5.56 % -18.34 % 51,484 0.09 10 0.1060 % 3,034.9
Perpetual-Discount 5.32 % 5.43 % 69,866 14.75 25 0.0121 % 3,245.0
FixedReset Disc 5.57 % 5.75 % 176,255 14.31 66 -0.0637 % 2,110.3
Deemed-Retractible 5.17 % 5.58 % 62,001 7.79 27 -0.0094 % 3,195.0
FloatingReset 6.10 % 10.39 % 68,418 7.89 2 -0.8677 % 2,506.5
FixedReset Prem 5.10 % 3.71 % 146,907 1.62 20 -0.0195 % 2,626.3
FixedReset Bank Non 1.96 % 4.24 % 80,811 2.15 3 0.1383 % 2,690.8
FixedReset Ins Non 5.39 % 8.24 % 114,116 7.79 22 -0.5119 % 2,148.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.81 %
TRP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %
MFC.PR.I FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.96 %
MFC.PR.F FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.98
Bid-YTW : 10.77 %
TD.PF.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.80 %
MFC.PR.L FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.76
Bid-YTW : 8.85 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.27 %
SLF.PR.H FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.31
Bid-YTW : 8.86 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 10.08 %
PWF.PR.A Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 5.81 %
BIP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.42 %
TRP.PR.B FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 6.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Disc 260,201 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.02
Evaluated at bid price : 24.55
Bid-YTW : 5.16 %
BMO.PR.D FixedReset Disc 99,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.57 %
BAM.PF.B FixedReset Disc 79,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.96 %
CU.PR.I FixedReset Prem 55,936 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.28 %
TD.PF.I FixedReset Disc 50,706 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.45 %
RY.PR.H FixedReset Disc 48,847 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.47 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 23.51 – 24.20
Spot Rate : 0.6900
Average : 0.4749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.45 %

BMO.PR.C FixedReset Disc Quote: 22.01 – 22.45
Spot Rate : 0.4400
Average : 0.2996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.49 %

BNS.PR.I FixedReset Disc Quote: 19.35 – 19.93
Spot Rate : 0.5800
Average : 0.4542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.48 %

CU.PR.D Perpetual-Discount Quote: 23.00 – 23.35
Spot Rate : 0.3500
Average : 0.2294

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 5.33 %

TRP.PR.A FixedReset Disc Quote: 13.56 – 13.94
Spot Rate : 0.3800
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %

BAM.PF.G FixedReset Disc Quote: 18.00 – 18.36
Spot Rate : 0.3600
Average : 0.2738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.22 %

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