{"id":46585,"date":"2024-03-27T23:18:53","date_gmt":"2024-03-28T04:18:53","guid":{"rendered":"https:\/\/prefblog.com\/?p=46585"},"modified":"2024-03-27T23:18:53","modified_gmt":"2024-03-28T04:18:53","slug":"march-27-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46585","title":{"rendered":"March 27, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.62%, equivalent to 8.61% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 15.02, an increase of 47bp in price, implying a decline of yields of 4bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.08%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained constant at the 355bp reported March 20<\/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>\n1.1438 %<\/td>\n2,364.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.1438 %<\/td>\n4,534.6<\/td>\n<\/tr>\n
Floater<\/td>\n10.18 %<\/td>\n10.28 %<\/td>\n44,421<\/td>\n9.35<\/td>\n1<\/td>\n1.1438 %<\/td>\n2,613.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0478 %<\/td>\n3,432.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.90 %<\/td>\n7.06 %<\/td>\n36,248<\/td>\n1.81<\/td>\n7<\/td>\n-0.0478 %<\/td>\n4,099.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0478 %<\/td>\n3,198.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0683 %<\/td>\n2,669.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.44 %<\/td>\n6.62 %<\/td>\n46,115<\/td>\n13.05<\/td>\n31<\/td>\n0.0683 %<\/td>\n2,910.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.32 %<\/td>\n6.93 %<\/td>\n108,706<\/td>\n12.20<\/td>\n59<\/td>\n0.1517 %<\/td>\n2,483.1<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.33 %<\/td>\n6.46 %<\/td>\n51,523<\/td>\n13.29<\/td>\n22<\/td>\n-0.1338 %<\/td>\n2,842.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.95 %<\/td>\n10.23 %<\/td>\n29,058<\/td>\n9.36<\/td>\n3<\/td>\n0.5098 %<\/td>\n2,607.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.89 %<\/td>\n6.70 %<\/td>\n149,469<\/td>\n3.17<\/td>\n1<\/td>\n-0.0392 %<\/td>\n2,535.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1517 %<\/td>\n2,538.2<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.39 %<\/td>\n7.18 %<\/td>\n75,133<\/td>\n12.60<\/td>\n14<\/td>\n0.2866 %<\/td>\n2,634.9<\/td>\n<\/tr>\n<\/table>\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
IAF.PR.B<\/td>\nInsurance Straight<\/td>\n-8.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 20.01
\nEvaluated at bid price : 20.01
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.25
\nBid-YTW : 7.12 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nInsurance Straight<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 18.90
\nEvaluated at bid price : 18.90
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 12.38
\nEvaluated at bid price : 12.38
\nBid-YTW : 10.28 %<\/td>\n<\/tr>\n
BN.PR.T<\/td>\nFixedReset Disc<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 8.87 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Disc<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.21
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 22.94
\nEvaluated at bid price : 23.81
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 21.24
\nEvaluated at bid price : 21.24
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
BIP.PR.B<\/td>\nFixedReset Disc<\/td>\n2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 22.78
\nEvaluated at bid price : 23.15
\nBid-YTW : 8.43 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n2.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 6.62 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n2.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 22.42
\nEvaluated at bid price : 22.70
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n2.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 22.29
\nEvaluated at bid price : 23.05
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n3.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 22.19
\nEvaluated at bid price : 22.68
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n3.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 8.44 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n5.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 5.99 %<\/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
RY.PR.Z<\/td>\nFixedReset Disc<\/td>\n219,834<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 21.98
\nEvaluated at bid price : 22.52
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
TD.PF.L<\/td>\nFixedReset Disc<\/td>\n186,789<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.19
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
CM.PR.T<\/td>\nFixedReset Disc<\/td>\n182,408<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.88
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n70,925<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 22.94
\nEvaluated at bid price : 23.81
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n67,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 21.83
\nEvaluated at bid price : 22.30
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Disc<\/td>\n63,290<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 23.13
\nEvaluated at bid price : 24.84
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
There were 10 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: 19.91 – 21.55
\nSpot Rate : 1.6400
\nAverage : 0.9626<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 19.91
\nEvaluated at bid price : 19.91
\nBid-YTW : 7.26 %<\/td>\n<\/tr>\n

IAF.PR.B<\/td>\nInsurance Straight<\/td>\nQuote: 20.01 – 22.50
\nSpot Rate : 2.4900
\nAverage : 1.9685<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 20.01
\nEvaluated at bid price : 20.01
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n

PVS.PR.J<\/td>\nSplitShare<\/td>\nQuote: 23.06 – 24.06
\nSpot Rate : 1.0000
\nAverage : 0.6245<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.06
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n

PVS.PR.H<\/td>\nSplitShare<\/td>\nQuote: 23.90 – 24.99
\nSpot Rate : 1.0900
\nAverage : 0.8864<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.90
\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n

POW.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.20 – 19.80
\nSpot Rate : 0.6000
\nAverage : 0.4250<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n

IFC.PR.I<\/td>\nInsurance Straight<\/td>\nQuote: 21.07 – 21.87
\nSpot Rate : 0.8000
\nAverage : 0.6819<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-03-27
\nMaturity Price : 21.07
\nEvaluated at bid price : 21.07
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.62%, equivalent to 8.61% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 15.02, …<\/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-46585","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46585","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=46585"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46585\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46585"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46585"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46585"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}