{"id":33705,"date":"2016-09-28T21:18:46","date_gmt":"2016-09-29T02:18:46","guid":{"rendered":"http:\/\/prefblog.com\/?p=33705"},"modified":"2016-09-28T21:18:46","modified_gmt":"2016-09-29T02:18:46","slug":"september-28-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=33705","title":{"rendered":"September 28, 2016"},"content":{"rendered":"

PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 3.6%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, unchanged from September 14<\/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>\n0.4995 %<\/td>\n1,706.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4995 %<\/td>\n3,117.9<\/td>\n<\/tr>\n
Floater<\/td>\n4.85 %<\/td>\n4.55 %<\/td>\n89,473<\/td>\n16.32<\/td>\n4<\/td>\n0.4995 %<\/td>\n1,796.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3063 %<\/td>\n2,892.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.06 %<\/td>\n4.46 %<\/td>\n76,540<\/td>\n2.16<\/td>\n5<\/td>\n0.3063 %<\/td>\n3,454.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3063 %<\/td>\n2,695.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.50 %<\/td>\n4.64 %<\/td>\n65,468<\/td>\n1.94<\/td>\n12<\/td>\n0.1594 %<\/td>\n2,690.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.12 %<\/td>\n5.01 %<\/td>\n93,077<\/td>\n15.06<\/td>\n26<\/td>\n0.1724 %<\/td>\n2,917.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.97 %<\/td>\n4.24 %<\/td>\n152,550<\/td>\n6.98<\/td>\n92<\/td>\n0.1825 %<\/td>\n2,049.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.02 %<\/td>\n2.24 %<\/td>\n110,411<\/td>\n0.33<\/td>\n32<\/td>\n0.0827 %<\/td>\n2,802.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.84 %<\/td>\n4.45 %<\/td>\n40,814<\/td>\n4.97<\/td>\n12<\/td>\n0.1931 %<\/td>\n2,199.7<\/td>\n<\/tr>\n<\/table>\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
GRP.PR.A<\/td>\nSplitShare<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.35
\nBid-YTW : -13.73 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 15.77
\nEvaluated at bid price : 15.77
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 19.55
\nEvaluated at bid price : 19.55
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 13.30
\nEvaluated at bid price : 13.30
\nBid-YTW : 4.04 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.10
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 14.12
\nEvaluated at bid price : 14.12
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
TRP.PR.H<\/td>\nFloatingReset<\/td>\n2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 10.70
\nEvaluated at bid price : 10.70
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.33
\nBid-YTW : 9.76 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\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.N<\/td>\nDeemed-Retractible<\/td>\n463,100<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-01-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.51
\nBid-YTW : 1.61 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n302,450<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 2.44 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n235,518<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : -2.53 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nDeemed-Retractible<\/td>\n214,389<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : -26.24 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nFloater<\/td>\n199,860<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 24.68
\nEvaluated at bid price : 25.00
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nFloater<\/td>\n199,860<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 24.68
\nEvaluated at bid price : 25.00
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n177,600<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n
BNS.PR.H<\/td>\nFixedReset<\/td>\n175,110<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-01-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.78
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n140,047<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.68
\nBid-YTW : -4.18 %<\/td>\n<\/tr>\n
TD.PF.H<\/td>\nFixedReset<\/td>\n117,195<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n
TRP.PR.J<\/td>\nFixedReset<\/td>\n109,369<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.61
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n100,235<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 19.55
\nEvaluated at bid price : 19.55
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
There were 27 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
GRP.PR.A<\/td>\nSplitShare<\/td>\nQuote: 25.35 – 25.99
\nSpot Rate : 0.6400
\nAverage : 0.4465<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.35
\nBid-YTW : -13.73 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 17.55 – 17.95
\nSpot Rate : 0.4000
\nAverage : 0.2397<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2046-09-28
\nMaturity Price : 17.55
\nEvaluated at bid price : 17.55
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n

HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.05 – 25.36
\nSpot Rate : 0.3100
\nAverage : 0.1979<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n

BNS.PR.D<\/td>\nFloatingReset<\/td>\nQuote: 19.54 – 19.88
\nSpot Rate : 0.3400
\nAverage : 0.2304<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.54
\nBid-YTW : 6.43 %<\/td>\n<\/tr>\n

MFC.PR.H<\/td>\nFixedReset<\/td>\nQuote: 21.30 – 21.58
\nSpot Rate : 0.2800
\nAverage : 0.1769<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.30
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n

TD.PR.Z<\/td>\nFloatingReset<\/td>\nQuote: 22.35 – 22.64
\nSpot Rate : 0.2900
\nAverage : 0.1959<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.35
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.6%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about …<\/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-33705","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33705","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=33705"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33705\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=33705"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=33705"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=33705"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}