June 25, 2019

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 -2.5671 % 1,885.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5671 % 3,459.2
Floater 6.28 % 6.54 % 72,646 13.14 3 -2.5671 % 1,993.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0569 % 3,312.0
SplitShare 4.70 % 4.79 % 77,817 4.20 7 -0.0569 % 3,955.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0569 % 3,086.0
Perpetual-Premium 5.62 % -10.19 % 72,645 0.09 7 0.0225 % 2,950.1
Perpetual-Discount 5.50 % 5.60 % 60,969 14.49 26 0.1758 % 3,077.1
FixedReset Disc 5.54 % 5.39 % 163,225 14.70 70 -0.0173 % 2,062.6
Deemed-Retractible 5.28 % 5.97 % 74,749 8.01 27 -0.0112 % 3,078.9
FloatingReset 4.08 % 4.62 % 53,335 2.49 4 0.0796 % 2,335.7
FixedReset Prem 5.11 % 3.91 % 188,672 1.82 16 -0.0048 % 2,583.7
FixedReset Bank Non 1.97 % 4.05 % 147,435 2.51 3 0.3763 % 2,650.8
FixedReset Ins Non 5.38 % 7.57 % 94,974 8.10 22 0.0025 % 2,112.5
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 5.88 %
BAM.PR.B Floater -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 10.61
Evaluated at bid price : 10.61
Bid-YTW : 6.54 %
PWF.PR.T FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.48 %
NA.PR.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.32 %
BAM.PR.K Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.61 %
BIP.PR.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 22.11
Evaluated at bid price : 22.46
Bid-YTW : 5.69 %
TRP.PR.F FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.72 %
BAM.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.09 %
MFC.PR.M FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.58
Bid-YTW : 8.68 %
MFC.PR.O FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.05 %
MFC.PR.F FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.50
Bid-YTW : 9.68 %
IAF.PR.I FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.04
Bid-YTW : 7.14 %
SLF.PR.H FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.96
Bid-YTW : 8.63 %
RY.PR.M FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.29 %
CU.PR.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 22.24
Evaluated at bid price : 22.55
Bid-YTW : 5.47 %
BIP.PR.E FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.92 %
MFC.PR.J FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.21
Bid-YTW : 7.54 %
RY.PR.J FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.24 %
EMA.PR.F FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.89 %
CM.PR.S FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.26 %
CIU.PR.A Perpetual-Discount 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.47 %
HSE.PR.C FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.G Deemed-Retractible 312,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.37
Bid-YTW : 6.07 %
BMO.PR.T FixedReset Disc 57,338 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 5.49 %
CM.PR.R FixedReset Disc 45,127 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.48 %
TD.PF.M FixedReset Disc 41,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 23.04
Evaluated at bid price : 24.66
Bid-YTW : 4.98 %
TD.PF.C FixedReset Disc 37,778 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.32 %
HSE.PR.C FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.15 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 25.15 – 25.56
Spot Rate : 0.4100
Average : 0.2401

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.86 %

MFC.PR.G FixedReset Ins Non Quote: 18.81 – 19.31
Spot Rate : 0.5000
Average : 0.3357

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.81
Bid-YTW : 7.63 %

PWF.PR.T FixedReset Disc Quote: 17.87 – 18.30
Spot Rate : 0.4300
Average : 0.2754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.48 %

CCS.PR.C Deemed-Retractible Quote: 23.85 – 24.20
Spot Rate : 0.3500
Average : 0.2378

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.61 %

IFC.PR.C FixedReset Ins Non Quote: 17.98 – 18.33
Spot Rate : 0.3500
Average : 0.2397

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.98
Bid-YTW : 7.79 %

PWF.PR.K Perpetual-Discount Quote: 22.13 – 22.39
Spot Rate : 0.2600
Average : 0.1613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-25
Maturity Price : 21.89
Evaluated at bid price : 22.13
Bid-YTW : 5.68 %

6 Responses to “June 25, 2019”

  1. mr_j936 says:

    PWF.PR.A and BAM.PRK are both 70% of Canada prime payers right? Both are pfd-2 The price difference seems rather big, 10$ vs 12$. The market seems to dislike brookfield, is it because they have too many issues?

    I would honestly buy more brookfield but I find that I have too much as it is… Canada prime never went below 2.5% (from what I am seeing) Nothing explains why the share price would go so low that it yields now what is equivalent to close to 200% the prime rate (in brookfield’s case)

  2. jiHymas says:

    The market seems to dislike brookfield, is it because they have too many issues?

    I would honestly buy more brookfield but I find that I have too much as it is…

    You basically answered your own question. I very often find myself in the position in which I would love to sell an issue of Company X to buy a company in the Brookfield group, but am full up.

    It’s not surprising, really, since if we look at ZPR, we find that BAM weight is 5.3%, Related entities 9.6%

    For the two particular issues you mention, though, an important consideration is that PWF is simply a better credit than BAM.

  3. skeptical says:

    Question- PWF comprises mostly GWO and IGM holdings (and bits of European holdings as well). And these are the GWO and IGM’s common stock.
    GWO preferred stock is rated P2(H).
    And PWF preferred stock is rated P2(H).

    I understand that the combined earnings power of GWO/IGM common stock gives the earnings cushion that gives the high ratings to PWF preferred stock.

    But assuming the worst case scenario and GWO/IGM blow up. In that case, GWO/IGM common stock would be worth zero and nothing would be left for PWF shareholders. Yet GWO Preferred holders might have some scraps left to fight over. Yet both GWO and PWF share the same credit ratings.

    What am I missing here?

    Any comments would be deeply appreciated.

  4. jiHymas says:

    But assuming the worst case scenario and GWO/IGM blow up.

    Well, that’s a worst-case scenario indeed! The chance of them blowing up simultaneously will be more than if they were completely unrelated companies, but much less than of either one hitting the skids.

    According to DBRS:

    The diversification and overall strength of the Company’s combined subsidiaries, in addition to the assessment of the financial strength of the PWF legal entity, have prompted DBRS to conclude that the sum of the parts is sufficiently strong enough for PWF’s Issuer Rating to be at the same level as GWO’s.

    Or, to put it another way, PWF’s diversification due to IGM is enough to offset its structural subordination with respect to GWO. In the view of DBRS.

  5. skeptical says:

    Thanks for the informative link and explanation.

  6. mr_j936 says:

    Thank you for answering me 🙂

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