{"id":49637,"date":"2018-09-19T20:22:00","date_gmt":"2018-09-20T00:22:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=49637"},"modified":"2025-08-22T20:23:13","modified_gmt":"2025-08-23T00:23:13","slug":"september-19-2018","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=49637","title":{"rendered":"September 19, 2018"},"content":{"rendered":"

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported September 12<\/a>.<\/p>\n\n\n\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>\n-0.3916 %<\/td>\n3,094.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3916 %<\/td>\n5,677.3<\/td>\n<\/tr>\n
Floater<\/td>\n3.51 %<\/td>\n3.67 %<\/td>\n37,090<\/td>\n18.13<\/td>\n4<\/td>\n-0.3916 %<\/td>\n3,271.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0634 %<\/td>\n3,231.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.61 %<\/td>\n4.63 %<\/td>\n54,899<\/td>\n4.80<\/td>\n5<\/td>\n0.0634 %<\/td>\n3,858.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0634 %<\/td>\n3,010.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.54 %<\/td>\n-0.23 %<\/td>\n50,646<\/td>\n0.09<\/td>\n12<\/td>\n0.0721 %<\/td>\n2,920.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.43 %<\/td>\n5.54 %<\/td>\n57,453<\/td>\n14.50<\/td>\n22<\/td>\n-0.0217 %<\/td>\n2,996.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n4.18 %<\/td>\n4.98 %<\/td>\n140,565<\/td>\n15.64<\/td>\n42<\/td>\n-0.0665 %<\/td>\n2,575.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.16 %<\/td>\n5.93 %<\/td>\n59,733<\/td>\n5.37<\/td>\n27<\/td>\n-0.0500 %<\/td>\n2,999.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n3.38 %<\/td>\n4.11 %<\/td>\n45,271<\/td>\n5.66<\/td>\n5<\/td>\n-0.3800 %<\/td>\n2,840.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.83 %<\/td>\n4.16 %<\/td>\n164,658<\/td>\n2.87<\/td>\n35<\/td>\n0.0089 %<\/td>\n2,567.7<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n3.19 %<\/td>\n3.73 %<\/td>\n65,073<\/td>\n0.43<\/td>\n9<\/td>\n0.0045 %<\/td>\n2,573.3<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n4.32 %<\/td>\n5.09 %<\/td>\n88,832<\/td>\n5.44<\/td>\n22<\/td>\n0.0876 %<\/td>\n2,579.4<\/td>\n<\/tr>\n<\/table>\n\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-1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 21.28
\nEvaluated at bid price : 21.28
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 21.16
\nEvaluated at bid price : 21.16
\nBid-YTW : 3.08 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset Disc<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 22.96
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Prem<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 22.98
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.24
\nBid-YTW : 7.53 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 22.23
\nEvaluated at bid price : 22.97
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 23.01
\nEvaluated at bid price : 23.61
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
EMA.PR.F<\/td>\nFixedReset Disc<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 23.63
\nEvaluated at bid price : 24.06
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.64
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 17.47
\nEvaluated at bid price : 17.47
\nBid-YTW : 3.70 %<\/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.E<\/td>\nFixedReset Disc<\/td>\n256,467<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 23.15
\nEvaluated at bid price : 25.01
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n84,405<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 23.39
\nEvaluated at bid price : 24.42
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n
TD.PF.K<\/td>\nFixedReset Disc<\/td>\n64,580<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 23.15
\nEvaluated at bid price : 24.99
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset Bank Non<\/td>\n56,930<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.84
\nBid-YTW : 4.09 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n49,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 22.52
\nEvaluated at bid price : 23.06
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n
BNS.PR.D<\/td>\nFloatingReset<\/td>\n46,400<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.25
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n
There were 10 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: 21.28 – 21.85
\nSpot Rate : 0.5700
\nAverage : 0.3754<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 21.28
\nEvaluated at bid price : 21.28
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n

EML.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 26.09 – 26.63
\nSpot Rate : 0.5400
\nAverage : 0.3484<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.09
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n

PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 21.16 – 21.70
\nSpot Rate : 0.5400
\nAverage : 0.4093<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 21.16
\nEvaluated at bid price : 21.16
\nBid-YTW : 3.08 %<\/td>\n<\/tr>\n

BIP.PR.E<\/td>\nFixedReset Prem<\/td>\nQuote: 24.40 – 24.75
\nSpot Rate : 0.3500
\nAverage : 0.2321<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 22.98
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n

BAM.PF.I<\/td>\nFixedReset Prem<\/td>\nQuote: 25.95 – 26.33
\nSpot Rate : 0.3800
\nAverage : 0.2936<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2022-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.95
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n

BAM.PF.E<\/td>\nFixedReset Disc<\/td>\nQuote: 23.55 – 23.79
\nSpot Rate : 0.2400
\nAverage : 0.1909<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2048-09-19
\nMaturity Price : 23.13
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, …<\/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-49637","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49637","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=49637"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49637\/revisions"}],"predecessor-version":[{"id":49638,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49637\/revisions\/49638"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=49637"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=49637"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=49637"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}