{"id":47103,"date":"2024-07-24T20:51:13","date_gmt":"2024-07-25T01:51:13","guid":{"rendered":"https:\/\/prefblog.com\/?p=47103"},"modified":"2024-07-24T20:51:13","modified_gmt":"2024-07-25T01:51:13","slug":"july-24-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47103","title":{"rendered":"July 24, 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 14.91, an increase of 61bp in price, implying a decrease of yields of 5bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.07%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 335bp from the 345bp reported July 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>\n0.8551 %<\/td>\n2,249.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.8551 %<\/td>\n4,314.6<\/td>\n<\/tr>\n
Floater<\/td>\n10.31 %<\/td>\n10.48 %<\/td>\n87,422<\/td>\n9.16<\/td>\n2<\/td>\n0.8551 %<\/td>\n2,486.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0885 %<\/td>\n3,524.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.74 %<\/td>\n6.32 %<\/td>\n28,099<\/td>\n1.21<\/td>\n6<\/td>\n0.0885 %<\/td>\n4,208.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0885 %<\/td>\n3,283.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3409 %<\/td>\n2,761.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.23 %<\/td>\n6.38 %<\/td>\n57,693<\/td>\n13.38<\/td>\n28<\/td>\n0.3409 %<\/td>\n3,011.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.09 %<\/td>\n7.01 %<\/td>\n118,208<\/td>\n12.44<\/td>\n49<\/td>\n0.2658 %<\/td>\n2,658.2<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.02 %<\/td>\n6.30 %<\/td>\n63,513<\/td>\n13.47<\/td>\n21<\/td>\n0.0901 %<\/td>\n2,968.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.99 %<\/td>\n8.90 %<\/td>\n29,319<\/td>\n10.47<\/td>\n4<\/td>\n-0.8992 %<\/td>\n2,798.2<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.81 %<\/td>\n5.86 %<\/td>\n237,306<\/td>\n2.96<\/td>\n8<\/td>\n-0.0049 %<\/td>\n2,541.1<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2658 %<\/td>\n2,717.2<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.19 %<\/td>\n6.52 %<\/td>\n90,964<\/td>\n13.31<\/td>\n14<\/td>\n1.9926 %<\/td>\n2,831.0<\/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\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n-6.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-3.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 8.90 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n-3.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.80 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
MIC.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 20.08
\nEvaluated at bid price : 20.08
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 23.16
\nEvaluated at bid price : 23.60
\nBid-YTW : 7.79 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.08
\nEvaluated at bid price : 21.08
\nBid-YTW : 7.30 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 20.21
\nEvaluated at bid price : 20.21
\nBid-YTW : 7.80 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 19.57
\nEvaluated at bid price : 19.57
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.56
\nEvaluated at bid price : 21.92
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 19.88
\nEvaluated at bid price : 19.88
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 18.56
\nEvaluated at bid price : 18.56
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 19.12
\nEvaluated at bid price : 19.12
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.38
\nEvaluated at bid price : 21.65
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
BN.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 18.39
\nEvaluated at bid price : 18.39
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 11.84
\nEvaluated at bid price : 11.84
\nBid-YTW : 10.48 %<\/td>\n<\/tr>\n
BN.PR.T<\/td>\nFixedReset Disc<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 8.05 %<\/td>\n<\/tr>\n
NA.PR.E<\/td>\nFixedReset Disc<\/td>\n1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 23.00
\nEvaluated at bid price : 24.30
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n6.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 6.97 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n8.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 19.63
\nEvaluated at bid price : 19.63
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n31.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.88
\nBid-YTW : 6.58 %<\/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.N<\/td>\nPerpetual-Discount<\/td>\n532,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 23.83
\nEvaluated at bid price : 24.10
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Prem<\/td>\n300,902<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 23.94
\nEvaluated at bid price : 24.97
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n
BMO.PR.Y<\/td>\nFixedReset Disc<\/td>\n42,378<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 23.67
\nEvaluated at bid price : 24.17
\nBid-YTW : 6.14 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n41,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 24.01
\nEvaluated at bid price : 24.75
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n40,959<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n34,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 19.88
\nEvaluated at bid price : 19.88
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
There were 13 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
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\nQuote: 18.65 – 20.88
\nSpot Rate : 2.2300
\nAverage : 1.2199<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n

IFC.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 21.64 – 23.64
\nSpot Rate : 2.0000
\nAverage : 1.2544<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.64
\nEvaluated at bid price : 21.64
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n

GWO.PR.S<\/td>\nInsurance Straight<\/td>\nQuote: 20.95 – 22.48
\nSpot Rate : 1.5300
\nAverage : 0.8670<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 20.95
\nEvaluated at bid price : 20.95
\nBid-YTW : 6.34 %<\/td>\n<\/tr>\n

IFC.PR.F<\/td>\nInsurance Straight<\/td>\nQuote: 20.65 – 22.99
\nSpot Rate : 2.3400
\nAverage : 1.6931<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n

POW.PR.B<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.18 – 22.90
\nSpot Rate : 1.7200
\nAverage : 1.1747<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.18
\nEvaluated at bid price : 21.18
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n

MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\nQuote: 22.15 – 24.50
\nSpot Rate : 2.3500
\nAverage : 1.9583<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-07-24
\nMaturity Price : 21.80
\nEvaluated at bid price : 22.15
\nBid-YTW : 6.80 %<\/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-47103","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47103","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=47103"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47103\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47103"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47103"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47103"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}