August 18, 2021

PerpetualDiscounts now yield 4.24%, equivalent to 5.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 250bp, a dramatic narrowing from the 300bp reported August 11.

The dramatic change in the PerpetualDiscount reported yield is due to a few of the remaining elements of the PerpetualDiscount subindex going to sufficient premia to trigger a change in the YTW scenario with significant effects on the calculated YTW.

Ticker Bid
8/11
YTW
8/11
Bid
8/18
YTW
8/18
BAM.PF.C 25.15 4.83% 25.23 4.45%
BAM.PF.D 25.22 4.64% 25.35 4.24%
BAM.PR.M 25.00 4.79% 25.25 0.33%
BAM.PR.N 25.09 4.78 25.15 4.78%
CIU.PR.A 24.75 4.64% 25.00 2.46%
CU.PR.F 25.25 1.34% 25.20 3.28%
CU.PR.G 25.28 1.77% 25.20 3.57%
ELF.PR.G 24.90 4.80% 25.00 4.78%

With so few constituents in the sub-index (and all of them near-par), small changes can have disproportionate effects!

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 0.4105 % 2,642.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4105 % 4,848.4
Floater 3.29 % 3.33 % 74,714 18.88 3 0.4105 % 2,794.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1654 % 3,714.2
SplitShare 4.56 % 3.92 % 27,527 3.77 7 0.1654 % 4,435.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1654 % 3,460.7
Perpetual-Premium 5.14 % -21.73 % 55,157 0.09 25 0.1003 % 3,315.6
Perpetual-Discount 4.67 % 4.24 % 81,206 1.01 8 0.1891 % 3,993.2
FixedReset Disc 3.99 % 3.46 % 118,060 18.22 40 -0.1778 % 2,812.7
Insurance Straight 4.86 % -2.93 % 69,900 0.09 22 0.0797 % 3,745.6
FloatingReset 2.87 % 3.20 % 33,583 19.20 2 -0.3454 % 2,556.6
FixedReset Prem 4.78 % 2.92 % 140,825 1.54 31 0.1313 % 2,761.1
FixedReset Bank Non 1.81 % 1.87 % 107,501 0.10 1 0.0000 % 2,890.8
FixedReset Ins Non 4.04 % 3.27 % 109,442 18.28 20 -0.1457 % 2,950.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -11.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.87 %
MFC.PR.F FixedReset Ins Non -8.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.51 %
TRP.PR.G FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.98 %
NA.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.15
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
MFC.PR.N FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 22.82
Evaluated at bid price : 23.84
Bid-YTW : 3.32 %
IFC.PR.I Perpetual-Premium 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.41
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.95 %
IFC.PR.F Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 3.10 %
BIP.PR.A FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.10
Evaluated at bid price : 24.55
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 66,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.08
Evaluated at bid price : 24.48
Bid-YTW : 3.51 %
TD.PF.D FixedReset Disc 56,229 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.05
Evaluated at bid price : 24.45
Bid-YTW : 3.56 %
PVS.PR.J SplitShare 46,760 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.22 %
IFC.PR.E Insurance Straight 38,467 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.65
Bid-YTW : 2.88 %
RY.PR.R FixedReset Prem 28,938 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.04 %
SLF.PR.B Insurance Straight 27,330 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-17
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -0.02 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.20
Spot Rate : 1.8500
Average : 1.0866

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.87 %

MFC.PR.F FixedReset Ins Non Quote: 16.30 – 17.85
Spot Rate : 1.5500
Average : 0.8711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.51 %

BAM.PR.N Perpetual-Discount Quote: 25.15 – 25.52
Spot Rate : 0.3700
Average : 0.2512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 24.92
Evaluated at bid price : 25.15
Bid-YTW : 4.78 %

RY.PR.J FixedReset Disc Quote: 24.48 – 24.79
Spot Rate : 0.3100
Average : 0.2121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.08
Evaluated at bid price : 24.48
Bid-YTW : 3.51 %

NA.PR.S FixedReset Disc Quote: 24.30 – 24.58
Spot Rate : 0.2800
Average : 0.1881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.15
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %

CU.PR.I FixedReset Prem Quote: 26.80 – 27.16
Spot Rate : 0.3600
Average : 0.2681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.68 %

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