{"id":41236,"date":"2020-08-12T17:50:07","date_gmt":"2020-08-12T22:50:07","guid":{"rendered":"http:\/\/prefblog.com\/?p=41236"},"modified":"2020-08-12T17:50:07","modified_gmt":"2020-08-12T22:50:07","slug":"august-12-2020","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=41236","title":{"rendered":"August 12, 2020"},"content":{"rendered":"

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 2.79%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slightly (and perhaps spuriously) to 455bp from the 450bp reported August 5<\/a>. We remain 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>\n2.2286 %<\/td>\n1,608.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n2.2286 %<\/td>\n2,950.9<\/td>\n<\/tr>\n
Floater<\/td>\n5.19 %<\/td>\n5.26 %<\/td>\n63,074<\/td>\n15.01<\/td>\n3<\/td>\n2.2286 %<\/td>\n1,700.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0839 %<\/td>\n3,509.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.65 %<\/td>\n4.32 %<\/td>\n40,924<\/td>\n3.26<\/td>\n8<\/td>\n0.0839 %<\/td>\n4,190.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0839 %<\/td>\n3,269.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.56 %<\/td>\n4.69 %<\/td>\n83,081<\/td>\n4.03<\/td>\n4<\/td>\n-0.0694 %<\/td>\n3,094.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.45 %<\/td>\n5.65 %<\/td>\n77,608<\/td>\n14.39<\/td>\n31<\/td>\n-0.1099 %<\/td>\n3,348.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.64 %<\/td>\n4.35 %<\/td>\n115,360<\/td>\n16.08<\/td>\n67<\/td>\n0.2327 %<\/td>\n2,029.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.23 %<\/td>\n5.33 %<\/td>\n90,489<\/td>\n14.57<\/td>\n27<\/td>\n-0.0095 %<\/td>\n3,284.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.90 %<\/td>\n2.23 %<\/td>\n42,810<\/td>\n1.45<\/td>\n3<\/td>\n0.0451 %<\/td>\n1,771.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.28 %<\/td>\n4.42 %<\/td>\n229,428<\/td>\n0.92<\/td>\n11<\/td>\n-0.1044 %<\/td>\n2,604.6<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.95 %<\/td>\n2.39 %<\/td>\n105,673<\/td>\n1.44<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,839.4<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.79 %<\/td>\n4.55 %<\/td>\n97,982<\/td>\n15.87<\/td>\n22<\/td>\n-0.0399 %<\/td>\n2,057.7<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset Disc<\/td>\n-4.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 12.12
\nEvaluated at bid price : 12.12
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n-2.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 8.80
\nEvaluated at bid price : 8.80
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset Disc<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 13.80
\nEvaluated at bid price : 13.80
\nBid-YTW : 5.42 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset Disc<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 15.02
\nEvaluated at bid price : 15.02
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
BIP.PR.D<\/td>\nFixedReset Disc<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 21.56
\nEvaluated at bid price : 21.95
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
TD.PF.K<\/td>\nFixedReset Disc<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 19.52
\nEvaluated at bid price : 19.52
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset Disc<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 10.96
\nEvaluated at bid price : 10.96
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 8.23
\nEvaluated at bid price : 8.23
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n2.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 8.25
\nEvaluated at bid price : 8.25
\nBid-YTW : 5.26 %<\/td>\n<\/tr>\n
BAM.PF.J<\/td>\nFixedReset Disc<\/td>\n2.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 23.08
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n2.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 8.29
\nEvaluated at bid price : 8.29
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n3.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 10.30
\nEvaluated at bid price : 10.30
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n4.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 9.97
\nEvaluated at bid price : 9.97
\nBid-YTW : 4.18 %<\/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.O<\/td>\nFixedReset Disc<\/td>\n57,812<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 16.83
\nEvaluated at bid price : 16.83
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset Disc<\/td>\n56,298<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
RY.PR.Q<\/td>\nFixedReset Prem<\/td>\n37,293<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset Disc<\/td>\n35,295<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 15.02
\nEvaluated at bid price : 15.02
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Disc<\/td>\n32,125<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 20.02
\nEvaluated at bid price : 20.02
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n31,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 4.52 %<\/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
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 9.97 – 13.00
\nSpot Rate : 3.0300
\nAverage : 1.8259<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 9.97
\nEvaluated at bid price : 9.97
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n

EIT.PR.A<\/td>\nSplitShare<\/td>\nQuote: 25.61 – 27.00
\nSpot Rate : 1.3900
\nAverage : 0.9979<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2024-03-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n

BAM.PR.R<\/td>\nFixedReset Disc<\/td>\nQuote: 12.12 – 13.21
\nSpot Rate : 1.0900
\nAverage : 0.7021<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 12.12
\nEvaluated at bid price : 12.12
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n

CM.PR.Q<\/td>\nFixedReset Disc<\/td>\nQuote: 17.80 – 18.45
\nSpot Rate : 0.6500
\nAverage : 0.4381<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n

TD.PF.J<\/td>\nFixedReset Disc<\/td>\nQuote: 18.50 – 19.99
\nSpot Rate : 1.4900
\nAverage : 1.3241<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n

MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\nQuote: 18.35 – 18.90
\nSpot Rate : 0.5500
\nAverage : 0.3864<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-08-12
\nMaturity Price : 18.35
\nEvaluated at bid price : 18.35
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.79%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slightly (and …<\/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-41236","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41236","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=41236"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41236\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=41236"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=41236"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=41236"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}