{"id":42730,"date":"2021-11-18T10:13:12","date_gmt":"2021-11-18T15:13:12","guid":{"rendered":"http:\/\/prefblog.com\/?p=42730"},"modified":"2021-11-18T10:13:12","modified_gmt":"2021-11-18T15:13:12","slug":"november-17-2021","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=42730","title":{"rendered":"November 17, 2021"},"content":{"rendered":"

PerpetualDiscounts now yield 4.56%, equivalent to 5.93% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 3.46%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 245bp from the 230bp reported August 25<\/a> (which was affected by technical factors as virtually all so-called PerpetualDiscounts were trading at a premium at that time).<\/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>\n2.97 %<\/td>\n3.41 %<\/td>\n45,624<\/td>\n20.16<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,934.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1150 %<\/td>\n5,391.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.96 %<\/td>\n2.98 %<\/td>\n78,926<\/td>\n19.74<\/td>\n3<\/td>\n0.1150 %<\/td>\n3,106.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2857 %<\/td>\n3,688.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.65 %<\/td>\n4.31 %<\/td>\n56,795<\/td>\n3.82<\/td>\n5<\/td>\n-0.2857 %<\/td>\n4,404.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2857 %<\/td>\n3,436.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.13 %<\/td>\n-8.77 %<\/td>\n48,335<\/td>\n0.09<\/td>\n29<\/td>\n0.0606 %<\/td>\n3,277.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.65 %<\/td>\n4.56 %<\/td>\n73,817<\/td>\n15.84<\/td>\n6<\/td>\n0.2218 %<\/td>\n3,892.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n3.77 %<\/td>\n3.85 %<\/td>\n121,485<\/td>\n17.17<\/td>\n37<\/td>\n0.1030 %<\/td>\n2,930.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n4.92 %<\/td>\n4.13 %<\/td>\n89,333<\/td>\n3.27<\/td>\n20<\/td>\n0.0532 %<\/td>\n3,693.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.43 %<\/td>\n2.73 %<\/td>\n28,717<\/td>\n20.39<\/td>\n2<\/td>\n-0.3256 %<\/td>\n2,981.2<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.65 %<\/td>\n3.13 %<\/td>\n124,822<\/td>\n2.30<\/td>\n33<\/td>\n-0.0874 %<\/td>\n2,749.8<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1030 %<\/td>\n2,995.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.02 %<\/td>\n3.78 %<\/td>\n93,677<\/td>\n16.98<\/td>\n19<\/td>\n-0.4067 %<\/td>\n2,997.9<\/td>\n<\/tr>\n<\/table>\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
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-7.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 16.10
\nEvaluated at bid price : 16.10
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset Prem<\/td>\n-3.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 23.72
\nEvaluated at bid price : 24.20
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset Disc<\/td>\n-1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 22.01
\nEvaluated at bid price : 22.25
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.01
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 22.46
\nEvaluated at bid price : 22.81
\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Premium<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.24
\nBid-YTW : 4.56 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset Disc<\/td>\n1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 21.15
\nEvaluated at bid price : 21.15
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset Disc<\/td>\n2.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 21.83
\nEvaluated at bid price : 22.10
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n9.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 18.24
\nEvaluated at bid price : 18.24
\nBid-YTW : 3.94 %<\/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
MFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n224,540<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 1.47 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n105,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 14.51
\nEvaluated at bid price : 14.51
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n62,990<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 23.34
\nEvaluated at bid price : 24.65
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n60,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 23.19
\nEvaluated at bid price : 24.57
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset Disc<\/td>\n46,905<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 21.15
\nEvaluated at bid price : 21.15
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n43,125<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 23.24
\nEvaluated at bid price : 24.52
\nBid-YTW : 3.72 %<\/td>\n<\/tr>\n
There were 20 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: 16.10 – 17.65
\nSpot Rate : 1.5500
\nAverage : 0.9404<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 16.10
\nEvaluated at bid price : 16.10
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n

BAM.PR.Z<\/td>\nFixedReset Prem<\/td>\nQuote: 24.20 – 25.05
\nSpot Rate : 0.8500
\nAverage : 0.4903<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 23.72
\nEvaluated at bid price : 24.20
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.27 – 25.90
\nSpot Rate : 0.6300
\nAverage : 0.3862<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-12-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.27
\nBid-YTW : -10.20 %<\/td>\n<\/tr>\n

SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\nQuote: 18.05 – 18.75
\nSpot Rate : 0.7000
\nAverage : 0.4986<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 14.55 – 15.30
\nSpot Rate : 0.7500
\nAverage : 0.5618<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2051-11-17
\nMaturity Price : 14.55
\nEvaluated at bid price : 14.55
\nBid-YTW : 2.97 %<\/td>\n<\/tr>\n

PVS.PR.J<\/td>\nSplitShare<\/td>\nQuote: 25.01 – 25.50
\nSpot Rate : 0.4900
\nAverage : 0.3258<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.01
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 4.56%, equivalent to 5.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.46%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 245bp …<\/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-42730","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42730","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=42730"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/42730\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=42730"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=42730"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=42730"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}