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 |
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| 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 |
| BAM.PR.K | Floater | Quote: 17.13 – 17.85 Spot Rate : 0.7200 Average : 0.5396 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 24.41 – 24.79 Spot Rate : 0.3800 Average : 0.2423 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 24.65 – 25.00 Spot Rate : 0.3500 Average : 0.2299 YTW SCENARIO |
| MFC.PR.O | FixedReset Ins Non | Quote: 26.17 – 26.50 Spot Rate : 0.3300 Average : 0.2173 YTW SCENARIO |
| EMA.PR.H | FixedReset Prem | Quote: 25.11 – 25.47 Spot Rate : 0.3600 Average : 0.2624 YTW SCENARIO |