{"id":42474,"date":"2021-08-18T21:03:44","date_gmt":"2021-08-19T02:03:44","guid":{"rendered":"http:\/\/prefblog.com\/?p=42474"},"modified":"2021-08-18T21:03:44","modified_gmt":"2021-08-19T02:03:44","slug":"august-18-2021","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=42474","title":{"rendered":"August 18, 2021"},"content":{"rendered":"

PerpetualDiscounts now yield 4.24%, equivalent to 5.51% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 2.99%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed sharply to 250bp, a dramatic narrowing from the 300bp reported August 11<\/a>.<\/p>\n

The dramatic change in the PerpetualDiscount reported yield is due to a few of the remaining elements of the PerpetualDiscount subindex going to sufficient premia to trigger a change in the YTW scenario with significant effects on the calculated YTW.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
Ticker<\/td>\nBid
8\/11<\/td>\n		YTW
8\/11<\/td>\n		Bid
8\/18<\/td>\n		YTW
8\/18<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\n25.15<\/td>\n4.83%<\/td>\n25.23<\/td>\n4.45%<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\n25.22<\/td>\n4.64%<\/td>\n25.35<\/td>\n4.24%<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\n25.00<\/td>\n4.79%<\/td>\n25.25<\/td>\n0.33%<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\n25.09<\/td>\n4.78<\/td>\n25.15<\/td>\n4.78%<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\n24.75<\/td>\n4.64%<\/td>\n25.00<\/td>\n2.46%<\/td>\n<\/tr>\n
CU.PR.F<\/td>\n25.25<\/td>\n1.34%<\/td>\n25.20<\/td>\n3.28%<\/td>\n<\/tr>\n
CU.PR.G<\/td>\n25.28<\/td>\n1.77%<\/td>\n25.20<\/td>\n3.57%<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\n24.90<\/td>\n4.80%<\/td>\n25.00<\/td>\n4.78%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

With so few constituents in the sub-index (and all of them near-par), small changes can have disproportionate effects!<\/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>\n0.4105 %<\/td>\n2,642.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4105 %<\/td>\n4,848.4<\/td>\n<\/tr>\n
Floater<\/td>\n3.29 %<\/td>\n3.33 %<\/td>\n74,714<\/td>\n18.88<\/td>\n3<\/td>\n0.4105 %<\/td>\n2,794.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1654 %<\/td>\n3,714.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.56 %<\/td>\n3.92 %<\/td>\n27,527<\/td>\n3.77<\/td>\n7<\/td>\n0.1654 %<\/td>\n4,435.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1654 %<\/td>\n3,460.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.14 %<\/td>\n-21.73 %<\/td>\n55,157<\/td>\n0.09<\/td>\n25<\/td>\n0.1003 %<\/td>\n3,315.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.67 %<\/td>\n4.24 %<\/td>\n81,206<\/td>\n1.01<\/td>\n8<\/td>\n0.1891 %<\/td>\n3,993.2<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n3.99 %<\/td>\n3.46 %<\/td>\n118,060<\/td>\n18.22<\/td>\n40<\/td>\n-0.1778 %<\/td>\n2,812.7<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n4.86 %<\/td>\n-2.93 %<\/td>\n69,900<\/td>\n0.09<\/td>\n22<\/td>\n0.0797 %<\/td>\n3,745.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.87 %<\/td>\n3.20 %<\/td>\n33,583<\/td>\n19.20<\/td>\n2<\/td>\n-0.3454 %<\/td>\n2,556.6<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.78 %<\/td>\n2.92 %<\/td>\n140,825<\/td>\n1.54<\/td>\n31<\/td>\n0.1313 %<\/td>\n2,761.1<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.81 %<\/td>\n1.87 %<\/td>\n107,501<\/td>\n0.10<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,890.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.04 %<\/td>\n3.27 %<\/td>\n109,442<\/td>\n18.28<\/td>\n20<\/td>\n-0.1457 %<\/td>\n2,950.7<\/td>\n<\/tr>\n<\/table>\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
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-11.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-8.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 22.38
\nEvaluated at bid price : 23.10
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 23.15
\nEvaluated at bid price : 24.30
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.84
\nBid-YTW : 3.32 %<\/td>\n<\/tr>\n
IFC.PR.I<\/td>\nPerpetual-Premium<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2025-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.41
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 13.15
\nEvaluated at bid price : 13.15
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-09-30
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 23.10
\nEvaluated at bid price : 24.55
\nBid-YTW : 4.37 %<\/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
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n66,640<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 23.08
\nEvaluated at bid price : 24.48
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n56,229<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 23.05
\nEvaluated at bid price : 24.45
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n46,760<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n38,467<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-06-30
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.65
\nBid-YTW : 2.88 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset Prem<\/td>\n28,938<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-23
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.99
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nInsurance Straight<\/td>\n27,330<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.26
\nBid-YTW : -0.02 %<\/td>\n<\/tr>\n
There were 18 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.P<\/td>\nFixedReset Disc<\/td>\nQuote: 15.35 – 17.20
\nSpot Rate : 1.8500
\nAverage : 1.0866<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.30 – 17.85
\nSpot Rate : 1.5500
\nAverage : 0.8711<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n

BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 25.15 – 25.52
\nSpot Rate : 0.3700
\nAverage : 0.2512<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 24.92
\nEvaluated at bid price : 25.15
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n

RY.PR.J<\/td>\nFixedReset Disc<\/td>\nQuote: 24.48 – 24.79
\nSpot Rate : 0.3100
\nAverage : 0.2121<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 23.08
\nEvaluated at bid price : 24.48
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n

NA.PR.S<\/td>\nFixedReset Disc<\/td>\nQuote: 24.30 – 24.58
\nSpot Rate : 0.2800
\nAverage : 0.1881<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-18
\nMaturity Price : 23.15
\nEvaluated at bid price : 24.30
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n

CU.PR.I<\/td>\nFixedReset Prem<\/td>\nQuote: 26.80 – 27.16
\nSpot Rate : 0.3600
\nAverage : 0.2681<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2025-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.80
\nBid-YTW : 2.68 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 4.24%, equivalent to 5.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.99%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed sharply to …<\/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-42474","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42474","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=42474"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42474\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=42474"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=42474"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=42474"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}