{"id":46667,"date":"2024-04-17T22:08:55","date_gmt":"2024-04-18T03:08:55","guid":{"rendered":"https:\/\/prefblog.com\/?p=46667"},"modified":"2024-04-17T22:08:55","modified_gmt":"2024-04-18T03:08:55","slug":"april-17-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46667","title":{"rendered":"April 17, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.75%, equivalent to 8.78% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.18% on 2024-4-5 and since then the closing price of ZLC has changed from 14.79 to 14.62, a decrease of 115bp in price, implying an increase of yields of 9bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.27%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slightly (and perhaps spuriously) to 350bp from the 345bp reported April 10<\/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>\n2,370.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,545.6<\/td>\n<\/tr>\n
Floater<\/td>\n10.15 %<\/td>\n10.33 %<\/td>\n45,677<\/td>\n9.28<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,619.7<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0419 %<\/td>\n3,432.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.90 %<\/td>\n7.09 %<\/td>\n31,755<\/td>\n1.75<\/td>\n7<\/td>\n0.0419 %<\/td>\n4,098.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0419 %<\/td>\n3,198.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0286 %<\/td>\n2,593.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.63 %<\/td>\n6.75 %<\/td>\n45,341<\/td>\n12.91<\/td>\n29<\/td>\n0.0286 %<\/td>\n2,827.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.26 %<\/td>\n7.31 %<\/td>\n109,312<\/td>\n12.09<\/td>\n57<\/td>\n0.2587 %<\/td>\n2,527.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.55 %<\/td>\n6.71 %<\/td>\n53,643<\/td>\n12.92<\/td>\n21<\/td>\n0.3232 %<\/td>\n2,769.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.53 %<\/td>\n9.48 %<\/td>\n29,155<\/td>\n9.96<\/td>\n2<\/td>\n0.1312 %<\/td>\n2,682.8<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.40 %<\/td>\n6.56 %<\/td>\n205,858<\/td>\n3.16<\/td>\n3<\/td>\n0.2129 %<\/td>\n2,513.5<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2587 %<\/td>\n2,583.5<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.37 %<\/td>\n7.40 %<\/td>\n70,853<\/td>\n12.30<\/td>\n14<\/td>\n-0.0036 %<\/td>\n2,645.6<\/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
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 16.97
\nEvaluated at bid price : 16.97
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 21.90
\nEvaluated at bid price : 22.25
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 22.23
\nEvaluated at bid price : 22.93
\nBid-YTW : 6.65 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 18.86
\nEvaluated at bid price : 18.86
\nBid-YTW : 8.44 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 18.06
\nEvaluated at bid price : 18.06
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 18.88
\nEvaluated at bid price : 18.88
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 15.43
\nEvaluated at bid price : 15.43
\nBid-YTW : 8.09 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 6.25 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 19.38
\nEvaluated at bid price : 19.38
\nBid-YTW : 8.53 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 19.98
\nEvaluated at bid price : 19.98
\nBid-YTW : 7.55 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 22.61
\nEvaluated at bid price : 23.00
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 22.22
\nEvaluated at bid price : 22.96
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 22.65
\nEvaluated at bid price : 23.70
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n2.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 22.42
\nEvaluated at bid price : 22.70
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n2.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.77 %<\/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>\n1,250,934<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
CM.PR.T<\/td>\nFixedReset Disc<\/td>\n223,296<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.95
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n128,122<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 23.15
\nEvaluated at bid price : 23.68
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n125,463<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 23.33
\nEvaluated at bid price : 24.20
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n82,510<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 23.47
\nEvaluated at bid price : 24.32
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
TD.PF.L<\/td>\nFixedReset Prem<\/td>\n69,950<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.95
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
There were 17 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
TD.PF.E<\/td>\nFixedReset Disc<\/td>\nQuote: 23.11 – 23.95
\nSpot Rate : 0.8400
\nAverage : 0.6208<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 22.70
\nEvaluated at bid price : 23.11
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n

BN.PR.M<\/td>\nPerpetual-Discount<\/td>\nQuote: 16.97 – 17.60
\nSpot Rate : 0.6300
\nAverage : 0.4665<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 16.97
\nEvaluated at bid price : 16.97
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n

CCS.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 18.88 – 20.00
\nSpot Rate : 1.1200
\nAverage : 0.9832<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 18.88
\nEvaluated at bid price : 18.88
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n

BN.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 21.05 – 22.67
\nSpot Rate : 1.6200
\nAverage : 1.5004<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 21.05
\nEvaluated at bid price : 21.05
\nBid-YTW : 8.02 %<\/td>\n<\/tr>\n

NA.PR.G<\/td>\nFixedReset Prem<\/td>\nQuote: 25.12 – 25.47
\nSpot Rate : 0.3500
\nAverage : 0.2470<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.12
\nBid-YTW : 6.56 %<\/td>\n<\/tr>\n

TD.PF.J<\/td>\nFixedReset Disc<\/td>\nQuote: 23.20 – 23.59
\nSpot Rate : 0.3900
\nAverage : 0.2904<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-17
\nMaturity Price : 22.45
\nEvaluated at bid price : 23.20
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.75%, equivalent to 8.78% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.18% on 2024-4-5 and since then the closing price of ZLC has changed from 14.79 to 14.62, …<\/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-46667","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46667","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=46667"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46667\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46667"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46667"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46667"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}