{"id":48383,"date":"2017-05-24T21:30:00","date_gmt":"2017-05-25T01:30:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48383"},"modified":"2025-07-18T21:31:12","modified_gmt":"2025-07-19T01:31:12","slug":"may-24-2017","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48383","title":{"rendered":"May 24, 2017"},"content":{"rendered":"

PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard conversion factor of 1.3x. Long corporates<\/a> now yield about 3.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a widening from the 285bp reported May 17<\/a>.<\/p>\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>\n0.0373 %<\/td>\n2,162.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0373 %<\/td>\n3,967.5<\/td>\n<\/tr>\n
Floater<\/td>\n3.53 %<\/td>\n3.70 %<\/td>\n57,208<\/td>\n18.02<\/td>\n4<\/td>\n0.0373 %<\/td>\n2,286.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2596 %<\/td>\n3,057.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.71 %<\/td>\n4.12 %<\/td>\n73,861<\/td>\n1.57<\/td>\n5<\/td>\n0.2596 %<\/td>\n3,651.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2596 %<\/td>\n2,849.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.33 %<\/td>\n0.86 %<\/td>\n67,554<\/td>\n0.09<\/td>\n22<\/td>\n-0.0231 %<\/td>\n2,778.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.12 %<\/td>\n5.11 %<\/td>\n101,151<\/td>\n15.23<\/td>\n14<\/td>\n0.0482 %<\/td>\n2,989.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.49 %<\/td>\n4.11 %<\/td>\n198,825<\/td>\n6.58<\/td>\n94<\/td>\n0.0688 %<\/td>\n2,307.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.01 %<\/td>\n5.24 %<\/td>\n135,105<\/td>\n6.26<\/td>\n32<\/td>\n-0.0460 %<\/td>\n2,884.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.51 %<\/td>\n3.08 %<\/td>\n46,720<\/td>\n4.43<\/td>\n10<\/td>\n0.0093 %<\/td>\n2,524.9<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-05-24
\nMaturity Price : 18.57
\nEvaluated at bid price : 18.57
\nBid-YTW : 3.33 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.30
\nBid-YTW : 9.13 %<\/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
IFC.PR.E<\/td>\nDeemed-Retractible<\/td>\n601,313<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.91
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nDeemed-Retractible<\/td>\n183,066<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.97
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
BNS.PR.H<\/td>\nFixedReset<\/td>\n171,363<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-01-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.41
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n127,703<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-05-24
\nMaturity Price : 20.82
\nEvaluated at bid price : 20.82
\nBid-YTW : 3.99 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n101,504<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.10
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
TRP.PR.K<\/td>\nFixedReset<\/td>\n94,579<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n
There were 19 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
VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 20.85 – 21.30
\nSpot Rate : 0.4500
\nAverage : 0.3406<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-05-24
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset<\/td>\nQuote: 18.22 – 18.72
\nSpot Rate : 0.5000
\nAverage : 0.3967<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.22
\nBid-YTW : 7.64 %<\/td>\n<\/tr>\n

BMO.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.56 – 25.80
\nSpot Rate : 0.2400
\nAverage : 0.1478<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-05-24
\nMaturity Price : 23.34
\nEvaluated at bid price : 25.56
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n

TRP.PR.F<\/td>\nFloatingReset<\/td>\nQuote: 18.57 – 18.80
\nSpot Rate : 0.2300
\nAverage : 0.1637<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2047-05-24
\nMaturity Price : 18.57
\nEvaluated at bid price : 18.57
\nBid-YTW : 3.33 %<\/td>\n<\/tr>\n

SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.50 – 22.70
\nSpot Rate : 0.2000
\nAverage : 0.1356<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.50
\nBid-YTW : 6.25 %<\/td>\n<\/tr>\n

BNS.PR.D<\/td>\nFloatingReset<\/td>\nQuote: 21.65 – 21.91
\nSpot Rate : 0.2600
\nAverage : 0.2041<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.65
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about …<\/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-48383","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48383","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=48383"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48383\/revisions"}],"predecessor-version":[{"id":48384,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48383\/revisions\/48384"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48383"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48383"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48383"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}