{"id":45867,"date":"2023-10-11T20:48:39","date_gmt":"2023-10-12T01:48:39","guid":{"rendered":"https:\/\/prefblog.com\/?p=45867"},"modified":"2023-10-11T20:48:39","modified_gmt":"2023-10-12T01:48:39","slug":"october-11-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45867","title":{"rendered":"October 11, 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 5.74% on 2023-9-30 (sic) and since then (by which I think they meant 2023-9-29) the closing price has changed from 13.93 to 14.01, an increase of 57bp in price, with a Duration of 11.91 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 9\/29 [?] to 5.69%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 360bp from the 340bp reported October 4<\/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-0.2224 %<\/td>\n2,167.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2224 %<\/td>\n4,156.9<\/td>\n<\/tr>\n
Floater<\/td>\n11.23 %<\/td>\n11.39 %<\/td>\n58,954<\/td>\n8.55<\/td>\n2<\/td>\n-0.2224 %<\/td>\n2,395.7<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0931 %<\/td>\n3,291.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.08 %<\/td>\n8.61 %<\/td>\n39,320<\/td>\n1.92<\/td>\n7<\/td>\n-0.0931 %<\/td>\n3,931.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0931 %<\/td>\n3,067.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1086 %<\/td>\n2,439.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n7.04 %<\/td>\n7.14 %<\/td>\n43,254<\/td>\n12.44<\/td>\n31<\/td>\n0.1086 %<\/td>\n2,660.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n6.10 %<\/td>\n9.16 %<\/td>\n103,192<\/td>\n10.65<\/td>\n56<\/td>\n-0.0752 %<\/td>\n2,093.2<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.92 %<\/td>\n7.03 %<\/td>\n61,588<\/td>\n12.52<\/td>\n16<\/td>\n-0.1368 %<\/td>\n2,597.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.09 %<\/td>\n11.28 %<\/td>\n34,285<\/td>\n8.62<\/td>\n1<\/td>\n1.4865 %<\/td>\n2,415.9<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.77 %<\/td>\n5.25 %<\/td>\n451,574<\/td>\n0.14<\/td>\n1<\/td>\n0.0401 %<\/td>\n2,296.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0752 %<\/td>\n2,139.7<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.33 %<\/td>\n8.86 %<\/td>\n64,969<\/td>\n10.95<\/td>\n13<\/td>\n0.0091 %<\/td>\n2,273.5<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n-4.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.20
\nEvaluated at bid price : 16.20
\nBid-YTW : 7.02 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Disc<\/td>\n-3.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 21.39
\nEvaluated at bid price : 21.71
\nBid-YTW : 8.05 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n-2.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 18.53
\nEvaluated at bid price : 18.53
\nBid-YTW : 8.63 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n-1.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 18.76
\nEvaluated at bid price : 18.76
\nBid-YTW : 9.59 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.20
\nEvaluated at bid price : 16.20
\nBid-YTW : 7.02 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 18.69
\nEvaluated at bid price : 18.69
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 7.12 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.20
\nEvaluated at bid price : 16.20
\nBid-YTW : 7.42 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.69
\nEvaluated at bid price : 16.69
\nBid-YTW : 10.24 %<\/td>\n<\/tr>\n
BN.PF.D<\/td>\nPerpetual-Discount<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.65
\nEvaluated at bid price : 16.65
\nBid-YTW : 7.44 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nInsurance Straight<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 20.87
\nEvaluated at bid price : 20.87
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 18.90
\nEvaluated at bid price : 18.90
\nBid-YTW : 10.31 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 15.02
\nEvaluated at bid price : 15.02
\nBid-YTW : 11.28 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n1.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 9.65 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Disc<\/td>\n3.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.23
\nEvaluated at bid price : 16.23
\nBid-YTW : 9.47 %<\/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.K<\/td>\nFixedReset Prem<\/td>\n221,700<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2023-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.92
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n53,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 17.20
\nEvaluated at bid price : 17.20
\nBid-YTW : 9.40 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n42,499<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 18.21
\nEvaluated at bid price : 18.21
\nBid-YTW : 8.78 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n32,974<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 17.09
\nEvaluated at bid price : 17.09
\nBid-YTW : 9.16 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n19,695<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 17.18
\nEvaluated at bid price : 17.18
\nBid-YTW : 9.37 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n18,193<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 17.95
\nEvaluated at bid price : 17.95
\nBid-YTW : 8.96 %<\/td>\n<\/tr>\n
There were 12 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.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 13.25 – 23.80
\nSpot Rate : 10.5500
\nAverage : 5.7581<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 13.25
\nEvaluated at bid price : 13.25
\nBid-YTW : 9.43 %<\/td>\n<\/tr>\n

CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 16.43 – 18.28
\nSpot Rate : 1.8500
\nAverage : 1.0588<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.43
\nEvaluated at bid price : 16.43
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n

MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.50 – 20.76
\nSpot Rate : 1.2600
\nAverage : 0.9092<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 8.80 %<\/td>\n<\/tr>\n

SLF.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 16.20 – 17.16
\nSpot Rate : 0.9600
\nAverage : 0.6317<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.20
\nEvaluated at bid price : 16.20
\nBid-YTW : 7.02 %<\/td>\n<\/tr>\n

GWO.PR.I<\/td>\nInsurance Straight<\/td>\nQuote: 16.35 – 17.80
\nSpot Rate : 1.4500
\nAverage : 1.1951<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 16.35
\nEvaluated at bid price : 16.35
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n

RY.PR.O<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.40 – 21.05
\nSpot Rate : 0.6500
\nAverage : 0.4207<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-11
\nMaturity Price : 20.40
\nEvaluated at bid price : 20.40
\nBid-YTW : 6.11 %<\/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 5.74% on 2023-9-30 (sic) and since then (by which I think they meant 2023-9-29) the closing price …<\/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-45867","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45867","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=45867"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45867\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45867"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45867"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45867"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}