{"id":45414,"date":"2023-06-21T19:54:38","date_gmt":"2023-06-22T00:54:38","guid":{"rendered":"https:\/\/prefblog.com\/?p=45414"},"modified":"2023-06-21T19:54:38","modified_gmt":"2023-06-22T00:54:38","slug":"june-21-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45414","title":{"rendered":"June 21, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 6.73%, equivalent to 8.75% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.10% on 2023-6-16 and since then the closing price has changed from 15.09 to 15.01, a decrease of 53bp in price, with a Duration of 12.35 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 4bp since 6\/16 to 5.14%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to about 360bp from the 350bp reported June 14<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref\u2122 Preferred Indices
\nThese values reflect the December 2008 revision of the HIMIPref\u2122 Indices<\/strong>
\nValues are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
\nCurrent
\nYield
\n(at bid)<\/td>\n		Median
\nYTW<\/td>\n		Median
\nAverage
\nTrading
\nValue<\/td>\n		Median
\nMod Dur
\n(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>\n0.0000 %<\/td>\n2,192.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,205.1<\/td>\n<\/tr>\n
Floater<\/td>\n10.72 %<\/td>\n10.82 %<\/td>\n46,235<\/td>\n8.97<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,423.4<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4284 %<\/td>\n3,277.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.12 %<\/td>\n8.32 %<\/td>\n43,005<\/td>\n2.19<\/td>\n6<\/td>\n-0.4284 %<\/td>\n3,913.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4284 %<\/td>\n3,053.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5994 %<\/td>\n2,594.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.58 %<\/td>\n6.73 %<\/td>\n40,618<\/td>\n12.83<\/td>\n31<\/td>\n-0.5994 %<\/td>\n2,829.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.86 %<\/td>\n8.57 %<\/td>\n86,584<\/td>\n11.07<\/td>\n63<\/td>\n-0.1356 %<\/td>\n2,128.5<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.55 %<\/td>\n6.58 %<\/td>\n54,614<\/td>\n13.14<\/td>\n19<\/td>\n-0.9524 %<\/td>\n2,745.3<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.42 %<\/td>\n11.02 %<\/td>\n25,940<\/td>\n8.83<\/td>\n2<\/td>\n0.1722 %<\/td>\n2,361.1<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.97 %<\/td>\n7.06 %<\/td>\n253,425<\/td>\n3.73<\/td>\n1<\/td>\n0.1988 %<\/td>\n2,318.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1356 %<\/td>\n2,175.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.41 %<\/td>\n7.84 %<\/td>\n93,063<\/td>\n11.59<\/td>\n9<\/td>\n-1.2410 %<\/td>\n2,303.4<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-8.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 11.00
\nEvaluated at bid price : 11.00
\nBid-YTW : 9.91 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-5.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.05
\nEvaluated at bid price : 17.05
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-5.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n-2.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.57
\nEvaluated at bid price : 17.57
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
IFC.PR.K<\/td>\nPerpetual-Discount<\/td>\n-2.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 20.42
\nEvaluated at bid price : 20.42
\nBid-YTW : 6.47 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.04
\nEvaluated at bid price : 17.04
\nBid-YTW : 7.81 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n-1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.45
\nBid-YTW : 8.19 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 18.21
\nEvaluated at bid price : 18.21
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 7.96 %<\/td>\n<\/tr>\n
NA.PR.E<\/td>\nFixedReset Disc<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 20.31
\nEvaluated at bid price : 20.31
\nBid-YTW : 7.97 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 20.27
\nEvaluated at bid price : 20.27
\nBid-YTW : 6.94 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nInsurance Straight<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 18.07
\nEvaluated at bid price : 18.07
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 21.82
\nEvaluated at bid price : 22.30
\nBid-YTW : 8.59 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.47
\nEvaluated at bid price : 17.47
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 10.37
\nEvaluated at bid price : 10.37
\nBid-YTW : 10.87 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 10.62
\nEvaluated at bid price : 10.62
\nBid-YTW : 10.90 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 13.70
\nEvaluated at bid price : 13.70
\nBid-YTW : 9.91 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n2.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.45
\nEvaluated at bid price : 17.45
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
\nTraded<\/td>\n		Notes<\/td>\n<\/tr>\n
TD.PF.K<\/td>\nFixedReset Disc<\/td>\n354,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 21.61
\nEvaluated at bid price : 21.97
\nBid-YTW : 7.31 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n102,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 16.15
\nEvaluated at bid price : 16.15
\nBid-YTW : 9.02 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n81,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.15
\nEvaluated at bid price : 17.15
\nBid-YTW : 8.53 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n64,422<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 18.15
\nEvaluated at bid price : 18.15
\nBid-YTW : 8.45 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n53,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 16.60
\nEvaluated at bid price : 16.60
\nBid-YTW : 8.95 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n25,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 14.60
\nEvaluated at bid price : 14.60
\nBid-YTW : 10.45 %<\/td>\n<\/tr>\n
There were 14 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\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.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 18.00 – 19.67
\nSpot Rate : 1.6700
\nAverage : 1.0894<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n

GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 11.00 – 12.20
\nSpot Rate : 1.2000
\nAverage : 0.6978<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 11.00
\nEvaluated at bid price : 11.00
\nBid-YTW : 9.91 %<\/td>\n<\/tr>\n

BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\nQuote: 17.97 – 19.25
\nSpot Rate : 1.2800
\nAverage : 0.8964<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.97
\nEvaluated at bid price : 17.97
\nBid-YTW : 8.38 %<\/td>\n<\/tr>\n

SLF.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 17.05 – 18.00
\nSpot Rate : 0.9500
\nAverage : 0.6320<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 17.05
\nEvaluated at bid price : 17.05
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n

BIP.PR.F<\/td>\nFixedReset Disc<\/td>\nQuote: 19.19 – 19.89
\nSpot Rate : 0.7000
\nAverage : 0.4201<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 19.19
\nEvaluated at bid price : 19.19
\nBid-YTW : 8.70 %<\/td>\n<\/tr>\n

BIP.PR.E<\/td>\nFixedReset Disc<\/td>\nQuote: 20.25 – 21.28
\nSpot Rate : 1.0300
\nAverage : 0.7665<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-21
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 8.38 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.73%, equivalent to 8.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.10% on 2023-6-16 and since then the closing price has changed from 15.09 to 15.01, a decrease …<\/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-45414","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45414","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=45414"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45414\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45414"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45414"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45414"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}