{"id":45703,"date":"2023-09-06T19:47:26","date_gmt":"2023-09-07T00:47:26","guid":{"rendered":"https:\/\/prefblog.com\/?p=45703"},"modified":"2023-09-06T19:47:26","modified_gmt":"2023-09-07T00:47:26","slug":"september-6-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45703","title":{"rendered":"September 6, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 7.04%, equivalent to 9.15% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.29% on 2023-8-31 and since then the closing price has changed from 14.59 to 14.37, a decrease of 151bp in price, with a Duration of 12.15 (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 8\/31 to 5.41%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 375bp from the 390bp reported August 30<\/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>\n2,212.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,244.0<\/td>\n<\/tr>\n
Floater<\/td>\n11.00 %<\/td>\n11.39 %<\/td>\n47,449<\/td>\n8.41<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,445.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1669 %<\/td>\n3,325.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.08 %<\/td>\n7.66 %<\/td>\n40,254<\/td>\n2.30<\/td>\n7<\/td>\n-0.1669 %<\/td>\n3,971.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1669 %<\/td>\n3,098.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1949 %<\/td>\n2,502.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.83 %<\/td>\n7.04 %<\/td>\n47,182<\/td>\n12.46<\/td>\n33<\/td>\n0.1949 %<\/td>\n2,728.8<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n6.08 %<\/td>\n9.03 %<\/td>\n100,658<\/td>\n10.77<\/td>\n55<\/td>\n-0.2135 %<\/td>\n2,069.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.88 %<\/td>\n6.94 %<\/td>\n63,298<\/td>\n12.70<\/td>\n17<\/td>\n0.2133 %<\/td>\n2,616.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.36 %<\/td>\n11.42 %<\/td>\n37,459<\/td>\n8.60<\/td>\n1<\/td>\n-0.0687 %<\/td>\n2,340.3<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2135 %<\/td>\n2,267.5<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2135 %<\/td>\n2,115.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.39 %<\/td>\n8.41 %<\/td>\n127,153<\/td>\n11.04<\/td>\n11<\/td>\n-0.0265 %<\/td>\n2,246.8<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BN.PF.D<\/td>\nPerpetual-Discount<\/td>\n-5.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.62
\nEvaluated at bid price : 16.62
\nBid-YTW : 7.55 %<\/td>\n<\/tr>\n
PVS.PR.G<\/td>\nSplitShare<\/td>\n-1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2026-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.25
\nBid-YTW : 8.12 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 9.47 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n-1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 9.32 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n-1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 7.92 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 20.12
\nEvaluated at bid price : 20.12
\nBid-YTW : 8.57 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 9.82 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 8.76 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.98
\nEvaluated at bid price : 16.98
\nBid-YTW : 7.31 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 17.06
\nEvaluated at bid price : 17.06
\nBid-YTW : 9.29 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Disc<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 22.03
\nEvaluated at bid price : 22.51
\nBid-YTW : 7.66 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.88
\nEvaluated at bid price : 16.88
\nBid-YTW : 9.00 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.45
\nEvaluated at bid price : 16.45
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 19.53
\nEvaluated at bid price : 19.53
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.55
\nEvaluated at bid price : 16.55
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.01
\nEvaluated at bid price : 16.01
\nBid-YTW : 10.57 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 13.25
\nEvaluated at bid price : 13.25
\nBid-YTW : 10.70 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n2.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 7.11 %<\/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.PF.F<\/td>\nFixedReset Disc<\/td>\n72,071<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.01
\nEvaluated at bid price : 16.01
\nBid-YTW : 10.57 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nInsurance Straight<\/td>\n46,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n40,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 11.86
\nEvaluated at bid price : 11.86
\nBid-YTW : 9.66 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n37,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 9.57 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n37,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.51
\nEvaluated at bid price : 16.51
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n32,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.19
\nEvaluated at bid price : 16.19
\nBid-YTW : 9.32 %<\/td>\n<\/tr>\n
There were 17 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.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.15 – 20.00
\nSpot Rate : 2.8500
\nAverage : 1.5750<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 17.15
\nEvaluated at bid price : 17.15
\nBid-YTW : 6.99 %<\/td>\n<\/tr>\n

FTS.PR.M<\/td>\nFixedReset Disc<\/td>\nQuote: 16.50 – 18.00
\nSpot Rate : 1.5000
\nAverage : 0.8647<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 9.55 %<\/td>\n<\/tr>\n

BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 16.01 – 19.00
\nSpot Rate : 2.9900
\nAverage : 2.4195<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.01
\nEvaluated at bid price : 16.01
\nBid-YTW : 10.57 %<\/td>\n<\/tr>\n

BN.PR.Z<\/td>\nFixedReset Disc<\/td>\nQuote: 17.85 – 19.09
\nSpot Rate : 1.2400
\nAverage : 0.7430<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 9.57 %<\/td>\n<\/tr>\n

CU.PR.I<\/td>\nFixedReset Disc<\/td>\nQuote: 20.60 – 23.75
\nSpot Rate : 3.1500
\nAverage : 2.7272<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 8.76 %<\/td>\n<\/tr>\n

MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.72 – 18.00
\nSpot Rate : 1.2800
\nAverage : 0.8742<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-06
\nMaturity Price : 16.72
\nEvaluated at bid price : 16.72
\nBid-YTW : 9.20 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 7.04%, equivalent to 9.15% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.29% on 2023-8-31 and since then the closing price has changed from 14.59 to 14.37, 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-45703","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45703","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=45703"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45703\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45703"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45703"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45703"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}