HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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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 | -2.2252 % | 2,069.4 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -2.2252 % | 3,797.3 |
Floater | 5.62 % | 6.00 % | 50,887 | 13.79 | 3 | -2.2252 % | 2,188.4 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,271.4 |
SplitShare | 4.88 % | 4.57 % | 65,996 | 3.92 | 8 | 0.0000 % | 3,906.7 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,048.2 |
Perpetual-Premium | 5.65 % | 0.96 % | 57,741 | 0.08 | 9 | 0.0176 % | 2,913.8 |
Perpetual-Discount | 5.51 % | 5.65 % | 74,775 | 14.33 | 26 | 0.1294 % | 3,018.2 |
FixedReset Disc | 5.22 % | 5.43 % | 194,391 | 14.78 | 64 | -0.1819 % | 2,177.6 |
Deemed-Retractible | 5.34 % | 6.19 % | 92,732 | 8.17 | 27 | -0.1450 % | 3,001.5 |
FloatingReset | 4.20 % | 4.22 % | 49,511 | 2.76 | 5 | -0.2911 % | 2,400.9 |
FixedReset Prem | 5.11 % | 4.18 % | 306,439 | 2.26 | 19 | -0.0205 % | 2,547.0 |
FixedReset Bank Non | 1.98 % | 4.09 % | 152,238 | 2.78 | 3 | -0.3469 % | 2,629.7 |
FixedReset Ins Non | 5.07 % | 6.82 % | 128,851 | 8.32 | 22 | 0.1809 % | 2,216.5 |
Performance Highlights | |||
Issue | Index | Change | Notes |
VNR.PR.A | FixedReset Disc | -4.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.58 % |
BAM.PR.B | Floater | -4.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 11.56 Evaluated at bid price : 11.56 Bid-YTW : 6.10 % |
BAM.PR.K | Floater | -3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 6.00 % |
HSE.PR.C | FixedReset Disc | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 6.56 % |
TRP.PR.F | FloatingReset | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 6.20 % |
CM.PR.Q | FixedReset Disc | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 5.52 % |
TD.PF.D | FixedReset Disc | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.31 % |
TD.PF.K | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.16 % |
RY.PR.M | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 5.24 % |
SLF.PR.H | FixedReset Ins Non | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 7.88 % |
SLF.PR.B | Deemed-Retractible | -1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 6.66 % |
TD.PF.C | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.20 % |
IFC.PR.G | FixedReset Ins Non | 1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 6.62 % |
MFC.PR.M | FixedReset Ins Non | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.76 % |
BAM.PF.F | FixedReset Disc | 2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.72 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BAM.PF.A | FixedReset Disc | 220,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.60 % |
TRP.PR.F | FloatingReset | 75,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 6.20 % |
BAM.PR.Z | FixedReset Disc | 71,475 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.78 % |
W.PR.H | Perpetual-Premium | 48,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-10 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 5.37 % |
CM.PR.R | FixedReset Disc | 47,938 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 22.29 Evaluated at bid price : 22.82 Bid-YTW : 5.42 % |
BIP.PR.F | FixedReset Disc | 36,950 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-11 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.09 % |
There were 17 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
BMO.PR.T | FixedReset Disc | Quote: 18.46 – 18.88 Spot Rate : 0.4200 Average : 0.2691 YTW SCENARIO |
TRP.PR.F | FloatingReset | Quote: 14.42 – 15.07 Spot Rate : 0.6500 Average : 0.5040 YTW SCENARIO |
RY.PR.M | FixedReset Disc | Quote: 20.36 – 20.80 Spot Rate : 0.4400 Average : 0.2967 YTW SCENARIO |
CM.PR.Q | FixedReset Disc | Quote: 20.11 – 20.58 Spot Rate : 0.4700 Average : 0.3310 YTW SCENARIO |
HSE.PR.C | FixedReset Disc | Quote: 18.66 – 19.10 Spot Rate : 0.4400 Average : 0.3054 YTW SCENARIO |
TD.PF.J | FixedReset Disc | Quote: 22.15 – 22.65 Spot Rate : 0.5000 Average : 0.3727 YTW SCENARIO |
BEP.PR.O Falls In Line with Market on Decent Volume
March 11th, 2019BEP.PR.O is a FixedReset 5.75%+394M575 that was announced 2019-03-04 and closed today without a notice from the company. According to the prospectus (available on SEDAR with a search for “Brookfield Renewable Partners L.P. Mar 4 2019 21:17:51 ET Prospectus (non pricing) supplement – English PDF 542 K”, but I’m not allowed to link to it because the Canadian Securities Regulators don’t think prospectuses are for stupid investors; they’re only for smart people like Canadian Securities Regulators):
It will be tracked by HIMIPref™ and is assigned to the Scraps-FixedReset (Discount) subindex on credit concerns.
BEP.PR.O traded 319,809 shares today in a range of 24.60-83 before closing at 24.60-64. Vital statistics are:
Maturity Type : Limit Maturity
Maturity Date : 2049-03-11
Maturity Price : 23.01
Evaluated at bid price : 24.60
Bid-YTW : 5.80 %
The new issue is ridiculously expensive according to Implied Volatility Analysis:
Click for Big
According to this analysis, the fair value of the new issue on March 11 is 23.32, almost exactly the same as the announcement day fair value of 23.34.
It’s interesting to note that the theoretical spread (on a notional non-callable perpetual resettable annuity) is 432bp, more than the actual issue spread of 394bp – which means that BEP is basically getting the call options on the issue while having investors pay for the privilege!
Posted in Issue Comments, Return of Capital | 1 Comment »