{"id":45610,"date":"2023-08-16T20:50:49","date_gmt":"2023-08-17T01:50:49","guid":{"rendered":"https:\/\/prefblog.com\/?p=45610"},"modified":"2023-08-16T20:50:49","modified_gmt":"2023-08-17T01:50:49","slug":"august-16-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45610","title":{"rendered":"August 16, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 6.93%, equivalent to 9.01% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.17% on 2023-7-31 (see below) and since then the closing price has changed from 14.92 to 14.32, a decrease of 402bp 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 33bp since 7\/31 to 5.50%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained steady at the 350bp reported August 9<\/a>.<\/p>\n

I’m not too sure about BMO’s current claim that ZLC had an average yield-to-maturity of 5.17% on 2023-7-31. On August 9<\/a> I reported their claim that the average yield on that date was 5.26%.<\/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>\n0.1729 %<\/td>\n2,239.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1729 %<\/td>\n4,295.9<\/td>\n<\/tr>\n
Floater<\/td>\n10.87 %<\/td>\n11.17 %<\/td>\n42,291<\/td>\n8.60<\/td>\n2<\/td>\n0.1729 %<\/td>\n2,475.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4680 %<\/td>\n3,387.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.98 %<\/td>\n7.16 %<\/td>\n42,906<\/td>\n2.05<\/td>\n8<\/td>\n0.4680 %<\/td>\n4,044.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4680 %<\/td>\n3,155.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5931 %<\/td>\n2,524.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.80 %<\/td>\n6.93 %<\/td>\n44,352<\/td>\n12.63<\/td>\n31<\/td>\n-0.5931 %<\/td>\n2,752.3<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.86 %<\/td>\n8.72 %<\/td>\n90,706<\/td>\n10.92<\/td>\n56<\/td>\n0.1454 %<\/td>\n2,134.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.65 %<\/td>\n6.81 %<\/td>\n51,498<\/td>\n12.73<\/td>\n18<\/td>\n0.1402 %<\/td>\n2,704.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n10.91 %<\/td>\n11.22 %<\/td>\n38,760<\/td>\n8.58<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,428.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.01 %<\/td>\n7.04 %<\/td>\n224,664<\/td>\n3.65<\/td>\n1<\/td>\n0.1599 %<\/td>\n2,304.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1454 %<\/td>\n2,181.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.37 %<\/td>\n8.17 %<\/td>\n81,709<\/td>\n11.29<\/td>\n10<\/td>\n0.0715 %<\/td>\n2,321.1<\/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\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-9.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 15.90
\nEvaluated at bid price : 15.90
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-6.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 7.25 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 9.55 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 21.01
\nEvaluated at bid price : 21.01
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 8.11 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nInsurance Straight<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
CM.PR.Y<\/td>\nFixedReset Disc<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 23.18
\nEvaluated at bid price : 23.75
\nBid-YTW : 7.93 %<\/td>\n<\/tr>\n
BNS.PR.I<\/td>\nFixedReset Disc<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.25
\nEvaluated at bid price : 17.25
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.57
\nEvaluated at bid price : 17.57
\nBid-YTW : 8.81 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.43
\nEvaluated at bid price : 17.43
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 8.89 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n2.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 9.57 %<\/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
BNS.PR.I<\/td>\nFixedReset Disc<\/td>\n38,378<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n29,321<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 9.57 %<\/td>\n<\/tr>\n
PVS.PR.F<\/td>\nSplitShare<\/td>\n25,370<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2024-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.65
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n24,254<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 8.71 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n19,830<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 8.97 %<\/td>\n<\/tr>\n
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n15,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 7.76 %<\/td>\n<\/tr>\n
There were 3 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.S<\/td>\nPerpetual-Discount<\/td>\nQuote: 15.90 – 17.80
\nSpot Rate : 1.9000
\nAverage : 1.0889<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 15.90
\nEvaluated at bid price : 15.90
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n

CU.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.00 – 18.10
\nSpot Rate : 1.1000
\nAverage : 0.6464<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 7.25 %<\/td>\n<\/tr>\n

CU.PR.C<\/td>\nFixedReset Disc<\/td>\nQuote: 17.13 – 18.50
\nSpot Rate : 1.3700
\nAverage : 0.9674<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 17.13
\nEvaluated at bid price : 17.13
\nBid-YTW : 8.94 %<\/td>\n<\/tr>\n

MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.75 – 20.38
\nSpot Rate : 0.6300
\nAverage : 0.3966<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 8.11 %<\/td>\n<\/tr>\n

NA.PR.W<\/td>\nFixedReset Disc<\/td>\nQuote: 16.65 – 17.49
\nSpot Rate : 0.8400
\nAverage : 0.6736<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-16
\nMaturity Price : 16.65
\nEvaluated at bid price : 16.65
\nBid-YTW : 9.13 %<\/td>\n<\/tr>\n

PVS.PR.H<\/td>\nSplitShare<\/td>\nQuote: 23.40 – 23.97
\nSpot Rate : 0.5700
\nAverage : 0.4040<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.40
\nBid-YTW : 7.11 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.93%, equivalent to 9.01% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.17% on 2023-7-31 (see below) and since then the closing price has changed from 14.92 to 14.32, …<\/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-45610","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45610","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=45610"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45610\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45610"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45610"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45610"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}