| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.7053 % | 2,602.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7053 % | 4,775.3 |
| Floater | 3.34 % | 3.37 % | 63,000 | 18.76 | 3 | 0.7053 % | 2,752.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4038 % | 3,680.6 |
| SplitShare | 4.60 % | 3.95 % | 27,266 | 3.78 | 7 | -0.4038 % | 4,395.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4038 % | 3,429.5 |
| Perpetual-Premium | 5.11 % | -22.56 % | 53,955 | 0.09 | 25 | 0.2396 % | 3,336.0 |
| Perpetual-Discount | 4.64 % | 1.40 % | 70,914 | 0.08 | 8 | 0.1881 % | 4,012.8 |
| FixedReset Disc | 3.93 % | 3.33 % | 125,963 | 18.16 | 40 | 0.0851 % | 2,855.9 |
| Insurance Straight | 4.86 % | -7.89 % | 75,627 | 0.09 | 22 | -0.1361 % | 3,746.0 |
| FloatingReset | 2.84 % | 3.10 % | 34,353 | 19.50 | 2 | 0.6862 % | 2,600.1 |
| FixedReset Prem | 4.73 % | 2.27 % | 133,170 | 1.59 | 30 | -0.0793 % | 2,779.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0851 % | 2,919.3 |
| FixedReset Ins Non | 4.02 % | 3.22 % | 99,868 | 18.35 | 20 | 0.0449 % | 2,961.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.F | FixedReset Disc | -6.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 22.49 Evaluated at bid price : 23.10 Bid-YTW : 4.05 % |
| IAF.PR.B | Insurance Straight | -5.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 4.80 % |
| TRP.PR.D | FixedReset Disc | -3.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 20.37 Evaluated at bid price : 20.37 Bid-YTW : 4.08 % |
| MFC.PR.F | FixedReset Ins Non | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 3.22 % |
| TRP.PR.C | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 14.57 Evaluated at bid price : 14.57 Bid-YTW : 3.92 % |
| BAM.PF.B | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 22.83 Evaluated at bid price : 23.59 Bid-YTW : 3.80 % |
| BAM.PR.K | Floater | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 12.85 Evaluated at bid price : 12.85 Bid-YTW : 3.37 % |
| IFC.PR.I | Perpetual-Premium | 2.58 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-03-31 Maturity Price : 26.00 Evaluated at bid price : 27.80 Bid-YTW : 3.41 % |
| TRP.PR.G | FixedReset Disc | 3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 22.76 Evaluated at bid price : 23.85 Bid-YTW : 3.79 % |
| PWF.PR.P | FixedReset Disc | 11.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 3.43 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ELF.PR.H | Perpetual-Premium | 108,550 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : -18.99 % |
| PWF.PR.P | FixedReset Disc | 58,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 3.43 % |
| RY.PR.M | FixedReset Disc | 42,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 23.12 Evaluated at bid price : 24.70 Bid-YTW : 3.28 % |
| TRP.PR.A | FixedReset Disc | 31,450 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 3.87 % |
| TRP.PR.F | FloatingReset | 29,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-08-31 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 3.10 % |
| BAM.PF.H | FixedReset Prem | 24,895 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 27.70 Bid-YTW : 2.57 % |
| There were 9 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.F | FixedReset Disc | Quote: 23.10 – 24.70 Spot Rate : 1.6000 Average : 1.0344 YTW SCENARIO |
| GWO.PR.L | Insurance Straight | Quote: 26.10 – 27.10 Spot Rate : 1.0000 Average : 0.5687 YTW SCENARIO |
| IAF.PR.B | Insurance Straight | Quote: 23.90 – 25.30 Spot Rate : 1.4000 Average : 1.0025 YTW SCENARIO |
| TRP.PR.D | FixedReset Disc | Quote: 20.37 – 21.57 Spot Rate : 1.2000 Average : 0.9975 YTW SCENARIO |
| PVS.PR.I | SplitShare | Quote: 25.76 – 26.34 Spot Rate : 0.5800 Average : 0.4676 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 14.57 – 14.95 Spot Rate : 0.3800 Average : 0.2708 YTW SCENARIO |
James:
Good to see you are back and keeping us up to date with data. The past six months have seen great pref share returns that have led to 75% of Perpetuals being premium, with deeply negative YTW and a slightly smaller fraction of Fixed Resets going premium. There haven’t been many new pref share issues recently, so it is not clear what a new issue “should” yield.
Are we approaching an unprecedented and potentially dangerous point for premium prefs in particular and prefs in general with such an overhang of premium issues?
Is it more likely that issuers will pick off and redeem the highest coupon issues one at a time, hoping not to disturb the market? Or, will they want a mass refinancing (stampede scenario) rushing to replace multiple issues at once? A question for Game Theory and market experience.
Once the risk of owning premium prefs becomes clear from new issues, isn’t the pref market at risk of dropping, say 5% (back to par, for example) or more (if over-reacting to continued selling)?
Are Premium Perpetuals likely to be refinanced with more perpetuals, fixed resets or a mix of debt and equity? In a big refinancing frenzy will there be enough purchase capacity for new pref issues? especially if there is some market turmoil? Yes, the redeemed issues provide capacity, and yields suggest market demand for product, but the timing of fund raising is sometimes after the new issue and there is the question of market response to lower yields on new issues.
What should astute investors be doing? Maybe not the time to “shut up and clip our coupons”?
Anyway, I’m curious as to your thoughts on this very unusual market situation with deeply negative YTW on so many prefs.
prefhound , good questions , you ask .”Is it more likely that issuers will pick off and redeem the highest coupon issues one at a time, hoping not to disturb the market?” .. i dont think the issuers are concerned with disturbing the market . i think they will over time redeem starting with the highest coupons , and as this zero to negative rate world continues more issues will be high coupon issues . for me i never pay over $25 . i have switched to common , but those are also high and going higher as rates stay low , and people are trying for a return . it is a tough time to be an income investor .