{"id":45578,"date":"2023-08-09T19:17:12","date_gmt":"2023-08-10T00:17:12","guid":{"rendered":"https:\/\/prefblog.com\/?p=45578"},"modified":"2023-08-09T19:17:12","modified_gmt":"2023-08-10T00:17:12","slug":"august-9-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45578","title":{"rendered":"August 9, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 6.84%, equivalent to 8.89% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.26% on 2023-7-31 and since then the closing price has changed from 14.92 to 14.71, a decrease of 141bp in price, with a Duration of 12.26 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 12bp since 7\/31 to 5.38%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained steady at the 350bp reported August 2<\/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>\n0.1737 %<\/td>\n2,229.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1737 %<\/td>\n4,275.5<\/td>\n<\/tr>\n
Floater<\/td>\n10.92 %<\/td>\n11.19 %<\/td>\n35,349<\/td>\n8.61<\/td>\n2<\/td>\n0.1737 %<\/td>\n2,464.0<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0588 %<\/td>\n3,352.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.03 %<\/td>\n7.73 %<\/td>\n41,290<\/td>\n2.07<\/td>\n8<\/td>\n-0.0588 %<\/td>\n4,003.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0588 %<\/td>\n3,123.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1382 %<\/td>\n2,563.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.69 %<\/td>\n6.84 %<\/td>\n45,486<\/td>\n12.77<\/td>\n31<\/td>\n0.1382 %<\/td>\n2,795.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.87 %<\/td>\n8.46 %<\/td>\n92,297<\/td>\n11.20<\/td>\n56<\/td>\n-0.1919 %<\/td>\n2,138.6<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.61 %<\/td>\n6.75 %<\/td>\n56,046<\/td>\n12.83<\/td>\n18<\/td>\n0.4311 %<\/td>\n2,722.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.15 %<\/td>\n11.45 %<\/td>\n32,407<\/td>\n8.44<\/td>\n1<\/td>\n-1.9934 %<\/td>\n2,372.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.02 %<\/td>\n7.03 %<\/td>\n241,252<\/td>\n3.67<\/td>\n1<\/td>\n0.0800 %<\/td>\n2,301.7<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1919 %<\/td>\n2,186.1<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.39 %<\/td>\n7.98 %<\/td>\n78,577<\/td>\n11.50<\/td>\n10<\/td>\n0.3594 %<\/td>\n2,316.2<\/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
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n-4.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 8.76 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n-4.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.48
\nEvaluated at bid price : 17.48
\nBid-YTW : 7.16 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n-2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.83
\nEvaluated at bid price : 17.83
\nBid-YTW : 8.32 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-1.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 11.45 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 13.30
\nEvaluated at bid price : 13.30
\nBid-YTW : 10.41 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 9.27 %<\/td>\n<\/tr>\n
TD.PF.M<\/td>\nFixedReset Disc<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 23.45
\nEvaluated at bid price : 24.00
\nBid-YTW : 7.64 %<\/td>\n<\/tr>\n
BN.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 13.55
\nEvaluated at bid price : 13.55
\nBid-YTW : 10.20 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 14.03
\nEvaluated at bid price : 14.03
\nBid-YTW : 9.69 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 8.38 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.83
\nEvaluated at bid price : 17.83
\nBid-YTW : 8.46 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 16.05
\nEvaluated at bid price : 16.05
\nBid-YTW : 10.27 %<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 21.03
\nEvaluated at bid price : 21.03
\nBid-YTW : 6.91 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 12.50
\nEvaluated at bid price : 12.50
\nBid-YTW : 9.04 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 7.48 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 6.85 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 10.28 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 21.60
\nEvaluated at bid price : 21.60
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n2.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 7.83 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n3.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n5.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 8.40 %<\/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>\n72,756<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.96
\nEvaluated at bid price : 17.96
\nBid-YTW : 8.40 %<\/td>\n<\/tr>\n
TD.PF.J<\/td>\nFixedReset Disc<\/td>\n70,069<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 20.84
\nEvaluated at bid price : 20.84
\nBid-YTW : 7.63 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n66,925<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 8.31 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n66,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 16.57
\nEvaluated at bid price : 16.57
\nBid-YTW : 8.99 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n61,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 16.80
\nEvaluated at bid price : 16.80
\nBid-YTW : 9.05 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n56,640<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 7.83 %<\/td>\n<\/tr>\n
There were 48 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.K<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.48 – 18.48
\nSpot Rate : 1.0000
\nAverage : 0.6102<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.48
\nEvaluated at bid price : 17.48
\nBid-YTW : 7.16 %<\/td>\n<\/tr>\n

BN.PR.R<\/td>\nFixedReset Disc<\/td>\nQuote: 13.30 – 14.43
\nSpot Rate : 1.1300
\nAverage : 0.8125<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 13.30
\nEvaluated at bid price : 13.30
\nBid-YTW : 10.41 %<\/td>\n<\/tr>\n

BIP.PR.F<\/td>\nFixedReset Disc<\/td>\nQuote: 19.50 – 20.37
\nSpot Rate : 0.8700
\nAverage : 0.5615<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 8.76 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.80 – 17.64
\nSpot Rate : 0.8400
\nAverage : 0.5376<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 16.80
\nEvaluated at bid price : 16.80
\nBid-YTW : 8.08 %<\/td>\n<\/tr>\n

CU.PR.C<\/td>\nFixedReset Disc<\/td>\nQuote: 17.37 – 18.60
\nSpot Rate : 1.2300
\nAverage : 0.9614<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 17.37
\nEvaluated at bid price : 17.37
\nBid-YTW : 8.61 %<\/td>\n<\/tr>\n

TD.PF.M<\/td>\nFixedReset Disc<\/td>\nQuote: 24.00 – 24.57
\nSpot Rate : 0.5700
\nAverage : 0.3711<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-09
\nMaturity Price : 23.45
\nEvaluated at bid price : 24.00
\nBid-YTW : 7.64 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.84%, equivalent to 8.89% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.26% on 2023-7-31 and since then the closing price has changed from 14.92 to 14.71, 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-45578","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45578","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=45578"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45578\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45578"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45578"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45578"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}