{"id":46201,"date":"2023-12-27T22:43:47","date_gmt":"2023-12-28T03:43:47","guid":{"rendered":"https:\/\/prefblog.com\/?p=46201"},"modified":"2023-12-27T22:43:47","modified_gmt":"2023-12-28T03:43:47","slug":"december-27-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46201","title":{"rendered":"December 27, 2023"},"content":{"rendered":"

PerpetualDiscounts now yield 6.96%, equivalent to 9.05% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.70, a decline of 69bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 5bp in yield to 4.77%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 430bp from the 440bp reported December 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-0.9843 %<\/td>\n2,138.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.9843 %<\/td>\n4,101.3<\/td>\n<\/tr>\n
Floater<\/td>\n11.39 %<\/td>\n11.49 %<\/td>\n54,802<\/td>\n8.50<\/td>\n2<\/td>\n-0.9843 %<\/td>\n2,363.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1323 %<\/td>\n3,373.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.98 %<\/td>\n7.51 %<\/td>\n57,319<\/td>\n1.74<\/td>\n8<\/td>\n-0.1323 %<\/td>\n4,028.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1323 %<\/td>\n3,143.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0883 %<\/td>\n2,537.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.77 %<\/td>\n6.96 %<\/td>\n65,253<\/td>\n12.66<\/td>\n33<\/td>\n-0.0883 %<\/td>\n2,767.2<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.87 %<\/td>\n7.77 %<\/td>\n124,507<\/td>\n11.91<\/td>\n60<\/td>\n0.2123 %<\/td>\n2,215.8<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.62 %<\/td>\n6.79 %<\/td>\n82,579<\/td>\n12.85<\/td>\n19<\/td>\n0.1800 %<\/td>\n2,733.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n10.68 %<\/td>\n10.91 %<\/td>\n36,977<\/td>\n8.89<\/td>\n3<\/td>\n0.2854 %<\/td>\n2,480.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.93 %<\/td>\n6.67 %<\/td>\n169,807<\/td>\n12.61<\/td>\n1<\/td>\n-0.2361 %<\/td>\n2,526.3<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2123 %<\/td>\n2,265.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.68 %<\/td>\n7.15 %<\/td>\n89,551<\/td>\n12.53<\/td>\n14<\/td>\n0.4573 %<\/td>\n2,502.0<\/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\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
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n-3.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
MIC.PR.A<\/td>\nPerpetual-Discount<\/td>\n-2.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.76
\nEvaluated at bid price : 17.76
\nBid-YTW : 7.67 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n-2.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 7.89 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-2.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 16.94
\nEvaluated at bid price : 16.94
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 6.99 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 7.79 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.35
\nEvaluated at bid price : 17.35
\nBid-YTW : 8.17 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 21.70
\nEvaluated at bid price : 22.10
\nBid-YTW : 6.39 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.21
\nEvaluated at bid price : 18.21
\nBid-YTW : 7.68 %<\/td>\n<\/tr>\n
BN.PR.K<\/td>\nFloater<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 11.03
\nEvaluated at bid price : 11.03
\nBid-YTW : 11.56 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 13.41
\nEvaluated at bid price : 13.41
\nBid-YTW : 8.13 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.04
\nEvaluated at bid price : 18.04
\nBid-YTW : 7.52 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 8.01 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.75
\nEvaluated at bid price : 18.75
\nBid-YTW : 7.19 %<\/td>\n<\/tr>\n
CM.PR.T<\/td>\nFixedReset Disc<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 23.23
\nEvaluated at bid price : 24.11
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.36
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
FFH.PR.I<\/td>\nFixedReset Disc<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 16.05
\nEvaluated at bid price : 16.05
\nBid-YTW : 8.87 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 21.34
\nEvaluated at bid price : 21.63
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
CM.PR.Y<\/td>\nFixedReset Disc<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 23.86
\nEvaluated at bid price : 24.50
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 16.96
\nEvaluated at bid price : 16.96
\nBid-YTW : 9.59 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 16.19
\nEvaluated at bid price : 16.19
\nBid-YTW : 8.94 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.21
\nEvaluated at bid price : 17.21
\nBid-YTW : 8.56 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 15.03
\nEvaluated at bid price : 15.03
\nBid-YTW : 9.33 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.90
\nEvaluated at bid price : 18.90
\nBid-YTW : 7.66 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.11
\nEvaluated at bid price : 18.11
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 21.90
\nEvaluated at bid price : 22.14
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
FFH.PR.G<\/td>\nFixedReset Disc<\/td>\n2.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 15.55
\nEvaluated at bid price : 15.55
\nBid-YTW : 8.76 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n5.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 8.87 %<\/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
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n142,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.11
\nEvaluated at bid price : 18.11
\nBid-YTW : 6.93 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n28,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.90
\nEvaluated at bid price : 18.90
\nBid-YTW : 7.24 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n25,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.65
\nEvaluated at bid price : 17.65
\nBid-YTW : 6.94 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n25,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 19.62
\nEvaluated at bid price : 19.62
\nBid-YTW : 9.02 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n15,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 21.40
\nEvaluated at bid price : 21.40
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n14,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 21.43
\nEvaluated at bid price : 21.73
\nBid-YTW : 8.31 %<\/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: 13.95 – 19.79
\nSpot Rate : 5.8400
\nAverage : 3.1629<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 13.95
\nEvaluated at bid price : 13.95
\nBid-YTW : 7.66 %<\/td>\n<\/tr>\n

BMO.PR.W<\/td>\nFixedReset Disc<\/td>\nQuote: 17.15 – 18.50
\nSpot Rate : 1.3500
\nAverage : 0.9262<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.15
\nEvaluated at bid price : 17.15
\nBid-YTW : 7.90 %<\/td>\n<\/tr>\n

CCS.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 17.80 – 19.18
\nSpot Rate : 1.3800
\nAverage : 1.0333<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n

TD.PF.E<\/td>\nFixedReset Disc<\/td>\nQuote: 18.59 – 19.95
\nSpot Rate : 1.3600
\nAverage : 1.0624<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.59
\nEvaluated at bid price : 18.59
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n

TD.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 18.50 – 19.18
\nSpot Rate : 0.6800
\nAverage : 0.4508<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 7.38 %<\/td>\n<\/tr>\n

GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 13.09 – 14.30
\nSpot Rate : 1.2100
\nAverage : 0.9846<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-12-27
\nMaturity Price : 13.09
\nEvaluated at bid price : 13.09
\nBid-YTW : 7.93 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.96%, equivalent to 9.05% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.70, a decline …<\/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-46201","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46201","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=46201"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46201\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46201"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46201"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46201"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}