September 29, 2017

That’s it for another month! It turned out pretty well, with TXPR up 1.36% … with roughly half that coming in the last two days!

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 -0.5614 % 2,397.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5614 % 4,399.4
Floater 3.95 % 3.96 % 94,574 17.50 3 -0.5614 % 2,535.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0661 % 3,066.7
SplitShare 4.76 % 4.71 % 87,444 4.42 6 0.0661 % 3,662.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0661 % 2,857.5
Perpetual-Premium 5.42 % 4.84 % 57,851 5.78 16 0.1483 % 2,785.3
Perpetual-Discount 5.35 % 5.41 % 72,851 14.70 19 0.4020 % 2,907.4
FixedReset 4.33 % 4.52 % 154,789 6.13 99 0.5185 % 2,427.6
Deemed-Retractible 5.13 % 5.68 % 101,429 6.04 30 0.3361 % 2,870.5
FloatingReset 2.83 % 2.90 % 51,774 4.07 8 0.3003 % 2,659.5
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 3.39 %
BAM.PF.B FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.75
Evaluated at bid price : 23.17
Bid-YTW : 4.75 %
BAM.PF.A FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.63
Evaluated at bid price : 24.16
Bid-YTW : 4.84 %
RY.PR.M FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.83
Evaluated at bid price : 23.75
Bid-YTW : 4.49 %
PWF.PR.K Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.44 %
SLF.PR.H FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.19 %
POW.PR.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.32 %
HSE.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %
BMO.PR.T FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.82
Evaluated at bid price : 22.33
Bid-YTW : 4.51 %
BAM.PR.T FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.82 %
CM.PR.Q FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.99
Evaluated at bid price : 23.99
Bid-YTW : 4.55 %
MFC.PR.C Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.92 %
TD.PF.D FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
GWO.PR.H Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.35 %
TD.PF.B FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.48
Bid-YTW : 4.53 %
BAM.PR.X FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.82 %
BAM.PR.R FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.82 %
MFC.PR.B Deemed-Retractible 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.53 %
BNS.PR.Z FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 4.46 %
TRP.PR.D FixedReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 4.68 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset 210,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 4.46 %
TRP.PR.K FixedReset 124,187 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.12 %
CM.PR.R FixedReset 120,488 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.22 %
RY.PR.Q FixedReset 119,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.58 %
BMO.PR.B FixedReset 111,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.73 %
BMO.PR.R FloatingReset 109,765 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.06 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 24.20 – 25.00
Spot Rate : 0.8000
Average : 0.5034

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %

TD.PF.B FixedReset Quote: 22.48 – 23.00
Spot Rate : 0.5200
Average : 0.3323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.48
Bid-YTW : 4.53 %

SLF.PR.A Deemed-Retractible Quote: 22.40 – 22.80
Spot Rate : 0.4000
Average : 0.2724

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.60 %

BIP.PR.C FixedReset Quote: 25.76 – 26.10
Spot Rate : 0.3400
Average : 0.2226

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.54 %

GWO.PR.N FixedReset Quote: 17.12 – 17.55
Spot Rate : 0.4300
Average : 0.3321

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.12
Bid-YTW : 8.49 %

CM.PR.P FixedReset Quote: 22.00 – 22.25
Spot Rate : 0.2500
Average : 0.1603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.51 %

Leave a Reply

You must be logged in to post a comment.