April 19, 2017

So the Toronto real estate market is on fire and, as usual, there are those who consider this a bad thing. So far we’re blaming foreigners and speculators … we only need to bring short sellers into the mix to complete the trifecta! But I found the following chart in an otherwise unexceptional puff-piece to be fascinating:

downtown
Click for Big

PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.75% so the pre-tax interest equivalent spread is now about 285bp, a significant widening from the 275bp reported April 12.

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 0.00 % 0.00 % 0 0.00 0 0.3184 % 2,156.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3184 % 3,956.3
Floater 3.53 % 3.65 % 43,093 18.20 4 0.3184 % 2,280.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0913 % 3,027.6
SplitShare 4.93 % 4.05 % 55,999 0.63 6 0.0913 % 3,615.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0913 % 2,821.1
Perpetual-Premium 5.29 % -4.57 % 73,214 0.09 23 -0.1881 % 2,782.3
Perpetual-Discount 5.08 % 5.08 % 109,989 15.35 13 -0.2323 % 2,997.4
FixedReset 4.38 % 3.98 % 239,148 6.63 94 -0.0844 % 2,357.3
Deemed-Retractible 4.99 % 4.37 % 144,791 0.10 31 -0.0654 % 2,888.4
FloatingReset 2.55 % 3.11 % 54,014 4.51 9 -0.1985 % 2,535.4
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.72
Bid-YTW : 8.67 %
BIP.PR.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 23.02
Evaluated at bid price : 24.16
Bid-YTW : 4.71 %
MFC.PR.M FixedReset -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.93 %
TRP.PR.C FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 4.00 %
BAM.PR.R FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.17 %
BAM.PR.Z FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.81
Evaluated at bid price : 23.46
Bid-YTW : 4.28 %
TRP.PR.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Q FixedReset 356,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.56
Evaluated at bid price : 23.26
Bid-YTW : 4.03 %
BMO.PR.K Deemed-Retractible 208,288 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 0.40 %
TRP.PR.K FixedReset 146,214 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.07 %
TD.PF.D FixedReset 122,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.50
Evaluated at bid price : 23.16
Bid-YTW : 4.05 %
SLF.PR.I FixedReset 111,866 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 4.84 %
BMO.PR.C FixedReset 103,728 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.02 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Quote: 18.50 – 18.89
Spot Rate : 0.3900
Average : 0.2661

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 7.39 %

MFC.PR.M FixedReset Quote: 21.51 – 21.87
Spot Rate : 0.3600
Average : 0.2567

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.93 %

BAM.PF.G FixedReset Quote: 23.80 – 24.06
Spot Rate : 0.2600
Average : 0.1795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.85
Evaluated at bid price : 23.80
Bid-YTW : 4.15 %

W.PR.M FixedReset Quote: 26.36 – 26.58
Spot Rate : 0.2200
Average : 0.1406

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.91 %

SLF.PR.J FloatingReset Quote: 15.72 – 16.00
Spot Rate : 0.2800
Average : 0.2019

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.72
Bid-YTW : 8.67 %

IAG.PR.A Deemed-Retractible Quote: 23.12 – 23.45
Spot Rate : 0.3300
Average : 0.2597

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 5.89 %

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