Something new today!
The old FixedReset subindex has been divided into:
- FixedReset Discount
- FixedReset Premium
- FixedReset Bank NVCC Non-Compliant
- FixedReset Insurance NVCC Non-Compliant
It will be noted that there are no NVCC-compliant insurance issues because the NVCC rules don’t apply to them. However, as I have been repeating until everybody’s tired of hearing it, I expect insurance NVCC rules similar (if not identical) to those imposed on banks to become applicable in the future.
I’ve been pondering such a split in the FixedReset subindex for quite some time, but have implemented it now because I’ve (finally!) programmed Attribution Analysis into HIMIPref™, which aims to provide some insight into the sources of differences between account return and index return. I’ll be publishing the MAPF Attribution Analysis for August, 2018, soon … stay tuned!
Each of the four FixedReset subindices was set to the same value as of May 31, 2018.
| 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 | 0.1630 % | 3,075.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1630 % | 5,644.1 |
| Floater | 3.51 % | 3.74 % | 42,248 | 17.90 | 4 | 0.1630 % | 3,252.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1505 % | 3,236.3 |
| SplitShare | 4.60 % | 4.43 % | 53,084 | 4.84 | 5 | 0.1505 % | 3,864.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1505 % | 3,015.5 |
| Perpetual-Premium | 5.54 % | -0.46 % | 53,042 | 0.09 | 12 | 0.0328 % | 2,922.1 |
| Perpetual-Discount | 5.39 % | 5.51 % | 58,525 | 14.59 | 22 | 0.0960 % | 3,009.5 |
| FixedReset Disc | 4.07 % | 4.73 % | 131,875 | 15.81 | 39 | -0.0546 % | 2,601.3 |
| Deemed-Retractible | 5.16 % | 5.76 % | 63,172 | 5.41 | 27 | -0.0344 % | 2,995.4 |
| FloatingReset | 3.39 % | 4.12 % | 41,584 | 5.70 | 5 | 0.1262 % | 2,866.5 |
| FixedReset Prem | 4.81 % | 3.94 % | 176,568 | 2.91 | 35 | -0.0621 % | 2,578.7 |
| FixedReset Bank Non | 3.19 % | 3.32 % | 62,756 | 0.47 | 9 | 0.0857 % | 2,576.4 |
| FixedReset Ins Non | 4.25 % | 4.81 % | 93,089 | 5.39 | 22 | -0.0328 % | 2,595.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.N | FixedReset Ins Non | -1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.32 Bid-YTW : 5.56 % |
| BAM.PR.K | Floater | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 17.43 Evaluated at bid price : 17.43 Bid-YTW : 3.76 % |
| SLF.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 : 21.20 Bid-YTW : 7.46 % |
| CM.PR.O | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 22.98 Evaluated at bid price : 23.57 Bid-YTW : 4.73 % |
| NA.PR.E | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 22.89 Evaluated at bid price : 24.22 Bid-YTW : 4.82 % |
| BAM.PF.C | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 5.68 % |
| SLF.PR.I | FixedReset Ins Non | 1.42 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.59 % |
| BAM.PR.X | FixedReset Disc | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.79 % |
| BAM.PR.C | Floater | 2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 3.77 % |
| BAM.PR.R | FixedReset Disc | 2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 4.99 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.G | FixedReset Prem | 61,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 4.73 % |
| MFC.PR.J | FixedReset Ins Non | 56,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.70 % |
| PWF.PR.K | Perpetual-Discount | 53,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-04 Maturity Price : 22.17 Evaluated at bid price : 22.45 Bid-YTW : 5.57 % |
| EMA.PR.H | FixedReset Prem | 49,050 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 4.66 % |
| MFC.PR.R | FixedReset Ins Non | 41,309 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 3.79 % |
| TD.PF.J | FixedReset Prem | 41,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 4.43 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.B | FixedReset Disc | Quote: 24.01 – 24.74 Spot Rate : 0.7300 Average : 0.4613 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 23.32 – 23.96 Spot Rate : 0.6400 Average : 0.4508 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 23.55 – 23.98 Spot Rate : 0.4300 Average : 0.2662 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 21.15 – 21.59 Spot Rate : 0.4400 Average : 0.3189 YTW SCENARIO |
| EIT.PR.B | SplitShare | Quote: 25.02 – 25.30 Spot Rate : 0.2800 Average : 0.1839 YTW SCENARIO |
| NA.PR.E | FixedReset Disc | Quote: 24.22 – 24.50 Spot Rate : 0.2800 Average : 0.1870 YTW SCENARIO |