September 24, 2018

Royal Bank issued bail-in debt today:

Royal Bank of Canada has set the bar for bail-in debt, issuing the first in a new class of bonds intended to keep taxpayers from having to bail out distressed banks in the event of a crisis.

On Monday, RBC began selling $2-billion of five-year bonds, priced at 95 basis points above government bonds, maturing in 2023. The sale comes one day after new rules came into force, and creates an early benchmark for the premium other large banks can expect to pay as they begin to issue their own bail-in notes.

This step has been discussed extensively on PrefBlog, most recently in the post DBRS: Canadian Banks’ Trends Now Stable on Bail-In Approval.

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 -1.0874 % 3,090.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0874 % 5,671.2
Floater 3.52 % 3.71 % 35,622 18.05 4 -1.0874 % 3,268.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,229.2
SplitShare 4.61 % 4.64 % 54,858 4.79 5 0.0238 % 3,856.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,008.9
Perpetual-Premium 5.56 % -1.72 % 53,892 0.10 12 0.0526 % 2,920.9
Perpetual-Discount 5.44 % 5.54 % 58,769 14.52 22 0.0711 % 2,996.0
FixedReset Disc 4.19 % 5.05 % 138,581 15.48 42 0.0219 % 2,573.5
Deemed-Retractible 5.17 % 5.95 % 60,071 5.35 27 -0.0768 % 2,993.0
FloatingReset 3.41 % 4.18 % 43,912 5.64 5 -0.0454 % 2,843.0
FixedReset Prem 4.83 % 4.18 % 172,158 3.06 35 0.0703 % 2,569.4
FixedReset Bank Non 3.19 % 3.64 % 66,422 0.41 9 0.0226 % 2,572.1
FixedReset Ins Non 4.33 % 5.21 % 88,909 5.42 22 0.0895 % 2,580.6
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.78 %
BAM.PR.C Floater -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.71 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.72 %
IFC.PR.C FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.40 %
IFC.PR.A FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 7.53 %
TD.PF.J FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.41 %
BAM.PR.Z FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.05
Evaluated at bid price : 24.54
Bid-YTW : 5.18 %
IFC.PR.G FixedReset Ins Non 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 61,971 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 24.13
Evaluated at bid price : 24.45
Bid-YTW : 5.08 %
TD.PF.K FixedReset Disc 57,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.14
Evaluated at bid price : 24.95
Bid-YTW : 4.82 %
BNS.PR.Z FixedReset Bank Non 51,455 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 4.23 %
BMO.PR.Y FixedReset Bank Non 51,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.37
Evaluated at bid price : 24.42
Bid-YTW : 5.02 %
BMO.PR.S FixedReset Disc 37,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 22.73
Evaluated at bid price : 23.39
Bid-YTW : 4.97 %
SLF.PR.I FixedReset Ins Non 32,203 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.07
Bid-YTW : 5.06 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 17.45 – 18.00
Spot Rate : 0.5500
Average : 0.3584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.71 %

BAM.PR.K Floater Quote: 17.13 – 17.85
Spot Rate : 0.7200
Average : 0.5396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.78 %

MFC.PR.Q FixedReset Ins Non Quote: 24.41 – 24.79
Spot Rate : 0.3800
Average : 0.2423

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.23 %

IFC.PR.F Deemed-Retractible Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.59 %

MFC.PR.O FixedReset Ins Non Quote: 26.17 – 26.50
Spot Rate : 0.3300
Average : 0.2173

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.84 %

EMA.PR.H FixedReset Prem Quote: 25.11 – 25.47
Spot Rate : 0.3600
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.21
Evaluated at bid price : 25.11
Bid-YTW : 4.83 %

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