{"id":45505,"date":"2023-07-19T20:34:35","date_gmt":"2023-07-20T01:34:35","guid":{"rendered":"https:\/\/prefblog.com\/?p=45505"},"modified":"2023-07-19T20:34:35","modified_gmt":"2023-07-20T01:34:35","slug":"july-19-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45505","title":{"rendered":"July 19, 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 5.14% on 2023-7-14 and since then the closing price has changed from 14.93 to 15.03, an increase of 67bp in price, with a Duration of 12.29 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 7\/14 to 5.09%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 385bp from the 375bp reported July 12<\/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>\n2,211.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,242.2<\/td>\n<\/tr>\n
Floater<\/td>\n11.00 %<\/td>\n11.22 %<\/td>\n45,535<\/td>\n8.65<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,444.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.7872 %<\/td>\n3,291.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.12 %<\/td>\n8.45 %<\/td>\n42,590<\/td>\n2.40<\/td>\n7<\/td>\n0.7872 %<\/td>\n3,930.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.7872 %<\/td>\n3,067.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1231 %<\/td>\n2,536.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.72 %<\/td>\n6.89 %<\/td>\n45,557<\/td>\n12.71<\/td>\n28<\/td>\n0.1231 %<\/td>\n2,765.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.82 %<\/td>\n8.43 %<\/td>\n80,054<\/td>\n11.18<\/td>\n64<\/td>\n0.3935 %<\/td>\n2,144.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.67 %<\/td>\n6.82 %<\/td>\n50,256<\/td>\n12.77<\/td>\n19<\/td>\n0.4891 %<\/td>\n2,695.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.40 %<\/td>\n11.10 %<\/td>\n35,798<\/td>\n8.73<\/td>\n2<\/td>\n0.6104 %<\/td>\n2,408.2<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.00 %<\/td>\n6.84 %<\/td>\n236,694<\/td>\n3.73<\/td>\n1<\/td>\n0.0000 %<\/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>\n0.3935 %<\/td>\n2,192.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.24 %<\/td>\n8.00 %<\/td>\n64,824<\/td>\n11.55<\/td>\n11<\/td>\n-0.1035 %<\/td>\n2,296.9<\/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
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n-2.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 8.03 %<\/td>\n<\/tr>\n
CM.PR.Y<\/td>\nFixedReset Disc<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 23.52
\nEvaluated at bid price : 24.05
\nBid-YTW : 7.56 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 12.75
\nEvaluated at bid price : 12.75
\nBid-YTW : 9.47 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 8.34 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 16.92
\nEvaluated at bid price : 16.92
\nBid-YTW : 10.22 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 17.93
\nEvaluated at bid price : 17.93
\nBid-YTW : 8.46 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 8.23 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 18.42
\nEvaluated at bid price : 18.42
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 8.43 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 12.95
\nEvaluated at bid price : 12.95
\nBid-YTW : 9.20 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 19.05
\nEvaluated at bid price : 19.05
\nBid-YTW : 8.71 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 16.45
\nEvaluated at bid price : 16.45
\nBid-YTW : 9.73 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 14.95
\nEvaluated at bid price : 14.95
\nBid-YTW : 11.10 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 16.81
\nEvaluated at bid price : 16.81
\nBid-YTW : 8.00 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 8.47 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 19.55
\nEvaluated at bid price : 19.55
\nBid-YTW : 9.52 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 8.21 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 13.74
\nEvaluated at bid price : 13.74
\nBid-YTW : 9.99 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n2.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.15
\nBid-YTW : 7.94 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n2.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.60
\nBid-YTW : 8.17 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n3.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n6.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 9.26 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n6.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 19.05
\nEvaluated at bid price : 19.05
\nBid-YTW : 6.91 %<\/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.D<\/td>\nFixedReset Disc<\/td>\n103,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 18.26
\nEvaluated at bid price : 18.26
\nBid-YTW : 8.41 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n74,295<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 18.42
\nEvaluated at bid price : 18.42
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n53,345<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 10.47 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n51,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n50,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset Disc<\/td>\n34,217<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 15.20
\nEvaluated at bid price : 15.20
\nBid-YTW : 10.07 %<\/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: 17.09 – 19.00
\nSpot Rate : 1.9100
\nAverage : 1.3714<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 17.09
\nEvaluated at bid price : 17.09
\nBid-YTW : 8.68 %<\/td>\n<\/tr>\n

BIP.PR.E<\/td>\nFixedReset Disc<\/td>\nQuote: 20.85 – 22.00
\nSpot Rate : 1.1500
\nAverage : 0.7069<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 8.21 %<\/td>\n<\/tr>\n

BN.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 19.88 – 20.90
\nSpot Rate : 1.0200
\nAverage : 0.6384<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 19.88
\nEvaluated at bid price : 19.88
\nBid-YTW : 8.57 %<\/td>\n<\/tr>\n

CU.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 16.80 – 18.12
\nSpot Rate : 1.3200
\nAverage : 0.9617<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 16.80
\nEvaluated at bid price : 16.80
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n

TD.PF.J<\/td>\nFixedReset Disc<\/td>\nQuote: 20.90 – 21.50
\nSpot Rate : 0.6000
\nAverage : 0.3477<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n

BN.PF.G<\/td>\nFixedReset Disc<\/td>\nQuote: 14.75 – 15.39
\nSpot Rate : 0.6400
\nAverage : 0.4040<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-19
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 10.47 %<\/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 5.14% on 2023-7-14 and since then the closing price has changed from 14.93 to 15.03, 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-45505","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45505","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=45505"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45505\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45505"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45505"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45505"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}