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 | 3.00 % | 3.44 % | 51,124 | 20.16 | 1 | 0.0000 % | 2,913.2 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2094 % | 5,286.9 |
Floater | 3.01 % | 3.04 % | 87,061 | 19.56 | 3 | 1.2094 % | 3,046.9 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5539 % | 3,666.4 |
SplitShare | 4.67 % | 4.18 % | 57,708 | 3.83 | 5 | -0.5539 % | 4,378.5 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5539 % | 3,416.3 |
Perpetual-Premium | 5.12 % | -7.41 % | 46,143 | 0.09 | 28 | -0.0447 % | 3,265.7 |
Perpetual-Discount | 4.72 % | 4.86 % | 67,648 | 15.67 | 6 | 0.0204 % | 3,838.6 |
FixedReset Disc | 3.83 % | 3.82 % | 125,761 | 17.03 | 37 | -0.1392 % | 2,883.4 |
Insurance Straight | 4.94 % | 4.50 % | 91,430 | 3.43 | 20 | 0.7216 % | 3,677.3 |
FloatingReset | 2.45 % | 2.77 % | 30,124 | 20.34 | 2 | -1.7753 % | 2,874.1 |
FixedReset Prem | 4.67 % | 3.37 % | 121,470 | 2.27 | 33 | -0.1887 % | 2,733.7 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1392 % | 2,947.4 |
FixedReset Ins Non | 4.05 % | 3.83 % | 99,473 | 17.00 | 19 | 0.2137 % | 2,980.0 |
Performance Highlights | |||
Issue | Index | Change | Notes |
TRP.PR.F | FloatingReset | -2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 2.77 % |
BAM.PR.T | FixedReset Disc | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 4.67 % |
TRP.PR.A | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 4.49 % |
PVS.PR.J | SplitShare | -1.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.19 % |
TRP.PR.D | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.53 % |
BAM.PF.G | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 22.50 Evaluated at bid price : 23.21 Bid-YTW : 4.40 % |
CU.PR.I | FixedReset Prem | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 3.33 % |
BAM.PF.F | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 22.87 Evaluated at bid price : 23.74 Bid-YTW : 4.49 % |
BAM.PR.K | Floater | 2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 3.05 % |
MFC.PR.F | FixedReset Ins Non | 3.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 3.73 % |
IFC.PR.E | Insurance Straight | 16.94 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.25 Evaluated at bid price : 26.02 Bid-YTW : 4.51 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BMO.PR.T | FixedReset Disc | 51,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 23.19 Evaluated at bid price : 24.40 Bid-YTW : 3.68 % |
RY.PR.H | FixedReset Disc | 39,785 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 23.24 Evaluated at bid price : 24.50 Bid-YTW : 3.68 % |
BNS.PR.I | FixedReset Prem | 27,675 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 23.73 Evaluated at bid price : 25.54 Bid-YTW : 3.79 % |
PWF.PF.A | Perpetual-Discount | 26,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-29 Maturity Price : 24.31 Evaluated at bid price : 24.71 Bid-YTW : 4.59 % |
RY.PR.J | FixedReset Disc | 25,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-05-24 Maturity Price : 25.00 Evaluated at bid price : 24.79 Bid-YTW : 3.48 % |
BMO.PR.F | FixedReset Prem | 23,550 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 2.87 % |
There were 8 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
TRP.PR.A | FixedReset Disc | Quote: 18.78 – 20.33 Spot Rate : 1.5500 Average : 1.0373 YTW SCENARIO |
TRP.PR.D | FixedReset Disc | Quote: 21.30 – 22.55 Spot Rate : 1.2500 Average : 0.7627 YTW SCENARIO |
BAM.PR.T | FixedReset Disc | Quote: 20.31 – 21.50 Spot Rate : 1.1900 Average : 0.7628 YTW SCENARIO |
CU.PR.C | FixedReset Disc | Quote: 22.85 – 24.43 Spot Rate : 1.5800 Average : 1.2222 YTW SCENARIO |
RS.PR.A | SplitShare | Quote: 10.42 – 11.25 Spot Rate : 0.8300 Average : 0.5488 YTW SCENARIO |
CU.PR.I | FixedReset Prem | Quote: 26.10 – 26.68 Spot Rate : 0.5800 Average : 0.3797 YTW SCENARIO |
James:
Another one “bites the dust”!
TORONTO, Nov. 30, 2021 /PRNewswire/ – Sun Life Financial Inc. (TSX: SLF) (NYSE: SLF) today announced its intention to redeem its $300 million principal amount of issued and outstanding Class A Non-Cumulative Rate Reset Preferred Shares Series 12R (the “Series 12R Shares”) on December 31, 2021 (the “Redemption Date”).
Cheers!
Any thoughts on why they did not redeem slf.pr.d as the coupon is 1.112 compared to 0.952 for slf.pr.i. In both cases outstanding amount is $300 Million.
Thanks.
Just realized Slf.pr.d is perpetual and not rate reset.
Still think your question is relevant. E is also higher coupon, but perpetual.
Given that rate reset was to be done in Dec 21 they would have had to pay a coupon of 4.06 (2.73+1.33). May be my calculation is off, in any case breakeven point is 4.5%.
Hopeful someone better informed can shed light on this.
The LRCNs that replaced the rate resets are also rate resets, with almost similar spread, resulting in about 30% tax savings.
There may not be a strong appetite for perpetual LRCNs, hence both MFC and SLF are replacing their rate resets and keeping the low coupon perpetuals.