July 8, 2020

PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 450bp from the 440bp reported June 24. We are now back above the pre-2020 record of 445bp briefly touched in 2008.

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 0.3617 % 1,441.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3617 % 2,644.8
Floater 5.79 % 5.84 % 78,654 14.16 3 0.3617 % 1,524.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0458 % 3,454.7
SplitShare 4.86 % 4.94 % 61,347 3.79 7 -0.0458 % 4,125.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0458 % 3,219.0
Perpetual-Premium 5.21 % 5.26 % 64,639 14.95 1 -0.1190 % 3,021.4
Perpetual-Discount 5.59 % 5.76 % 77,576 14.29 35 -0.0272 % 3,248.4
FixedReset Disc 6.14 % 5.07 % 138,722 15.01 75 -0.4114 % 1,834.6
Deemed-Retractible 5.34 % 5.63 % 82,913 14.37 27 -0.2189 % 3,208.9
FloatingReset 2.47 % 3.12 % 32,455 1.54 4 -0.0149 % 1,719.9
FixedReset Prem 5.48 % 5.12 % 351,694 15.15 3 0.3333 % 2,558.8
FixedReset Bank Non 1.98 % 3.01 % 127,657 1.54 2 0.0000 % 2,787.8
FixedReset Ins Non 6.45 % 5.19 % 102,679 14.69 22 -0.2964 % 1,844.1
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset Disc -12.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.05 %
GWO.PR.N FixedReset Ins Non -5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 4.80 %
PWF.PR.P FixedReset Disc -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 8.73
Evaluated at bid price : 8.73
Bid-YTW : 5.79 %
EIT.PR.B SplitShare -2.00 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.39 %
BMO.PR.F FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.07 %
BIP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 6.79 %
NA.PR.E FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.93 %
IFC.PR.I Perpetual-Discount -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.72 %
CM.PR.Y FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.18 %
TRP.PR.C FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 8.38
Evaluated at bid price : 8.38
Bid-YTW : 5.73 %
CM.PR.P FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.03 %
MFC.PR.K FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.15 %
TD.PF.I FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 4.92 %
BAM.PF.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 5.92 %
IFC.PR.A FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 5.25 %
BNS.PR.I FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 4.60 %
TRP.PR.D FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.94 %
MFC.PR.F FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 9.08
Evaluated at bid price : 9.08
Bid-YTW : 5.00 %
BAM.PF.B FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 4.93 %
PVS.PR.H SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.94 %
TD.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.85 %
CU.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 4.94 %
BAM.PR.R FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.79 %
BIK.PR.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 22.97
Evaluated at bid price : 24.20
Bid-YTW : 6.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 37,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 4.93 %
BAM.PR.R FixedReset Disc 27,391 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.79 %
CU.PR.G Perpetual-Discount 27,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 5.23 %
TRP.PR.A FixedReset Disc 25,135 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.69 %
MFC.PR.C Deemed-Retractible 23,974 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.35 %
BAM.PR.T FixedReset Disc 23,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.93 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.M FixedReset Disc Quote: 21.55 – 24.49
Spot Rate : 2.9400
Average : 1.5975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.05 %

MFC.PR.Q FixedReset Ins Non Quote: 15.88 – 18.00
Spot Rate : 2.1200
Average : 1.3013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 5.11 %

MFC.PR.M FixedReset Ins Non Quote: 14.60 – 17.00
Spot Rate : 2.4000
Average : 1.6732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.18 %

PVS.PR.D SplitShare Quote: 25.18 – 26.18
Spot Rate : 1.0000
Average : 0.5637

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.24 %

NA.PR.G FixedReset Disc Quote: 17.45 – 18.29
Spot Rate : 0.8400
Average : 0.5984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.96 %

BAM.PF.F FixedReset Disc Quote: 14.60 – 15.39
Spot Rate : 0.7900
Average : 0.5686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.93 %

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