{"id":47226,"date":"2024-08-28T20:37:44","date_gmt":"2024-08-29T01:37:44","guid":{"rendered":"https:\/\/prefblog.com\/?p=47226"},"modified":"2024-08-28T20:37:44","modified_gmt":"2024-08-29T01:37:44","slug":"august-28-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47226","title":{"rendered":"August 28, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.35, a decrease of 65bp in price, implying an increase of yields of 5bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.88%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 305bp from the 320bp reported August 21<\/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-0.3873 %<\/td>\n2,207.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3873 %<\/td>\n4,234.1<\/td>\n<\/tr>\n
Floater<\/td>\n10.13 %<\/td>\n10.41 %<\/td>\n32,345<\/td>\n9.13<\/td>\n2<\/td>\n-0.3873 %<\/td>\n2,440.1<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3196 %<\/td>\n3,518.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.73 %<\/td>\n5.42 %<\/td>\n30,080<\/td>\n1.13<\/td>\n4<\/td>\n0.3196 %<\/td>\n4,201.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3196 %<\/td>\n3,278.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0659 %<\/td>\n2,890.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.95 %<\/td>\n6.09 %<\/td>\n59,600<\/td>\n13.70<\/td>\n31<\/td>\n-0.0659 %<\/td>\n3,151.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.44 %<\/td>\n6.82 %<\/td>\n127,660<\/td>\n12.61<\/td>\n60<\/td>\n0.1943 %<\/td>\n2,676.1<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.81 %<\/td>\n5.97 %<\/td>\n69,825<\/td>\n13.89<\/td>\n21<\/td>\n-0.2739 %<\/td>\n3,115.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.70 %<\/td>\n8.66 %<\/td>\n26,307<\/td>\n10.69<\/td>\n3<\/td>\n-0.8456 %<\/td>\n2,770.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.68 %<\/td>\n5.64 %<\/td>\n226,058<\/td>\n12.10<\/td>\n5<\/td>\n0.1698 %<\/td>\n2,580.8<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1943 %<\/td>\n2,735.5<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.18 %<\/td>\n6.01 %<\/td>\n103,418<\/td>\n13.88<\/td>\n14<\/td>\n0.3927 %<\/td>\n2,837.8<\/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\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nInsurance Straight<\/td>\n-4.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n-3.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.95
\nEvaluated at bid price : 20.95
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n-2.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.00
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 22.53
\nEvaluated at bid price : 23.07
\nBid-YTW : 7.21 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 19.77
\nEvaluated at bid price : 19.77
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 21.56
\nEvaluated at bid price : 21.95
\nBid-YTW : 7.19 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset Disc<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 17.82
\nEvaluated at bid price : 17.82
\nBid-YTW : 7.84 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nInsurance Straight<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.84
\nEvaluated at bid price : 24.09
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 19.28
\nEvaluated at bid price : 19.28
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
CU.PR.I<\/td>\nFixedReset Disc<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.32
\nEvaluated at bid price : 23.80
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 22.23
\nEvaluated at bid price : 22.85
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
GWO.PR.L<\/td>\nInsurance Straight<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.22
\nEvaluated at bid price : 23.52
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.81
\nEvaluated at bid price : 20.81
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.28
\nEvaluated at bid price : 24.75
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Prem<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.54
\nEvaluated at bid price : 26.07
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
NA.PR.E<\/td>\nFixedReset Disc<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.27
\nEvaluated at bid price : 24.97
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nInsurance Straight<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 22.49
\nEvaluated at bid price : 22.75
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset Disc<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 18.72
\nEvaluated at bid price : 18.72
\nBid-YTW : 7.40 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 22.19
\nEvaluated at bid price : 22.80
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 15.80
\nEvaluated at bid price : 15.80
\nBid-YTW : 6.55 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.75
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n2.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n2.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.42 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n2.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 21.79
\nEvaluated at bid price : 21.79
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n2.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 17.95
\nEvaluated at bid price : 17.95
\nBid-YTW : 7.70 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n2.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n5.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 18.81
\nEvaluated at bid price : 18.81
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n20.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 7.54 %<\/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
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n102,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 22.41
\nEvaluated at bid price : 23.23
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n100,608<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n50,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 19.27
\nEvaluated at bid price : 19.27
\nBid-YTW : 5.88 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n50,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 16.34
\nEvaluated at bid price : 16.34
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset Disc<\/td>\n31,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n26,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 23.79
\nEvaluated at bid price : 24.21
\nBid-YTW : 7.26 %<\/td>\n<\/tr>\n
There were 14 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
ENB.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.76 – 23.75
\nSpot Rate : 0.9900
\nAverage : 0.6179<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 22.50
\nEvaluated at bid price : 22.76
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n

GWO.PR.Q<\/td>\nInsurance Straight<\/td>\nQuote: 21.11 – 22.06
\nSpot Rate : 0.9500
\nAverage : 0.6357<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n

BN.PF.B<\/td>\nFixedReset Disc<\/td>\nQuote: 20.95 – 21.85
\nSpot Rate : 0.9000
\nAverage : 0.6028<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.95
\nEvaluated at bid price : 20.95
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n

IFC.PR.K<\/td>\nInsurance Straight<\/td>\nQuote: 21.75 – 23.65
\nSpot Rate : 1.9000
\nAverage : 1.6104<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 21.42
\nEvaluated at bid price : 21.75
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n

BN.PF.I<\/td>\nFixedReset Disc<\/td>\nQuote: 23.07 – 24.00
\nSpot Rate : 0.9300
\nAverage : 0.6887<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 22.53
\nEvaluated at bid price : 23.07
\nBid-YTW : 7.21 %<\/td>\n<\/tr>\n

CU.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.00 – 20.79
\nSpot Rate : 0.7900
\nAverage : 0.6123<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-08-28
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.35, …<\/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-47226","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47226","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=47226"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47226\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47226"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47226"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47226"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}