It’s what I call a “Limit Maturity” – thirty years following the calculation date. It’s used as a computational convenience. According to HIMIPref™, “Forever” = “Thirty Years”

* and maturity price of 23.10*

Given that the valuation model uses an end-date, it must also have an end-price, which is calculated by HIMIPref™.

For instruments trading near their call price, this algorithm almost always results in an end-price that is lower than the current bid, on the grounds that if we have good times, the calls will be exercised; therefore, if the instrument is still extant on the end-date, we must be in bad times; therefore the price will be lower.

It seems to work OK.

If you don’t like my assumptions, you can always plug in your own using the Yield Calculator for FixedResets.

]]>RY.PR.H FixedReset YTW SCENARIO

Maturity Type : Limit Maturity

Maturity Date : 2044-06-03

Maturity Price : 23.10

Evaluated at bid price : 24.86

Bid-YTW : 3.75 %

so how do you get 6/3/2044 maturity and maturity price of 23.10???

are you estimating that this issue has characteristics that fit the maturity and maturity price of a hypothetical pref with these statistics?? similar duration, etc?

if not then a bit confused??? don’t these new fix resets that are nvcc compliant have no stated maturity date????

reikreik

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