{"id":47325,"date":"2024-09-11T20:50:13","date_gmt":"2024-09-12T01:50:13","guid":{"rendered":"https:\/\/prefblog.com\/?p=47325"},"modified":"2024-09-11T20:50:13","modified_gmt":"2024-09-12T01:50:13","slug":"september-11-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47325","title":{"rendered":"September 11, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.04%, equivalent to 7.85% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.96% on 2024-8-31 (I assume they meant to write 2024-8-30) and since then the closing price of ZLC has changed from 15.15 to 15.51, an increase of 238bp in price, implying a decrease of yields of 19bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.77%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slightly (and perhaps spuriously) to 310bp from the 305bp reported September 4<\/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-0.1717 %<\/td>\n2,218.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1717 %<\/td>\n4,254.2<\/td>\n<\/tr>\n
Floater<\/td>\n9.71 %<\/td>\n9.97 %<\/td>\n80,981<\/td>\n9.44<\/td>\n2<\/td>\n-0.1717 %<\/td>\n2,451.7<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1531 %<\/td>\n3,537.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.70 %<\/td>\n5.72 %<\/td>\n33,968<\/td>\n1.10<\/td>\n4<\/td>\n-0.1531 %<\/td>\n4,224.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1531 %<\/td>\n3,296.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2177 %<\/td>\n2,916.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.90 %<\/td>\n6.04 %<\/td>\n58,602<\/td>\n13.78<\/td>\n31<\/td>\n-0.2177 %<\/td>\n3,180.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.48 %<\/td>\n6.60 %<\/td>\n111,708<\/td>\n12.90<\/td>\n58<\/td>\n-0.4487 %<\/td>\n2,663.5<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.79 %<\/td>\n5.84 %<\/td>\n65,765<\/td>\n14.08<\/td>\n20<\/td>\n0.1116 %<\/td>\n3,127.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.27 %<\/td>\n8.38 %<\/td>\n32,324<\/td>\n10.85<\/td>\n2<\/td>\n0.2587 %<\/td>\n2,778.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.45 %<\/td>\n5.55 %<\/td>\n212,614<\/td>\n13.54<\/td>\n7<\/td>\n-0.0223 %<\/td>\n2,565.9<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4487 %<\/td>\n2,722.6<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.20 %<\/td>\n5.95 %<\/td>\n100,866<\/td>\n13.97<\/td>\n14<\/td>\n-0.8734 %<\/td>\n2,826.6<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n-12.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 8.21 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset Disc<\/td>\n-6.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 16.21
\nEvaluated at bid price : 16.21
\nBid-YTW : 8.23 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n-6.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n-5.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\n-5.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.80
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n-4.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 17.30
\nEvaluated at bid price : 17.30
\nBid-YTW : 7.77 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-4.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 16.00
\nEvaluated at bid price : 16.00
\nBid-YTW : 6.26 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-4.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 7.24 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 6.05 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
ENB.PF.K<\/td>\nFixedReset Disc<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.71
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
FFH.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 7.43 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nInsurance Straight<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.59
\nEvaluated at bid price : 21.85
\nBid-YTW : 5.90 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 20.62
\nEvaluated at bid price : 20.62
\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 20.88
\nEvaluated at bid price : 20.88
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n2.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.70
\nEvaluated at bid price : 21.70
\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
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n69,972<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 23.40
\nEvaluated at bid price : 24.52
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n62,487<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.12
\nEvaluated at bid price : 21.12
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
CM.PR.S<\/td>\nFixedReset Disc<\/td>\n61,446<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 24.83
\nEvaluated at bid price : 24.83
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n58,616<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset Disc<\/td>\n38,960<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 20.48
\nEvaluated at bid price : 20.48
\nBid-YTW : 6.94 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n32,732<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 23.07
\nEvaluated at bid price : 24.45
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
There were 11 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
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 19.00 – 21.95
\nSpot Rate : 2.9500
\nAverage : 1.7637<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 8.21 %<\/td>\n<\/tr>\n

BN.PF.G<\/td>\nFixedReset Disc<\/td>\nQuote: 15.80 – 19.05
\nSpot Rate : 3.2500
\nAverage : 2.5599<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 15.80
\nEvaluated at bid price : 15.80
\nBid-YTW : 8.84 %<\/td>\n<\/tr>\n

PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.80 – 23.20
\nSpot Rate : 1.4000
\nAverage : 0.8423<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.80
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n

GWO.PR.H<\/td>\nInsurance Straight<\/td>\nQuote: 20.67 – 22.00
\nSpot Rate : 1.3300
\nAverage : 0.7757<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 20.67
\nEvaluated at bid price : 20.67
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n

MFC.PR.B<\/td>\nInsurance Straight<\/td>\nQuote: 19.40 – 20.69
\nSpot Rate : 1.2900
\nAverage : 0.7636<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n

ENB.PF.G<\/td>\nFixedReset Disc<\/td>\nQuote: 16.21 – 18.00
\nSpot Rate : 1.7900
\nAverage : 1.3432<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-11
\nMaturity Price : 16.21
\nEvaluated at bid price : 16.21
\nBid-YTW : 8.23 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.04%, equivalent to 7.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.96% on 2024-8-31 (I assume they meant to write 2024-8-30) and since then the closing price of …<\/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-47325","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47325","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=47325"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47325\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47325"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47325"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47325"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}