{"id":46745,"date":"2024-05-08T20:58:51","date_gmt":"2024-05-09T01:58:51","guid":{"rendered":"https:\/\/prefblog.com\/?p=46745"},"modified":"2024-05-08T20:58:51","modified_gmt":"2024-05-09T01:58:51","slug":"may-8-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=46745","title":{"rendered":"May 8, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.34% on 2024-4-30 and since then the closing price of ZLC has changed from 14.50 to 14.83, an increase of 228bp in price, implying a decrease of yields of 19bp (BMO reports a duration of 12.23, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.15%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and perhaps spuriously) to 340bp from the 345bp reported May 1<\/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-1.2903 %<\/td>\n2,337.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.2903 %<\/td>\n4,483.4<\/td>\n<\/tr>\n
Floater<\/td>\n10.29 %<\/td>\n10.54 %<\/td>\n59,490<\/td>\n9.07<\/td>\n1<\/td>\n-1.2903 %<\/td>\n2,583.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0361 %<\/td>\n3,471.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.85 %<\/td>\n6.91 %<\/td>\n35,383<\/td>\n1.40<\/td>\n8<\/td>\n0.0361 %<\/td>\n4,145.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0361 %<\/td>\n3,234.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0592 %<\/td>\n2,680.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.40 %<\/td>\n6.56 %<\/td>\n53,475<\/td>\n13.10<\/td>\n27<\/td>\n0.0592 %<\/td>\n2,923.0<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.15 %<\/td>\n7.03 %<\/td>\n131,150<\/td>\n11.96<\/td>\n57<\/td>\n-0.0697 %<\/td>\n2,593.7<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.31 %<\/td>\n6.49 %<\/td>\n59,491<\/td>\n13.18<\/td>\n21<\/td>\n0.2869 %<\/td>\n2,876.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.14 %<\/td>\n9.16 %<\/td>\n29,379<\/td>\n10.17<\/td>\n2<\/td>\n-0.8207 %<\/td>\n2,804.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.90 %<\/td>\n6.20 %<\/td>\n196,088<\/td>\n3.11<\/td>\n2<\/td>\n0.1571 %<\/td>\n2,539.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0697 %<\/td>\n2,651.3<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.04 %<\/td>\n6.90 %<\/td>\n81,670<\/td>\n12.89<\/td>\n14<\/td>\n-0.5654 %<\/td>\n2,817.8<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-14.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 15.25
\nEvaluated at bid price : 15.25
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-2.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset Disc<\/td>\n-2.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 21.51
\nEvaluated at bid price : 21.85
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n
PWF.PR.O<\/td>\nPerpetual-Discount<\/td>\n-1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 21.78
\nEvaluated at bid price : 22.02
\nBid-YTW : 6.64 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n-1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 21.67
\nEvaluated at bid price : 22.05
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
FFH.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 21.62
\nEvaluated at bid price : 22.00
\nBid-YTW : 7.81 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-1.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 17.18
\nEvaluated at bid price : 17.18
\nBid-YTW : 9.54 %<\/td>\n<\/tr>\n
IFC.PR.I<\/td>\nInsurance Straight<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 6.56 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 12.24
\nEvaluated at bid price : 12.24
\nBid-YTW : 10.54 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 22.72
\nEvaluated at bid price : 23.35
\nBid-YTW : 6.27 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 15.92
\nEvaluated at bid price : 15.92
\nBid-YTW : 8.46 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 18.61
\nEvaluated at bid price : 18.61
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n
PWF.PR.Z<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 19.91
\nEvaluated at bid price : 19.91
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 18.10
\nEvaluated at bid price : 18.10
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 22.28
\nEvaluated at bid price : 22.55
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 22.64
\nEvaluated at bid price : 23.61
\nBid-YTW : 6.47 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 19.45
\nEvaluated at bid price : 19.45
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n3.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 22.29
\nEvaluated at bid price : 22.75
\nBid-YTW : 7.92 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n3.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n5.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 6.53 %<\/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
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n341,157<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 16.52
\nEvaluated at bid price : 16.52
\nBid-YTW : 8.54 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n316,421<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 23.63
\nEvaluated at bid price : 24.50
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n261,632<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 22.70
\nEvaluated at bid price : 23.18
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n222,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 22.96
\nEvaluated at bid price : 23.50
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
TD.PF.M<\/td>\nFixedReset Disc<\/td>\n143,353<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 24.06
\nEvaluated at bid price : 24.87
\nBid-YTW : 7.30 %<\/td>\n<\/tr>\n
TD.PF.J<\/td>\nFixedReset Disc<\/td>\n111,176<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 23.03
\nEvaluated at bid price : 24.40
\nBid-YTW : 6.39 %<\/td>\n<\/tr>\n
There were 27 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.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 15.25 – 18.05
\nSpot Rate : 2.8000
\nAverage : 1.6193<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 15.25
\nEvaluated at bid price : 15.25
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n

POW.PR.B<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.60 – 21.70
\nSpot Rate : 1.1000
\nAverage : 0.6708<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 6.58 %<\/td>\n<\/tr>\n

CU.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 18.40 – 19.34
\nSpot Rate : 0.9400
\nAverage : 0.6851<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n

SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.65 – 21.15
\nSpot Rate : 1.5000
\nAverage : 1.2894<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 19.65
\nEvaluated at bid price : 19.65
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n

SLF.PR.J<\/td>\nFloatingReset<\/td>\nQuote: 17.18 – 17.90
\nSpot Rate : 0.7200
\nAverage : 0.5157<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 17.18
\nEvaluated at bid price : 17.18
\nBid-YTW : 9.54 %<\/td>\n<\/tr>\n

IFC.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 21.00 – 21.90
\nSpot Rate : 0.9000
\nAverage : 0.7008<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-05-08
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.34% on 2024-4-30 and since then the closing price of ZLC has changed from 14.50 to 14.83, …<\/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-46745","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46745","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=46745"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/46745\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=46745"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=46745"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=46745"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}