December 2, 2020

PerpetualDiscounts now yield 5.06%, equivalent to 6.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 375bp from the 380bp reported November 25.

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 0.8515 % 1,892.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8515 % 3,471.8
Floater 4.53 % 4.57 % 55,546 16.20 2 0.8515 % 2,000.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,600.8
SplitShare 4.81 % 4.18 % 37,489 3.87 9 0.0262 % 4,300.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,355.1
Perpetual-Premium 5.33 % 1.34 % 74,916 0.23 19 0.1589 % 3,198.7
Perpetual-Discount 5.00 % 5.06 % 81,406 15.36 12 0.1963 % 3,659.9
FixedReset Disc 5.14 % 3.96 % 131,916 17.15 56 0.5600 % 2,263.9
Insurance Straight 5.02 % 4.69 % 92,668 4.96 22 0.1931 % 3,575.7
FloatingReset 1.96 % 2.21 % 42,025 1.15 3 0.4655 % 1,833.6
FixedReset Prem 5.16 % 3.05 % 205,908 0.84 22 0.1973 % 2,673.3
FixedReset Bank Non 1.94 % 2.13 % 172,832 1.15 2 -0.0402 % 2,864.2
FixedReset Ins Non 5.24 % 4.02 % 74,487 16.94 22 0.6250 % 2,330.8
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 4.61 %
CU.PR.D Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 24.17
Evaluated at bid price : 24.48
Bid-YTW : 5.02 %
POW.PR.D Perpetual-Premium 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 24.92
Evaluated at bid price : 25.15
Bid-YTW : 5.03 %
BAM.PF.A FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.88 %
PWF.PR.S Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.94 %
MFC.PR.I FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.97 %
NA.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 3.96 %
BAM.PF.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.99 %
GWO.PR.Q Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.69 %
BIP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.58 %
BAM.PF.F FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.99 %
BAM.PR.K Floater 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 9.45
Evaluated at bid price : 9.45
Bid-YTW : 4.60 %
IFC.PR.A FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 4.31 %
BIP.PR.B FixedReset Prem 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 23.93
Evaluated at bid price : 24.86
Bid-YTW : 5.49 %
GWO.PR.N FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 4.12 %
TRP.PR.A FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 5.17 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.82 %
IFC.PR.C FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.26 %
TRP.PR.D FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.23 %
CU.PR.G Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 23.67
Evaluated at bid price : 24.19
Bid-YTW : 4.65 %
GWO.PR.S Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.78 %
MFC.PR.G FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 3.95 %
BMO.PR.Y FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 3.82 %
TRP.PR.G FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 5.37 %
TD.PF.C FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 3.66 %
BIP.PR.F FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 22.79
Evaluated at bid price : 23.65
Bid-YTW : 5.35 %
CM.PR.Q FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.90 %
TRP.PR.F FloatingReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 10.81
Evaluated at bid price : 10.81
Bid-YTW : 4.69 %
BAM.PF.E FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.00 %
MFC.PR.F FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 4.02 %
SLF.PR.H FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 3.94 %
MFC.PR.M FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.S FixedReset Disc 183,182 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 3.60 %
BMO.PR.B FixedReset Prem 139,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 3.05 %
TD.PF.M FixedReset Prem 126,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 23.40
Evaluated at bid price : 25.35
Bid-YTW : 4.05 %
BNS.PR.G FixedReset Prem 95,525 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.04 %
TRP.PR.D FixedReset Disc 78,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.23 %
BAM.PR.K Floater 71,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 9.45
Evaluated at bid price : 9.45
Bid-YTW : 4.60 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 20.00 – 25.50
Spot Rate : 5.5000
Average : 4.3477

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.82 %

TRP.PR.G FixedReset Disc Quote: 15.84 – 17.00
Spot Rate : 1.1600
Average : 0.6782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 5.37 %

BAM.PF.E FixedReset Disc Quote: 15.95 – 17.00
Spot Rate : 1.0500
Average : 0.6558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.00 %

IFC.PR.G FixedReset Ins Non Quote: 18.95 – 19.44
Spot Rate : 0.4900
Average : 0.2873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.36 %

CU.PR.D Perpetual-Discount Quote: 24.48 – 24.99
Spot Rate : 0.5100
Average : 0.3469

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 24.17
Evaluated at bid price : 24.48
Bid-YTW : 5.02 %

GWO.PR.R Insurance Straight Quote: 24.50 – 25.05
Spot Rate : 0.5500
Average : 0.3919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-02
Maturity Price : 24.24
Evaluated at bid price : 24.50
Bid-YTW : 4.89 %

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