{"id":46427,"date":"2024-02-21T19:43:57","date_gmt":"2024-02-22T00:43:57","guid":{"rendered":"https:\/\/prefblog.com\/?p=46427"},"modified":"2024-02-21T19:43:57","modified_gmt":"2024-02-22T00:43:57","slug":"february-21-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46427","title":{"rendered":"February 21, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.12% on 2024-2-20 and since then the closing price has changed from 15.06 to 15.03, a decline of 20bp with a duration (BMO doesn’t specify Macaulay or Modified; I will assume Modified) of 12.36, which implies an increase in yield fo 2bp, to 5.14%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slightly (and perhaps spuriously) to 360bp from the 355bp reported February 14<\/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>\n0.2523 %<\/td>\n2,303.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2523 %<\/td>\n4,418.2<\/td>\n<\/tr>\n
Floater<\/td>\n10.57 %<\/td>\n10.81 %<\/td>\n48,271<\/td>\n8.84<\/td>\n2<\/td>\n0.2523 %<\/td>\n2,546.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.7289 %<\/td>\n3,411.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.94 %<\/td>\n6.98 %<\/td>\n49,348<\/td>\n1.91<\/td>\n7<\/td>\n-0.7289 %<\/td>\n4,073.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.7289 %<\/td>\n3,178.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0216 %<\/td>\n2,649.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.49 %<\/td>\n6.70 %<\/td>\n46,390<\/td>\n12.92<\/td>\n33<\/td>\n0.0216 %<\/td>\n2,888.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.60 %<\/td>\n7.61 %<\/td>\n111,381<\/td>\n12.17<\/td>\n59<\/td>\n0.0033 %<\/td>\n2,358.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.29 %<\/td>\n6.50 %<\/td>\n62,181<\/td>\n13.13<\/td>\n21<\/td>\n-0.1986 %<\/td>\n2,882.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n10.04 %<\/td>\n10.21 %<\/td>\n33,517<\/td>\n9.28<\/td>\n3<\/td>\n0.0757 %<\/td>\n2,592.1<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.95 %<\/td>\n6.80 %<\/td>\n155,505<\/td>\n3.26<\/td>\n1<\/td>\n-0.3156 %<\/td>\n2,511.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0033 %<\/td>\n2,410.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.43 %<\/td>\n7.09 %<\/td>\n85,668<\/td>\n12.44<\/td>\n14<\/td>\n-0.0848 %<\/td>\n2,615.7<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n-18.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 15.25
\nEvaluated at bid price : 15.25
\nBid-YTW : 9.86 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nInsurance Straight<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.49
\nEvaluated at bid price : 19.49
\nBid-YTW : 7.50 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 11.99
\nEvaluated at bid price : 11.99
\nBid-YTW : 10.81 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 21.43
\nEvaluated at bid price : 21.43
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 21.98
\nEvaluated at bid price : 22.50
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 20.27
\nEvaluated at bid price : 20.27
\nBid-YTW : 7.60 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.82
\nEvaluated at bid price : 19.82
\nBid-YTW : 7.72 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 22.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n2.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.33
\nEvaluated at bid price : 19.33
\nBid-YTW : 7.57 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 14.40
\nEvaluated at bid price : 14.40
\nBid-YTW : 8.33 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n2.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 21.08
\nEvaluated at bid price : 21.08
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n2.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 9.15 %<\/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
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n55,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 7.29 %<\/td>\n<\/tr>\n
TD.PF.J<\/td>\nFixedReset Disc<\/td>\n43,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 21.70
\nEvaluated at bid price : 22.04
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n32,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 21.08
\nEvaluated at bid price : 21.08
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n25,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 7.36 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n24,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 16.15
\nEvaluated at bid price : 16.15
\nBid-YTW : 8.22 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n23,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
There were 12 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
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\nQuote: 15.25 – 19.38
\nSpot Rate : 4.1300
\nAverage : 2.2306<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 15.25
\nEvaluated at bid price : 15.25
\nBid-YTW : 9.86 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.20 – 20.75
\nSpot Rate : 1.5500
\nAverage : 1.0716<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.06 – 19.98
\nSpot Rate : 0.9200
\nAverage : 0.6061<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 19.06
\nEvaluated at bid price : 19.06
\nBid-YTW : 7.67 %<\/td>\n<\/tr>\n

BN.PR.R<\/td>\nFixedReset Disc<\/td>\nQuote: 14.80 – 15.70
\nSpot Rate : 0.9000
\nAverage : 0.6437<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 14.80
\nEvaluated at bid price : 14.80
\nBid-YTW : 9.29 %<\/td>\n<\/tr>\n

GWO.PR.P<\/td>\nInsurance Straight<\/td>\nQuote: 20.60 – 21.10
\nSpot Rate : 0.5000
\nAverage : 0.3118<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n

GWO.PR.Y<\/td>\nInsurance Straight<\/td>\nQuote: 17.53 – 18.35
\nSpot Rate : 0.8200
\nAverage : 0.6790<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-02-21
\nMaturity Price : 17.53
\nEvaluated at bid price : 17.53
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-20 and since then the closing price has changed from 15.06 to 15.03, 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-46427","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46427","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=46427"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46427\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46427"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46427"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46427"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}