August 31, 2021

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 0.7053 % 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
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.05 %

GWO.PR.L Insurance Straight Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.5687

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : -32.29 %

IAF.PR.B Insurance Straight Quote: 23.90 – 25.30
Spot Rate : 1.4000
Average : 1.0025

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 Quote: 20.37 – 21.57
Spot Rate : 1.2000
Average : 0.9975

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 %

PVS.PR.I SplitShare Quote: 25.76 – 26.34
Spot Rate : 0.5800
Average : 0.4676

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.95 %

TRP.PR.C FixedReset Disc Quote: 14.57 – 14.95
Spot Rate : 0.3800
Average : 0.2708

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 %

2 Responses to “August 31, 2021”

  1. Prefhound says:

    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.

  2. baffled says:

    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 .

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