{"id":45480,"date":"2023-07-12T20:40:19","date_gmt":"2023-07-13T01:40:19","guid":{"rendered":"https:\/\/prefblog.com\/?p=45480"},"modified":"2023-07-12T20:40:19","modified_gmt":"2023-07-13T01:40:19","slug":"july-12-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45480","title":{"rendered":"July 12, 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 5.27% on 2023-7-7 and since then the closing price has changed from 14.72 to 14.89, an increase of 115bp in price, with a Duration of 12.20 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 9bp since 7\/7 to 5.20%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained constant at about the 375bp reported July 5<\/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>\n-0.6140 %<\/td>\n2,188.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6140 %<\/td>\n4,197.7<\/td>\n<\/tr>\n
Floater<\/td>\n10.73 %<\/td>\n10.92 %<\/td>\n44,088<\/td>\n8.87<\/td>\n1<\/td>\n-0.6140 %<\/td>\n2,419.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5633 %<\/td>\n3,267.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.16 %<\/td>\n8.42 %<\/td>\n40,553<\/td>\n2.42<\/td>\n7<\/td>\n-0.5633 %<\/td>\n3,901.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5633 %<\/td>\n3,044.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1379 %<\/td>\n2,531.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.73 %<\/td>\n6.89 %<\/td>\n42,074<\/td>\n12.73<\/td>\n28<\/td>\n-0.1379 %<\/td>\n2,760.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.88 %<\/td>\n8.69 %<\/td>\n77,346<\/td>\n10.93<\/td>\n64<\/td>\n0.2159 %<\/td>\n2,121.3<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.69 %<\/td>\n6.84 %<\/td>\n53,847<\/td>\n12.75<\/td>\n19<\/td>\n-0.2745 %<\/td>\n2,688.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.33 %<\/td>\n11.03 %<\/td>\n28,181<\/td>\n8.79<\/td>\n2<\/td>\n0.1695 %<\/td>\n2,398.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.00 %<\/td>\n6.80 %<\/td>\n246,522<\/td>\n3.75<\/td>\n1<\/td>\n0.0399 %<\/td>\n2,309.0<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2159 %<\/td>\n2,168.4<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.40 %<\/td>\n8.32 %<\/td>\n69,251<\/td>\n11.07<\/td>\n11<\/td>\n0.1614 %<\/td>\n2,290.1<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n-5.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 9.15 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n-3.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n-2.99 %<\/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 : 8.72 %<\/td>\n<\/tr>\n
CM.PR.Y<\/td>\nFixedReset Disc<\/td>\n-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 23.31
\nEvaluated at bid price : 23.85
\nBid-YTW : 7.75 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 19.31
\nEvaluated at bid price : 19.31
\nBid-YTW : 9.75 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 9.48 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 16.53
\nEvaluated at bid price : 16.53
\nBid-YTW : 6.88 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 16.71
\nEvaluated at bid price : 16.71
\nBid-YTW : 8.90 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 8.56 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 17.83
\nEvaluated at bid price : 17.83
\nBid-YTW : 8.67 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 8.47 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n2.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 18.53
\nEvaluated at bid price : 18.53
\nBid-YTW : 8.51 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset Disc<\/td>\n6.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 14.55
\nEvaluated at bid price : 14.55
\nBid-YTW : 10.45 %<\/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
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n51,036<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 19.68
\nEvaluated at bid price : 19.68
\nBid-YTW : 7.96 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n39,705<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 18.10
\nEvaluated at bid price : 18.10
\nBid-YTW : 8.62 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n34,145<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 18.53
\nEvaluated at bid price : 18.53
\nBid-YTW : 8.51 %<\/td>\n<\/tr>\n
TD.PF.M<\/td>\nFixedReset Disc<\/td>\n25,935<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 23.21
\nEvaluated at bid price : 23.75
\nBid-YTW : 7.76 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n23,975<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 19.82
\nEvaluated at bid price : 19.82
\nBid-YTW : 8.07 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n21,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 12.83
\nEvaluated at bid price : 12.83
\nBid-YTW : 9.48 %<\/td>\n<\/tr>\n
There were 16 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
TD.PF.E<\/td>\nFixedReset Disc<\/td>\nQuote: 17.01 – 18.10
\nSpot Rate : 1.0900
\nAverage : 0.6749<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 9.15 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset Disc<\/td>\nQuote: 17.55 – 18.49
\nSpot Rate : 0.9400
\nAverage : 0.5588<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 17.55
\nEvaluated at bid price : 17.55
\nBid-YTW : 8.45 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.35 – 17.33
\nSpot Rate : 0.9800
\nAverage : 0.6123<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 16.35
\nEvaluated at bid price : 16.35
\nBid-YTW : 9.18 %<\/td>\n<\/tr>\n

IFC.PR.F<\/td>\nInsurance Straight<\/td>\nQuote: 19.00 – 19.85
\nSpot Rate : 0.8500
\nAverage : 0.5780<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n

PVS.PR.K<\/td>\nSplitShare<\/td>\nQuote: 20.75 – 21.50
\nSpot Rate : 0.7500
\nAverage : 0.5406<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.75
\nBid-YTW : 8.30 %<\/td>\n<\/tr>\n

BN.PF.H<\/td>\nFixedReset Disc<\/td>\nQuote: 19.31 – 19.90
\nSpot Rate : 0.5900
\nAverage : 0.4437<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-12
\nMaturity Price : 19.31
\nEvaluated at bid price : 19.31
\nBid-YTW : 9.75 %<\/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 5.27% on 2023-7-7 and since then the closing price has changed from 14.72 to 14.89, 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-45480","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45480","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=45480"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45480\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45480"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45480"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45480"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}