{"id":41218,"date":"2020-08-05T20:49:34","date_gmt":"2020-08-06T01:49:34","guid":{"rendered":"http:\/\/prefblog.com\/?p=41218"},"modified":"2020-08-05T20:49:34","modified_gmt":"2020-08-06T01:49:34","slug":"august-5-2020","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=41218","title":{"rendered":"August 5, 2020"},"content":{"rendered":"

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained steady at 450bp, the same as the 450bp reported July 29<\/a>. We remain slightly above the pre-2020 record of 445bp briefly touched in 2008<\/a>.<\/p>\n\n\n\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>\n-0.3666 %<\/td>\n1,588.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3666 %<\/td>\n2,914.0<\/td>\n<\/tr>\n
Floater<\/td>\n5.26 %<\/td>\n5.32 %<\/td>\n58,631<\/td>\n14.92<\/td>\n3<\/td>\n-0.3666 %<\/td>\n1,679.4<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0099 %<\/td>\n3,486.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.68 %<\/td>\n4.72 %<\/td>\n45,775<\/td>\n3.27<\/td>\n8<\/td>\n0.0099 %<\/td>\n4,163.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0099 %<\/td>\n3,248.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.58 %<\/td>\n4.87 %<\/td>\n81,918<\/td>\n4.05<\/td>\n4<\/td>\n0.2468 %<\/td>\n3,085.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.49 %<\/td>\n5.66 %<\/td>\n75,407<\/td>\n14.38<\/td>\n31<\/td>\n0.1622 %<\/td>\n3,326.5<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.74 %<\/td>\n4.44 %<\/td>\n120,506<\/td>\n16.11<\/td>\n67<\/td>\n0.4148 %<\/td>\n1,994.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.25 %<\/td>\n5.34 %<\/td>\n92,274<\/td>\n14.53<\/td>\n27<\/td>\n0.0730 %<\/td>\n3,271.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.93 %<\/td>\n2.35 %<\/td>\n32,537<\/td>\n1.47<\/td>\n3<\/td>\n0.3863 %<\/td>\n1,765.0<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.28 %<\/td>\n4.39 %<\/td>\n239,728<\/td>\n1.00<\/td>\n11<\/td>\n0.0722 %<\/td>\n2,602.6<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.96 %<\/td>\n2.54 %<\/td>\n112,192<\/td>\n1.46<\/td>\n2<\/td>\n0.1217 %<\/td>\n2,828.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.83 %<\/td>\n4.54 %<\/td>\n97,581<\/td>\n15.73<\/td>\n22<\/td>\n-0.4836 %<\/td>\n2,041.8<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset Ins Non<\/td>\n-13.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n-2.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 8.53
\nEvaluated at bid price : 8.53
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-2.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 9.80
\nEvaluated at bid price : 9.80
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-2.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 12.21
\nEvaluated at bid price : 12.21
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 18.61
\nEvaluated at bid price : 18.61
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 17.26
\nEvaluated at bid price : 17.26
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 4.20 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 22.27
\nEvaluated at bid price : 22.54
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-09-04
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 15.98
\nEvaluated at bid price : 15.98
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 10.13
\nEvaluated at bid price : 10.13
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 16.26
\nEvaluated at bid price : 16.26
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 17.65
\nEvaluated at bid price : 17.65
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 24.14
\nEvaluated at bid price : 24.85
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Disc<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 19.63
\nEvaluated at bid price : 19.63
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset Disc<\/td>\n1.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset Disc<\/td>\n2.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 12.45
\nEvaluated at bid price : 12.45
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n3.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 8.25
\nEvaluated at bid price : 8.25
\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n4.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 18.72
\nEvaluated at bid price : 18.72
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n17.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 4.08 %<\/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
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n204,960<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 17.71
\nEvaluated at bid price : 17.71
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n80,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
TD.PF.H<\/td>\nFixedReset Prem<\/td>\n41,915<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 23.85
\nEvaluated at bid price : 25.05
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
RY.PR.Q<\/td>\nFixedReset Prem<\/td>\n33,842<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
BMO.PR.B<\/td>\nFixedReset Prem<\/td>\n27,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 23.75
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset Disc<\/td>\n23,452<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 13.51
\nEvaluated at bid price : 13.51
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
There were 13 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
SLF.PR.I<\/td>\nFixedReset Ins Non<\/td>\nQuote: 15.50 – 18.26
\nSpot Rate : 2.7600
\nAverage : 1.6030<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n

BAM.PR.R<\/td>\nFixedReset Disc<\/td>\nQuote: 12.45 – 13.27
\nSpot Rate : 0.8200
\nAverage : 0.5967<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 12.45
\nEvaluated at bid price : 12.45
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n

RY.PR.H<\/td>\nFixedReset Disc<\/td>\nQuote: 17.01 – 17.43
\nSpot Rate : 0.4200
\nAverage : 0.2639<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 11.98 – 12.54
\nSpot Rate : 0.5600
\nAverage : 0.4165<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 11.98
\nEvaluated at bid price : 11.98
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset Disc<\/td>\nQuote: 8.53 – 9.25
\nSpot Rate : 0.7200
\nAverage : 0.5791<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 8.53
\nEvaluated at bid price : 8.53
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 12.21 – 12.90
\nSpot Rate : 0.6900
\nAverage : 0.5583<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-05
\nMaturity Price : 12.21
\nEvaluated at bid price : 12.21
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained steady at …<\/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-41218","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41218","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=41218"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41218\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=41218"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=41218"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=41218"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}