{"id":33563,"date":"2016-08-31T22:11:44","date_gmt":"2016-09-01T03:11:44","guid":{"rendered":"http:\/\/prefblog.com\/?p=33563"},"modified":"2016-08-31T22:11:44","modified_gmt":"2016-09-01T03:11:44","slug":"august-31-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=33563","title":{"rendered":"August 31, 2016"},"content":{"rendered":"

At month-end, PerpetualDiscounts yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the Seniority Spread) is now about 300bp, a widening from the 290bp reported July 27<\/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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3225 %<\/td>\n1,684.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3225 %<\/td>\n3,077.4<\/td>\n<\/tr>\n
Floater<\/td>\n4.87 %<\/td>\n4.65 %<\/td>\n77,495<\/td>\n16.07<\/td>\n4<\/td>\n0.3225 %<\/td>\n1,773.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.84 %<\/td>\n-9.10 %<\/td>\n61,201<\/td>\n0.08<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,881.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.05 %<\/td>\n4.32 %<\/td>\n99,599<\/td>\n2.23<\/td>\n5<\/td>\n-0.0397 %<\/td>\n3,443.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0397 %<\/td>\n2,686.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.48 %<\/td>\n1.05 %<\/td>\n72,993<\/td>\n0.17<\/td>\n12<\/td>\n-0.1715 %<\/td>\n2,687.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.12 %<\/td>\n5.11 %<\/td>\n104,819<\/td>\n14.96<\/td>\n26<\/td>\n0.0300 %<\/td>\n2,907.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.93 %<\/td>\n4.30 %<\/td>\n144,208<\/td>\n7.23<\/td>\n89<\/td>\n-0.3555 %<\/td>\n2,060.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.01 %<\/td>\n4.57 %<\/td>\n112,490<\/td>\n0.40<\/td>\n32<\/td>\n-0.1980 %<\/td>\n2,803.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.85 %<\/td>\n3.97 %<\/td>\n30,060<\/td>\n5.05<\/td>\n12<\/td>\n0.0653 %<\/td>\n2,211.9<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.02
\nEvaluated at bid price : 20.02
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 13.62
\nEvaluated at bid price : 13.62
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n-1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n-1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.61
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
MFC.PR.O<\/td>\nFixedReset<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.26
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.35
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.98
\nBid-YTW : 10.04 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.92
\nEvaluated at bid price : 20.92
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.11
\nEvaluated at bid price : 20.11
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n
BAM.PF.E<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 19.65
\nEvaluated at bid price : 19.65
\nBid-YTW : 4.50 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 12.22
\nEvaluated at bid price : 12.22
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 18.96
\nEvaluated at bid price : 18.96
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 18.36
\nEvaluated at bid price : 18.36
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
BAM.PR.S<\/td>\nFloatingReset<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 14.50
\nEvaluated at bid price : 14.50
\nBid-YTW : 4.99 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 12.05
\nEvaluated at bid price : 12.05
\nBid-YTW : 4.16 %<\/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.O<\/td>\nDeemed-Retractible<\/td>\n107,963<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.70
\nBid-YTW : -10.03 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n86,348<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 15.90
\nEvaluated at bid price : 15.90
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n81,324<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 19.06
\nEvaluated at bid price : 19.06
\nBid-YTW : 4.09 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n78,893<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.22
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
BIP.PR.C<\/td>\nFixedReset<\/td>\n73,935<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.22
\nBid-YTW : 5.26 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n62,197<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 19.41
\nEvaluated at bid price : 19.41
\nBid-YTW : 4.09 %<\/td>\n<\/tr>\n
There were 38 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
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.66 – 24.00
\nSpot Rate : 0.3400
\nAverage : 0.2149<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 23.27
\nEvaluated at bid price : 23.66
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.06 – 23.49
\nSpot Rate : 0.4300
\nAverage : 0.3190<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.06
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n

CM.PR.Q<\/td>\nFixedReset<\/td>\nQuote: 20.55 – 20.89
\nSpot Rate : 0.3400
\nAverage : 0.2377<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 13.11 – 13.44
\nSpot Rate : 0.3300
\nAverage : 0.2308<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 13.11
\nEvaluated at bid price : 13.11
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n

GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.70 – 24.04
\nSpot Rate : 0.3400
\nAverage : 0.2421<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.70
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n

RY.PR.J<\/td>\nFixedReset<\/td>\nQuote: 20.50 – 20.76
\nSpot Rate : 0.2600
\nAverage : 0.1633<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-08-31
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

At month-end, PerpetualDiscounts yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, 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-33563","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33563","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=33563"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33563\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=33563"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=33563"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=33563"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}