{"id":48687,"date":"2017-08-30T11:02:00","date_gmt":"2017-08-30T15:02:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48687"},"modified":"2025-07-24T11:03:43","modified_gmt":"2025-07-24T15:03:43","slug":"august-30-2017","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48687","title":{"rendered":"August 30, 2017"},"content":{"rendered":"<p>PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. <a href=\"http:\/\/www.ftse.com\/products\/FTSETMX\/Home\/Indices\">Long corporates<\/a> now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the &#8220;Seniority Spread&#8221;) is now about 310bp, a slight (and perhaps spurious) widening from the 305bp reported <a href=\"https:\/\/prefblog.com\/?p=35344\">August 23<\/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>0.0240 %<\/td>\n<td>2,333.5<\/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>0.0240 %<\/td>\n<td>4,281.9<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.71 %<\/td>\n<td>3.75 %<\/td>\n<td>119,603<\/td>\n<td>17.89<\/td>\n<td>3<\/td>\n<td>0.0240 %<\/td>\n<td>2,467.7<\/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>0.1340 %<\/td>\n<td>3,083.8<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>4.72 %<\/td>\n<td>4.10 %<\/td>\n<td>49,704<\/td>\n<td>1.32<\/td>\n<td>5<\/td>\n<td>0.1340 %<\/td>\n<td>3,682.7<\/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>0.1340 %<\/td>\n<td>2,873.4<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.40 %<\/td>\n<td>4.81 %<\/td>\n<td>54,898<\/td>\n<td>5.87<\/td>\n<td>17<\/td>\n<td>0.0000 %<\/td>\n<td>2,782.9<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.31 %<\/td>\n<td>5.35 %<\/td>\n<td>61,042<\/td>\n<td>14.87<\/td>\n<td>20<\/td>\n<td>0.0341 %<\/td>\n<td>2,927.6<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>4.37 %<\/td>\n<td>4.43 %<\/td>\n<td>147,177<\/td>\n<td>6.32<\/td>\n<td>98<\/td>\n<td>0.1921 %<\/td>\n<td>2,387.8<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.10 %<\/td>\n<td>5.46 %<\/td>\n<td>102,638<\/td>\n<td>6.08<\/td>\n<td>31<\/td>\n<td>0.0388 %<\/td>\n<td>2,873.3<\/td>\n<\/tr>\n<tr>\n<td>FloatingReset<\/td>\n<td>2.63 %<\/td>\n<td>3.09 %<\/td>\n<td>39,474<\/td>\n<td>4.18<\/td>\n<td>9<\/td>\n<td>0.0205 %<\/td>\n<td>2,615.6<\/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.Z<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.01 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 24.13<br \/>\nEvaluated at bid price : 24.50<br \/>\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n<tr>\n<td>IFC.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>1.07 %<\/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 : 19.90<br \/>\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.C<\/td>\n<td>FixedReset<\/td>\n<td>1.13 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 21.55<br \/>\nEvaluated at bid price : 21.55<br \/>\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n<tr>\n<td>IAG.PR.A<\/td>\n<td>Deemed-Retractible<\/td>\n<td>1.16 %<\/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 : 22.66<br \/>\nBid-YTW : 6.16 %<\/td>\n<\/tr>\n<tr>\n<td>VNR.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>1.44 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 21.50<br \/>\nEvaluated at bid price : 21.81<br \/>\nBid-YTW : 5.03 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.D<\/td>\n<td>FixedReset<\/td>\n<td>1.60 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 21.72<br \/>\nEvaluated at bid price : 22.18<br \/>\nBid-YTW : 4.43 %<\/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>RY.PR.B<\/td>\n<td>Deemed-Retractible<\/td>\n<td>200,200<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2017-09-29<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.07<br \/>\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.I<\/td>\n<td>Deemed-Retractible<\/td>\n<td>102,400<\/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 : 21.56<br \/>\nBid-YTW : 6.87 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.A<\/td>\n<td>FixedReset<\/td>\n<td>86,700<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 21.41<br \/>\nEvaluated at bid price : 21.74<br \/>\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>41,900<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-08-15<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.22<br \/>\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.R<\/td>\n<td>FixedReset<\/td>\n<td>35,833<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-07-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.12<br \/>\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.I<\/td>\n<td>FixedReset<\/td>\n<td>31,450<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2020-12-01<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.75<br \/>\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n<tr>\n<td colspan=\"4\">There were 8 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>TRP.PR.G<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 23.67 &#8211; 24.17<br \/>\nSpot Rate  :  0.5000<br \/>\nAverage  :  0.3956<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 22.78<br \/>\nEvaluated at bid price : 23.67<br \/>\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.M<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 21.57 &#8211; 21.85<br \/>\nSpot Rate  :  0.2800<br \/>\nAverage  :  0.1764<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2025-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 21.57<br \/>\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PF.B<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 22.42 &#8211; 22.70<br \/>\nSpot Rate  :  0.2800<br \/>\nAverage  :  0.1906<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 21.88<br \/>\nEvaluated at bid price : 22.42<br \/>\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.L<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 20.63 &#8211; 20.94<br \/>\nSpot Rate  :  0.3100<br \/>\nAverage  :  0.2356<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2025-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 20.63<br \/>\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.H<\/td>\n<td>Perpetual-Premium<\/td>\n<td>Quote: 24.90 &#8211; 25.25<br \/>\nSpot Rate  :  0.3500<br \/>\nAverage  :  0.2776<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 24.48<br \/>\nEvaluated at bid price : 24.90<br \/>\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.E<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 24.00 &#8211; 24.23<br \/>\nSpot Rate  :  0.2300<br \/>\nAverage  :  0.1608<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-08-30<br \/>\nMaturity Price  : 22.95<br \/>\nEvaluated at bid price : 24.00<br \/>\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the &#8220;Seniority Spread&#8221;) is &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-48687","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48687","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=48687"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48687\/revisions"}],"predecessor-version":[{"id":48688,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48687\/revisions\/48688"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48687"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48687"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48687"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}