{"id":48998,"date":"2017-12-27T10:00:00","date_gmt":"2017-12-27T15:00:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=48998"},"modified":"2025-08-01T10:01:08","modified_gmt":"2025-08-01T14:01:08","slug":"december-27-2017","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=48998","title":{"rendered":"December 27, 2017"},"content":{"rendered":"<p>Well, that&#8217;s the last day of tax-loss selling, which I believe has played a role in December&#8217;s softness. Thanks to two-day settlement, tax-loss season lasted until after Christmas this year!<\/p>\n<p>PerpetualDiscounts now yield 5.31%, equivalent to 6.90% 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 3.70%, so the pre-tax interest-equivalent spread (in this context, the &#8220;Seniority Spread&#8221;) is now about 320bp, a significant widening from the 310bp reported <a href=\"https:\/\/prefblog.com\/?p=35899\">December 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>2.3955 %<\/td>\n<td>2,544.7<\/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>2.3955 %<\/td>\n<td>4,669.4<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.61 %<\/td>\n<td>3.76 %<\/td>\n<td>35,392<\/td>\n<td>17.94<\/td>\n<td>4<\/td>\n<td>2.3955 %<\/td>\n<td>2,691.0<\/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>0.1326 %<\/td>\n<td>3,148.4<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>4.66 %<\/td>\n<td>4.18 %<\/td>\n<td>69,912<\/td>\n<td>3.46<\/td>\n<td>5<\/td>\n<td>0.1326 %<\/td>\n<td>3,759.9<\/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>0.1326 %<\/td>\n<td>2,933.6<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.36 %<\/td>\n<td>4.80 %<\/td>\n<td>49,161<\/td>\n<td>2.15<\/td>\n<td>20<\/td>\n<td>0.1239 %<\/td>\n<td>2,844.6<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.24 %<\/td>\n<td>5.31 %<\/td>\n<td>66,883<\/td>\n<td>14.89<\/td>\n<td>14<\/td>\n<td>-0.0675 %<\/td>\n<td>3,004.1<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>4.24 %<\/td>\n<td>4.34 %<\/td>\n<td>145,240<\/td>\n<td>3.98<\/td>\n<td>98<\/td>\n<td>-0.0009 %<\/td>\n<td>2,500.3<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.08 %<\/td>\n<td>5.29 %<\/td>\n<td>89,028<\/td>\n<td>5.90<\/td>\n<td>30<\/td>\n<td>0.0041 %<\/td>\n<td>2,935.8<\/td>\n<\/tr>\n<tr>\n<td>FloatingReset<\/td>\n<td>2.84 %<\/td>\n<td>2.80 %<\/td>\n<td>43,974<\/td>\n<td>3.85<\/td>\n<td>8<\/td>\n<td>0.0433 %<\/td>\n<td>2,694.6<\/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>NA.PR.C<\/td>\n<td>FixedReset<\/td>\n<td>-1.20 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-11-15<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.61<br \/>\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n<tr>\n<td>HSE.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>1.17 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 17.27<br \/>\nEvaluated at bid price : 17.27<br \/>\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>1.94 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 17.38<br \/>\nEvaluated at bid price : 17.38<br \/>\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.B<\/td>\n<td>Floater<\/td>\n<td>2.05 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 14.90<br \/>\nEvaluated at bid price : 14.90<br \/>\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.K<\/td>\n<td>Floater<\/td>\n<td>2.49 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 14.80<br \/>\nEvaluated at bid price : 14.80<br \/>\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.C<\/td>\n<td>Floater<\/td>\n<td>3.19 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 14.90<br \/>\nEvaluated at bid price : 14.90<br \/>\nBid-YTW : 3.76 %<\/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.N<\/td>\n<td>Perpetual-Premium<\/td>\n<td>40,915<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2024-11-24<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.30<br \/>\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.K<\/td>\n<td>Floater<\/td>\n<td>27,100<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 14.80<br \/>\nEvaluated at bid price : 14.80<br \/>\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n<tr>\n<td>PVS.PR.E<\/td>\n<td>SplitShare<\/td>\n<td>19,141<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2018-01-26<br \/>\nMaturity Price  : 26.00<br \/>\nEvaluated at bid price : 26.70<br \/>\nBid-YTW : -22.23 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>15,950<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 19.70<br \/>\nEvaluated at bid price : 19.70<br \/>\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.M<\/td>\n<td>FixedReset<\/td>\n<td>15,500<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 23.19<br \/>\nEvaluated at bid price : 24.45<br \/>\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.Y<\/td>\n<td>FixedReset<\/td>\n<td>15,427<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2020-08-25<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.79<br \/>\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n<tr>\n<td colspan=\"4\">There were 7 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>BMO.PR.M<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 25.01 &#8211; 32.95<br \/>\nSpot Rate  :  7.9400<br \/>\nAverage  :  4.2449<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.01<br \/>\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>Quote: 17.38 &#8211; 18.25<br \/>\nSpot Rate  :  0.8700<br \/>\nAverage  :  0.5453<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 17.38<br \/>\nEvaluated at bid price : 17.38<br \/>\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.C<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 25.61 &#8211; 25.95<br \/>\nSpot Rate  :  0.3400<br \/>\nAverage  :  0.1987<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-11-15<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.61<br \/>\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.Z<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 24.30 &#8211; 24.71<br \/>\nSpot Rate  :  0.4100<br \/>\nAverage  :  0.2774<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 22.90<br \/>\nEvaluated at bid price : 24.30<br \/>\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.F<\/td>\n<td>FloatingReset<\/td>\n<td>Quote: 19.12 &#8211; 19.54<br \/>\nSpot Rate  :  0.4200<br \/>\nAverage  :  0.3134<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2047-12-27<br \/>\nMaturity Price  : 19.12<br \/>\nEvaluated at bid price : 19.12<br \/>\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.B<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 22.40 &#8211; 22.70<br \/>\nSpot Rate  :  0.3000<br \/>\nAverage  :  0.2033<\/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 : 22.40<br \/>\nBid-YTW : 6.56 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>Well, that&#8217;s the last day of tax-loss selling, which I believe has played a role in December&#8217;s softness. Thanks to two-day settlement, tax-loss season lasted until after Christmas this year! PerpetualDiscounts now yield 5.31%, equivalent &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-48998","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48998","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=48998"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48998\/revisions"}],"predecessor-version":[{"id":48999,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/48998\/revisions\/48999"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=48998"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=48998"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=48998"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}