{"id":47205,"date":"2024-08-21T21:59:44","date_gmt":"2024-08-22T02:59:44","guid":{"rendered":"https:\/\/prefblog.com\/?p=47205"},"modified":"2024-08-21T21:59:44","modified_gmt":"2024-08-22T02:59:44","slug":"august-21-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47205","title":{"rendered":"August 21, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.14%, equivalent to 7.98% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.90% on 2024-8-9 and since then the closing price of ZLC has changed from 15.31 to 15.52, an increase of 137bp in price, implying a decrease of yields of 11bp (BMO reports a duration of 12.37, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.79%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and perhaps spuriously) to 320bp from the 325bp reported August 14<\/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>\n0.1284 %<\/td>\n2,230.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1284 %<\/td>\n4,278.0<\/td>\n<\/tr>\n
Floater<\/td>\n10.03 %<\/td>\n10.28 %<\/td>\n71,373<\/td>\n9.24<\/td>\n2<\/td>\n0.1284 %<\/td>\n2,465.4<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0405 %<\/td>\n3,572.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.66 %<\/td>\n5.63 %<\/td>\n29,745<\/td>\n1.14<\/td>\n4<\/td>\n0.0405 %<\/td>\n4,266.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0405 %<\/td>\n3,328.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3648 %<\/td>\n2,869.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.00 %<\/td>\n6.14 %<\/td>\n56,099<\/td>\n13.67<\/td>\n31<\/td>\n0.3648 %<\/td>\n3,129.1<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.40 %<\/td>\n6.84 %<\/td>\n137,542<\/td>\n12.57<\/td>\n62<\/td>\n0.3529 %<\/td>\n2,662.7<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.84 %<\/td>\n5.93 %<\/td>\n66,544<\/td>\n13.94<\/td>\n21<\/td>\n0.1248 %<\/td>\n3,099.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.71 %<\/td>\n8.73 %<\/td>\n25,316<\/td>\n10.58<\/td>\n3<\/td>\n0.4719 %<\/td>\n2,771.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.71 %<\/td>\n5.75 %<\/td>\n235,674<\/td>\n12.07<\/td>\n5<\/td>\n-0.3165 %<\/td>\n2,567.5<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3529 %<\/td>\n2,721.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.25 %<\/td>\n6.18 %<\/td>\n95,951<\/td>\n13.79<\/td>\n14<\/td>\n0.8314 %<\/td>\n2,797.9<\/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
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-2.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 14.66
\nEvaluated at bid price : 14.66
\nBid-YTW : 7.44 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nInsurance Straight<\/td>\n-2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n-1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 22.37
\nEvaluated at bid price : 23.00
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset Disc<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 16.89
\nEvaluated at bid price : 16.89
\nBid-YTW : 8.14 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 23.52
\nEvaluated at bid price : 23.96
\nBid-YTW : 7.36 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Prem<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2027-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.52
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n
FFH.PR.H<\/td>\nFloatingReset<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 9.41 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 19.55
\nEvaluated at bid price : 19.55
\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 22.11
\nEvaluated at bid price : 22.33
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 20.36
\nEvaluated at bid price : 20.36
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 6.98 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 22.87
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 20.30
\nEvaluated at bid price : 20.30
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n1.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 7.19 %<\/td>\n<\/tr>\n
BN.PF.A<\/td>\nFixedReset Disc<\/td>\n2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 22.90
\nEvaluated at bid price : 24.13
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n2.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 23.23
\nEvaluated at bid price : 23.80
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n2.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 16.25
\nEvaluated at bid price : 16.25
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n2.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.55
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n2.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 20.22
\nEvaluated at bid price : 20.22
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
BN.PR.Z<\/td>\nFixedReset Disc<\/td>\n3.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.48
\nEvaluated at bid price : 21.84
\nBid-YTW : 6.99 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n4.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n5.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 18.28
\nEvaluated at bid price : 18.28
\nBid-YTW : 7.60 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n22.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 6.83 %<\/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
BMO.PR.T<\/td>\nFixedReset Disc<\/td>\n216,194<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 23.91
\nEvaluated at bid price : 24.97
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n206,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 19.74
\nEvaluated at bid price : 19.74
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n102,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.28
\nEvaluated at bid price : 21.28
\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n101,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 16.21
\nEvaluated at bid price : 16.21
\nBid-YTW : 6.65 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n100,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 20.22
\nEvaluated at bid price : 20.22
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n65,500<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 23.33
\nEvaluated at bid price : 23.97
\nBid-YTW : 5.87 %<\/td>\n<\/tr>\n
There were 25 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
BN.PF.H<\/td>\nFixedReset Disc<\/td>\nQuote: 23.96 – 25.00
\nSpot Rate : 1.0400
\nAverage : 0.6496<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 23.52
\nEvaluated at bid price : 23.96
\nBid-YTW : 7.36 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.79 – 21.75
\nSpot Rate : 0.9600
\nAverage : 0.5703<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 20.79
\nEvaluated at bid price : 20.79
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.25 – 17.43
\nSpot Rate : 1.1800
\nAverage : 0.8056<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 16.25
\nEvaluated at bid price : 16.25
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n

GWO.PR.Q<\/td>\nInsurance Straight<\/td>\nQuote: 21.11 – 21.98
\nSpot Rate : 0.8700
\nAverage : 0.5856<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n

BN.PR.Z<\/td>\nFixedReset Disc<\/td>\nQuote: 21.84 – 22.75
\nSpot Rate : 0.9100
\nAverage : 0.6638<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.48
\nEvaluated at bid price : 21.84
\nBid-YTW : 6.99 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.10 – 22.50
\nSpot Rate : 1.4000
\nAverage : 1.1571<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-21
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 6.43 %<\/td>\n<\/tr>\n<\/table>\n

Addendum (see comments):<\/b><\/p>\n

<\/a><\/div>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.14%, equivalent to 7.98% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.90% on 2024-8-9 and since then the closing price of ZLC has changed from 15.31 to 15.52, …<\/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-47205","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47205","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=47205"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47205\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47205"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47205"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47205"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}