May 18, 2016

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.00%, so the pre-tax interest-equivalent spread is now about 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported May 11.

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 4.67 % 5.68 % 11,772 17.05 1 0.1384 % 1,690.2
FixedFloater 6.62 % 5.74 % 18,540 16.79 1 0.0000 % 3,052.8
Floater 4.54 % 4.75 % 44,961 15.89 4 -0.7395 % 1,709.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2191 % 2,826.1
SplitShare 4.95 % 5.05 % 82,785 2.49 7 0.2191 % 3,307.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2191 % 2,580.3
Perpetual-Premium 5.76 % -9.37 % 74,272 0.09 6 0.0000 % 2,598.0
Perpetual-Discount 5.48 % 5.59 % 103,383 14.50 33 -0.2022 % 2,675.4
FixedReset 5.21 % 4.69 % 166,294 13.81 88 -0.1286 % 1,961.6
Deemed-Retractible 5.15 % 5.56 % 131,545 6.76 33 -0.0773 % 2,665.9
FloatingReset 3.16 % 5.00 % 26,458 5.28 17 -0.2111 % 2,080.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.88 %
TD.PF.E FixedReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 4.48 %
PWF.PR.A Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 4.13 %
FTS.PR.I FloatingReset -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 4.39 %
FTS.PR.J Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 22.09
Evaluated at bid price : 22.36
Bid-YTW : 5.32 %
TRP.PR.G FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 4.86 %
MFC.PR.F FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 10.15 %
FTS.PR.F Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.32 %
TRP.PR.E FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.60 %
CU.PR.G Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.44 %
CM.PR.P FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.31 %
NA.PR.W FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.43 %
CU.PR.I FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.80 %
FTS.PR.H FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 4.31 %
MFC.PR.J FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.62 %
SLF.PR.G FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.27 %
BIP.PR.A FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.72 %
PWF.PR.Q FloatingReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 4.15 %
FTS.PR.M FixedReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.60 %
SLF.PR.H FixedReset 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.57
Bid-YTW : 8.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 30,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-06-17
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : 1.63 %
RY.PR.R FixedReset 24,063 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.64 %
BAM.PF.D Perpetual-Discount 22,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.93 %
BAM.PF.C Perpetual-Discount 18,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 5.91 %
EML.PR.A FixedReset 17,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.15 %
TD.PF.G FixedReset 15,297 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 4.56 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.I FloatingReset Quote: 11.22 – 11.85
Spot Rate : 0.6300
Average : 0.4375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 4.39 %

SLF.PR.J FloatingReset Quote: 12.77 – 13.25
Spot Rate : 0.4800
Average : 0.3117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.77
Bid-YTW : 10.80 %

EML.PR.A FixedReset Quote: 25.80 – 26.25
Spot Rate : 0.4500
Average : 0.2942

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.15 %

TRP.PR.A FixedReset Quote: 14.27 – 14.82
Spot Rate : 0.5500
Average : 0.4110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.88 %

BAM.PF.B FixedReset Quote: 17.30 – 17.77
Spot Rate : 0.4700
Average : 0.3421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.08 %

NA.PR.W FixedReset Quote: 17.75 – 18.09
Spot Rate : 0.3400
Average : 0.2418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.43 %

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