{"id":43008,"date":"2022-02-16T23:58:52","date_gmt":"2022-02-17T04:58:52","guid":{"rendered":"https:\/\/prefblog.com\/?p=43008"},"modified":"2022-02-16T23:58:52","modified_gmt":"2022-02-17T04:58:52","slug":"february-16-2022","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=43008","title":{"rendered":"February 16, 2022"},"content":{"rendered":"

PerpetualDiscounts now yield 4.95%, equivalent to 6.44% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 260bp from the 250bp reported February 9<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref\u2122 Preferred Indices
\nThese values reflect the December 2008 revision of the HIMIPref\u2122 Indices<\/strong>
\nValues are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
\nCurrent
\nYield
\n(at bid)<\/td>\n		Median
\nYTW<\/td>\n		Median
\nAverage
\nTrading
\nValue<\/td>\n		Median
\nMod Dur
\n(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n3.02 %<\/td>\n3.48 %<\/td>\n39,612<\/td>\n20.08<\/td>\n1<\/td>\n0.4453 %<\/td>\n2,891.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5747 %<\/td>\n5,571.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.86 %<\/td>\n2.88 %<\/td>\n66,398<\/td>\n19.99<\/td>\n3<\/td>\n-0.5747 %<\/td>\n3,211.1<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0392 %<\/td>\n3,661.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.63 %<\/td>\n4.35 %<\/td>\n32,652<\/td>\n3.61<\/td>\n6<\/td>\n0.0392 %<\/td>\n4,372.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0392 %<\/td>\n3,411.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.24 %<\/td>\n-5.83 %<\/td>\n55,708<\/td>\n0.09<\/td>\n22<\/td>\n-0.1817 %<\/td>\n3,209.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.89 %<\/td>\n4.95 %<\/td>\n58,970<\/td>\n15.58<\/td>\n11<\/td>\n2.8592 %<\/td>\n3,764.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n4.05 %<\/td>\n4.49 %<\/td>\n116,272<\/td>\n16.27<\/td>\n44<\/td>\n-1.4063 %<\/td>\n2,770.7<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.02 %<\/td>\n4.81 %<\/td>\n85,126<\/td>\n15.46<\/td>\n18<\/td>\n0.5078 %<\/td>\n3,573.3<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.72 %<\/td>\n3.09 %<\/td>\n50,723<\/td>\n19.47<\/td>\n2<\/td>\n0.0551 %<\/td>\n2,949.6<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.79 %<\/td>\n3.87 %<\/td>\n112,492<\/td>\n2.07<\/td>\n26<\/td>\n-0.0954 %<\/td>\n2,697.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.4063 %<\/td>\n2,832.2<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.14 %<\/td>\n4.38 %<\/td>\n78,055<\/td>\n16.32<\/td>\n17<\/td>\n-0.2592 %<\/td>\n2,934.0<\/td>\n<\/tr>\n<\/tbody>\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\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
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n-17.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset Disc<\/td>\n-6.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n-5.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 21.59
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n-5.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 13.25
\nEvaluated at bid price : 13.25
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset Disc<\/td>\n-4.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 21.60
\nEvaluated at bid price : 22.01
\nBid-YTW : 5.10 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n-4.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 22.04
\nEvaluated at bid price : 22.35
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset Disc<\/td>\n-3.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.12
\nEvaluated at bid price : 23.72
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-3.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 22.92
\nEvaluated at bid price : 23.31
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-2.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-2.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.20
\nEvaluated at bid price : 23.50
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 21.46
\nEvaluated at bid price : 21.80
\nBid-YTW : 4.56 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.20
\nEvaluated at bid price : 23.50
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 22.66
\nEvaluated at bid price : 23.70
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.12
\nEvaluated at bid price : 23.38
\nBid-YTW : 4.81 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n-1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.15
\nEvaluated at bid price : 23.45
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Premium<\/td>\n-1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 24.15
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.30
\nEvaluated at bid price : 23.58
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 18.06
\nEvaluated at bid price : 18.06
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 24.15
\nEvaluated at bid price : 24.40
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 18.79
\nEvaluated at bid price : 18.79
\nBid-YTW : 4.99 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 22.44
\nEvaluated at bid price : 22.90
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 16.83
\nEvaluated at bid price : 16.83
\nBid-YTW : 4.50 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2025-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.05
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n26.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.48
\nEvaluated at bid price : 23.75
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n60.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 23.64
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
\nTraded<\/td>\n		Notes<\/td>\n<\/tr>\n
BMO.PR.C<\/td>\nFixedReset Prem<\/td>\n1,236,480<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.06
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n
CM.PR.Y<\/td>\nFixedReset Prem<\/td>\n201,400<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.90
\nBid-YTW : 3.75 %<\/td>\n<\/tr>\n
CM.PR.R<\/td>\nFixedReset Prem<\/td>\n156,463<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.16
\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n
BMO.PR.B<\/td>\nFixedReset Disc<\/td>\n47,200<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-03-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.99
\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n46,018<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2025-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.15
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Prem<\/td>\n43,100<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n
There were 18 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\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
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\nQuote: 19.70 – 24.05
\nSpot Rate : 4.3500
\nAverage : 2.4223<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n

BMO.PR.S<\/td>\nFixedReset Disc<\/td>\nQuote: 22.00 – 23.35
\nSpot Rate : 1.3500
\nAverage : 0.7933<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 21.59
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n

BAM.PR.T<\/td>\nFixedReset Disc<\/td>\nQuote: 20.25 – 21.66
\nSpot Rate : 1.4100
\nAverage : 0.9130<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n

TD.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 22.35 – 23.35
\nSpot Rate : 1.0000
\nAverage : 0.5790<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 22.04
\nEvaluated at bid price : 22.35
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n

BAM.PF.G<\/td>\nFixedReset Disc<\/td>\nQuote: 20.75 – 23.00
\nSpot Rate : 2.2500
\nAverage : 1.8300<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n

BAM.PR.C<\/td>\nFloater<\/td>\nQuote: 14.99 – 15.99
\nSpot Rate : 1.0000
\nAverage : 0.5963<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2052-02-16
\nMaturity Price : 14.99
\nEvaluated at bid price : 14.99
\nBid-YTW : 2.88 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 4.95%, equivalent to 6.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 260bp …<\/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-43008","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/43008","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=43008"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/43008\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=43008"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=43008"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=43008"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}