{"id":49336,"date":"2018-05-23T20:07:00","date_gmt":"2018-05-24T00:07:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=49336"},"modified":"2025-08-14T20:08:18","modified_gmt":"2025-08-15T00:08:18","slug":"may-23-2018","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=49336","title":{"rendered":"May 23, 2018"},"content":{"rendered":"

PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield a little over 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a significant widening from the 300bp reported May 16<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1117 %<\/td>\n2,971.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1117 %<\/td>\n5,452.6<\/td>\n<\/tr>\n
Floater<\/td>\n3.37 %<\/td>\n3.60 %<\/td>\n81,233<\/td>\n18.23<\/td>\n4<\/td>\n0.1117 %<\/td>\n3,142.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2229 %<\/td>\n3,181.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.62 %<\/td>\n4.61 %<\/td>\n82,848<\/td>\n5.07<\/td>\n5<\/td>\n0.2229 %<\/td>\n3,799.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2229 %<\/td>\n2,964.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n-4.70 %<\/td>\n68,416<\/td>\n0.09<\/td>\n10<\/td>\n-0.0354 %<\/td>\n2,870.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.42 %<\/td>\n5.52 %<\/td>\n66,662<\/td>\n14.60<\/td>\n24<\/td>\n0.0971 %<\/td>\n2,941.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.26 %<\/td>\n4.70 %<\/td>\n158,279<\/td>\n3.87<\/td>\n103<\/td>\n-0.2148 %<\/td>\n2,554.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.14 %<\/td>\n5.67 %<\/td>\n79,363<\/td>\n5.56<\/td>\n27<\/td>\n-0.0436 %<\/td>\n2,943.3<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.18 %<\/td>\n3.68 %<\/td>\n33,111<\/td>\n3.51<\/td>\n8<\/td>\n-0.6233 %<\/td>\n2,793.0<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.Q<\/td>\nFloatingReset<\/td>\n-6.72 %<\/td>\nA nonsensical quote of 19.86-21.47 was reported by Nonsense Central, despite the facts that the security traded in a range of 21.46-47. Perhaps it was the overwhelming volume of 200 shares that fouled up the systems! Or that the last trade was at 2:27pm, giving the market maker barely one and a half hours to restore indications of an orderly market! <\/p>\n

I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting<\/a> or inadequate Toronto Stock Exchange supervision of market-makers<\/a>.<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 19.86
\nEvaluated at bid price : 19.86
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n

MFC.PR.M<\/td>\nFixedReset<\/td>\n-4.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.75
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-2.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 5.20 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 22.20
\nEvaluated at bid price : 22.76
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 22.51
\nEvaluated at bid price : 23.04
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 17.78
\nEvaluated at bid price : 17.78
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 18.68
\nEvaluated at bid price : 18.68
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BMO.PR.D<\/td>\nFixedReset<\/td>\n78,100<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-08-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n
BAM.PF.J<\/td>\nFixedReset<\/td>\n66,057<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.55
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n60,960<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 23.07
\nEvaluated at bid price : 23.46
\nBid-YTW : 4.77 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n35,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 22.51
\nEvaluated at bid price : 23.04
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n30,002<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.35
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n26,335<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 23.25
\nEvaluated at bid price : 23.80
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
There were 11 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
PWF.PR.Q<\/td>\nFloatingReset<\/td>\nQuote: 19.86 – 21.47
\nSpot Rate : 1.6100
\nAverage : 1.0075<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 19.86
\nEvaluated at bid price : 19.86
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n

MFC.PR.M<\/td>\nFixedReset<\/td>\nQuote: 22.75 – 23.79
\nSpot Rate : 1.0400
\nAverage : 0.6092<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.75
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 20.10 – 20.92
\nSpot Rate : 0.8200
\nAverage : 0.5202<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 5.20 %<\/td>\n<\/tr>\n

MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 20.90 – 21.50
\nSpot Rate : 0.6000
\nAverage : 0.3838<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.90
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n

GWO.PR.Q<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.24 – 24.75
\nSpot Rate : 0.5100
\nAverage : 0.3126<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.24
\nBid-YTW : 5.88 %<\/td>\n<\/tr>\n

TRP.PR.B<\/td>\nFixedReset<\/td>\nQuote: 16.70 – 17.25
\nSpot Rate : 0.5500
\nAverage : 0.3656<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-05-23
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is …<\/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-49336","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49336","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=49336"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49336\/revisions"}],"predecessor-version":[{"id":49337,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49336\/revisions\/49337"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=49336"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=49336"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=49336"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}