{"id":47059,"date":"2024-07-10T21:14:05","date_gmt":"2024-07-11T02:14:05","guid":{"rendered":"https:\/\/prefblog.com\/?p=47059"},"modified":"2024-07-10T21:14:05","modified_gmt":"2024-07-11T02:14:05","slug":"july-10-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47059","title":{"rendered":"July 10, 2024"},"content":{"rendered":"

I’ve updated the EQB LRCN post<\/a> again.<\/p>\n

PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 14.94, an increase of 81bp in price, implying a decrease of yields of 7bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.05%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slighly (and perhaps spuriously) to 345bp from the 340bp reported July 3<\/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-0.4401 %<\/td>\n2,157.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4401 %<\/td>\n4,137.2<\/td>\n<\/tr>\n
Floater<\/td>\n10.75 %<\/td>\n10.92 %<\/td>\n89,259<\/td>\n8.87<\/td>\n2<\/td>\n-0.4401 %<\/td>\n2,384.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0069 %<\/td>\n3,495.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.78 %<\/td>\n6.59 %<\/td>\n27,226<\/td>\n1.25<\/td>\n6<\/td>\n0.0069 %<\/td>\n4,174.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0069 %<\/td>\n3,256.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5686 %<\/td>\n2,695.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.38 %<\/td>\n6.52 %<\/td>\n51,902<\/td>\n13.19<\/td>\n28<\/td>\n-0.5686 %<\/td>\n2,939.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.18 %<\/td>\n7.00 %<\/td>\n111,689<\/td>\n12.26<\/td>\n49<\/td>\n-1.0888 %<\/td>\n2,612.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.16 %<\/td>\n6.45 %<\/td>\n61,128<\/td>\n13.28<\/td>\n21<\/td>\n0.0898 %<\/td>\n2,899.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.20 %<\/td>\n8.99 %<\/td>\n32,984<\/td>\n10.40<\/td>\n4<\/td>\n0.5919 %<\/td>\n2,795.7<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.82 %<\/td>\n6.16 %<\/td>\n245,155<\/td>\n3.95<\/td>\n8<\/td>\n-0.4724 %<\/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>\n-1.0888 %<\/td>\n2,669.9<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.09 %<\/td>\n6.75 %<\/td>\n104,635<\/td>\n13.08<\/td>\n14<\/td>\n-0.5809 %<\/td>\n2,792.1<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
NA.PR.E<\/td>\nFixedReset Disc<\/td>\n-21.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 19.06
\nEvaluated at bid price : 19.06
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-7.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 14.08
\nEvaluated at bid price : 14.08
\nBid-YTW : 8.38 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n-6.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 21.84
\nEvaluated at bid price : 22.34
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n-4.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 7.98 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n-4.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.61
\nEvaluated at bid price : 23.33
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-3.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.03
\nEvaluated at bid price : 22.50
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset Disc<\/td>\n-2.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.45
\nEvaluated at bid price : 23.31
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n-1.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.21
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.83
\nEvaluated at bid price : 23.30
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Prem<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2027-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.42
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 21.48
\nEvaluated at bid price : 21.48
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
BN.PR.K<\/td>\nFloater<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 11.30
\nEvaluated at bid price : 11.30
\nBid-YTW : 10.94 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.33
\nEvaluated at bid price : 22.91
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n
GWO.PR.L<\/td>\nInsurance Straight<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 21.75
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.47 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 17.68
\nEvaluated at bid price : 17.68
\nBid-YTW : 8.75 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.05
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n2.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n3.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n3.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 21.06
\nEvaluated at bid price : 21.06
\nBid-YTW : 6.23 %<\/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.PF.C<\/td>\nPerpetual-Discount<\/td>\n70,798<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 17.98
\nEvaluated at bid price : 17.98
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
FFH.PR.C<\/td>\nFixedReset Disc<\/td>\n55,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 21.59
\nEvaluated at bid price : 21.96
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n52,595<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 16.99
\nEvaluated at bid price : 16.99
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n51,299<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 23.04
\nEvaluated at bid price : 23.50
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n37,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n36,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.83
\nEvaluated at bid price : 23.99
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
There were 14 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
NA.PR.E<\/td>\nFixedReset Disc<\/td>\nQuote: 19.06 – 24.05
\nSpot Rate : 4.9900
\nAverage : 2.6523<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 19.06
\nEvaluated at bid price : 19.06
\nBid-YTW : 7.88 %<\/td>\n<\/tr>\n

TD.PF.D<\/td>\nFixedReset Disc<\/td>\nQuote: 22.34 – 23.90
\nSpot Rate : 1.5600
\nAverage : 0.9642<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 21.84
\nEvaluated at bid price : 22.34
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n

BN.PR.Z<\/td>\nFixedReset Disc<\/td>\nQuote: 20.15 – 21.24
\nSpot Rate : 1.0900
\nAverage : 0.6605<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 7.98 %<\/td>\n<\/tr>\n

GWO.PR.G<\/td>\nInsurance Straight<\/td>\nQuote: 20.35 – 21.41
\nSpot Rate : 1.0600
\nAverage : 0.6515<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n

MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\nQuote: 23.33 – 24.33
\nSpot Rate : 1.0000
\nAverage : 0.6207<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 22.61
\nEvaluated at bid price : 23.33
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n

PWF.PR.P<\/td>\nFixedReset Disc<\/td>\nQuote: 14.08 – 15.65
\nSpot Rate : 1.5700
\nAverage : 1.1994<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-10
\nMaturity Price : 14.08
\nEvaluated at bid price : 14.08
\nBid-YTW : 8.38 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

I’ve updated the EQB LRCN post again. PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am …<\/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-47059","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47059","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=47059"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47059\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47059"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47059"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47059"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}