{"id":45634,"date":"2023-08-23T21:35:28","date_gmt":"2023-08-24T02:35:28","guid":{"rendered":"https:\/\/prefblog.com\/?p=45634"},"modified":"2023-08-23T21:35:28","modified_gmt":"2023-08-24T02:35:28","slug":"august-23-2023-2","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45634","title":{"rendered":"August 23, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 7.13%, equivalent to 9.27% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.43% on 2023-8-18 and since then the closing price has changed from 14.45 to 14.57, an increase of 83bp in price, with a Duration of 12.05 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 7bp since 8\/18 to 5.36%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has roared up to 390bp from the 350bp reported August 16<\/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>\n2,213.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,245.9<\/td>\n<\/tr>\n
Floater<\/td>\n11.00 %<\/td>\n11.29 %<\/td>\n55,757<\/td>\n8.51<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,446.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.8202 %<\/td>\n3,349.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.03 %<\/td>\n7.23 %<\/td>\n42,574<\/td>\n2.06<\/td>\n8<\/td>\n0.8202 %<\/td>\n4,000.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.8202 %<\/td>\n3,121.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2385 %<\/td>\n2,466.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.96 %<\/td>\n7.13 %<\/td>\n47,247<\/td>\n12.38<\/td>\n31<\/td>\n0.2385 %<\/td>\n2,689.3<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n6.00 %<\/td>\n9.14 %<\/td>\n95,963<\/td>\n10.59<\/td>\n56<\/td>\n0.1059 %<\/td>\n2,086.3<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.84 %<\/td>\n7.02 %<\/td>\n55,472<\/td>\n12.45<\/td>\n18<\/td>\n0.2150 %<\/td>\n2,629.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n10.94 %<\/td>\n11.27 %<\/td>\n36,481<\/td>\n8.52<\/td>\n1<\/td>\n0.5956 %<\/td>\n2,444.8<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.08 %<\/td>\n7.36 %<\/td>\n225,228<\/td>\n3.62<\/td>\n1<\/td>\n1.5561 %<\/td>\n2,281.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1059 %<\/td>\n2,132.6<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.56 %<\/td>\n8.53 %<\/td>\n89,239<\/td>\n11.12<\/td>\n10<\/td>\n0.0737 %<\/td>\n2,253.6<\/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
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n-2.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.32
\nEvaluated at bid price : 17.32
\nBid-YTW : 9.17 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 16.05
\nEvaluated at bid price : 16.05
\nBid-YTW : 9.62 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n-1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 19.01
\nEvaluated at bid price : 19.01
\nBid-YTW : 6.98 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 14.35
\nEvaluated at bid price : 14.35
\nBid-YTW : 11.37 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 16.55
\nEvaluated at bid price : 16.55
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 9.14 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 16.25
\nEvaluated at bid price : 16.25
\nBid-YTW : 7.13 %<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 20.26
\nEvaluated at bid price : 20.26
\nBid-YTW : 7.19 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Disc<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 21.62
\nEvaluated at bid price : 21.98
\nBid-YTW : 7.85 %<\/td>\n<\/tr>\n
PWF.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 7.17 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 6.93 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.30
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 18.28
\nEvaluated at bid price : 18.28
\nBid-YTW : 8.89 %<\/td>\n<\/tr>\n
NA.PR.C<\/td>\nFixedReset Prem<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2027-11-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.80
\nBid-YTW : 7.36 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 9.06 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 9.49 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.20
\nBid-YTW : 7.35 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n2.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.81
\nBid-YTW : 8.16 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n2.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 16.15
\nEvaluated at bid price : 16.15
\nBid-YTW : 9.66 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n3.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 14.15
\nEvaluated at bid price : 14.15
\nBid-YTW : 11.21 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Disc<\/td>\n4.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 22.33
\nEvaluated at bid price : 23.00
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n7.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 16.49
\nEvaluated at bid price : 16.49
\nBid-YTW : 6.96 %<\/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
POW.PR.G<\/td>\nPerpetual-Discount<\/td>\n111,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 19.85
\nEvaluated at bid price : 19.85
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n65,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 9.34 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n51,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 16.16
\nEvaluated at bid price : 16.16
\nBid-YTW : 9.61 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n49,831<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 9.14 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n38,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.25
\nEvaluated at bid price : 17.25
\nBid-YTW : 9.28 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n37,505<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.81
\nEvaluated at bid price : 17.81
\nBid-YTW : 7.14 %<\/td>\n<\/tr>\n
There were 24 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
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.70 – 22.12
\nSpot Rate : 4.4200
\nAverage : 2.4221<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n

POW.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.04 – 21.50
\nSpot Rate : 1.4600
\nAverage : 0.8448<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 20.04
\nEvaluated at bid price : 20.04
\nBid-YTW : 7.11 %<\/td>\n<\/tr>\n

GWO.PR.P<\/td>\nInsurance Straight<\/td>\nQuote: 19.44 – 20.47
\nSpot Rate : 1.0300
\nAverage : 0.6544<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 19.44
\nEvaluated at bid price : 19.44
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 18.63 – 19.50
\nSpot Rate : 0.8700
\nAverage : 0.5459<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 18.63
\nEvaluated at bid price : 18.63
\nBid-YTW : 7.14 %<\/td>\n<\/tr>\n

BIP.PR.B<\/td>\nFixedReset Disc<\/td>\nQuote: 21.10 – 21.95
\nSpot Rate : 0.8500
\nAverage : 0.5389<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 9.72 %<\/td>\n<\/tr>\n

MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.45 – 22.22
\nSpot Rate : 2.7700
\nAverage : 2.4756<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-23
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 8.34 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 7.13%, equivalent to 9.27% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.43% on 2023-8-18 and since then the closing price has changed from 14.45 to 14.57, 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-45634","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45634","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=45634"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45634\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45634"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45634"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45634"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}