PerpetualDiscounts now yield 4.87%, equivalent to 6.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 250bp from the 240bp reported February 2.
| 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 | 3.02 % | 3.48 % | 41,567 | 20.09 | 1 | -0.1966 % | 2,893.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1975 % | 5,654.8 |
| Floater | 2.82 % | 2.84 % | 62,435 | 20.11 | 3 | 0.1975 % | 3,258.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0458 % | 3,655.4 |
| SplitShare | 4.64 % | 4.42 % | 33,412 | 3.37 | 6 | 0.0458 % | 4,365.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0458 % | 3,406.0 |
| Perpetual-Premium | 5.19 % | -14.37 % | 54,198 | 0.09 | 22 | 0.1572 % | 3,241.7 |
| Perpetual-Discount | 4.78 % | 4.87 % | 62,668 | 15.72 | 11 | 0.0928 % | 3,854.7 |
| FixedReset Disc | 3.91 % | 4.26 % | 117,208 | 16.44 | 44 | -0.0966 % | 2,872.0 |
| Insurance Straight | 4.91 % | 4.58 % | 81,079 | 15.66 | 18 | 0.1042 % | 3,655.4 |
| FloatingReset | 2.67 % | 3.03 % | 53,300 | 19.63 | 2 | -0.2736 % | 2,958.5 |
| FixedReset Prem | 4.76 % | 3.58 % | 104,260 | 1.86 | 26 | -0.1444 % | 2,713.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0966 % | 2,935.7 |
| FixedReset Ins Non | 4.10 % | 4.12 % | 72,542 | 16.59 | 17 | 0.0535 % | 2,966.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.C | FixedReset Disc | -5.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 4.88 % |
| BAM.PR.T | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.79 Evaluated at bid price : 22.22 Bid-YTW : 4.54 % |
| NA.PR.C | FixedReset Prem | -1.70 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.95 % |
| BMO.PR.Y | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.26 % |
| IFC.PR.A | FixedReset Ins Non | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 4.10 % |
| BAM.PF.E | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.96 Evaluated at bid price : 22.30 Bid-YTW : 4.67 % |
| SLF.PR.G | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.05 % |
| POW.PR.D | Perpetual-Premium | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 24.55 Evaluated at bid price : 24.80 Bid-YTW : 5.08 % |
| FTS.PR.H | FixedReset Disc | 2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.18 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.J | FixedReset Disc | 352,788 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-05-24 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 4.00 % |
| RY.PR.Z | FixedReset Disc | 232,346 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 23.02 Evaluated at bid price : 23.85 Bid-YTW : 4.02 % |
| BAM.PR.T | FixedReset Disc | 140,412 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.79 Evaluated at bid price : 22.22 Bid-YTW : 4.54 % |
| PWF.PR.S | Perpetual-Discount | 63,630 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 24.47 Evaluated at bid price : 24.75 Bid-YTW : 4.87 % |
| TD.PF.D | FixedReset Disc | 58,450 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.99 % |
| BMO.PR.E | FixedReset Prem | 56,296 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 3.72 % |
| There were 33 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.G | FixedReset Disc | Quote: 23.04 – 23.91 Spot Rate : 0.8700 Average : 0.4914 YTW SCENARIO |
| PWF.PR.L | Perpetual-Premium | Quote: 25.11 – 26.11 Spot Rate : 1.0000 Average : 0.6360 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 15.30 – 16.50 Spot Rate : 1.2000 Average : 0.9110 YTW SCENARIO |
| PVS.PR.G | SplitShare | Quote: 25.50 – 26.10 Spot Rate : 0.6000 Average : 0.4043 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 18.00 – 18.66 Spot Rate : 0.6600 Average : 0.4718 YTW SCENARIO |
| CM.PR.Y | FixedReset Prem | Quote: 26.25 – 26.99 Spot Rate : 0.7400 Average : 0.5535 YTW SCENARIO |
Hi James,
Not sure where the bast place is to ask you this question- I see the Brookfield is looking to spin off a large part of their business, or essentially split. Would this re-structing trigger a recall of their preferred shares?
I doubt that the restructuring would have such an impact on their (meaning BAM) preferred shares. When BAM essentially privatized Brookfield Property (BPY.UN), they liquidated (redeemed for cash) all of the outstanding “common” units, but left intact the BPO preferred shares – which essentially continue as a subsidiary of BAM.
Asset Coverage will probably be adversely affected.
[…] PerpetualDiscounts now yield 4.95%, equivalent to 6.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 260bp from the 250bp reported February 9. […]