{"id":46536,"date":"2024-03-13T19:30:02","date_gmt":"2024-03-14T00:30:02","guid":{"rendered":"https:\/\/prefblog.com\/?p=46536"},"modified":"2024-03-13T19:30:02","modified_gmt":"2024-03-14T00:30:02","slug":"march-13-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46536","title":{"rendered":"March 13, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.68%, equivalent to 8.68% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.03% on 2024-3-13 so there’s no need to adjust for market movement. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and perhaps spuriously) to 365bp from the 370bp reported March 6<\/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>\n0.0000 %<\/td>\n2,368.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,542.0<\/td>\n<\/tr>\n
Floater<\/td>\n10.16 %<\/td>\n10.22 %<\/td>\n41,345<\/td>\n9.43<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,617.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0602 %<\/td>\n3,406.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.94 %<\/td>\n7.35 %<\/td>\n43,901<\/td>\n1.85<\/td>\n7<\/td>\n-0.0602 %<\/td>\n4,067.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0602 %<\/td>\n3,173.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1227 %<\/td>\n2,656.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.47 %<\/td>\n6.68 %<\/td>\n47,566<\/td>\n12.90<\/td>\n31<\/td>\n0.1227 %<\/td>\n2,896.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.41 %<\/td>\n7.00 %<\/td>\n106,724<\/td>\n12.37<\/td>\n59<\/td>\n0.0727 %<\/td>\n2,441.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.29 %<\/td>\n6.48 %<\/td>\n51,124<\/td>\n13.29<\/td>\n22<\/td>\n0.2972 %<\/td>\n2,858.3<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.92 %<\/td>\n10.09 %<\/td>\n29,607<\/td>\n9.36<\/td>\n3<\/td>\n0.3592 %<\/td>\n2,600.9<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.98 %<\/td>\n6.89 %<\/td>\n152,349<\/td>\n12.44<\/td>\n1<\/td>\n0.1193 %<\/td>\n2,502.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0727 %<\/td>\n2,495.2<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.49 %<\/td>\n7.18 %<\/td>\n72,478<\/td>\n12.48<\/td>\n14<\/td>\n0.0261 %<\/td>\n2,588.3<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n-3.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n-2.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 8.73 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n-2.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 18.20
\nEvaluated at bid price : 18.20
\nBid-YTW : 9.30 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-2.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 22.01
\nEvaluated at bid price : 22.25
\nBid-YTW : 6.64 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.58
\nBid-YTW : 6.55 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 15.70
\nEvaluated at bid price : 15.70
\nBid-YTW : 8.33 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.30
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 19.08
\nEvaluated at bid price : 19.08
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 22.48
\nEvaluated at bid price : 23.41
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 18.45
\nEvaluated at bid price : 18.45
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 13.75
\nEvaluated at bid price : 13.75
\nBid-YTW : 8.00 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n
IAF.PR.B<\/td>\nInsurance Straight<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 21.49
\nEvaluated at bid price : 21.75
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n
BN.PR.T<\/td>\nFixedReset Disc<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 15.39
\nEvaluated at bid price : 15.39
\nBid-YTW : 8.84 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 20.26
\nEvaluated at bid price : 20.26
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 21.58
\nEvaluated at bid price : 21.97
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n4.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 22.17
\nEvaluated at bid price : 22.50
\nBid-YTW : 7.66 %<\/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
TD.PF.L<\/td>\nFixedReset Disc<\/td>\n541,899<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.14
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n235,917<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 22.66
\nEvaluated at bid price : 23.77
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n212,747<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 22.48
\nEvaluated at bid price : 23.41
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Disc<\/td>\n75,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 23.03
\nEvaluated at bid price : 24.31
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n58,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 14.70
\nEvaluated at bid price : 14.70
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n53,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 14.40
\nEvaluated at bid price : 14.40
\nBid-YTW : 8.17 %<\/td>\n<\/tr>\n
There were 18 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
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.33 – 21.00
\nSpot Rate : 1.6700
\nAverage : 1.1950<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 19.33
\nEvaluated at bid price : 19.33
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n

CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.50 – 18.64
\nSpot Rate : 1.1400
\nAverage : 0.6745<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n

BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 18.30 – 19.80
\nSpot Rate : 1.5000
\nAverage : 1.2005<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 8.73 %<\/td>\n<\/tr>\n

TD.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 20.50 – 22.96
\nSpot Rate : 2.4600
\nAverage : 2.2139<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n

BN.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.81 – 18.50
\nSpot Rate : 0.6900
\nAverage : 0.4637<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 17.81
\nEvaluated at bid price : 17.81
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n

TD.PF.C<\/td>\nFixedReset Disc<\/td>\nQuote: 21.00 – 21.69
\nSpot Rate : 0.6900
\nAverage : 0.4644<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-13
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.68%, equivalent to 8.68% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2024-3-13 so there’s no need to adjust for market movement. Therefore, the pre-tax interest-equivalent spread …<\/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-46536","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46536","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=46536"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46536\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46536"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46536"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46536"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}