{"id":48788,"date":"2017-09-27T10:36:00","date_gmt":"2017-09-27T14:36:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48788"},"modified":"2025-07-25T10:36:56","modified_gmt":"2025-07-25T14:36:56","slug":"september-27-2017","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48788","title":{"rendered":"September 27, 2017"},"content":{"rendered":"<p>PerpetualDiscounts now yield 5.46%, equivalent to 7.10% 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 305bp, a slight (and perhaps spurious) widening from the 300bp reported <a href=\"https:\/\/prefblog.com\/?p=35490\">September 20<\/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>-0.5859 %<\/td>\n<td>2,392.5<\/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>-0.5859 %<\/td>\n<td>4,390.1<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.96 %<\/td>\n<td>3.96 %<\/td>\n<td>96,350<\/td>\n<td>17.50<\/td>\n<td>3<\/td>\n<td>-0.5859 %<\/td>\n<td>2,530.0<\/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>-0.0330 %<\/td>\n<td>3,065.5<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>4.76 %<\/td>\n<td>4.71 %<\/td>\n<td>94,085<\/td>\n<td>4.42<\/td>\n<td>6<\/td>\n<td>-0.0330 %<\/td>\n<td>3,660.9<\/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>-0.0330 %<\/td>\n<td>2,856.3<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.43 %<\/td>\n<td>4.86 %<\/td>\n<td>57,088<\/td>\n<td>5.98<\/td>\n<td>16<\/td>\n<td>0.1238 %<\/td>\n<td>2,778.6<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.38 %<\/td>\n<td>5.46 %<\/td>\n<td>70,408<\/td>\n<td>14.65<\/td>\n<td>19<\/td>\n<td>0.0275 %<\/td>\n<td>2,887.6<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>4.35 %<\/td>\n<td>4.57 %<\/td>\n<td>152,341<\/td>\n<td>6.20<\/td>\n<td>99<\/td>\n<td>0.1781 %<\/td>\n<td>2,411.9<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.14 %<\/td>\n<td>5.70 %<\/td>\n<td>103,476<\/td>\n<td>6.04<\/td>\n<td>31<\/td>\n<td>0.1304 %<\/td>\n<td>2,852.9<\/td>\n<\/tr>\n<tr>\n<td>FloatingReset<\/td>\n<td>2.84 %<\/td>\n<td>3.18 %<\/td>\n<td>54,177<\/td>\n<td>4.07<\/td>\n<td>8<\/td>\n<td>0.0711 %<\/td>\n<td>2,650.2<\/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.B<\/td>\n<td>Floater<\/td>\n<td>-1.12 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-27<br \/>\nMaturity Price  : 14.10<br \/>\nEvaluated at bid price : 14.10<br \/>\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.O<\/td>\n<td>FixedReset<\/td>\n<td>1.05 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-27<br \/>\nMaturity Price  : 21.73<br \/>\nEvaluated at bid price : 22.20<br \/>\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n<tr>\n<td>HSE.PR.C<\/td>\n<td>FixedReset<\/td>\n<td>1.53 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-27<br \/>\nMaturity Price  : 23.06<br \/>\nEvaluated at bid price : 23.92<br \/>\nBid-YTW : 5.06 %<\/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>CM.PR.R<\/td>\n<td>FixedReset<\/td>\n<td>333,138<\/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 : 25.03<br \/>\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>118,429<\/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 : 26.30<br \/>\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.R<\/td>\n<td>FixedReset<\/td>\n<td>112,524<\/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 : 26.64<br \/>\nBid-YTW : 3.85 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PF.F<\/td>\n<td>FixedReset<\/td>\n<td>71,200<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-27<br \/>\nMaturity Price  : 23.52<br \/>\nEvaluated at bid price : 23.85<br \/>\nBid-YTW : 4.86 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.G<\/td>\n<td>FixedReset<\/td>\n<td>66,134<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-27<br \/>\nMaturity Price  : 22.90<br \/>\nEvaluated at bid price : 23.90<br \/>\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.A<\/td>\n<td>FixedReset<\/td>\n<td>62,223<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-27<br \/>\nMaturity Price  : 21.73<br \/>\nEvaluated at bid price : 22.20<br \/>\nBid-YTW : 4.56 %<\/td>\n<\/tr>\n<tr>\n<td colspan=\"4\">There were 32 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>MFC.PR.K<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 21.20 &#8211; 22.14<br \/>\nSpot Rate  :  0.9400<br \/>\nAverage  :  0.7233<\/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 : 21.20<br \/>\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.O<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.80 &#8211; 27.30<br \/>\nSpot Rate  :  0.5000<br \/>\nAverage  :  0.3519<\/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 : 26.80<br \/>\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n<tr>\n<td>VNR.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 22.75 &#8211; 23.20<br \/>\nSpot Rate  :  0.4500<br \/>\nAverage  :  0.3182<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-09-27<br \/>\nMaturity Price  : 22.13<br \/>\nEvaluated at bid price : 22.75<br \/>\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n<tr>\n<td>IAG.PR.A<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 22.18 &#8211; 22.58<br \/>\nSpot Rate  :  0.4000<br \/>\nAverage  :  0.3272<\/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 : 22.18<br \/>\nBid-YTW : 6.59 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.I<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.00 &#8211; 26.25<br \/>\nSpot Rate  :  0.2500<br \/>\nAverage  :  0.1773<\/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 : 26.00<br \/>\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.I<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 25.31 &#8211; 25.51<br \/>\nSpot Rate  :  0.2000<br \/>\nAverage  :  0.1311<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-10-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.31<br \/>\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>PerpetualDiscounts now yield 5.46%, equivalent to 7.10% 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-48788","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48788","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=48788"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48788\/revisions"}],"predecessor-version":[{"id":48789,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48788\/revisions\/48789"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48788"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48788"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48788"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}