{"id":46382,"date":"2024-02-07T19:26:03","date_gmt":"2024-02-08T00:26:03","guid":{"rendered":"https:\/\/prefblog.com\/?p=46382"},"modified":"2024-02-07T19:26:03","modified_gmt":"2024-02-08T00:26:03","slug":"february-7-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46382","title":{"rendered":"February 7, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.23% on 2024-2-6 and since then the closing price has changed from 15.08 to 15.06, an increase of 13bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.23 implying a decrease of 1bp in yield to 5.22%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 330bp from the 340bp reported January 31<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(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>\n0.3409 %<\/td>\n2,275.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3409 %<\/td>\n4,364.5<\/td>\n<\/tr>\n
Floater<\/td>\n10.70 %<\/td>\n10.94 %<\/td>\n52,383<\/td>\n8.78<\/td>\n2<\/td>\n0.3409 %<\/td>\n2,515.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0842 %<\/td>\n3,416.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.93 %<\/td>\n7.26 %<\/td>\n47,756<\/td>\n1.92<\/td>\n7<\/td>\n0.0842 %<\/td>\n4,079.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0842 %<\/td>\n3,183.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0295 %<\/td>\n2,681.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.40 %<\/td>\n6.55 %<\/td>\n49,096<\/td>\n13.12<\/td>\n34<\/td>\n-0.0295 %<\/td>\n2,924.3<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.60 %<\/td>\n7.59 %<\/td>\n119,071<\/td>\n12.14<\/td>\n59<\/td>\n-0.4287 %<\/td>\n2,360.7<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.29 %<\/td>\n6.49 %<\/td>\n73,925<\/td>\n13.18<\/td>\n20<\/td>\n0.2682 %<\/td>\n2,880.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.71 %<\/td>\n10.09 %<\/td>\n36,424<\/td>\n9.41<\/td>\n3<\/td>\n0.3109 %<\/td>\n2,687.1<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.96 %<\/td>\n6.74 %<\/td>\n177,027<\/td>\n3.30<\/td>\n1<\/td>\n-0.5906 %<\/td>\n2,509.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4287 %<\/td>\n2,413.1<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.41 %<\/td>\n7.36 %<\/td>\n97,856<\/td>\n12.52<\/td>\n14<\/td>\n-0.5735 %<\/td>\n2,627.4<\/td>\n<\/tr>\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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n-9.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 13.80
\nEvaluated at bid price : 13.80
\nBid-YTW : 9.93 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n-7.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-5.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 6.28 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n-4.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 16.53
\nEvaluated at bid price : 16.53
\nBid-YTW : 9.40 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-3.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 21.51
\nEvaluated at bid price : 21.51
\nBid-YTW : 8.73 %<\/td>\n<\/tr>\n
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\n-3.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 20.40
\nEvaluated at bid price : 20.40
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-3.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 20.31
\nEvaluated at bid price : 20.31
\nBid-YTW : 8.73 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-2.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 14.11
\nEvaluated at bid price : 14.11
\nBid-YTW : 8.49 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 14.00
\nEvaluated at bid price : 14.00
\nBid-YTW : 8.11 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n-1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 8.99 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n-1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.86
\nEvaluated at bid price : 18.86
\nBid-YTW : 8.09 %<\/td>\n<\/tr>\n
BN.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 8.98 %<\/td>\n<\/tr>\n
FFH.PR.I<\/td>\nFixedReset Disc<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 17.55
\nEvaluated at bid price : 17.55
\nBid-YTW : 8.70 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 19.85
\nEvaluated at bid price : 19.85
\nBid-YTW : 6.59 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 17.40
\nEvaluated at bid price : 17.40
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 21.48
\nEvaluated at bid price : 21.48
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
BN.PF.A<\/td>\nFixedReset Disc<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 21.28
\nEvaluated at bid price : 21.28
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
BN.PF.D<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.45
\nEvaluated at bid price : 18.45
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.37
\nEvaluated at bid price : 18.37
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 20.88
\nEvaluated at bid price : 20.88
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 17.62
\nEvaluated at bid price : 17.62
\nBid-YTW : 6.55 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n2.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 6.85 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n5.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n5.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.07
\nEvaluated at bid price : 18.07
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n88,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n73,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.37
\nEvaluated at bid price : 18.37
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n73,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 15.17
\nEvaluated at bid price : 15.17
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n63,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 22.19
\nEvaluated at bid price : 22.82
\nBid-YTW : 6.65 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Disc<\/td>\n54,690<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 23.14
\nEvaluated at bid price : 24.90
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n53,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 6.85 %<\/td>\n<\/tr>\n
There were 16 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\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
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\nQuote: 17.50 – 19.24
\nSpot Rate : 1.7400
\nAverage : 1.0821<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n

BN.PR.R<\/td>\nFixedReset Disc<\/td>\nQuote: 13.80 – 15.65
\nSpot Rate : 1.8500
\nAverage : 1.3387<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 13.80
\nEvaluated at bid price : 13.80
\nBid-YTW : 9.93 %<\/td>\n<\/tr>\n

SLF.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 18.00 – 19.50
\nSpot Rate : 1.5000
\nAverage : 1.0026<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 6.28 %<\/td>\n<\/tr>\n

BN.PF.H<\/td>\nFixedReset Disc<\/td>\nQuote: 21.51 – 22.60
\nSpot Rate : 1.0900
\nAverage : 0.7367<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 21.51
\nEvaluated at bid price : 21.51
\nBid-YTW : 8.73 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.26 – 20.95
\nSpot Rate : 1.6900
\nAverage : 1.4188<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 19.26
\nEvaluated at bid price : 19.26
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n

BN.PF.G<\/td>\nFixedReset Disc<\/td>\nQuote: 16.53 – 17.69
\nSpot Rate : 1.1600
\nAverage : 0.9274<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-07
\nMaturity Price : 16.53
\nEvaluated at bid price : 16.53
\nBid-YTW : 9.40 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.23% on 2024-2-6 and since then the closing price has changed from 15.08 to 15.06, 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-46382","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46382","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=46382"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46382\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46382"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46382"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46382"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}