{"id":48438,"date":"2017-05-31T10:16:00","date_gmt":"2017-05-31T14:16:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48438"},"modified":"2025-07-21T10:16:53","modified_gmt":"2025-07-21T14:16:53","slug":"may-31-2017","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48438","title":{"rendered":"May 31, 2017"},"content":{"rendered":"<p>PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. <a href=\"https:\/\/web.archive.org\/web\/20231211223638\/http:\/\/www.ftse.com\/products\/FTSETMX\/Home\/Indices\">Long corporates<\/a> now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the &#8220;Seniority Spread&#8221;) is now 295bp, the same as reported on <a href=\"https:\/\/web.archive.org\/web\/20231211223638\/https:\/\/prefblog.com\/?p=34878\">May 24<\/a>.<\/p>\n<table border=\"1\">\n<tr>\n<td colspan=\"8\"><strong>HIMIPref&trade; Preferred Indices<br \/>These values reflect the December 2008 revision of the HIMIPref&trade; Indices<\/strong><br \/>Values are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>Current<br \/>Yield<br \/>(at bid)<\/td>\n<td>Median<br \/>YTW<\/td>\n<td>Median<br \/>Average<br \/>Trading<br \/>Value<\/td>\n<td>Median<br \/>Mod Dur<br \/>(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.2626 %<\/td>\n<td>2,145.7<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.2626 %<\/td>\n<td>3,937.2<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.55 %<\/td>\n<td>3.69 %<\/td>\n<td>52,231<\/td>\n<td>18.02<\/td>\n<td>4<\/td>\n<td>-0.2626 %<\/td>\n<td>2,269.0<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.0079 %<\/td>\n<td>3,052.7<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>4.71 %<\/td>\n<td>4.22 %<\/td>\n<td>70,653<\/td>\n<td>1.55<\/td>\n<td>5<\/td>\n<td>-0.0079 %<\/td>\n<td>3,645.6<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.0079 %<\/td>\n<td>2,844.4<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.30 %<\/td>\n<td>-2.00 %<\/td>\n<td>73,788<\/td>\n<td>0.09<\/td>\n<td>23<\/td>\n<td>0.0680 %<\/td>\n<td>2,789.4<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.09 %<\/td>\n<td>5.08 %<\/td>\n<td>97,253<\/td>\n<td>15.28<\/td>\n<td>14<\/td>\n<td>0.2285 %<\/td>\n<td>3,003.5<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>4.51 %<\/td>\n<td>4.12 %<\/td>\n<td>196,535<\/td>\n<td>6.55<\/td>\n<td>94<\/td>\n<td>0.0694 %<\/td>\n<td>2,299.7<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>4.97 %<\/td>\n<td>4.90 %<\/td>\n<td>128,110<\/td>\n<td>6.29<\/td>\n<td>30<\/td>\n<td>0.3069 %<\/td>\n<td>2,906.9<\/td>\n<\/tr>\n<tr>\n<td>FloatingReset<\/td>\n<td>2.51 %<\/td>\n<td>3.06 %<\/td>\n<td>48,838<\/td>\n<td>4.41<\/td>\n<td>10<\/td>\n<td>0.2711 %<\/td>\n<td>2,534.6<\/td>\n<\/tr>\n<\/table>\n<table border=\"1\">\n<tr>\n<td colspan=\"4\"><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>-1.37 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-05-31<br \/>\nMaturity Price  : 14.40<br \/>\nEvaluated at bid price : 14.40<br \/>\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.D<\/td>\n<td>FixedReset<\/td>\n<td>-1.01 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-05-31<br \/>\nMaturity Price  : 20.59<br \/>\nEvaluated at bid price : 20.59<br \/>\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.F<\/td>\n<td>Perpetual-Premium<\/td>\n<td>-1.01 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2024-10-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.50<br \/>\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.N<\/td>\n<td>FixedReset<\/td>\n<td>1.45 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2025-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 15.64<br \/>\nBid-YTW : 9.08 %<\/td>\n<\/tr>\n<\/table>\n<table border=\"1\">\n<tr>\n<td colspan=\"4\"><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>Traded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.K<\/td>\n<td>FixedReset<\/td>\n<td>81,845<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-05-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.07<br \/>\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.R<\/td>\n<td>FixedReset<\/td>\n<td>67,640<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-08-24<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.84<br \/>\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.T<\/td>\n<td>FixedReset<\/td>\n<td>48,686<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-05-31<br \/>\nMaturity Price  : 20.73<br \/>\nEvaluated at bid price : 20.73<br \/>\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.Z<\/td>\n<td>Perpetual-Premium<\/td>\n<td>45,468<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-05-31<br \/>\nMaturity Price  : 24.61<br \/>\nEvaluated at bid price : 25.00<br \/>\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PF.I<\/td>\n<td>FixedReset<\/td>\n<td>42,089<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-03-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.05<br \/>\nBid-YTW : 4.04 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.S<\/td>\n<td>FixedReset<\/td>\n<td>41,026<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-05-31<br \/>\nMaturity Price  : 21.44<br \/>\nEvaluated at bid price : 21.44<br \/>\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n<tr>\n<td colspan=\"4\">There were 27 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n<table border=\"1\">\n<tr>\n<td colspan=\"3\"><strong>Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Quote Data and Yield Notes<\/td>\n<\/tr>\n<tr>\n<td>BAM.PF.H<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.10 &#8211; 26.58<br \/>\nSpot Rate  :  0.4800<br \/>\nAverage  :  0.3739<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2020-12-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.10<br \/>\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.F<\/td>\n<td>Perpetual-Premium<\/td>\n<td>Quote: 25.50 &#8211; 25.88<br \/>\nSpot Rate  :  0.3800<br \/>\nAverage  :  0.2790<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2024-10-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.50<br \/>\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n<tr>\n<td>ELF.PR.G<\/td>\n<td>Perpetual-Discount<\/td>\n<td>Quote: 23.13 &#8211; 23.40<br \/>\nSpot Rate  :  0.2700<br \/>\nAverage  :  0.1782<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-05-31<br \/>\nMaturity Price  : 22.86<br \/>\nEvaluated at bid price : 23.13<br \/>\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 18.27 &#8211; 18.58<br \/>\nSpot Rate  :  0.3100<br \/>\nAverage  :  0.2215<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-05-31<br \/>\nMaturity Price  : 18.27<br \/>\nEvaluated at bid price : 18.27<br \/>\nBid-YTW : 4.00 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.I<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.12 &#8211; 26.34<br \/>\nSpot Rate  :  0.2200<br \/>\nAverage  :  0.1496<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2020-12-01<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.12<br \/>\nBid-YTW : 3.15 %<\/td>\n<\/tr>\n<tr>\n<td>PVS.PR.E<\/td>\n<td>SplitShare<\/td>\n<td>Quote: 26.36 &#8211; 26.70<br \/>\nSpot Rate  :  0.3400<br \/>\nAverage  :  0.2698<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2017-06-30<br \/>\nMaturity Price  : 26.00<br \/>\nEvaluated at bid price : 26.36<br \/>\nBid-YTW : -12.30 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the &#8220;Seniority Spread&#8221;) is now 295bp, &hellip;<\/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-48438","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48438","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=48438"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48438\/revisions"}],"predecessor-version":[{"id":48439,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48438\/revisions\/48439"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48438"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48438"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48438"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}