{"id":45659,"date":"2023-08-30T18:38:53","date_gmt":"2023-08-30T23:38:53","guid":{"rendered":"https:\/\/prefblog.com\/?p=45659"},"modified":"2023-08-30T18:38:53","modified_gmt":"2023-08-30T23:38:53","slug":"august-30-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45659","title":{"rendered":"August 30, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.40% on 2023-8-25 and since then the closing price has changed from 14.52 to 14.56, an increase of 28bp in price, with a Duration of 12.07 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 2bp since 8\/25 to 5.38%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained constant at the 390bp reported August 23<\/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>\n0.2202 %<\/td>\n2,199.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2202 %<\/td>\n4,218.1<\/td>\n<\/tr>\n
Floater<\/td>\n11.07 %<\/td>\n11.42 %<\/td>\n55,827<\/td>\n8.41<\/td>\n2<\/td>\n0.2202 %<\/td>\n2,430.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6297 %<\/td>\n3,338.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.05 %<\/td>\n7.23 %<\/td>\n45,136<\/td>\n2.04<\/td>\n8<\/td>\n-0.6297 %<\/td>\n3,986.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6297 %<\/td>\n3,110.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2167 %<\/td>\n2,464.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.96 %<\/td>\n7.14 %<\/td>\n48,829<\/td>\n12.32<\/td>\n31<\/td>\n-0.2167 %<\/td>\n2,687.0<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n6.08 %<\/td>\n9.14 %<\/td>\n102,355<\/td>\n10.63<\/td>\n56<\/td>\n0.0325 %<\/td>\n2,059.1<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.91 %<\/td>\n6.98 %<\/td>\n57,796<\/td>\n12.65<\/td>\n18<\/td>\n-0.6611 %<\/td>\n2,603.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.23 %<\/td>\n11.27 %<\/td>\n39,977<\/td>\n8.71<\/td>\n1<\/td>\n1.0239 %<\/td>\n2,380.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n7.08 %<\/td>\n7.40 %<\/td>\n217,704<\/td>\n3.60<\/td>\n1<\/td>\n-0.2414 %<\/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>\n0.0325 %<\/td>\n2,104.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.59 %<\/td>\n8.56 %<\/td>\n101,509<\/td>\n11.01<\/td>\n10<\/td>\n0.0228 %<\/td>\n2,243.2<\/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\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
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-3.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 7.14 %<\/td>\n<\/tr>\n
BMO.PR.F<\/td>\nFixedReset Disc<\/td>\n-2.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 22.26
\nEvaluated at bid price : 23.03
\nBid-YTW : 8.19 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n-2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.80
\nBid-YTW : 7.85 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n-2.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 16.07
\nEvaluated at bid price : 16.07
\nBid-YTW : 7.06 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 19.39
\nEvaluated at bid price : 19.39
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 11.81
\nEvaluated at bid price : 11.81
\nBid-YTW : 9.83 %<\/td>\n<\/tr>\n
TD.PF.M<\/td>\nFixedReset Disc<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 22.63
\nEvaluated at bid price : 23.18
\nBid-YTW : 8.18 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 16.55
\nEvaluated at bid price : 16.55
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 18.12
\nEvaluated at bid price : 18.12
\nBid-YTW : 8.99 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 7.02 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 16.86
\nEvaluated at bid price : 16.86
\nBid-YTW : 9.31 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 16.78
\nEvaluated at bid price : 16.78
\nBid-YTW : 9.20 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 14.80
\nEvaluated at bid price : 14.80
\nBid-YTW : 11.27 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.99
\nEvaluated at bid price : 17.99
\nBid-YTW : 10.16 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 9.83 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.15
\nEvaluated at bid price : 17.15
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 16.40
\nEvaluated at bid price : 16.40
\nBid-YTW : 7.41 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 8.54 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 10.34 %<\/td>\n<\/tr>\n
IFC.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 19.15
\nEvaluated at bid price : 19.15
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nInsurance Straight<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 7.17 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.55
\nEvaluated at bid price : 17.55
\nBid-YTW : 9.13 %<\/td>\n<\/tr>\n
BN.PF.A<\/td>\nFixedReset Disc<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 9.27 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.26
\nEvaluated at bid price : 17.26
\nBid-YTW : 9.29 %<\/td>\n<\/tr>\n
BIP.PR.B<\/td>\nFixedReset Disc<\/td>\n2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 21.15
\nEvaluated at bid price : 21.15
\nBid-YTW : 9.47 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n2.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 9.50 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n3.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.56
\nEvaluated at bid price : 17.56
\nBid-YTW : 9.14 %<\/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
BN.PR.K<\/td>\nFloater<\/td>\n126,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 11.36
\nEvaluated at bid price : 11.36
\nBid-YTW : 11.46 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nInsurance Straight<\/td>\n79,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.38
\nEvaluated at bid price : 17.38
\nBid-YTW : 6.99 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n76,420<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 16.64
\nEvaluated at bid price : 16.64
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n73,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 15.51
\nEvaluated at bid price : 15.51
\nBid-YTW : 11.03 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n49,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 17.35
\nEvaluated at bid price : 17.35
\nBid-YTW : 9.31 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n47,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 13.85
\nEvaluated at bid price : 13.85
\nBid-YTW : 11.32 %<\/td>\n<\/tr>\n
There were 28 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
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.50 – 18.00
\nSpot Rate : 1.5000
\nAverage : 0.9860<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 9.44 %<\/td>\n<\/tr>\n

BMO.PR.F<\/td>\nFixedReset Disc<\/td>\nQuote: 23.03 – 23.92
\nSpot Rate : 0.8900
\nAverage : 0.5379<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 22.26
\nEvaluated at bid price : 23.03
\nBid-YTW : 8.19 %<\/td>\n<\/tr>\n

TD.PF.L<\/td>\nFixedReset Disc<\/td>\nQuote: 22.72 – 23.96
\nSpot Rate : 1.2400
\nAverage : 0.9566<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 22.09
\nEvaluated at bid price : 22.72
\nBid-YTW : 8.10 %<\/td>\n<\/tr>\n

POW.PR.C<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.70 – 21.50
\nSpot Rate : 0.8000
\nAverage : 0.5306<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-08-30
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 7.14 %<\/td>\n<\/tr>\n

PVS.PR.J<\/td>\nSplitShare<\/td>\nQuote: 21.80 – 22.60
\nSpot Rate : 0.8000
\nAverage : 0.5682<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.80
\nBid-YTW : 7.85 %<\/td>\n<\/tr>\n

PVS.PR.H<\/td>\nSplitShare<\/td>\nQuote: 22.90 – 23.50
\nSpot Rate : 0.6000
\nAverage : 0.4444<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.90
\nBid-YTW : 7.48 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.40% on 2023-8-25 and since then the closing price has changed from 14.52 to 14.56, 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-45659","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45659","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=45659"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45659\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45659"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45659"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45659"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}