{"id":47085,"date":"2024-07-17T20:47:51","date_gmt":"2024-07-18T01:47:51","guid":{"rendered":"https:\/\/prefblog.com\/?p=47085"},"modified":"2024-07-17T20:47:51","modified_gmt":"2024-07-18T01:47:51","slug":"july-17-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47085","title":{"rendered":"July 17, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.48%, equivalent to 8.42% 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 15.10, an increase of 189bp in price, implying a decrease of yields of 15bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.97%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained steady at the 345bp reported July 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>\n-0.0875 %<\/td>\n2,178.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0875 %<\/td>\n4,177.4<\/td>\n<\/tr>\n
Floater<\/td>\n10.65 %<\/td>\n10.85 %<\/td>\n24,203<\/td>\n8.91<\/td>\n2<\/td>\n-0.0875 %<\/td>\n2,407.4<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0411 %<\/td>\n3,498.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.78 %<\/td>\n6.79 %<\/td>\n28,549<\/td>\n1.23<\/td>\n6<\/td>\n0.0411 %<\/td>\n4,177.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0411 %<\/td>\n3,259.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0475 %<\/td>\n2,720.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.33 %<\/td>\n6.48 %<\/td>\n56,010<\/td>\n13.25<\/td>\n28<\/td>\n0.0475 %<\/td>\n2,966.1<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.13 %<\/td>\n7.04 %<\/td>\n114,203<\/td>\n12.49<\/td>\n49<\/td>\n0.2293 %<\/td>\n2,638.0<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.14 %<\/td>\n6.37 %<\/td>\n60,336<\/td>\n13.38<\/td>\n21<\/td>\n-0.5406 %<\/td>\n2,910.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n9.18 %<\/td>\n8.93 %<\/td>\n29,761<\/td>\n10.44<\/td>\n4<\/td>\n0.1797 %<\/td>\n2,791.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.84 %<\/td>\n6.22 %<\/td>\n254,057<\/td>\n11.92<\/td>\n8<\/td>\n-0.2127 %<\/td>\n2,528.8<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2293 %<\/td>\n2,696.5<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.22 %<\/td>\n6.61 %<\/td>\n93,336<\/td>\n13.21<\/td>\n14<\/td>\n0.3235 %<\/td>\n2,814.0<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n-15.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 17.05
\nEvaluated at bid price : 17.05
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 16.01
\nEvaluated at bid price : 16.01
\nBid-YTW : 8.03 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 14.95
\nEvaluated at bid price : 14.95
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nInsurance Straight<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 21.91
\nEvaluated at bid price : 22.29
\nBid-YTW : 7.34 %<\/td>\n<\/tr>\n
BN.PR.T<\/td>\nFixedReset Disc<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 16.40
\nEvaluated at bid price : 16.40
\nBid-YTW : 8.21 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Prem<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 23.27
\nEvaluated at bid price : 25.26
\nBid-YTW : 7.35 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 21.39
\nEvaluated at bid price : 21.66
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 22.57
\nEvaluated at bid price : 23.40
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 21.47
\nEvaluated at bid price : 21.78
\nBid-YTW : 6.61 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 18.04
\nEvaluated at bid price : 18.04
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 22.61
\nEvaluated at bid price : 23.15
\nBid-YTW : 7.34 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 23.16
\nEvaluated at bid price : 24.92
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 16.58
\nEvaluated at bid price : 16.58
\nBid-YTW : 8.12 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n2.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 20.16
\nEvaluated at bid price : 20.16
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n6.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 6.97 %<\/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
TD.PF.B<\/td>\nFixedReset Prem<\/td>\n604,274<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.95
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset Disc<\/td>\n563,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 23.97
\nEvaluated at bid price : 24.95
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n311,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 24.01
\nEvaluated at bid price : 25.00
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Prem<\/td>\n127,300<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2027-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n116,317<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 23.56
\nEvaluated at bid price : 24.14
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n71,875<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
There were 23 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
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\nQuote: 17.82 – 22.20
\nSpot Rate : 4.3800
\nAverage : 2.3268<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 17.82
\nEvaluated at bid price : 17.82
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n

GWO.PR.T<\/td>\nInsurance Straight<\/td>\nQuote: 17.05 – 20.31
\nSpot Rate : 3.2600
\nAverage : 1.8238<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 17.05
\nEvaluated at bid price : 17.05
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n

MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.78 – 22.78
\nSpot Rate : 1.0000
\nAverage : 0.6853<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 21.47
\nEvaluated at bid price : 21.78
\nBid-YTW : 6.61 %<\/td>\n<\/tr>\n

IFC.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 21.50 – 23.22
\nSpot Rate : 1.7200
\nAverage : 1.4502<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n

BN.PR.X<\/td>\nFixedReset Disc<\/td>\nQuote: 16.01 – 16.80
\nSpot Rate : 0.7900
\nAverage : 0.6204<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 16.01
\nEvaluated at bid price : 16.01
\nBid-YTW : 8.03 %<\/td>\n<\/tr>\n

NA.PR.W<\/td>\nFixedReset Disc<\/td>\nQuote: 22.05 – 22.51
\nSpot Rate : 0.4600
\nAverage : 0.3010<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-17
\nMaturity Price : 21.65
\nEvaluated at bid price : 22.05
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.48%, equivalent to 8.42% 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 assuming 2024-6-28) and since then the closing …<\/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-47085","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47085","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=47085"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47085\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47085"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47085"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47085"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}