{"id":46078,"date":"2023-11-29T22:48:11","date_gmt":"2023-11-30T03:48:11","guid":{"rendered":"https:\/\/prefblog.com\/?p=46078"},"modified":"2023-11-29T22:48:11","modified_gmt":"2023-11-30T03:48:11","slug":"november-29-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46078","title":{"rendered":"November 29, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 6.97%, equivalent to 9.06% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.40% on 2023-11-24 and since then the closing price has changed from 14.58 to 14.77, an increase of 130bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.15 implying a decrease of 11bp in yield to 5.29%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 375bp from the 365bp reported November 22<\/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-0.2704 %<\/td>\n2,138.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2704 %<\/td>\n4,101.3<\/td>\n<\/tr>\n
Floater<\/td>\n11.39 %<\/td>\n11.57 %<\/td>\n51,617<\/td>\n8.31<\/td>\n2<\/td>\n-0.2704 %<\/td>\n2,363.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3129 %<\/td>\n3,380.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.97 %<\/td>\n7.18 %<\/td>\n55,215<\/td>\n1.81<\/td>\n8<\/td>\n0.3129 %<\/td>\n4,037.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3129 %<\/td>\n3,150.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1928 %<\/td>\n2,531.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.75 %<\/td>\n6.97 %<\/td>\n52,161<\/td>\n12.53<\/td>\n33<\/td>\n0.1928 %<\/td>\n2,760.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.83 %<\/td>\n8.20 %<\/td>\n114,551<\/td>\n11.55<\/td>\n55<\/td>\n0.1735 %<\/td>\n2,219.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.57 %<\/td>\n6.72 %<\/td>\n65,244<\/td>\n12.95<\/td>\n19<\/td>\n-0.5079 %<\/td>\n2,744.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n10.54 %<\/td>\n10.57 %<\/td>\n36,636<\/td>\n9.20<\/td>\n1<\/td>\n3.1208 %<\/td>\n2,497.9<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1735 %<\/td>\n2,509.1<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1735 %<\/td>\n2,268.7<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.69 %<\/td>\n7.80 %<\/td>\n81,711<\/td>\n11.95<\/td>\n14<\/td>\n0.6923 %<\/td>\n2,499.0<\/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
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n-1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.82
\nEvaluated at bid price : 18.82
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
PWF.PR.Z<\/td>\nPerpetual-Discount<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.45
\nEvaluated at bid price : 18.45
\nBid-YTW : 9.74 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.48
\nEvaluated at bid price : 18.48
\nBid-YTW : 8.33 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 8.15 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 14.16
\nEvaluated at bid price : 14.16
\nBid-YTW : 8.34 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 19.87
\nEvaluated at bid price : 19.87
\nBid-YTW : 8.50 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.45
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 8.61 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 22.20
\nEvaluated at bid price : 22.90
\nBid-YTW : 8.49 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 14.05
\nEvaluated at bid price : 14.05
\nBid-YTW : 9.73 %<\/td>\n<\/tr>\n
PVS.PR.H<\/td>\nSplitShare<\/td>\n2.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.35
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n2.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 8.23 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n2.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 15.20
\nEvaluated at bid price : 15.20
\nBid-YTW : 10.43 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n2.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 21.39
\nEvaluated at bid price : 21.39
\nBid-YTW : 7.63 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n3.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 15.53
\nEvaluated at bid price : 15.53
\nBid-YTW : 10.57 %<\/td>\n<\/tr>\n
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\n4.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 19.57
\nEvaluated at bid price : 19.57
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n7.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 6.26 %<\/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.K<\/td>\nPerpetual-Discount<\/td>\n88,266<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 17.90
\nEvaluated at bid price : 17.90
\nBid-YTW : 7.02 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n50,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.20
\nEvaluated at bid price : 18.20
\nBid-YTW : 8.53 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n38,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 13.21
\nEvaluated at bid price : 13.21
\nBid-YTW : 8.74 %<\/td>\n<\/tr>\n
BN.PF.A<\/td>\nFixedReset Disc<\/td>\n34,979<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 19.97
\nEvaluated at bid price : 19.97
\nBid-YTW : 8.64 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n32,436<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 15.20
\nEvaluated at bid price : 15.20
\nBid-YTW : 10.43 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n31,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 14.16
\nEvaluated at bid price : 14.16
\nBid-YTW : 8.34 %<\/td>\n<\/tr>\n
There were 16 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: 14.16 – 23.79
\nSpot Rate : 9.6300
\nAverage : 7.7341<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 14.16
\nEvaluated at bid price : 14.16
\nBid-YTW : 8.34 %<\/td>\n<\/tr>\n

MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.66 – 22.95
\nSpot Rate : 1.2900
\nAverage : 0.8426<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.66
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n

TD.PF.D<\/td>\nFixedReset Disc<\/td>\nQuote: 18.82 – 19.82
\nSpot Rate : 1.0000
\nAverage : 0.8235<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 18.82
\nEvaluated at bid price : 18.82
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n

IFC.PR.K<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.25 – 25.15
\nSpot Rate : 4.9000
\nAverage : 4.7566<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 6.62 %<\/td>\n<\/tr>\n

MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.57 – 22.20
\nSpot Rate : 0.6300
\nAverage : 0.4868<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-11-29
\nMaturity Price : 21.29
\nEvaluated at bid price : 21.57
\nBid-YTW : 7.26 %<\/td>\n<\/tr>\n

PVS.PR.G<\/td>\nSplitShare<\/td>\nQuote: 23.66 – 24.10
\nSpot Rate : 0.4400
\nAverage : 0.3338<\/p>\n

YTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2026-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.66
\nBid-YTW : 7.52 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.97%, equivalent to 9.06% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.40% on 2023-11-24 and since then the closing price has changed from 14.58 to 14.77, 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-46078","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46078","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=46078"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46078\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46078"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46078"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46078"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}