November 29, 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 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
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.49 %

TRP.PR.D FixedReset Disc Quote: 21.30 – 22.55
Spot Rate : 1.2500
Average : 0.7627

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.PR.T FixedReset Disc Quote: 20.31 – 21.50
Spot Rate : 1.1900
Average : 0.7628

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 %

CU.PR.C FixedReset Disc Quote: 22.85 – 24.43
Spot Rate : 1.5800
Average : 1.2222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %

RS.PR.A SplitShare Quote: 10.42 – 11.25
Spot Rate : 0.8300
Average : 0.5488

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.42
Bid-YTW : 4.38 %

CU.PR.I FixedReset Prem Quote: 26.10 – 26.68
Spot Rate : 0.5800
Average : 0.3797

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.33 %

6 Responses to “November 29, 2021”

  1. CanSiamCyp says:

    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!

  2. sugarandhoney says:

    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.

  3. sugarandhoney says:

    Just realized Slf.pr.d is perpetual and not rate reset.

  4. Caledonian Canuck says:

    Still think your question is relevant. E is also higher coupon, but perpetual.

  5. sugarandhoney says:

    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.

  6. skeptical says:

    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.

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