{"id":45733,"date":"2023-09-13T17:48:19","date_gmt":"2023-09-13T22:48:19","guid":{"rendered":"https:\/\/prefblog.com\/?p=45733"},"modified":"2023-09-13T17:48:19","modified_gmt":"2023-09-13T22:48:19","slug":"september-13-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45733","title":{"rendered":"September 13, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 7.05%, equivalent to 9.16% 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 14.39, a decrease of 137bp 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 11bp since 8\/31 to 5.40%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained consstant at the 375bp reported September 6<\/a>.<\/p>\n

Another trifecta today; new 52-week lows for TXPR, CPD and ZPR.<\/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>\n0.0439 %<\/td>\n2,204.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0439 %<\/td>\n4,227.3<\/td>\n<\/tr>\n
Floater<\/td>\n11.05 %<\/td>\n11.46 %<\/td>\n58,897<\/td>\n8.35<\/td>\n2<\/td>\n0.0439 %<\/td>\n2,436.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.2288 %<\/td>\n3,358.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.03 %<\/td>\n7.49 %<\/td>\n44,745<\/td>\n2.29<\/td>\n7<\/td>\n1.2288 %<\/td>\n4,011.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.2288 %<\/td>\n3,129.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1635 %<\/td>\n2,502.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.83 %<\/td>\n7.05 %<\/td>\n47,348<\/td>\n12.43<\/td>\n33<\/td>\n-0.1635 %<\/td>\n2,728.5<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n6.11 %<\/td>\n9.11 %<\/td>\n96,944<\/td>\n10.71<\/td>\n55<\/td>\n0.0270 %<\/td>\n2,059.7<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.85 %<\/td>\n6.96 %<\/td>\n63,975<\/td>\n12.66<\/td>\n17<\/td>\n-0.4512 %<\/td>\n2,626.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.70 %<\/td>\n11.80 %<\/td>\n36,277<\/td>\n8.34<\/td>\n1<\/td>\n-0.4237 %<\/td>\n2,267.9<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0270 %<\/td>\n2,257.3<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0270 %<\/td>\n2,105.4<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.40 %<\/td>\n8.40 %<\/td>\n125,274<\/td>\n11.05<\/td>\n11<\/td>\n-0.0531 %<\/td>\n2,243.7<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
NA.PR.C<\/td>\nFixedReset Disc<\/td>\n-2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 22.84
\nEvaluated at bid price : 24.00
\nBid-YTW : 7.70 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 8.15 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n-1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.97
\nEvaluated at bid price : 16.97
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n-1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 6.61 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 12.12
\nEvaluated at bid price : 12.12
\nBid-YTW : 10.15 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 18.27
\nEvaluated at bid price : 18.27
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 9.89 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 15.58
\nEvaluated at bid price : 15.58
\nBid-YTW : 8.95 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 17.68
\nEvaluated at bid price : 17.68
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 19.39
\nEvaluated at bid price : 19.39
\nBid-YTW : 6.98 %<\/td>\n<\/tr>\n
PVS.PR.H<\/td>\nSplitShare<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.96
\nBid-YTW : 7.49 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.55
\nEvaluated at bid price : 16.55
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
PVS.PR.G<\/td>\nSplitShare<\/td>\n2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2026-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.10
\nBid-YTW : 7.57 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n2.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.20
\nBid-YTW : 7.86 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n4.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 9.04 %<\/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.C<\/td>\nFixedReset Disc<\/td>\n96,770<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.40
\nEvaluated at bid price : 16.40
\nBid-YTW : 9.32 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n69,388<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.40
\nEvaluated at bid price : 16.40
\nBid-YTW : 9.65 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n56,911<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 9.04 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n38,988<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 17.26
\nEvaluated at bid price : 17.26
\nBid-YTW : 9.14 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n30,647<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 17.17
\nEvaluated at bid price : 17.17
\nBid-YTW : 9.33 %<\/td>\n<\/tr>\n
POW.PR.G<\/td>\nPerpetual-Discount<\/td>\n19,218<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 20.21
\nEvaluated at bid price : 20.21
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
There were 13 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
BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 16.08 – 25.00
\nSpot Rate : 8.9200
\nAverage : 7.8147<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.08
\nEvaluated at bid price : 16.08
\nBid-YTW : 10.57 %<\/td>\n<\/tr>\n

RY.PR.J<\/td>\nFixedReset Disc<\/td>\nQuote: 17.30 – 18.50
\nSpot Rate : 1.2000
\nAverage : 0.7982<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 9.20 %<\/td>\n<\/tr>\n

GWO.PR.Y<\/td>\nInsurance Straight<\/td>\nQuote: 16.35 – 17.10
\nSpot Rate : 0.7500
\nAverage : 0.5372<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 16.35
\nEvaluated at bid price : 16.35
\nBid-YTW : 6.91 %<\/td>\n<\/tr>\n

BN.PR.R<\/td>\nFixedReset Disc<\/td>\nQuote: 12.88 – 14.00
\nSpot Rate : 1.1200
\nAverage : 0.9097<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 12.88
\nEvaluated at bid price : 12.88
\nBid-YTW : 11.03 %<\/td>\n<\/tr>\n

FTS.PR.H<\/td>\nFixedReset Disc<\/td>\nQuote: 12.02 – 12.60
\nSpot Rate : 0.5800
\nAverage : 0.3875<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 12.02
\nEvaluated at bid price : 12.02
\nBid-YTW : 10.39 %<\/td>\n<\/tr>\n

BN.PF.H<\/td>\nFixedReset Disc<\/td>\nQuote: 19.45 – 20.04
\nSpot Rate : 0.5900
\nAverage : 0.4329<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-13
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 9.89 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 7.05%, equivalent to 9.16% 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 14.39, 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-45733","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45733","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=45733"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45733\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45733"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45733"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45733"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}