{"id":46002,"date":"2023-11-08T21:26:35","date_gmt":"2023-11-09T02:26:35","guid":{"rendered":"https:\/\/prefblog.com\/?p=46002"},"modified":"2023-11-08T21:26:35","modified_gmt":"2023-11-09T02:26:35","slug":"november-8-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46002","title":{"rendered":"November 8, 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 5.71% on 2023-10-27 and since then the closing price has changed from 13.90 to 14.37, an increase of 338bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 11.96 implying a decrease of 28bp in yield to 5.43%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) is unchanged at the 375bp reported November 1<\/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>\n0.3791 %<\/td>\n2,046.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3791 %<\/td>\n3,925.3<\/td>\n<\/tr>\n
Floater<\/td>\n11.90 %<\/td>\n12.22 %<\/td>\n54,474<\/td>\n7.96<\/td>\n2<\/td>\n0.3791 %<\/td>\n2,262.1<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2315 %<\/td>\n3,312.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.07 %<\/td>\n8.43 %<\/td>\n39,703<\/td>\n1.84<\/td>\n8<\/td>\n-0.2315 %<\/td>\n3,955.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2315 %<\/td>\n3,086.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4942 %<\/td>\n2,468.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.92 %<\/td>\n7.08 %<\/td>\n48,938<\/td>\n12.47<\/td>\n33<\/td>\n-0.4942 %<\/td>\n2,691.9<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n6.02 %<\/td>\n8.63 %<\/td>\n118,206<\/td>\n11.09<\/td>\n55<\/td>\n-0.0362 %<\/td>\n2,120.5<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.75 %<\/td>\n6.91 %<\/td>\n63,423<\/td>\n12.61<\/td>\n19<\/td>\n-0.4176 %<\/td>\n2,668.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.20 %<\/td>\n11.49 %<\/td>\n33,680<\/td>\n8.41<\/td>\n1<\/td>\n-2.0134 %<\/td>\n2,348.3<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0362 %<\/td>\n2,397.3<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0362 %<\/td>\n2,167.6<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.06 %<\/td>\n8.40 %<\/td>\n80,914<\/td>\n11.24<\/td>\n14<\/td>\n0.8090 %<\/td>\n2,345.5<\/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\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
IFC.PR.I<\/td>\nInsurance Straight<\/td>\n-4.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\n-4.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 18.95
\nEvaluated at bid price : 18.95
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
PVS.PR.H<\/td>\nSplitShare<\/td>\n-3.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 8.87 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n-3.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 7.36 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-2.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 12.90
\nEvaluated at bid price : 12.90
\nBid-YTW : 9.24 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n-2.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.46
\nEvaluated at bid price : 17.46
\nBid-YTW : 8.63 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-2.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 14.60
\nEvaluated at bid price : 14.60
\nBid-YTW : 11.49 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 8.92 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 12.90
\nEvaluated at bid price : 12.90
\nBid-YTW : 10.60 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.45
\nEvaluated at bid price : 17.45
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 18.10
\nEvaluated at bid price : 18.10
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 18.21
\nEvaluated at bid price : 18.21
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.25
\nEvaluated at bid price : 17.25
\nBid-YTW : 8.75 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.45
\nEvaluated at bid price : 17.45
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.12
\nEvaluated at bid price : 17.12
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 16.83
\nEvaluated at bid price : 16.83
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 16.60
\nEvaluated at bid price : 16.60
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 18.12
\nEvaluated at bid price : 18.12
\nBid-YTW : 7.11 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 12.47
\nEvaluated at bid price : 12.47
\nBid-YTW : 11.21 %<\/td>\n<\/tr>\n
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 7.75 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 9.09 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.65
\nBid-YTW : 8.43 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 9.42 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 15.85
\nEvaluated at bid price : 15.85
\nBid-YTW : 7.63 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 13.46
\nEvaluated at bid price : 13.46
\nBid-YTW : 9.15 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 8.40 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n4.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 13.82
\nEvaluated at bid price : 13.82
\nBid-YTW : 11.11 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n5.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.45
\nEvaluated at bid price : 17.45
\nBid-YTW : 8.66 %<\/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
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n84,902<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 12.60
\nEvaluated at bid price : 12.60
\nBid-YTW : 9.74 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n34,657<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 8.98 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n30,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 17.46
\nEvaluated at bid price : 17.46
\nBid-YTW : 8.63 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n23,054<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 12.47
\nEvaluated at bid price : 12.47
\nBid-YTW : 11.21 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n20,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 18.06
\nEvaluated at bid price : 18.06
\nBid-YTW : 8.41 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n18,785<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 16.82
\nEvaluated at bid price : 16.82
\nBid-YTW : 8.85 %<\/td>\n<\/tr>\n
There were 10 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
IFC.PR.I<\/td>\nInsurance Straight<\/td>\nQuote: 19.00 – 20.36
\nSpot Rate : 1.3600
\nAverage : 0.8549<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n

POW.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.30 – 20.62
\nSpot Rate : 1.3200
\nAverage : 0.9265<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 7.36 %<\/td>\n<\/tr>\n

CU.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 18.95 – 19.95
\nSpot Rate : 1.0000
\nAverage : 0.7247<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 18.95
\nEvaluated at bid price : 18.95
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n

SLF.PR.J<\/td>\nFloatingReset<\/td>\nQuote: 14.60 – 15.10
\nSpot Rate : 0.5000
\nAverage : 0.3330<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 14.60
\nEvaluated at bid price : 14.60
\nBid-YTW : 11.49 %<\/td>\n<\/tr>\n

PVS.PR.H<\/td>\nSplitShare<\/td>\nQuote: 22.30 – 23.15
\nSpot Rate : 0.8500
\nAverage : 0.6855<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 8.87 %<\/td>\n<\/tr>\n

CM.PR.P<\/td>\nFixedReset Disc<\/td>\nQuote: 16.66 – 17.19
\nSpot Rate : 0.5300
\nAverage : 0.3741<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-08
\nMaturity Price : 16.66
\nEvaluated at bid price : 16.66
\nBid-YTW : 8.93 %<\/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 5.71% on 2023-10-27 and since then the closing price has changed from 13.90 to 14.37, 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-46002","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46002","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=46002"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46002\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46002"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46002"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46002"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}