{"id":45444,"date":"2023-07-05T18:29:04","date_gmt":"2023-07-05T23:29:04","guid":{"rendered":"https:\/\/prefblog.com\/?p=45444"},"modified":"2023-07-05T18:29:04","modified_gmt":"2023-07-05T23:29:04","slug":"july-5-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45444","title":{"rendered":"July 5, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 6.81%, equivalent to 8.85% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.02% on 2023-6-30 and since then the closing price has changed from 15.15 to 14.96, a decrease of 125bp in price, with a Duration of 12.40 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 10bp since 6\/30 to 5.12%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to about 375bp from the 385bp reported June 28<\/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>\n0.2597 %<\/td>\n2,236.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2597 %<\/td>\n4,290.4<\/td>\n<\/tr>\n
Floater<\/td>\n10.50 %<\/td>\n10.65 %<\/td>\n39,507<\/td>\n9.07<\/td>\n1<\/td>\n0.2597 %<\/td>\n2,472.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0292 %<\/td>\n3,269.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.13 %<\/td>\n8.34 %<\/td>\n50,981<\/td>\n2.16<\/td>\n6<\/td>\n-0.0292 %<\/td>\n3,904.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0292 %<\/td>\n3,046.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1933 %<\/td>\n2,576.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.62 %<\/td>\n6.81 %<\/td>\n39,477<\/td>\n12.80<\/td>\n31<\/td>\n0.1933 %<\/td>\n2,810.0<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.90 %<\/td>\n8.55 %<\/td>\n81,176<\/td>\n11.03<\/td>\n63<\/td>\n0.0309 %<\/td>\n2,114.8<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.59 %<\/td>\n6.75 %<\/td>\n52,331<\/td>\n12.89<\/td>\n19<\/td>\n-0.1313 %<\/td>\n2,727.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.38 %<\/td>\n11.05 %<\/td>\n28,383<\/td>\n8.79<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,381.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.03 %<\/td>\n6.88 %<\/td>\n258,593<\/td>\n3.76<\/td>\n1<\/td>\n-0.6754 %<\/td>\n2,299.8<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0309 %<\/td>\n2,161.7<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.62 %<\/td>\n8.01 %<\/td>\n92,096<\/td>\n11.57<\/td>\n9<\/td>\n0.3994 %<\/td>\n2,307.0<\/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\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n-2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 18.47
\nEvaluated at bid price : 18.47
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n
BMO.PR.F<\/td>\nFixedReset Disc<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.30
\nBid-YTW : 7.81 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 10.29 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n-1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 8.41 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.10
\nBid-YTW : 8.68 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 16.45
\nEvaluated at bid price : 16.45
\nBid-YTW : 8.81 %<\/td>\n<\/tr>\n
MIC.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 6.99 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 18.90
\nEvaluated at bid price : 18.90
\nBid-YTW : 6.58 %<\/td>\n<\/tr>\n
NA.PR.C<\/td>\nFixedReset Prem<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2027-11-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 6.88 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 22.10
\nEvaluated at bid price : 22.75
\nBid-YTW : 8.45 %<\/td>\n<\/tr>\n
BN.PF.A<\/td>\nFixedReset Disc<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 8.63 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 9.63 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 17.99
\nEvaluated at bid price : 17.99
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 12.30
\nEvaluated at bid price : 12.30
\nBid-YTW : 9.01 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 16.73
\nEvaluated at bid price : 16.73
\nBid-YTW : 9.15 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 18.96
\nEvaluated at bid price : 18.96
\nBid-YTW : 6.88 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.45
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
PVS.PR.G<\/td>\nSplitShare<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2026-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.30
\nBid-YTW : 8.00 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n2.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 21.05
\nEvaluated at bid price : 21.05
\nBid-YTW : 7.77 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n2.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 17.36
\nEvaluated at bid price : 17.36
\nBid-YTW : 8.60 %<\/td>\n<\/tr>\n
BNS.PR.I<\/td>\nFixedReset Disc<\/td>\n7.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 19.92
\nEvaluated at bid price : 19.92
\nBid-YTW : 7.80 %<\/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
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n147,550<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 16.73
\nEvaluated at bid price : 16.73
\nBid-YTW : 9.15 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n31,541<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n27,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 13.40
\nEvaluated at bid price : 13.40
\nBid-YTW : 10.18 %<\/td>\n<\/tr>\n
CM.PR.Y<\/td>\nFixedReset Disc<\/td>\n25,155<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 23.48
\nEvaluated at bid price : 24.00
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n20,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 10.61
\nEvaluated at bid price : 10.61
\nBid-YTW : 10.85 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n20,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 10.45
\nEvaluated at bid price : 10.45
\nBid-YTW : 10.86 %<\/td>\n<\/tr>\n
There were 8 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
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\nQuote: 16.90 – 19.00
\nSpot Rate : 2.1000
\nAverage : 1.3215<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 8.72 %<\/td>\n<\/tr>\n

GWO.PR.Y<\/td>\nInsurance Straight<\/td>\nQuote: 17.20 – 17.98
\nSpot Rate : 0.7800
\nAverage : 0.4844<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 17.20
\nEvaluated at bid price : 17.20
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n

SLF.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 17.50 – 18.05
\nSpot Rate : 0.5500
\nAverage : 0.3795<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n

CCS.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 18.47 – 19.00
\nSpot Rate : 0.5300
\nAverage : 0.3622<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 18.47
\nEvaluated at bid price : 18.47
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n

BMO.PR.F<\/td>\nFixedReset Disc<\/td>\nQuote: 23.30 – 23.80
\nSpot Rate : 0.5000
\nAverage : 0.3516<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.30
\nBid-YTW : 7.81 %<\/td>\n<\/tr>\n

BIP.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 16.70 – 17.35
\nSpot Rate : 0.6500
\nAverage : 0.5021<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-05
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 10.29 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.81%, equivalent to 8.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.02% on 2023-6-30 and since then the closing price has changed from 15.15 to 14.96, 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-45444","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45444","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=45444"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45444\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45444"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45444"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45444"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}