{"id":45550,"date":"2023-08-02T19:44:29","date_gmt":"2023-08-03T00:44:29","guid":{"rendered":"https:\/\/prefblog.com\/?p=45550"},"modified":"2023-08-02T19:44:29","modified_gmt":"2023-08-03T00:44:29","slug":"august-2-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45550","title":{"rendered":"August 2, 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 14.67, a decrease of 207bp 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 17bp since 7\/21 to 5.33%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 350bp from the 360bp reported July 26<\/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-1.3652 %<\/td>\n2,233.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.3652 %<\/td>\n4,283.0<\/td>\n<\/tr>\n
Floater<\/td>\n10.90 %<\/td>\n11.16 %<\/td>\n48,450<\/td>\n8.65<\/td>\n1<\/td>\n-1.3652 %<\/td>\n2,468.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1103 %<\/td>\n3,351.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.03 %<\/td>\n7.74 %<\/td>\n46,479<\/td>\n2.36<\/td>\n7<\/td>\n-0.1103 %<\/td>\n4,002.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1103 %<\/td>\n3,122.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2286 %<\/td>\n2,557.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.66 %<\/td>\n6.81 %<\/td>\n48,363<\/td>\n12.81<\/td>\n28<\/td>\n-0.2286 %<\/td>\n2,788.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.80 %<\/td>\n8.57 %<\/td>\n84,464<\/td>\n11.07<\/td>\n64<\/td>\n-0.1449 %<\/td>\n2,150.2<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.64 %<\/td>\n6.78 %<\/td>\n55,405<\/td>\n12.78<\/td>\n19<\/td>\n-0.0619 %<\/td>\n2,710.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.62 %<\/td>\n11.37 %<\/td>\n34,989<\/td>\n8.51<\/td>\n2<\/td>\n-1.6156 %<\/td>\n2,372.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.01 %<\/td>\n6.95 %<\/td>\n234,851<\/td>\n3.69<\/td>\n1<\/td>\n-0.0399 %<\/td>\n2,305.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1449 %<\/td>\n2,197.9<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.18 %<\/td>\n8.03 %<\/td>\n65,755<\/td>\n11.48<\/td>\n11<\/td>\n0.4743 %<\/td>\n2,319.3<\/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\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-3.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 14.72
\nEvaluated at bid price : 14.72
\nBid-YTW : 11.37 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 16.77
\nEvaluated at bid price : 16.77
\nBid-YTW : 8.21 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n-2.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 18.32
\nEvaluated at bid price : 18.32
\nBid-YTW : 6.93 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n-2.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.57
\nEvaluated at bid price : 17.57
\nBid-YTW : 8.84 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n-1.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 9.14 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 8.56 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 5.79 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.21
\nBid-YTW : 7.94 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nInsurance Straight<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 11.56
\nEvaluated at bid price : 11.56
\nBid-YTW : 11.16 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.73
\nEvaluated at bid price : 17.73
\nBid-YTW : 8.43 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.76
\nEvaluated at bid price : 17.76
\nBid-YTW : 8.67 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 8.01 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 9.00 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 12.56
\nEvaluated at bid price : 12.56
\nBid-YTW : 9.16 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 13.97
\nEvaluated at bid price : 13.97
\nBid-YTW : 10.08 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 12.29
\nEvaluated at bid price : 12.29
\nBid-YTW : 9.95 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n3.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 21.69
\nEvaluated at bid price : 22.15
\nBid-YTW : 8.07 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n4.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 11.08
\nEvaluated at bid price : 11.08
\nBid-YTW : 10.81 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n9.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 8.82 %<\/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.B<\/td>\nFixedReset Disc<\/td>\n79,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.90
\nEvaluated at bid price : 17.90
\nBid-YTW : 8.57 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n75,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 8.73 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n48,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n35,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.90
\nEvaluated at bid price : 17.90
\nBid-YTW : 8.57 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n29,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 18.10
\nEvaluated at bid price : 18.10
\nBid-YTW : 8.59 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n25,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.68
\nEvaluated at bid price : 17.68
\nBid-YTW : 8.60 %<\/td>\n<\/tr>\n
There were 4 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
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\nQuote: 17.57 – 25.08
\nSpot Rate : 7.5100
\nAverage : 4.2658<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.57
\nEvaluated at bid price : 17.57
\nBid-YTW : 8.84 %<\/td>\n<\/tr>\n

BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 16.30 – 19.00
\nSpot Rate : 2.7000
\nAverage : 1.8825<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 10.27 %<\/td>\n<\/tr>\n

MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\nQuote: 20.15 – 22.00
\nSpot Rate : 1.8500
\nAverage : 1.0700<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 8.00 %<\/td>\n<\/tr>\n

MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.90 – 20.45
\nSpot Rate : 3.5500
\nAverage : 2.8621<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 9.14 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset Disc<\/td>\nQuote: 17.73 – 18.75
\nSpot Rate : 1.0200
\nAverage : 0.5990<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 17.73
\nEvaluated at bid price : 17.73
\nBid-YTW : 8.43 %<\/td>\n<\/tr>\n

TD.PF.D<\/td>\nFixedReset Disc<\/td>\nQuote: 18.27 – 19.30
\nSpot Rate : 1.0300
\nAverage : 0.6527<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-02
\nMaturity Price : 18.27
\nEvaluated at bid price : 18.27
\nBid-YTW : 8.62 %<\/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 14.67, 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-45550","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45550","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=45550"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45550\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45550"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45550"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45550"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}