{"id":33034,"date":"2016-05-11T23:58:25","date_gmt":"2016-05-12T04:58:25","guid":{"rendered":"http:\/\/prefblog.com\/?p=33034"},"modified":"2016-05-11T23:58:25","modified_gmt":"2016-05-12T04:58:25","slug":"may-11-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=33034","title":{"rendered":"May 11, 2016"},"content":{"rendered":"

PerpetualDiscounts now yield 5.57%, equivalent to 7.41%<\/s> 7.24% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 345bp<\/s> 330bp, a marked widening over month since reported at 315bp on April 13<\/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>\n4.69 %<\/td>\n5.70 %<\/td>\n12,284<\/td>\n17.04<\/td>\n1<\/td>\n1.0526 %<\/td>\n1,682.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.79 %<\/td>\n5.89 %<\/td>\n19,874<\/td>\n16.62<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,978.3<\/td>\n<\/tr>\n
Floater<\/td>\n4.52 %<\/td>\n4.72 %<\/td>\n45,745<\/td>\n15.97<\/td>\n4<\/td>\n0.6739 %<\/td>\n1,718.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0580 %<\/td>\n2,820.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.93 %<\/td>\n5.37 %<\/td>\n83,792<\/td>\n3.97<\/td>\n7<\/td>\n0.0580 %<\/td>\n3,300.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0580 %<\/td>\n2,575.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.77 %<\/td>\n-11.55 %<\/td>\n75,316<\/td>\n0.09<\/td>\n6<\/td>\n-0.0066 %<\/td>\n2,596.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.50 %<\/td>\n5.57 %<\/td>\n101,208<\/td>\n14.53<\/td>\n33<\/td>\n0.0066 %<\/td>\n2,666.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.17 %<\/td>\n4.64 %<\/td>\n163,681<\/td>\n7.44<\/td>\n88<\/td>\n-0.0772 %<\/td>\n1,975.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.16 %<\/td>\n5.69 %<\/td>\n127,823<\/td>\n6.78<\/td>\n33<\/td>\n-0.0508 %<\/td>\n2,661.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.10 %<\/td>\n4.86 %<\/td>\n24,002<\/td>\n5.31<\/td>\n17<\/td>\n0.1263 %<\/td>\n2,092.2<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n-2.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.18
\nEvaluated at bid price : 18.18
\nBid-YTW : 4.26 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n-2.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 13.25
\nEvaluated at bid price : 13.25
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.35
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.02
\nEvaluated at bid price : 18.02
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.75
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.13
\nBid-YTW : 8.92 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.58
\nEvaluated at bid price : 18.58
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.38
\nEvaluated at bid price : 18.38
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.26
\nEvaluated at bid price : 18.26
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.76
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.62
\nEvaluated at bid price : 18.62
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.27
\nEvaluated at bid price : 18.27
\nBid-YTW : 4.20 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 15.00
\nEvaluated at bid price : 15.00
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n
BAM.PR.E<\/td>\nRatchet<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.40
\nBid-YTW : 5.70 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 10.12
\nEvaluated at bid price : 10.12
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.09
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 20.29
\nEvaluated at bid price : 20.29
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.60
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.35
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 11.25
\nEvaluated at bid price : 11.25
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.41
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.99
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 13.10
\nEvaluated at bid price : 13.10
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
PWF.PR.Q<\/td>\nFloatingReset<\/td>\n3.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 12.75
\nEvaluated at bid price : 12.75
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n3.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 4.81 %<\/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
BMO.PR.S<\/td>\nFixedReset<\/td>\n103,127<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 18.58
\nEvaluated at bid price : 18.58
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
MFC.PR.O<\/td>\nFixedReset<\/td>\n75,814<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.32
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
TRP.PR.J<\/td>\nFixedReset<\/td>\n65,128<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
TD.PF.G<\/td>\nFixedReset<\/td>\n58,303<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.06
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n50,875<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 13.65
\nEvaluated at bid price : 13.65
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n42,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
There were 34 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
TRP.PR.I<\/td>\nFloatingReset<\/td>\nQuote: 11.20 – 12.81
\nSpot Rate : 1.6100
\nAverage : 1.1031<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 11.20
\nEvaluated at bid price : 11.20
\nBid-YTW : 4.56 %<\/td>\n<\/tr>\n

TRP.PR.F<\/td>\nFloatingReset<\/td>\nQuote: 13.10 – 13.90
\nSpot Rate : 0.8000
\nAverage : 0.5242<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 13.10
\nEvaluated at bid price : 13.10
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n

MFC.PR.G<\/td>\nFixedReset<\/td>\nQuote: 19.50 – 19.86
\nSpot Rate : 0.3600
\nAverage : 0.2210<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.50
\nBid-YTW : 7.20 %<\/td>\n<\/tr>\n

VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 17.80 – 18.16
\nSpot Rate : 0.3600
\nAverage : 0.2284<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n

BAM.PR.G<\/td>\nFixedFloater<\/td>\nQuote: 14.00 – 14.50
\nSpot Rate : 0.5000
\nAverage : 0.4013<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.00
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n

FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 13.25 – 13.55
\nSpot Rate : 0.3000
\nAverage : 0.2052<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-05-11
\nMaturity Price : 13.25
\nEvaluated at bid price : 13.25
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.57%, equivalent to 7.41% 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now …<\/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-33034","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33034","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=33034"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33034\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=33034"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=33034"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=33034"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}