{"id":48710,"date":"2017-09-20T21:57:00","date_gmt":"2017-09-21T01:57:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48710"},"modified":"2025-07-24T21:58:29","modified_gmt":"2025-07-25T01:58:29","slug":"september-20-2017","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48710","title":{"rendered":"September 20, 2017"},"content":{"rendered":"<p>PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. <a href=\"http:\/\/www.ftse.com\/products\/FTSETMX\/Home\/Indices\">Long corporates<\/a> now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the &#8220;Seniority Spread&#8221;) is now about 300bp, a significant tightening from the 310bp reported <a href=\"https:\/\/prefblog.com\/?p=35449\">September 13<\/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>-1.1569 %<\/td>\n<td>2,409.4<\/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>-1.1569 %<\/td>\n<td>4,421.2<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.93 %<\/td>\n<td>3.93 %<\/td>\n<td>105,045<\/td>\n<td>17.57<\/td>\n<td>3<\/td>\n<td>-1.1569 %<\/td>\n<td>2,547.9<\/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>-0.1851 %<\/td>\n<td>3,059.4<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>4.77 %<\/td>\n<td>4.81 %<\/td>\n<td>85,529<\/td>\n<td>4.43<\/td>\n<td>6<\/td>\n<td>-0.1851 %<\/td>\n<td>3,653.6<\/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>-0.1851 %<\/td>\n<td>2,850.7<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.42 %<\/td>\n<td>4.87 %<\/td>\n<td>54,541<\/td>\n<td>6.00<\/td>\n<td>16<\/td>\n<td>0.0791 %<\/td>\n<td>2,774.2<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.38 %<\/td>\n<td>5.43 %<\/td>\n<td>66,867<\/td>\n<td>14.63<\/td>\n<td>19<\/td>\n<td>-0.1303 %<\/td>\n<td>2,882.3<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>4.36 %<\/td>\n<td>4.62 %<\/td>\n<td>156,212<\/td>\n<td>6.22<\/td>\n<td>99<\/td>\n<td>0.0091 %<\/td>\n<td>2,404.7<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.15 %<\/td>\n<td>5.71 %<\/td>\n<td>101,220<\/td>\n<td>6.06<\/td>\n<td>31<\/td>\n<td>-0.0705 %<\/td>\n<td>2,851.1<\/td>\n<\/tr>\n<tr>\n<td>FloatingReset<\/td>\n<td>2.87 %<\/td>\n<td>2.97 %<\/td>\n<td>51,542<\/td>\n<td>4.09<\/td>\n<td>8<\/td>\n<td>-0.0110 %<\/td>\n<td>2,644.0<\/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>BAM.PR.K<\/td>\n<td>Floater<\/td>\n<td>-1.39 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 14.19<br \/>\nEvaluated at bid price : 14.19<br \/>\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.B<\/td>\n<td>Floater<\/td>\n<td>-1.32 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 14.23<br \/>\nEvaluated at bid price : 14.23<br \/>\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.E<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.30 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 22.44<br \/>\nEvaluated at bid price : 22.80<br \/>\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.T<\/td>\n<td>FixedReset<\/td>\n<td>-1.18 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 20.15<br \/>\nEvaluated at bid price : 20.15<br \/>\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n<tr>\n<td>VNR.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>1.29 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 22.12<br \/>\nEvaluated at bid price : 22.73<br \/>\nBid-YTW : 5.15 %<\/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.E<\/td>\n<td>FixedReset<\/td>\n<td>154,326<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 21.72<br \/>\nEvaluated at bid price : 22.19<br \/>\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.G<\/td>\n<td>FixedReset<\/td>\n<td>104,493<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-04-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.82<br \/>\nBid-YTW : 3.57 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.B<\/td>\n<td>FloatingReset<\/td>\n<td>104,200<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.74<br \/>\nBid-YTW : 2.90 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PF.J<\/td>\n<td>FixedReset<\/td>\n<td>102,247<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-12-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.13<br \/>\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.E<\/td>\n<td>FixedReset<\/td>\n<td>92,852<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-04-25<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.74<br \/>\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.J<\/td>\n<td>FixedReset<\/td>\n<td>90,507<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-05-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.45<br \/>\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n<tr>\n<td colspan=\"4\">There were 17 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.B<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 15.65 &#8211; 16.49<br \/>\nSpot Rate  :  0.8400<br \/>\nAverage  :  0.4946<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 15.65<br \/>\nEvaluated at bid price : 15.65<br \/>\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n<tr>\n<td>EML.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.20 &#8211; 26.75<br \/>\nSpot Rate  :  0.5500<br \/>\nAverage  :  0.3506<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-04-17<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.20<br \/>\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.T<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 20.15 &#8211; 20.54<br \/>\nSpot Rate  :  0.3900<br \/>\nAverage  :  0.2363<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 20.15<br \/>\nEvaluated at bid price : 20.15<br \/>\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n<tr>\n<td>PVS.PR.E<\/td>\n<td>SplitShare<\/td>\n<td>Quote: 25.60 &#8211; 26.00<br \/>\nSpot Rate  :  0.4000<br \/>\nAverage  :  0.2733<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-10-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.60<br \/>\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.E<\/td>\n<td>Perpetual-Discount<\/td>\n<td>Quote: 22.80 &#8211; 23.23<br \/>\nSpot Rate  :  0.4300<br \/>\nAverage  :  0.3127<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-20<br \/>\nMaturity Price  : 22.44<br \/>\nEvaluated at bid price : 22.80<br \/>\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.O<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.76 &#8211; 27.05<br \/>\nSpot Rate  :  0.2900<br \/>\nAverage  :  0.1973<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-06-19<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.76<br \/>\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the &#8220;Seniority Spread&#8221;) is now about &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-48710","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48710","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=48710"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48710\/revisions"}],"predecessor-version":[{"id":48711,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48710\/revisions\/48711"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48710"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48710"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48710"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}