{"id":32920,"date":"2016-04-14T02:28:26","date_gmt":"2016-04-14T07:28:26","guid":{"rendered":"http:\/\/prefblog.com\/?p=32920"},"modified":"2016-04-14T02:28:26","modified_gmt":"2016-04-14T07:28:26","slug":"october-13-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=32920","title":{"rendered":"April 13, 2016"},"content":{"rendered":"

PerpetualDiscounts now yield 5.55%, equivalent to 7.22% at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported April 6<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.60 %<\/td>\n5.58 %<\/td>\n9,732<\/td>\n17.17<\/td>\n1<\/td>\n1.9431 %<\/td>\n1,709.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.62 %<\/td>\n5.72 %<\/td>\n20,818<\/td>\n16.89<\/td>\n1<\/td>\n-1.8338 %<\/td>\n3,052.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.56 %<\/td>\n4.69 %<\/td>\n55,975<\/td>\n16.08<\/td>\n4<\/td>\n-0.4083 %<\/td>\n1,698.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0338 %<\/td>\n2,804.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.72 %<\/td>\n5.09 %<\/td>\n90,306<\/td>\n1.57<\/td>\n6<\/td>\n-0.0338 %<\/td>\n3,281.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0338 %<\/td>\n2,560.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.77 %<\/td>\n-14.34 %<\/td>\n90,904<\/td>\n0.09<\/td>\n6<\/td>\n-0.0263 %<\/td>\n2,593.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.51 %<\/td>\n5.55 %<\/td>\n91,674<\/td>\n14.61<\/td>\n33<\/td>\n0.0013 %<\/td>\n2,649.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.11 %<\/td>\n4.58 %<\/td>\n175,557<\/td>\n14.35<\/td>\n87<\/td>\n-0.9732 %<\/td>\n1,992.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.16 %<\/td>\n5.34 %<\/td>\n124,685<\/td>\n5.09<\/td>\n34<\/td>\n-0.1752 %<\/td>\n2,643.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.05 %<\/td>\n4.62 %<\/td>\n34,569<\/td>\n5.39<\/td>\n17<\/td>\n-0.1052 %<\/td>\n2,086.8<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n-7.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n-4.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n-4.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.75
\nEvaluated at bid price : 18.75
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n-4.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 7.93 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-3.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 12.10
\nEvaluated at bid price : 12.10
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-3.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n-2.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.16
\nBid-YTW : 10.58 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n-2.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.59
\nEvaluated at bid price : 18.59
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-2.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 11.55
\nEvaluated at bid price : 11.55
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-2.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 12.63
\nEvaluated at bid price : 12.63
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n-2.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n-2.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 19.36
\nEvaluated at bid price : 19.36
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 11.11
\nEvaluated at bid price : 11.11
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n-1.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.99
\nEvaluated at bid price : 18.99
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n-1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.35
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n-1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.81
\nEvaluated at bid price : 18.81
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n-1.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n-1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.11
\nBid-YTW : 9.67 %<\/td>\n<\/tr>\n
HSE.PR.C<\/td>\nFixedReset<\/td>\n-1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n-1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.35
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n-1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.18
\nEvaluated at bid price : 18.18
\nBid-YTW : 4.81 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n-1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.66
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n-1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 19.08
\nEvaluated at bid price : 19.08
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.83
\nEvaluated at bid price : 18.83
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 19.16
\nEvaluated at bid price : 19.16
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 19.16
\nEvaluated at bid price : 19.16
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.15
\nEvaluated at bid price : 18.15
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
BNS.PR.F<\/td>\nFloatingReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.02
\nBid-YTW : 6.85 %<\/td>\n<\/tr>\n
BNS.PR.E<\/td>\nFixedReset<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.82
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.65
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.36
\nBid-YTW : 11.00 %<\/td>\n<\/tr>\n
BAM.PR.E<\/td>\nRatchet<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.69
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n
GWO.PR.O<\/td>\nFloatingReset<\/td>\n2.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.60
\nBid-YTW : 10.57 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nDeemed-Retractible<\/td>\n658,750<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-05-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.98
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n
TD.PF.G<\/td>\nFixedReset<\/td>\n230,449<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.95
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
EML.PR.A<\/td>\nFixedReset<\/td>\n100,837<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n56,223<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.59
\nEvaluated at bid price : 18.59
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
BAM.PF.H<\/td>\nFixedReset<\/td>\n45,711<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.56
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n41,880<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 19.16
\nEvaluated at bid price : 19.16
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
There were 28 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\nQuote: 19.66 – 20.26
\nSpot Rate : 0.6000
\nAverage : 0.3766<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.66
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset<\/td>\nQuote: 13.16 – 13.78
\nSpot Rate : 0.6200
\nAverage : 0.3983<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.16
\nBid-YTW : 10.58 %<\/td>\n<\/tr>\n

BMO.PR.T<\/td>\nFixedReset<\/td>\nQuote: 18.25 – 18.90
\nSpot Rate : 0.6500
\nAverage : 0.4330<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-04-13
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n

BNS.PR.E<\/td>\nFixedReset<\/td>\nQuote: 25.82 – 26.27
\nSpot Rate : 0.4500
\nAverage : 0.2797<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.82
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n

GWO.PR.O<\/td>\nFloatingReset<\/td>\nQuote: 12.60 – 14.25
\nSpot Rate : 1.6500
\nAverage : 1.4809<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 12.60
\nBid-YTW : 10.57 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.75 – 22.25
\nSpot Rate : 0.5000
\nAverage : 0.3356<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.75
\nBid-YTW : 6.63 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.55%, equivalent to 7.22% at the standard equivalency factor of 1.3x. Long corporates now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-32920","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32920","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=32920"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/32920\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=32920"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=32920"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=32920"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}