December 13, 2019

I had a stray thought today regarding the HSE.PR.C reset fiasco … if they calculated the rate in good faith as of November 29, why didn’t they announce the rate on November 29?

But now it’s time for PrefLetter!

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 1.2857 % 2,016.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2857 % 3,699.4
Floater 6.05 % 6.18 % 57,958 13.67 4 1.2857 % 2,132.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0953 % 3,445.2
SplitShare 4.63 % 4.11 % 41,255 3.84 7 0.0953 % 4,114.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0953 % 3,210.1
Perpetual-Premium 5.55 % -11.63 % 58,385 0.09 10 -0.2889 % 3,039.7
Perpetual-Discount 5.28 % 5.36 % 70,921 14.87 25 0.3881 % 3,280.3
FixedReset Disc 5.58 % 5.81 % 205,252 14.19 66 0.1000 % 2,114.9
Deemed-Retractible 5.19 % 5.29 % 72,090 14.92 27 0.0668 % 3,217.2
FloatingReset 6.10 % 6.31 % 130,430 13.49 2 0.6273 % 2,525.3
FixedReset Prem 5.11 % 3.59 % 151,683 1.53 20 0.0273 % 2,633.2
FixedReset Bank Non 1.95 % 3.93 % 60,359 2.06 3 0.0411 % 2,712.4
FixedReset Ins Non 5.48 % 5.84 % 131,435 14.14 22 0.3629 % 2,139.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.94 %
PWF.PR.I Perpetual-Premium -1.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -11.63 %
HSE.PR.A FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 7.54 %
MFC.PR.R FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 23.31
Evaluated at bid price : 24.45
Bid-YTW : 5.46 %
PWF.PR.G Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : -12.30 %
MFC.PR.F FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 5.97 %
GWO.PR.N FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 5.30 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 5.77 %
MFC.PR.M FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.82 %
MFC.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.94 %
IAF.PR.G FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.86 %
PWF.PR.E Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -5.93 %
TRP.PR.F FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 6.31 %
MFC.PR.L FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 5.72 %
PWF.PR.K Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 5.37 %
PWF.PR.S Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 5.31 %
BAM.PF.C Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.53 %
HSE.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.43 %
IFC.PR.G FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.91 %
EMA.PR.F FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.23 %
SLF.PR.H FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.88 %
TRP.PR.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.13 %
PWF.PR.P FixedReset Disc 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.93 %
PWF.PR.A Floater 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 5.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset Disc 210,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.82 %
MFC.PR.N FixedReset Ins Non 158,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.93 %
BMO.PR.E FixedReset Disc 89,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.77 %
PWF.PR.P FixedReset Disc 75,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.93 %
NA.PR.S FixedReset Disc 72,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 5.98 %
EMA.PR.C FixedReset Disc 71,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.19 %
There were 69 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.R Perpetual-Premium Quote: 25.37 – 25.96
Spot Rate : 0.5900
Average : 0.3635

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.87 %

PWF.PR.A Floater Quote: 12.29 – 12.94
Spot Rate : 0.6500
Average : 0.4488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 5.69 %

CM.PR.Y FixedReset Disc Quote: 24.34 – 24.74
Spot Rate : 0.4000
Average : 0.2716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.95
Evaluated at bid price : 24.34
Bid-YTW : 5.36 %

CU.PR.E Perpetual-Discount Quote: 23.07 – 23.46
Spot Rate : 0.3900
Average : 0.2690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.79
Evaluated at bid price : 23.07
Bid-YTW : 5.34 %

POW.PR.B Perpetual-Discount Quote: 24.84 – 25.15
Spot Rate : 0.3100
Average : 0.2123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 5.47 %

IFC.PR.A FixedReset Ins Non Quote: 14.16 – 14.43
Spot Rate : 0.2700
Average : 0.1791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.94 %

2 Responses to “December 13, 2019”

  1. dave says:

    Since the prefletter just came out when we want to order it, do we ask for the ‘last issue’ or the ‘future issue’ to get the current one?
    thanks

  2. jiHymas says:

    The December PrefLetter is now being produced – this is my monthly ‘Hell Weekend’!

    It will be sent to subscribers either very late on December 15 or in the small hours of December 16, depending on when it’s finished. There will be a post on PrefBlog announcing publication.

    If you want the December issue, order the ‘future issue’ until the notification post is published, or ‘last issue’ afterwards.

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