{"id":45431,"date":"2023-06-28T20:42:30","date_gmt":"2023-06-29T01:42:30","guid":{"rendered":"https:\/\/prefblog.com\/?p=45431"},"modified":"2023-06-28T20:42:30","modified_gmt":"2023-06-29T01:42:30","slug":"june-28-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45431","title":{"rendered":"June 28, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 6.89%, equivalent to 8.96% 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 15.11, an increase of 13bp 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 a decrease in yield of about 1bp since 6\/16 to 5.09%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has gapped upward to about 385bp from the 360bp reported June 21<\/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>\n0.8772 %<\/td>\n2,221.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.8772 %<\/td>\n4,260.7<\/td>\n<\/tr>\n
Floater<\/td>\n10.58 %<\/td>\n10.69 %<\/td>\n41,847<\/td>\n9.04<\/td>\n1<\/td>\n0.8772 %<\/td>\n2,455.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5007 %<\/td>\n3,262.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.15 %<\/td>\n8.57 %<\/td>\n50,579<\/td>\n2.17<\/td>\n6<\/td>\n0.5007 %<\/td>\n3,895.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5007 %<\/td>\n3,039.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6790 %<\/td>\n2,545.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.70 %<\/td>\n6.89 %<\/td>\n40,156<\/td>\n12.63<\/td>\n31<\/td>\n-0.6790 %<\/td>\n2,776.0<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.90 %<\/td>\n8.50 %<\/td>\n82,581<\/td>\n11.15<\/td>\n63<\/td>\n-0.1243 %<\/td>\n2,113.1<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.65 %<\/td>\n6.74 %<\/td>\n54,916<\/td>\n12.92<\/td>\n19<\/td>\n-0.5637 %<\/td>\n2,704.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.50 %<\/td>\n11.11 %<\/td>\n32,180<\/td>\n8.75<\/td>\n2<\/td>\n-0.8556 %<\/td>\n2,351.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.00 %<\/td>\n7.15 %<\/td>\n265,360<\/td>\n12.17<\/td>\n1<\/td>\n-0.1590 %<\/td>\n2,310.0<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1243 %<\/td>\n2,160.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.40 %<\/td>\n7.96 %<\/td>\n91,071<\/td>\n11.56<\/td>\n9<\/td>\n-0.0490 %<\/td>\n2,304.3<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-5.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 11.76
\nEvaluated at bid price : 11.76
\nBid-YTW : 9.87 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-5.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 16.57
\nEvaluated at bid price : 16.57
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
GWO.PR.L<\/td>\nInsurance Straight<\/td>\n-4.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 19.74
\nEvaluated at bid price : 19.74
\nBid-YTW : 7.22 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-4.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 18.16
\nEvaluated at bid price : 18.16
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n-1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 16.67
\nEvaluated at bid price : 16.67
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 17.25
\nEvaluated at bid price : 17.25
\nBid-YTW : 6.61 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 14.60
\nEvaluated at bid price : 14.60
\nBid-YTW : 11.11 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 13.41
\nEvaluated at bid price : 13.41
\nBid-YTW : 10.07 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 20.06
\nEvaluated at bid price : 20.06
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 20.36
\nEvaluated at bid price : 20.36
\nBid-YTW : 8.22 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 17.82
\nEvaluated at bid price : 17.82
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 17.20
\nEvaluated at bid price : 17.20
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 18.94
\nEvaluated at bid price : 18.94
\nBid-YTW : 7.96 %<\/td>\n<\/tr>\n
PVS.PR.G<\/td>\nSplitShare<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2026-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.10
\nBid-YTW : 8.29 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.40
\nBid-YTW : 8.29 %<\/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
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n59,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 8.64 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n53,366<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 14.60
\nEvaluated at bid price : 14.60
\nBid-YTW : 11.11 %<\/td>\n<\/tr>\n
NA.PR.C<\/td>\nFixedReset Prem<\/td>\n50,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 23.25
\nEvaluated at bid price : 25.11
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n29,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 17.90
\nEvaluated at bid price : 17.90
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n29,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 16.65
\nEvaluated at bid price : 16.65
\nBid-YTW : 8.76 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Disc<\/td>\n27,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.75
\nBid-YTW : 7.58 %<\/td>\n<\/tr>\n
There were 10 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.P<\/td>\nFixedReset Disc<\/td>\nQuote: 11.76 – 13.04
\nSpot Rate : 1.2800
\nAverage : 0.7841<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 11.76
\nEvaluated at bid price : 11.76
\nBid-YTW : 9.87 %<\/td>\n<\/tr>\n

GWO.PR.L<\/td>\nInsurance Straight<\/td>\nQuote: 19.74 – 20.75
\nSpot Rate : 1.0100
\nAverage : 0.5799<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 19.74
\nEvaluated at bid price : 19.74
\nBid-YTW : 7.22 %<\/td>\n<\/tr>\n

CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 16.57 – 17.57
\nSpot Rate : 1.0000
\nAverage : 0.7040<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 16.57
\nEvaluated at bid price : 16.57
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n

BN.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 19.00 – 20.00
\nSpot Rate : 1.0000
\nAverage : 0.7040<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 8.82 %<\/td>\n<\/tr>\n

PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 18.16 – 19.07
\nSpot Rate : 0.9100
\nAverage : 0.6266<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-06-28
\nMaturity Price : 18.16
\nEvaluated at bid price : 18.16
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n

PVS.PR.F<\/td>\nSplitShare<\/td>\nQuote: 23.90 – 24.40
\nSpot Rate : 0.5000
\nAverage : 0.3113<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2024-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.90
\nBid-YTW : 8.84 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.89%, equivalent to 8.96% 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 15.11, an increase …<\/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-45431","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45431","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=45431"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45431\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45431"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45431"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45431"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}