February 17, 2021

PerpetualDiscounts now yield 4.89%, equivalent to 6.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.01%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply wider at 335bp than the 310bp reported February 10.

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 -0.2687 % 2,245.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2687 % 4,121.0
Floater 3.85 % 3.88 % 53,479 17.62 3 -0.2687 % 2,375.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,640.1
SplitShare 4.69 % 4.42 % 36,494 4.13 8 -0.0973 % 4,347.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,391.7
Perpetual-Premium 5.34 % -1.39 % 72,294 0.08 18 -0.1300 % 3,246.6
Perpetual-Discount 4.93 % 4.89 % 83,762 15.44 13 -0.0406 % 3,757.3
FixedReset Disc 4.61 % 3.61 % 172,797 17.91 56 0.1228 % 2,544.8
Insurance Straight 4.95 % 4.66 % 81,539 15.32 22 0.0144 % 3,634.2
FloatingReset 3.27 % 2.59 % 28,940 20.77 2 -6.8724 % 2,115.0
FixedReset Prem 5.12 % 2.88 % 229,684 0.92 20 -0.0803 % 2,713.4
FixedReset Bank Non 1.80 % 1.69 % 174,300 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.37 % 115,970 18.34 22 -0.1793 % 2,760.3
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -11.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.J FloatingReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 2.59 %
BAM.PF.D Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.20
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
BIP.PR.E FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 5.17 %
BAM.PF.F FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %
EIT.PR.A SplitShare -1.54 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
TD.PF.J FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.08
Evaluated at bid price : 23.93
Bid-YTW : 3.45 %
MFC.PR.I FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %
MFC.PR.N FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.81
Evaluated at bid price : 22.18
Bid-YTW : 3.36 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.45 %
BMO.PR.Y FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.00
Evaluated at bid price : 22.50
Bid-YTW : 3.49 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.26 %
BIP.PR.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.38
Evaluated at bid price : 23.11
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.25 %
MFC.PR.J FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.25
Bid-YTW : 3.34 %
CU.PR.F Perpetual-Discount 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.29
Evaluated at bid price : 23.54
Bid-YTW : 4.78 %
PWF.PR.P FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.49 %
NA.PR.E FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.05
Evaluated at bid price : 23.35
Bid-YTW : 3.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.F FloatingReset 100,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.B Insurance Straight 76,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.84
Evaluated at bid price : 25.07
Bid-YTW : 4.84 %
BNS.PR.H FixedReset Prem 70,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 2.45 %
MFC.PR.L FixedReset Ins Non 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.29 %
TD.PF.H FixedReset Prem 66,193 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 2.65 %
CU.PR.C FixedReset Disc 62,780 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.76 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 12.17 – 14.00
Spot Rate : 1.8300
Average : 1.0818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %

IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 1.1208

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %

EIT.PR.A SplitShare Quote: 25.50 – 26.15
Spot Rate : 0.6500
Average : 0.4200

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %

BAM.PF.F FixedReset Disc Quote: 20.00 – 20.74
Spot Rate : 0.7400
Average : 0.5244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %

MFC.PR.Q FixedReset Ins Non Quote: 23.76 – 24.25
Spot Rate : 0.4900
Average : 0.2992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.97
Evaluated at bid price : 23.76
Bid-YTW : 3.38 %

MFC.PR.I FixedReset Ins Non Quote: 24.50 – 25.05
Spot Rate : 0.5500
Average : 0.3790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %

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