October 18, 2017

PerpetualDiscounts now yield 5.32%, equivalent to 6.92% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a significant widening from the 285bp reported October 11.

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 -0.0168 % 2,421.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0168 % 4,443.6
Floater 3.77 % 3.92 % 34,731 17.60 4 -0.0168 % 2,560.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0660 % 3,072.2
SplitShare 4.75 % 4.73 % 72,414 4.37 6 0.0660 % 3,668.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0660 % 2,862.6
Perpetual-Premium 5.35 % 1.21 % 62,163 0.20 17 -0.0370 % 2,821.4
Perpetual-Discount 5.33 % 5.32 % 60,858 14.96 19 0.0788 % 2,953.8
FixedReset 4.24 % 4.21 % 149,735 4.54 99 0.0784 % 2,481.2
Deemed-Retractible 5.08 % 5.54 % 98,703 6.00 30 -0.1049 % 2,899.3
FloatingReset 2.80 % 2.87 % 44,857 4.04 8 0.1796 % 2,676.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.72 %
MFC.PR.K FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.45 %
GWO.PR.N FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.82
Bid-YTW : 7.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 196,079 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.11 %
MFC.PR.R FixedReset 129,455 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 4.06 %
BAM.PF.J FixedReset 101,414 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.42 %
MFC.PR.I FixedReset 64,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.46 %
BMO.PR.C FixedReset 64,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.13 %
TD.PF.G FixedReset 57,066 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.46 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.R Deemed-Retractible Quote: 22.99 – 23.35
Spot Rate : 0.3600
Average : 0.2725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.99
Bid-YTW : 6.27 %

CU.PR.G Perpetual-Discount Quote: 21.70 – 22.00
Spot Rate : 0.3000
Average : 0.2198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 21.42
Evaluated at bid price : 21.70
Bid-YTW : 5.24 %

BAM.PF.G FixedReset Quote: 24.30 – 24.48
Spot Rate : 0.1800
Average : 0.1070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 4.65 %

CU.PR.H Perpetual-Discount Quote: 25.10 – 25.39
Spot Rate : 0.2900
Average : 0.2201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 24.67
Evaluated at bid price : 25.10
Bid-YTW : 5.28 %

BNS.PR.Y FixedReset Quote: 23.07 – 23.29
Spot Rate : 0.2200
Average : 0.1583

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 4.15 %

MFC.PR.M FixedReset Quote: 23.65 – 24.02
Spot Rate : 0.3700
Average : 0.3150

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.99 %

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