June 6, 2018

PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported May 30.

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 0.6723 % 2,977.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6723 % 5,464.0
Floater 3.36 % 3.59 % 70,473 18.23 4 0.6723 % 3,148.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1590 % 3,173.9
SplitShare 4.63 % 4.53 % 78,777 5.02 5 -0.1590 % 3,790.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1590 % 2,957.4
Perpetual-Premium 5.63 % -6.28 % 63,267 0.09 9 -0.0654 % 2,872.6
Perpetual-Discount 5.41 % 5.52 % 61,559 14.57 26 -0.0116 % 2,940.5
FixedReset 4.31 % 4.72 % 155,303 5.68 105 0.0103 % 2,536.1
Deemed-Retractible 5.19 % 5.75 % 70,170 5.58 27 0.0724 % 2,940.7
FloatingReset 3.05 % 3.70 % 36,083 3.47 9 0.2607 % 2,791.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.45 %
GWO.PR.N FixedReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.42 %
SLF.PR.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 7.23 %
BAM.PR.K Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-06
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 3.59 %
CU.PR.C FixedReset 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-06
Maturity Price : 22.07
Evaluated at bid price : 22.56
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.G FixedReset 45,843 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.13 %
TD.PF.J FixedReset 34,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-06
Maturity Price : 23.21
Evaluated at bid price : 25.12
Bid-YTW : 4.75 %
EMA.PR.H FixedReset 26,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-06
Maturity Price : 23.17
Evaluated at bid price : 25.07
Bid-YTW : 4.81 %
TD.PF.H FixedReset 26,191 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.77 %
RY.PR.P Perpetual-Premium 23,310 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 5.15 %
TD.PR.T FloatingReset 23,302 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 2.28 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.B SplitShare Quote: 25.05 – 25.62
Spot Rate : 0.5700
Average : 0.4517

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.00 %

IFC.PR.F Deemed-Retractible Quote: 24.85 – 25.25
Spot Rate : 0.4000
Average : 0.2965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.62 %

MFC.PR.O FixedReset Quote: 26.21 – 26.54
Spot Rate : 0.3300
Average : 0.2298

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.85 %

RY.PR.P Perpetual-Premium Quote: 25.23 – 25.50
Spot Rate : 0.2700
Average : 0.1762

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 5.15 %

GWO.PR.N FixedReset Quote: 19.09 – 19.42
Spot Rate : 0.3300
Average : 0.2529

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.42 %

MFC.PR.K FixedReset Quote: 22.19 – 22.64
Spot Rate : 0.4500
Average : 0.3832

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.45 %

Leave a Reply

You must be logged in to post a comment.