{"id":45524,"date":"2023-07-26T20:45:34","date_gmt":"2023-07-27T01:45:34","guid":{"rendered":"https:\/\/prefblog.com\/?p=45524"},"modified":"2023-07-26T20:45:34","modified_gmt":"2023-07-27T01:45:34","slug":"july-26-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45524","title":{"rendered":"July 26, 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 5.16% on 2023-7-21 and since then the closing price has changed from 14.98 to 14.86, a decrease of 80bp in price, with a Duration of 12.27 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 7bp since 7\/21 to 5.23%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed dramatically to 360bp from the 385bp reported July 19<\/a>.<\/p>\n

The Fed hiked the policy rate again<\/a>:<\/p>\n

Recent indicators suggest that economic activity has been expanding at a moderate pace. Job gains have been robust in recent months, and the unemployment rate has remained low. Inflation remains elevated.<\/p>\n

The U.S. banking system is sound and resilient. Tighter credit conditions for households and businesses are likely to weigh on economic activity, hiring, and inflation. The extent of these effects remains uncertain. The Committee remains highly attentive to inflation risks.<\/p>\n

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 5-1\/4 to 5-1\/2 percent. The Committee will continue to assess additional information and its implications for monetary policy. In determining the extent of additional policy firming that may be appropriate to return inflation to 2 percent over time, the Committee will take into account the cumulative tightening of monetary policy, the lags with which monetary policy affects economic activity and inflation, and economic and financial developments. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.<\/p>\n

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.<\/p>\n

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michael S. Barr; Michelle W. Bowman; Lisa D. Cook; Austan D. Goolsbee; Patrick Harker; Philip N. Jefferson; Neel Kashkari; Lorie K. Logan; and Christopher J. Waller.<\/p><\/blockquote>\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-0.0843 %<\/td>\n2,289.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0843 %<\/td>\n4,390.4<\/td>\n<\/tr>\n
Floater<\/td>\n10.63 %<\/td>\n10.85 %<\/td>\n48,404<\/td>\n8.88<\/td>\n1<\/td>\n-0.0843 %<\/td>\n2,530.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2017 %<\/td>\n3,357.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.02 %<\/td>\n7.80 %<\/td>\n49,262<\/td>\n2.38<\/td>\n7<\/td>\n-0.2017 %<\/td>\n4,009.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2017 %<\/td>\n3,128.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0961 %<\/td>\n2,555.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.67 %<\/td>\n6.81 %<\/td>\n47,188<\/td>\n12.81<\/td>\n28<\/td>\n-0.0961 %<\/td>\n2,786.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.79 %<\/td>\n8.50 %<\/td>\n85,917<\/td>\n11.17<\/td>\n64<\/td>\n0.0068 %<\/td>\n2,156.2<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.59 %<\/td>\n6.76 %<\/td>\n55,748<\/td>\n12.85<\/td>\n19<\/td>\n0.0251 %<\/td>\n2,730.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.42 %<\/td>\n11.13 %<\/td>\n37,469<\/td>\n8.68<\/td>\n2<\/td>\n-0.1343 %<\/td>\n2,414.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.00 %<\/td>\n6.86 %<\/td>\n259,412<\/td>\n3.71<\/td>\n1<\/td>\n0.3998 %<\/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>\n0.0068 %<\/td>\n2,204.1<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.19 %<\/td>\n7.99 %<\/td>\n62,035<\/td>\n11.54<\/td>\n11<\/td>\n0.0617 %<\/td>\n2,314.4<\/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\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-6.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 20.52
\nEvaluated at bid price : 20.52
\nBid-YTW : 7.24 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 11.41
\nEvaluated at bid price : 11.41
\nBid-YTW : 10.40 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.91
\nEvaluated at bid price : 17.91
\nBid-YTW : 8.32 %<\/td>\n<\/tr>\n
BMO.PR.F<\/td>\nFixedReset Disc<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 23.64
\nEvaluated at bid price : 24.22
\nBid-YTW : 7.67 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset Disc<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 16.68
\nEvaluated at bid price : 16.68
\nBid-YTW : 9.01 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.67
\nEvaluated at bid price : 17.67
\nBid-YTW : 8.52 %<\/td>\n<\/tr>\n
PVS.PR.G<\/td>\nSplitShare<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2026-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.45
\nBid-YTW : 7.92 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 12.00
\nEvaluated at bid price : 12.00
\nBid-YTW : 10.05 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 16.85
\nEvaluated at bid price : 16.85
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
PVS.PR.F<\/td>\nSplitShare<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2024-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.29
\nBid-YTW : 7.98 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 14.70
\nEvaluated at bid price : 14.70
\nBid-YTW : 9.30 %<\/td>\n<\/tr>\n
TD.PF.M<\/td>\nFixedReset Disc<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 23.11
\nEvaluated at bid price : 23.66
\nBid-YTW : 7.78 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 6.84 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 8.26 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 12.95
\nEvaluated at bid price : 12.95
\nBid-YTW : 9.50 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 19.15
\nEvaluated at bid price : 19.15
\nBid-YTW : 8.07 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 22.13
\nEvaluated at bid price : 22.80
\nBid-YTW : 8.60 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 9.56 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 8.13 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.41
\nEvaluated at bid price : 17.41
\nBid-YTW : 8.59 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 18.48
\nEvaluated at bid price : 18.48
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n2.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 13.80
\nEvaluated at bid price : 13.80
\nBid-YTW : 10.14 %<\/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.E<\/td>\nFixedReset Disc<\/td>\n38,602<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 8.39 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset Disc<\/td>\n34,215<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 15.60
\nEvaluated at bid price : 15.60
\nBid-YTW : 9.99 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n26,795<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.95
\nEvaluated at bid price : 17.95
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n24,218<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 19.15
\nEvaluated at bid price : 19.15
\nBid-YTW : 8.07 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n24,074<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 20.17
\nEvaluated at bid price : 20.17
\nBid-YTW : 7.93 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n18,129<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.41
\nEvaluated at bid price : 17.41
\nBid-YTW : 8.59 %<\/td>\n<\/tr>\n
There were 5 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.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.52 – 22.03
\nSpot Rate : 1.5100
\nAverage : 0.8995<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 20.52
\nEvaluated at bid price : 20.52
\nBid-YTW : 7.24 %<\/td>\n<\/tr>\n

CU.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.81 – 19.00
\nSpot Rate : 1.1900
\nAverage : 0.7143<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.81
\nEvaluated at bid price : 17.81
\nBid-YTW : 6.80 %<\/td>\n<\/tr>\n

BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 16.07 – 19.00
\nSpot Rate : 2.9300
\nAverage : 2.5472<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 16.07
\nEvaluated at bid price : 16.07
\nBid-YTW : 10.31 %<\/td>\n<\/tr>\n

CU.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.08 – 18.12
\nSpot Rate : 1.0400
\nAverage : 0.7379<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 17.08
\nEvaluated at bid price : 17.08
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n

CM.PR.Q<\/td>\nFixedReset Disc<\/td>\nQuote: 18.13 – 19.00
\nSpot Rate : 0.8700
\nAverage : 0.5993<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 18.13
\nEvaluated at bid price : 18.13
\nBid-YTW : 8.49 %<\/td>\n<\/tr>\n

NA.PR.E<\/td>\nFixedReset Disc<\/td>\nQuote: 20.30 – 20.89
\nSpot Rate : 0.5900
\nAverage : 0.3886<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-07-26
\nMaturity Price : 20.30
\nEvaluated at bid price : 20.30
\nBid-YTW : 8.03 %<\/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 5.16% on 2023-7-21 and since then the closing price has changed from 14.98 to 14.86, 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-45524","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45524","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=45524"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45524\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45524"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45524"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45524"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}