{"id":47164,"date":"2024-08-14T21:15:16","date_gmt":"2024-08-15T02:15:16","guid":{"rendered":"https:\/\/prefblog.com\/?p=47164"},"modified":"2024-08-14T21:15:16","modified_gmt":"2024-08-15T02:15:16","slug":"august-14-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47164","title":{"rendered":"August 14, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.19%, equivalent to 8.05% 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 15.47, an increase of 138bp in price, implying a decrease of yields of 11bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 325bp from the 315bp reported August 7<\/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-1.2468 %<\/td>\n2,190.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.2468 %<\/td>\n4,201.2<\/td>\n<\/tr>\n
Floater<\/td>\n10.21 %<\/td>\n10.44 %<\/td>\n29,137<\/td>\n9.14<\/td>\n2<\/td>\n-1.2468 %<\/td>\n2,421.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1017 %<\/td>\n3,557.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.68 %<\/td>\n5.75 %<\/td>\n29,736<\/td>\n1.16<\/td>\n4<\/td>\n0.1017 %<\/td>\n4,248.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1017 %<\/td>\n3,314.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3561 %<\/td>\n2,842.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.06 %<\/td>\n6.19 %<\/td>\n57,400<\/td>\n13.62<\/td>\n31<\/td>\n0.3561 %<\/td>\n3,099.3<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.44 %<\/td>\n6.89 %<\/td>\n142,679<\/td>\n12.46<\/td>\n62<\/td>\n0.3657 %<\/td>\n2,641.9<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.87 %<\/td>\n5.98 %<\/td>\n65,507<\/td>\n13.89<\/td>\n21<\/td>\n0.5128 %<\/td>\n3,083.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.93 %<\/td>\n9.00 %<\/td>\n25,956<\/td>\n10.33<\/td>\n3<\/td>\n-0.2826 %<\/td>\n2,721.8<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.73 %<\/td>\n5.73 %<\/td>\n248,237<\/td>\n12.04<\/td>\n5<\/td>\n0.0933 %<\/td>\n2,560.4<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3657 %<\/td>\n2,700.6<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.37 %<\/td>\n6.31 %<\/td>\n107,288<\/td>\n13.40<\/td>\n14<\/td>\n-1.7672 %<\/td>\n2,736.5<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n-24.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 14.67
\nEvaluated at bid price : 14.67
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-4.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 15.30
\nEvaluated at bid price : 15.30
\nBid-YTW : 6.91 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n-2.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 11.45
\nEvaluated at bid price : 11.45
\nBid-YTW : 10.51 %<\/td>\n<\/tr>\n
MIC.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 6.87 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 20.48
\nEvaluated at bid price : 20.48
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 23.14
\nEvaluated at bid price : 23.40
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 20.46
\nEvaluated at bid price : 20.46
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 21.38
\nEvaluated at bid price : 21.65
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 21.97
\nEvaluated at bid price : 22.20
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.60
\nBid-YTW : 7.35 %<\/td>\n<\/tr>\n
FFH.PR.C<\/td>\nFixedReset Disc<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.45
\nBid-YTW : 7.28 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 20.43
\nEvaluated at bid price : 20.43
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 20.29
\nEvaluated at bid price : 20.29
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
TD.PF.J<\/td>\nFixedReset Disc<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2028-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.16
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 16.40
\nEvaluated at bid price : 16.40
\nBid-YTW : 7.79 %<\/td>\n<\/tr>\n
BIP.PR.B<\/td>\nFixedReset Disc<\/td>\n1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2025-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.66
\nBid-YTW : 7.11 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 23.53
\nEvaluated at bid price : 23.80
\nBid-YTW : 6.16 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 14.80
\nEvaluated at bid price : 14.80
\nBid-YTW : 7.41 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 21.19
\nEvaluated at bid price : 21.19
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset Disc<\/td>\n2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 7.98 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n2.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 22.20
\nEvaluated at bid price : 22.20
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n5.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n10.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.02 %<\/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.F<\/td>\nFixedReset Disc<\/td>\n182,684<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 19.86
\nEvaluated at bid price : 19.86
\nBid-YTW : 7.52 %<\/td>\n<\/tr>\n
ENB.PF.K<\/td>\nFixedReset Disc<\/td>\n145,324<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 22.66
\nEvaluated at bid price : 23.50
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset Disc<\/td>\n114,204<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 18.15
\nEvaluated at bid price : 18.15
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n68,440<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 23.94
\nEvaluated at bid price : 24.95
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n58,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 23.13
\nEvaluated at bid price : 23.92
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n56,258<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 23.28
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
There were 26 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
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\nQuote: 14.67 – 19.45
\nSpot Rate : 4.7800
\nAverage : 2.6579<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 14.67
\nEvaluated at bid price : 14.67
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n

RY.PR.M<\/td>\nFixedReset Disc<\/td>\nQuote: 23.63 – 25.00
\nSpot Rate : 1.3700
\nAverage : 0.8258<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 23.15
\nEvaluated at bid price : 23.63
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 15.30 – 16.30
\nSpot Rate : 1.0000
\nAverage : 0.6663<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 15.30
\nEvaluated at bid price : 15.30
\nBid-YTW : 6.91 %<\/td>\n<\/tr>\n

PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.45 – 23.45
\nSpot Rate : 1.0000
\nAverage : 0.6665<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 22.17
\nEvaluated at bid price : 22.45
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n

PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.40 – 24.00
\nSpot Rate : 0.6000
\nAverage : 0.4002<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 23.14
\nEvaluated at bid price : 23.40
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.19 – 22.50
\nSpot Rate : 1.3100
\nAverage : 1.1154<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-14
\nMaturity Price : 21.19
\nEvaluated at bid price : 21.19
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.19%, equivalent to 8.05% 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 15.47, …<\/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-47164","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47164","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=47164"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47164\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47164"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47164"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47164"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}