{"id":46252,"date":"2024-01-10T20:41:03","date_gmt":"2024-01-11T01:41:03","guid":{"rendered":"https:\/\/prefblog.com\/?p=46252"},"modified":"2024-01-10T20:41:03","modified_gmt":"2024-01-11T01:41:03","slug":"january-10-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46252","title":{"rendered":"January 10, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 15.18, a decline of 33bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.38 implying an increase of 3bp in yield to 5.02%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed sharply (for the second successive week) to 350bp from the 374bp reported January 3<\/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>\n0.7207 %<\/td>\n2,160.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.7207 %<\/td>\n4,144.0<\/td>\n<\/tr>\n
Floater<\/td>\n11.27 %<\/td>\n11.44 %<\/td>\n51,923<\/td>\n8.52<\/td>\n2<\/td>\n0.7207 %<\/td>\n2,388.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0846 %<\/td>\n3,393.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.96 %<\/td>\n7.65 %<\/td>\n49,893<\/td>\n1.99<\/td>\n7<\/td>\n-0.0846 %<\/td>\n4,052.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0846 %<\/td>\n3,162.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3669 %<\/td>\n2,660.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.46 %<\/td>\n6.56 %<\/td>\n53,697<\/td>\n13.19<\/td>\n34<\/td>\n0.3669 %<\/td>\n2,901.0<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.72 %<\/td>\n7.54 %<\/td>\n115,591<\/td>\n12.21<\/td>\n59<\/td>\n0.1205 %<\/td>\n2,294.1<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.33 %<\/td>\n6.48 %<\/td>\n74,808<\/td>\n13.24<\/td>\n20<\/td>\n-0.0102 %<\/td>\n2,862.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n10.41 %<\/td>\n10.84 %<\/td>\n36,957<\/td>\n8.91<\/td>\n5<\/td>\n0.9148 %<\/td>\n2,581.3<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.91 %<\/td>\n6.53 %<\/td>\n151,163<\/td>\n3.38<\/td>\n2<\/td>\n0.1595 %<\/td>\n2,520.7<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1205 %<\/td>\n2,345.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.54 %<\/td>\n7.10 %<\/td>\n91,467<\/td>\n12.63<\/td>\n14<\/td>\n-0.0188 %<\/td>\n2,567.2<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n-3.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 7.72 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-3.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 14.72
\nEvaluated at bid price : 14.72
\nBid-YTW : 8.59 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n-3.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 17.40
\nEvaluated at bid price : 17.40
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-2.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 13.80
\nEvaluated at bid price : 13.80
\nBid-YTW : 8.20 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n-2.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n-2.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 17.35
\nEvaluated at bid price : 17.35
\nBid-YTW : 8.90 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 17.40
\nEvaluated at bid price : 17.40
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 18.86
\nEvaluated at bid price : 18.86
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 14.51
\nEvaluated at bid price : 14.51
\nBid-YTW : 7.75 %<\/td>\n<\/tr>\n
FFH.PR.D<\/td>\nFloatingReset<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 20.53
\nEvaluated at bid price : 20.53
\nBid-YTW : 10.21 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 18.74
\nEvaluated at bid price : 18.74
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 19.95
\nEvaluated at bid price : 19.95
\nBid-YTW : 7.34 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 19.05
\nEvaluated at bid price : 19.05
\nBid-YTW : 7.35 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 13.95
\nEvaluated at bid price : 13.95
\nBid-YTW : 7.67 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 17.86
\nEvaluated at bid price : 17.86
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 20.30
\nEvaluated at bid price : 20.30
\nBid-YTW : 7.95 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 20.02
\nEvaluated at bid price : 20.02
\nBid-YTW : 8.54 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 15.91
\nEvaluated at bid price : 15.91
\nBid-YTW : 9.03 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 17.96
\nEvaluated at bid price : 17.96
\nBid-YTW : 8.40 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n4.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 16.15
\nEvaluated at bid price : 16.15
\nBid-YTW : 10.25 %<\/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.L<\/td>\nFixedReset Disc<\/td>\n106,491<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 23.77
\nEvaluated at bid price : 24.60
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n88,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n55,558<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 20.08
\nEvaluated at bid price : 20.08
\nBid-YTW : 7.13 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n54,572<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 8.30 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n49,246<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n35,335<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 19.95
\nEvaluated at bid price : 19.95
\nBid-YTW : 7.02 %<\/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
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.50 – 23.50
\nSpot Rate : 2.0000
\nAverage : 1.2876<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n

TD.PF.J<\/td>\nFixedReset Disc<\/td>\nQuote: 22.10 – 23.72
\nSpot Rate : 1.6200
\nAverage : 0.9568<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 21.74
\nEvaluated at bid price : 22.10
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n

SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\nQuote: 18.64 – 20.00
\nSpot Rate : 1.3600
\nAverage : 0.8966<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 18.64
\nEvaluated at bid price : 18.64
\nBid-YTW : 6.84 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\nQuote: 18.70 – 19.70
\nSpot Rate : 1.0000
\nAverage : 0.6253<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n

TD.PF.B<\/td>\nFixedReset Disc<\/td>\nQuote: 20.20 – 21.10
\nSpot Rate : 0.9000
\nAverage : 0.6222<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 6.91 %<\/td>\n<\/tr>\n

BN.PF.I<\/td>\nFixedReset Disc<\/td>\nQuote: 20.02 – 20.90
\nSpot Rate : 0.8800
\nAverage : 0.6250<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-01-10
\nMaturity Price : 20.02
\nEvaluated at bid price : 20.02
\nBid-YTW : 8.54 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 15.18, 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-46252","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46252","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=46252"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46252\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46252"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46252"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46252"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}