{"id":42487,"date":"2021-08-26T09:43:37","date_gmt":"2021-08-26T14:43:37","guid":{"rendered":"http:\/\/prefblog.com\/?p=42487"},"modified":"2021-08-26T09:43:37","modified_gmt":"2021-08-26T14:43:37","slug":"august-25-2021","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=42487","title":{"rendered":"August 25, 2021"},"content":{"rendered":"

PerpetualDiscounts now yield 4.04%, equivalent to 5.25% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 2.97%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed sharply to 230bp, a dramatic narrowing from the 250bp reported August 18<\/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\/18<\/td>\n		YTW
8\/18<\/td>\n		Bid
8\/25<\/td>\n		YTW
8\/25<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\n25.23<\/td>\n4.45%<\/td>\n25.31<\/td>\n4.04%<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\n25.35<\/td>\n4.24%<\/td>\n25.36<\/td>\n4.28%<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\n25.25<\/td>\n0.33%<\/td>\n25.00<\/td>\n4.80%<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\n25.15<\/td>\n4.78%<\/td>\n25.18<\/td>\n4.77%<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\n25.00<\/td>\n2.46%<\/td>\n25.00<\/td>\n3.55%<\/td>\n<\/tr>\n
CU.PR.F<\/td>\n25.20<\/td>\n3.28%<\/td>\n25.15<\/td>\n3.63%<\/td>\n<\/tr>\n
CU.PR.G<\/td>\n25.20<\/td>\n3.57%<\/td>\n25.20<\/td>\n3.64%<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\n25.00<\/td>\n4.78%<\/td>\n24.87<\/td>\n4.82%<\/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! This measure can no longer be considered reliable, but I’ll keep reporting it … who knows, maybe we’ll get a batch of new issues!<\/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-0.3102 %<\/td>\n2,603.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3102 %<\/td>\n4,777.8<\/td>\n<\/tr>\n
Floater<\/td>\n3.33 %<\/td>\n3.38 %<\/td>\n68,977<\/td>\n18.74<\/td>\n3<\/td>\n-0.3102 %<\/td>\n2,753.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0334 %<\/td>\n3,676.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.61 %<\/td>\n3.73 %<\/td>\n26,521<\/td>\n3.27<\/td>\n7<\/td>\n-0.0334 %<\/td>\n4,390.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0334 %<\/td>\n3,425.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.14 %<\/td>\n-22.65 %<\/td>\n56,160<\/td>\n0.09<\/td>\n25<\/td>\n-0.0077 %<\/td>\n3,316.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.67 %<\/td>\n4.04 %<\/td>\n81,171<\/td>\n0.99<\/td>\n8<\/td>\n-0.1391 %<\/td>\n3,987.1<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n3.97 %<\/td>\n3.39 %<\/td>\n120,148<\/td>\n18.08<\/td>\n40<\/td>\n-0.2470 %<\/td>\n2,828.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n4.86 %<\/td>\n-6.43 %<\/td>\n70,544<\/td>\n0.09<\/td>\n22<\/td>\n0.1579 %<\/td>\n3,742.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.90 %<\/td>\n3.23 %<\/td>\n33,180<\/td>\n19.10<\/td>\n2<\/td>\n-1.1484 %<\/td>\n2,565.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.74 %<\/td>\n2.67 %<\/td>\n139,119<\/td>\n2.19<\/td>\n30<\/td>\n-0.0206 %<\/td>\n2,769.3<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.98 %<\/td>\n2.00 %<\/td>\n98,218<\/td>\n0.43<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,890.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.04 %<\/td>\n3.29 %<\/td>\n104,131<\/td>\n18.33<\/td>\n20<\/td>\n-0.2482 %<\/td>\n2,952.1<\/td>\n<\/tr>\n<\/table>\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.G<\/td>\nFixedReset Ins Non<\/td>\n-4.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n-3.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 18.02
\nEvaluated at bid price : 18.02
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset Disc<\/td>\n-2.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 22.38
\nEvaluated at bid price : 23.10
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 16.40
\nEvaluated at bid price : 16.40
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-2.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 17.20
\nEvaluated at bid price : 17.20
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 22.97
\nEvaluated at bid price : 24.11
\nBid-YTW : 3.27 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.90
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 24.68
\nEvaluated at bid price : 25.00
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 13.32
\nEvaluated at bid price : 13.32
\nBid-YTW : 3.86 %<\/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
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n739,631<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : -8.01 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nInsurance Straight<\/td>\n733,164<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.97
\nBid-YTW : 0.51 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n254,831<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 24.87
\nEvaluated at bid price : 25.16
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n254,100<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-24
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.60
\nBid-YTW : -3.19 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n190,253<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : -8.73 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n144,409<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.11
\nBid-YTW : -6.15 %<\/td>\n<\/tr>\n
There were 22 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
TRP.PR.G<\/td>\nFixedReset Disc<\/td>\nQuote: 23.10 – 24.12
\nSpot Rate : 1.0200
\nAverage : 0.6436<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 22.38
\nEvaluated at bid price : 23.10
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 18.02 – 18.90
\nSpot Rate : 0.8800
\nAverage : 0.5250<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 18.02
\nEvaluated at bid price : 18.02
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n

GWO.PR.G<\/td>\nInsurance Straight<\/td>\nQuote: 25.90 – 26.90
\nSpot Rate : 1.0000
\nAverage : 0.6495<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.90
\nBid-YTW : -26.34 %<\/td>\n<\/tr>\n

TRP.PR.F<\/td>\nFloatingReset<\/td>\nQuote: 16.40 – 17.45
\nSpot Rate : 1.0500
\nAverage : 0.7732<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 16.40
\nEvaluated at bid price : 16.40
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n

BMO.PR.E<\/td>\nFixedReset Prem<\/td>\nQuote: 25.21 – 25.99
\nSpot Rate : 0.7800
\nAverage : 0.5107<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 23.60
\nEvaluated at bid price : 25.21
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n

SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.00 – 17.00
\nSpot Rate : 1.0000
\nAverage : 0.7372<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-08-25
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 4.04%, equivalent to 5.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.97%, 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-42487","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42487","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=42487"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42487\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=42487"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=42487"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=42487"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}