September 6, 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 2.8928 % 1,889.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.8928 % 3,467.7
Floater 6.32 % 6.46 % 51,326 13.13 4 2.8928 % 1,998.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0960 % 3,372.5
SplitShare 4.67 % 4.45 % 65,141 4.05 7 -0.0960 % 4,027.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0960 % 3,142.4
Perpetual-Premium 5.62 % -18.64 % 60,492 0.09 6 -0.0912 % 2,976.9
Perpetual-Discount 5.48 % 5.63 % 65,486 14.39 28 0.0765 % 3,120.5
FixedReset Disc 5.58 % 5.24 % 168,769 14.91 73 0.1197 % 2,051.1
Deemed-Retractible 5.29 % 6.08 % 78,093 7.91 27 0.1490 % 3,107.7
FloatingReset 4.58 % 6.82 % 62,277 8.00 3 0.9045 % 2,322.1
FixedReset Prem 5.26 % 4.02 % 137,906 1.63 14 -0.0196 % 2,574.9
FixedReset Bank Non 1.97 % 4.11 % 93,327 2.33 3 0.1805 % 2,669.1
FixedReset Ins Non 5.51 % 7.82 % 100,036 8.01 21 -0.0710 % 2,089.3
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 6.38 %
BAM.PR.T FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 6.11 %
BAM.PF.E FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 6.09 %
BAM.PF.G FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.01 %
BAM.PF.F FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.10 %
GWO.PR.S Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.53
Bid-YTW : 6.01 %
BAM.PR.R FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 14.54
Evaluated at bid price : 14.54
Bid-YTW : 5.95 %
MFC.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.96
Bid-YTW : 8.07 %
MFC.PR.M FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.60
Bid-YTW : 9.22 %
TD.PF.D FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.36 %
IAF.PR.B Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 6.35 %
TD.PF.H FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 23.45
Evaluated at bid price : 24.75
Bid-YTW : 5.26 %
BMO.PR.Y FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.24 %
GWO.PR.Q Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.20 %
NA.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.20 %
SLF.PR.E Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.84
Bid-YTW : 6.75 %
CM.PR.S FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.16 %
NA.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.54 %
BNS.PR.I FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 4.78 %
BIP.PR.D FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 5.58 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 13.18
Evaluated at bid price : 13.18
Bid-YTW : 5.83 %
TRP.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 5.80 %
BIP.PR.A FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.63 %
TRP.PR.B FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 5.51 %
GWO.PR.R Deemed-Retractible 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.28 %
TRP.PR.F FloatingReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.82 %
MFC.PR.K FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.26 %
BAM.PR.C Floater 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 6.47 %
HSE.PR.E FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.61 %
TRP.PR.G FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.76 %
BAM.PR.K Floater 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 6.56 %
BAM.PR.B Floater 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 6.46 %
PWF.PR.P FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.23 %
PWF.PR.A Floater 3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 6.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSE.PR.C FixedReset Disc 224,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 6.64 %
MFC.PR.N FixedReset Ins Non 134,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.67
Bid-YTW : 9.10 %
TD.PF.B FixedReset Disc 117,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.01 %
RY.PR.M FixedReset Disc 95,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.24 %
TD.PF.C FixedReset Disc 59,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.15 %
TD.PF.K FixedReset Disc 53,739 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.05 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.C FixedReset Disc Quote: 20.76 – 21.47
Spot Rate : 0.7100
Average : 0.4621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.54 %

TD.PF.K FixedReset Disc Quote: 19.91 – 20.40
Spot Rate : 0.4900
Average : 0.3071

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.05 %

EMA.PR.F FixedReset Disc Quote: 16.15 – 17.00
Spot Rate : 0.8500
Average : 0.6923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.91 %

BMO.PR.C FixedReset Disc Quote: 21.59 – 22.11
Spot Rate : 0.5200
Average : 0.3643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 21.30
Evaluated at bid price : 21.59
Bid-YTW : 5.21 %

HSE.PR.A FixedReset Disc Quote: 11.09 – 11.70
Spot Rate : 0.6100
Average : 0.4564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-06
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 6.38 %

MFC.PR.F FixedReset Ins Non Quote: 12.44 – 12.82
Spot Rate : 0.3800
Average : 0.2332

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.44
Bid-YTW : 10.56 %

3 Responses to “September 6, 2019”

  1. Pete says:

    Skeptical (Sept 4th comments ) put forth “straight perpetuals yielding 4.5 to 4.6% are likely to get called”. All else being equal what would the five-year Canada yield likely be for that to happen? James has suggested that the current yields on fixed resets are holding back the price of perpetuals, so I think we’d need to see a drop in the five-year Canada yield, or at least the perception that the rate will be lower than now on the reset dates.
    Today the five-year Canada yield is ~1.15%. Compare the perpetual MFC.PR.C (4.5% dividend) and fixed reset MFC.PR.L. (currently 3.786% dividend) and which resets September 2023 at +216bp at a theoretical five-year Canada yield of 0.3%.

      Current Yield Current Price
    (5YR=1.15%)
    Dividend Sept 2023
    (5YR=0.30%)
    Price Sept 2023
    (5YR=0.30%)
    MFC.PR.C 5.42% $20.74 4.5% $25
    MFC.PR.L 5.65% $16.73 2.46% $13.66

    I actually think something like this might happen and too own low dividend straight perpetuals.

    Table formatting applied by JH

  2. sugarandhoney says:

    Pete can you elaborate on how you get the theoretical five-year Canada yield as 0.30.

    Thanks.

  3. mbarbon says:

    Nice argument.. I sure hope they call the MFC.pr.c… I’t will be a nice gain.

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