{"id":46686,"date":"2024-04-24T21:38:45","date_gmt":"2024-04-25T02:38:45","guid":{"rendered":"https:\/\/prefblog.com\/?p=46686"},"modified":"2024-04-24T21:38:45","modified_gmt":"2024-04-25T02:38:45","slug":"april-24-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46686","title":{"rendered":"April 24, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.90%, equivalent to 8.97% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.21% on 2024-4-5 (? previously they were saying the YTM was 5.18% on 2024-4-5; what are they doing?) and since then the closing price of ZLC has changed from 14.79 to 14.52, a decrease of 183bp in price, implying an increase of yields of 15bp (BMO reports a duration of 12.30, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.36%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 360bp from the 350bp reported April 17<\/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>\n-4.7390 %<\/td>\n2,265.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-4.7390 %<\/td>\n4,344.2<\/td>\n<\/tr>\n
Floater<\/td>\n10.62 %<\/td>\n10.84 %<\/td>\n53,890<\/td>\n8.89<\/td>\n1<\/td>\n-4.7390 %<\/td>\n2,503.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.7660 %<\/td>\n3,404.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.95 %<\/td>\n7.74 %<\/td>\n36,912<\/td>\n1.73<\/td>\n7<\/td>\n-0.7660 %<\/td>\n4,065.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.7660 %<\/td>\n3,171.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0072 %<\/td>\n2,560.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.71 %<\/td>\n6.90 %<\/td>\n48,328<\/td>\n12.71<\/td>\n29<\/td>\n-0.0072 %<\/td>\n2,791.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.25 %<\/td>\n6.98 %<\/td>\n113,625<\/td>\n11.82<\/td>\n57<\/td>\n0.4575 %<\/td>\n2,535.5<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.66 %<\/td>\n6.83 %<\/td>\n56,148<\/td>\n12.75<\/td>\n21<\/td>\n0.0330 %<\/td>\n2,726.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.58 %<\/td>\n9.65 %<\/td>\n26,273<\/td>\n9.81<\/td>\n2<\/td>\n-0.1314 %<\/td>\n2,672.2<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.39 %<\/td>\n6.58 %<\/td>\n194,509<\/td>\n3.14<\/td>\n3<\/td>\n-0.1983 %<\/td>\n2,519.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4575 %<\/td>\n2,591.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.30 %<\/td>\n7.40 %<\/td>\n66,138<\/td>\n12.40<\/td>\n14<\/td>\n0.5428 %<\/td>\n2,681.9<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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.B<\/td>\nFloater<\/td>\n-4.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 11.86
\nEvaluated at bid price : 11.86
\nBid-YTW : 10.84 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-2.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 14.93
\nEvaluated at bid price : 14.93
\nBid-YTW : 9.13 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.50
\nBid-YTW : 7.66 %<\/td>\n<\/tr>\n
PVS.PR.I<\/td>\nSplitShare<\/td>\n-1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.91
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
PVS.PR.H<\/td>\nSplitShare<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2027-02-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.27
\nBid-YTW : 7.74 %<\/td>\n<\/tr>\n
FFH.PR.M<\/td>\nFixedReset Disc<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.83
\nEvaluated at bid price : 23.40
\nBid-YTW : 8.24 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 23.12
\nEvaluated at bid price : 23.65
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.98
\nEvaluated at bid price : 23.46
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 14.74
\nEvaluated at bid price : 14.74
\nBid-YTW : 8.39 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 21.47
\nEvaluated at bid price : 21.80
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 23.43
\nEvaluated at bid price : 24.30
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 23.41
\nEvaluated at bid price : 24.35
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 19.02
\nEvaluated at bid price : 19.02
\nBid-YTW : 8.46 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 23.74
\nEvaluated at bid price : 24.55
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.21
\nEvaluated at bid price : 22.50
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.19
\nEvaluated at bid price : 22.80
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n1.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.69
\nEvaluated at bid price : 23.30
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n1.98 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.20
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.95
\nEvaluated at bid price : 23.58
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n2.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.55
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n2.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.21
\nEvaluated at bid price : 22.50
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 18.03
\nEvaluated at bid price : 18.03
\nBid-YTW : 8.94 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n2.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.98
\nEvaluated at bid price : 23.41
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n3.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 19.12
\nEvaluated at bid price : 19.12
\nBid-YTW : 6.91 %<\/td>\n<\/tr>\n<\/table>\n\n\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>\n833,967<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.89
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n460,210<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 23.43
\nEvaluated at bid price : 24.30
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n454,167<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 23.74
\nEvaluated at bid price : 24.55
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n391,926<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n308,947<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.69
\nEvaluated at bid price : 23.30
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
BMO.PR.F<\/td>\nFixedReset Disc<\/td>\n115,229<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n109,861<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 23.24
\nEvaluated at bid price : 23.96
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n102,629<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 22.98
\nEvaluated at bid price : 23.41
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
There were 31 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
BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 19.60 – 20.75
\nSpot Rate : 1.1500
\nAverage : 0.7155<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 8.57 %<\/td>\n<\/tr>\n

BN.PR.X<\/td>\nFixedReset Disc<\/td>\nQuote: 14.93 – 15.99
\nSpot Rate : 1.0600
\nAverage : 0.6449<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 14.93
\nEvaluated at bid price : 14.93
\nBid-YTW : 9.13 %<\/td>\n<\/tr>\n

CCS.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 18.55 – 19.72
\nSpot Rate : 1.1700
\nAverage : 0.8526<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n

GWO.PR.R<\/td>\nInsurance Straight<\/td>\nQuote: 17.75 – 18.90
\nSpot Rate : 1.1500
\nAverage : 0.8685<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 6.85 %<\/td>\n<\/tr>\n

BN.PR.B<\/td>\nFloater<\/td>\nQuote: 11.86 – 12.50
\nSpot Rate : 0.6400
\nAverage : 0.3967<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 11.86
\nEvaluated at bid price : 11.86
\nBid-YTW : 10.84 %<\/td>\n<\/tr>\n

SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\nQuote: 15.50 – 16.25
\nSpot Rate : 0.7500
\nAverage : 0.5155<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-04-24
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 8.08 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.90%, equivalent to 8.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.21% on 2024-4-5 (? previously they were saying the YTM was 5.18% on 2024-4-5; what are they …<\/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-46686","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46686","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=46686"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46686\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46686"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46686"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46686"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}