{"id":47144,"date":"2024-08-07T21:21:25","date_gmt":"2024-08-08T02:21:25","guid":{"rendered":"https:\/\/prefblog.com\/?p=47144"},"modified":"2024-08-07T21:21:25","modified_gmt":"2024-08-08T02:21:25","slug":"august-7-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47144","title":{"rendered":"August 7, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.22%, equivalent to 8.09% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.91% on 2024-7-31 and since then the closing price of ZLC has changed from 15.24 to 15.21, a decrease of 20bp in price, implying an increase of yields of 2bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.93%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 315bp from the 325bp reported July 31<\/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>\n1.3805 %<\/td>\n2,240.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.3805 %<\/td>\n4,298.1<\/td>\n<\/tr>\n
Floater<\/td>\n9.98 %<\/td>\n10.14 %<\/td>\n88,685<\/td>\n9.38<\/td>\n2<\/td>\n1.3805 %<\/td>\n2,477.0<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4604 %<\/td>\n3,550.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.68 %<\/td>\n5.97 %<\/td>\n30,261<\/td>\n1.18<\/td>\n4<\/td>\n0.4604 %<\/td>\n4,240.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4604 %<\/td>\n3,308.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1166 %<\/td>\n2,824.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.09 %<\/td>\n6.22 %<\/td>\n59,431<\/td>\n13.55<\/td>\n31<\/td>\n0.1166 %<\/td>\n3,079.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.50 %<\/td>\n7.01 %<\/td>\n139,555<\/td>\n12.43<\/td>\n62<\/td>\n0.3115 %<\/td>\n2,613.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.97 %<\/td>\n6.12 %<\/td>\n65,015<\/td>\n13.67<\/td>\n21<\/td>\n0.2280 %<\/td>\n3,032.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.89 %<\/td>\n8.91 %<\/td>\n26,745<\/td>\n10.43<\/td>\n3<\/td>\n-0.0704 %<\/td>\n2,739.2<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.77 %<\/td>\n5.73 %<\/td>\n259,513<\/td>\n12.00<\/td>\n5<\/td>\n0.7074 %<\/td>\n2,547.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3115 %<\/td>\n2,671.4<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.28 %<\/td>\n6.29 %<\/td>\n106,855<\/td>\n13.47<\/td>\n14<\/td>\n0.2016 %<\/td>\n2,783.3<\/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
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\n-7.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 19.65
\nEvaluated at bid price : 19.65
\nBid-YTW : 8.03 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n-2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.71
\nEvaluated at bid price : 23.25
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.90
\nEvaluated at bid price : 23.35
\nBid-YTW : 7.52 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
FFH.PR.I<\/td>\nFixedReset Disc<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 7.84 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 23.08
\nEvaluated at bid price : 23.86
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.75
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
ENB.PF.A<\/td>\nFixedReset Disc<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 18.59
\nEvaluated at bid price : 18.59
\nBid-YTW : 7.71 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 16.35
\nEvaluated at bid price : 16.35
\nBid-YTW : 6.56 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 20.83
\nEvaluated at bid price : 20.83
\nBid-YTW : 7.32 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.67
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.94
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 7.99 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Prem<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 23.43
\nEvaluated at bid price : 25.70
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset Disc<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 18.31
\nEvaluated at bid price : 18.31
\nBid-YTW : 7.72 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.15
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 14.88
\nEvaluated at bid price : 14.88
\nBid-YTW : 7.30 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset Disc<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 19.83
\nEvaluated at bid price : 19.83
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
ENB.PF.K<\/td>\nFixedReset Disc<\/td>\n1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.49
\nEvaluated at bid price : 23.20
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
BN.PF.A<\/td>\nFixedReset Disc<\/td>\n1.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.21
\nEvaluated at bid price : 22.79
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 23.52
\nEvaluated at bid price : 23.97
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n2.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 19.86
\nEvaluated at bid price : 19.86
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n2.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 11.83
\nEvaluated at bid price : 11.83
\nBid-YTW : 10.14 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n16.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 7.79 %<\/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.H<\/td>\nFixedReset Disc<\/td>\n334,592<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 23.96
\nEvaluated at bid price : 24.93
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n307,266<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 23.97
\nEvaluated at bid price : 24.93
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
ENB.PF.K<\/td>\nFixedReset Disc<\/td>\n110,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.49
\nEvaluated at bid price : 23.20
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n109,276<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n106,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 21.65
\nEvaluated at bid price : 21.99
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
GWO.PR.L<\/td>\nInsurance Straight<\/td>\n86,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.10
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
There were 20 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
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\nQuote: 19.65 – 21.10
\nSpot Rate : 1.4500
\nAverage : 0.8316<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 19.65
\nEvaluated at bid price : 19.65
\nBid-YTW : 8.03 %<\/td>\n<\/tr>\n

CM.PR.Q<\/td>\nFixedReset Disc<\/td>\nQuote: 23.25 – 24.25
\nSpot Rate : 1.0000
\nAverage : 0.6263<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 22.71
\nEvaluated at bid price : 23.25
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.35 – 22.96
\nSpot Rate : 1.6100
\nAverage : 1.2386<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.35 – 17.43
\nSpot Rate : 1.0800
\nAverage : 0.7148<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 16.35
\nEvaluated at bid price : 16.35
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n

IFC.PR.F<\/td>\nInsurance Straight<\/td>\nQuote: 21.25 – 22.99
\nSpot Rate : 1.7400
\nAverage : 1.3928<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 21.25
\nEvaluated at bid price : 21.25
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n

CU.PR.I<\/td>\nFixedReset Disc<\/td>\nQuote: 23.97 – 24.95
\nSpot Rate : 0.9800
\nAverage : 0.6692<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-07
\nMaturity Price : 23.52
\nEvaluated at bid price : 23.97
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.22%, equivalent to 8.09% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.91% on 2024-7-31 and since then the closing price of ZLC has changed from 15.24 to 15.21, …<\/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-47144","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47144","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=47144"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47144\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47144"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47144"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47144"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}