{"id":45813,"date":"2023-09-27T18:54:12","date_gmt":"2023-09-27T23:54:12","guid":{"rendered":"https:\/\/prefblog.com\/?p=45813"},"modified":"2023-09-27T18:54:12","modified_gmt":"2023-09-27T23:54:12","slug":"september-27-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45813","title":{"rendered":"September 27, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 7.08%, equivalent to 9.20% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.63% on 2023-9-15 [BMO is now reporting a different number for the same date than the one they reported last week … this worries me] and since then the closing price has changed from 14.33 to 13.90, a decrease of 300bp in price, with a Duration of 11.99 [again, different from last week’s report for the same day] (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 25bp since 9\/15 [?] to 5.88%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 330bp from the 350bp reported September 20<\/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>\n-0.4011 %<\/td>\n2,159.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4011 %<\/td>\n4,142.1<\/td>\n<\/tr>\n
Floater<\/td>\n11.28 %<\/td>\n11.39 %<\/td>\n55,770<\/td>\n8.57<\/td>\n2<\/td>\n-0.4011 %<\/td>\n2,387.1<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5854 %<\/td>\n3,361.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.02 %<\/td>\n7.27 %<\/td>\n42,599<\/td>\n2.25<\/td>\n7<\/td>\n0.5854 %<\/td>\n4,014.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5854 %<\/td>\n3,132.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1567 %<\/td>\n2,480.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.89 %<\/td>\n7.08 %<\/td>\n43,418<\/td>\n12.40<\/td>\n33<\/td>\n-0.1567 %<\/td>\n2,705.2<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.99 %<\/td>\n9.20 %<\/td>\n103,534<\/td>\n10.58<\/td>\n55<\/td>\n-0.6806 %<\/td>\n2,102.9<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.87 %<\/td>\n6.96 %<\/td>\n60,837<\/td>\n12.63<\/td>\n17<\/td>\n0.0425 %<\/td>\n2,620.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.67 %<\/td>\n11.82 %<\/td>\n39,600<\/td>\n8.29<\/td>\n1<\/td>\n-0.1408 %<\/td>\n2,280.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6806 %<\/td>\n2,304.7<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6806 %<\/td>\n2,149.6<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.59 %<\/td>\n8.61 %<\/td>\n124,865<\/td>\n11.04<\/td>\n11<\/td>\n0.8936 %<\/td>\n2,275.9<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-23.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.00
\nBid-YTW : 14.05 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n-3.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 20.46
\nEvaluated at bid price : 20.46
\nBid-YTW : 8.27 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n-2.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 9.70 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n-1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 16.35
\nEvaluated at bid price : 16.35
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n-1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 16.85
\nEvaluated at bid price : 16.85
\nBid-YTW : 9.42 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n-1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.60
\nEvaluated at bid price : 17.60
\nBid-YTW : 9.27 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 16.25
\nEvaluated at bid price : 16.25
\nBid-YTW : 7.02 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 9.03 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n-1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.76
\nEvaluated at bid price : 17.76
\nBid-YTW : 9.37 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 9.36 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.35
\nEvaluated at bid price : 17.35
\nBid-YTW : 9.25 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 9.17 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 18.01
\nEvaluated at bid price : 18.01
\nBid-YTW : 8.95 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nInsurance Straight<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 19.08
\nEvaluated at bid price : 19.08
\nBid-YTW : 7.13 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 9.63 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Disc<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 16.31
\nEvaluated at bid price : 16.31
\nBid-YTW : 9.49 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 9.54 %<\/td>\n<\/tr>\n
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n2.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 19.96
\nEvaluated at bid price : 19.96
\nBid-YTW : 8.14 %<\/td>\n<\/tr>\n
BNS.PR.I<\/td>\nFixedReset Disc<\/td>\n2.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.75
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n
EIT.PR.A<\/td>\nSplitShare<\/td>\n3.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2024-03-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.61
\nBid-YTW : 8.73 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n3.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 13.05
\nEvaluated at bid price : 13.05
\nBid-YTW : 9.99 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n4.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 12.51
\nEvaluated at bid price : 12.51
\nBid-YTW : 9.73 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n6.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 6.59 %<\/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
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n126,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
TD.PF.K<\/td>\nFixedReset Disc<\/td>\n106,324<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2023-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.16
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n102,115<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
POW.PR.G<\/td>\nPerpetual-Discount<\/td>\n75,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 19.85
\nEvaluated at bid price : 19.85
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n59,260<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 18.20
\nEvaluated at bid price : 18.20
\nBid-YTW : 8.99 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n56,675<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 9.20 %<\/td>\n<\/tr>\n
There were 20 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.PR.X<\/td>\nFixedReset Disc<\/td>\nQuote: 10.00 – 13.10
\nSpot Rate : 3.1000
\nAverage : 1.6869<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.00
\nBid-YTW : 14.05 %<\/td>\n<\/tr>\n

RY.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.51 – 22.00
\nSpot Rate : 1.4900
\nAverage : 0.9867<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n

TD.PF.I<\/td>\nFixedReset Disc<\/td>\nQuote: 22.75 – 23.91
\nSpot Rate : 1.1600
\nAverage : 0.7707<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 22.18
\nEvaluated at bid price : 22.75
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n

MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\nQuote: 17.01 – 18.00
\nSpot Rate : 0.9900
\nAverage : 0.6415<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 9.54 %<\/td>\n<\/tr>\n

TD.PF.E<\/td>\nFixedReset Disc<\/td>\nQuote: 17.75 – 18.85
\nSpot Rate : 1.1000
\nAverage : 0.7640<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 9.36 %<\/td>\n<\/tr>\n

BIK.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 20.88 – 21.75
\nSpot Rate : 0.8700
\nAverage : 0.6355<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-09-27
\nMaturity Price : 20.88
\nEvaluated at bid price : 20.88
\nBid-YTW : 9.86 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 7.08%, equivalent to 9.20% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.63% on 2023-9-15 [BMO is now reporting a different number for the same date than the one …<\/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-45813","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45813","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=45813"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45813\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45813"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45813"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45813"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}