January 25, 2017

A hot day for FixedResets, perhaps due to a 5bp increase in the GOC-5 yield.

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.1%, so the pre-tax interest-equivalent spread is now about 270bp, a sharp narrowing from the 285bp reported January 18.

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 4.01 % 4.79 % 20,766 18.10 1 0.5970 % 1,939.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2154 % 3,540.8
Floater 3.91 % 4.02 % 48,223 17.38 4 1.2154 % 2,040.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,961.0
SplitShare 4.79 % 3.90 % 53,522 4.19 6 0.0328 % 3,536.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,759.0
Perpetual-Premium 5.58 % -4.47 % 72,258 0.09 12 0.0066 % 2,707.2
Perpetual-Discount 5.24 % 5.23 % 92,936 14.99 26 0.0341 % 2,849.6
FixedReset 4.53 % 4.21 % 221,270 6.76 96 1.1293 % 2,263.7
Deemed-Retractible 5.12 % 4.60 % 132,547 0.25 32 0.0661 % 2,792.8
FloatingReset 2.42 % 3.20 % 44,731 4.72 11 0.2311 % 2,438.8
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 3.60 %
TRP.PR.E FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
BMO.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.09 %
BMO.PR.Y FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.79
Evaluated at bid price : 23.76
Bid-YTW : 3.97 %
MFC.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 5.29 %
BMO.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.63 %
TD.PF.C FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 4.18 %
SLF.PR.J FloatingReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.01
Bid-YTW : 8.96 %
IAG.PR.G FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.17 %
TD.PF.D FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %
HSE.PR.E FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.06
Evaluated at bid price : 24.25
Bid-YTW : 4.73 %
MFC.PR.J FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.43 %
MFC.PR.I FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 5.21 %
MFC.PR.M FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 6.38 %
RY.PR.J FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.19
Evaluated at bid price : 22.66
Bid-YTW : 4.13 %
CM.PR.P FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.16 %
MFC.PR.H FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.87 %
TD.PF.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
HSE.PR.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 4.70 %
TD.PF.B FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.15 %
BNS.PR.Y FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 4.79 %
SLF.PR.I FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 5.47 %
CM.PR.Q FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.38
Evaluated at bid price : 23.00
Bid-YTW : 4.11 %
TD.PF.E FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.71
Evaluated at bid price : 23.65
Bid-YTW : 4.07 %
HSE.PR.A FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 4.61 %
BMO.PR.M FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.24 %
RY.PR.H FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
RY.PR.Z FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.06 %
MFC.PR.L FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 6.44 %
BMO.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.08 %
MFC.PR.K FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.48
Bid-YTW : 6.41 %
MFC.PR.N FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.22 %
RY.PR.M FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 4.05 %
IFC.PR.A FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 7.86 %
PWF.PR.P FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 4.27 %
CM.PR.O FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.16 %
NA.PR.S FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 4.15 %
PWF.PR.T FixedReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.06 %
BMO.PR.S FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.54
Evaluated at bid price : 21.93
Bid-YTW : 3.99 %
BAM.PR.C Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.07 %
BAM.PR.K Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.64
Evaluated at bid price : 11.64
Bid-YTW : 4.09 %
HSE.PR.C FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.59
Evaluated at bid price : 23.24
Bid-YTW : 4.57 %
IFC.PR.C FixedReset 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 5.85 %
BAM.PF.B FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.60 %
FTS.PR.K FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.27 %
MFC.PR.F FixedReset 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 9.49 %
TRP.PR.B FixedReset 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 4.08 %
BAM.PR.Z FixedReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 4.70 %
BAM.PR.B Floater 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.02 %
FTS.PR.M FixedReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.20 %
BAM.PR.X FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 4.61 %
BAM.PR.T FixedReset 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.69 %
FTS.PR.H FixedReset 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 4.31 %
SLF.PR.G FixedReset 2.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.42 %
BAM.PF.F FixedReset 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.50
Evaluated at bid price : 23.04
Bid-YTW : 4.36 %
BAM.PF.G FixedReset 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.60
Evaluated at bid price : 23.37
Bid-YTW : 4.28 %
BAM.PF.E FixedReset 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.31 %
FTS.PR.G FixedReset 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.25 %
BAM.PF.A FixedReset 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
BAM.PR.R FixedReset 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.41 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 200,183 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.52 %
BNS.PR.H FixedReset 190,198 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.02 %
TRP.PR.E FixedReset 75,888 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 64,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.38 %
MFC.PR.R FixedReset 63,170 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.60 %
CU.PR.I FixedReset 62,188 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.15 %
There were 80 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.E Ratchet Quote: 16.85 – 17.48
Spot Rate : 0.6300
Average : 0.4180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 4.79 %

GRP.PR.A SplitShare Quote: 25.55 – 25.99
Spot Rate : 0.4400
Average : 0.3139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -17.39 %

TRP.PR.A FixedReset Quote: 17.55 – 17.88
Spot Rate : 0.3300
Average : 0.2065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.36 %

GWO.PR.L Deemed-Retractible Quote: 25.66 – 25.98
Spot Rate : 0.3200
Average : 0.2123

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : 2.51 %

GWO.PR.M Deemed-Retractible Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.2002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-31
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : -0.93 %

TRP.PR.F FloatingReset Quote: 16.85 – 17.24
Spot Rate : 0.3900
Average : 0.2934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.51 %

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