{"id":47302,"date":"2024-09-04T22:23:39","date_gmt":"2024-09-05T03:23:39","guid":{"rendered":"https:\/\/prefblog.com\/?p=47302"},"modified":"2024-09-04T22:23:39","modified_gmt":"2024-09-05T03:23:39","slug":"september-4-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47302","title":{"rendered":"September 4, 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 15.38, a decrease of 45bp in price, implying an increase of yields of 4bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.87%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained steady at the 305bp reported August 28<\/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>\n0.5625 %<\/td>\n2,216.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5625 %<\/td>\n4,250.5<\/td>\n<\/tr>\n
Floater<\/td>\n10.09 %<\/td>\n10.42 %<\/td>\n35,206<\/td>\n9.11<\/td>\n2<\/td>\n0.5625 %<\/td>\n2,449.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3669 %<\/td>\n3,560.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.67 %<\/td>\n5.15 %<\/td>\n30,822<\/td>\n1.12<\/td>\n4<\/td>\n0.3669 %<\/td>\n4,252.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3669 %<\/td>\n3,317.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1676 %<\/td>\n2,897.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.94 %<\/td>\n6.09 %<\/td>\n57,882<\/td>\n13.71<\/td>\n31<\/td>\n0.1676 %<\/td>\n3,159.0<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.43 %<\/td>\n6.81 %<\/td>\n116,540<\/td>\n12.64<\/td>\n58<\/td>\n0.1354 %<\/td>\n2,690.9<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.82 %<\/td>\n5.88 %<\/td>\n68,849<\/td>\n14.08<\/td>\n20<\/td>\n0.2598 %<\/td>\n3,110.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.34 %<\/td>\n8.41 %<\/td>\n33,538<\/td>\n10.84<\/td>\n2<\/td>\n0.3369 %<\/td>\n2,776.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.43 %<\/td>\n5.59 %<\/td>\n210,517<\/td>\n3.88<\/td>\n7<\/td>\n0.0389 %<\/td>\n2,575.0<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1354 %<\/td>\n2,750.7<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.17 %<\/td>\n6.03 %<\/td>\n95,381<\/td>\n13.91<\/td>\n14<\/td>\n0.5601 %<\/td>\n2,842.3<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-8.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 19.32
\nEvaluated at bid price : 19.32
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\n-3.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 21.76
\nEvaluated at bid price : 22.01
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n-3.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 22.71
\nEvaluated at bid price : 23.55
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset Disc<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 21.49
\nEvaluated at bid price : 21.75
\nBid-YTW : 6.88 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 19.95
\nEvaluated at bid price : 19.95
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 22.43
\nEvaluated at bid price : 22.69
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n
FFH.PR.G<\/td>\nFixedReset Disc<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 18.10
\nEvaluated at bid price : 18.10
\nBid-YTW : 7.49 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 24.15
\nEvaluated at bid price : 24.40
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nInsurance Straight<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 23.95
\nEvaluated at bid price : 24.20
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 22.01
\nEvaluated at bid price : 22.30
\nBid-YTW : 7.11 %<\/td>\n<\/tr>\n
IFC.PR.I<\/td>\nInsurance Straight<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 22.96
\nEvaluated at bid price : 23.40
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 7.13 %<\/td>\n<\/tr>\n
MIC.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n6.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 19.59
\nEvaluated at bid price : 19.59
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n7.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 21.61
\nEvaluated at bid price : 21.98
\nBid-YTW : 5.96 %<\/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
ENB.PR.B<\/td>\nFixedReset Disc<\/td>\n58,264<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 18.06
\nEvaluated at bid price : 18.06
\nBid-YTW : 7.48 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset Disc<\/td>\n50,165<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 7.19 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset Disc<\/td>\n45,261<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 18.01
\nEvaluated at bid price : 18.01
\nBid-YTW : 7.49 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset Disc<\/td>\n43,265<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.56
\nEvaluated at bid price : 20.56
\nBid-YTW : 7.06 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset Disc<\/td>\n42,760<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 18.38
\nEvaluated at bid price : 18.38
\nBid-YTW : 7.38 %<\/td>\n<\/tr>\n
BN.PR.K<\/td>\nFloater<\/td>\n42,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 11.62
\nEvaluated at bid price : 11.62
\nBid-YTW : 10.42 %<\/td>\n<\/tr>\n
There were 10 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.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.32 – 21.30
\nSpot Rate : 1.9800
\nAverage : 1.0946<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 19.32
\nEvaluated at bid price : 19.32
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n

PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.28 – 21.98
\nSpot Rate : 1.7000
\nAverage : 0.9434<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.28
\nEvaluated at bid price : 20.28
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n

BN.PR.X<\/td>\nFixedReset Disc<\/td>\nQuote: 17.05 – 18.70
\nSpot Rate : 1.6500
\nAverage : 0.9807<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 17.05
\nEvaluated at bid price : 17.05
\nBid-YTW : 7.13 %<\/td>\n<\/tr>\n

SLF.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 20.00 – 21.19
\nSpot Rate : 1.1900
\nAverage : 0.7131<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n

PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.01 – 22.93
\nSpot Rate : 0.9200
\nAverage : 0.6229<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 21.76
\nEvaluated at bid price : 22.01
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n

SLF.PR.D<\/td>\nInsurance Straight<\/td>\nQuote: 20.00 – 20.96
\nSpot Rate : 0.9600
\nAverage : 0.6641<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-04
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 5.57 %<\/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 15.38, …<\/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-47302","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47302","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=47302"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47302\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47302"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47302"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47302"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}