{"id":47397,"date":"2024-09-25T20:59:34","date_gmt":"2024-09-26T01:59:34","guid":{"rendered":"https:\/\/prefblog.com\/?p=47397"},"modified":"2024-09-25T20:59:34","modified_gmt":"2024-09-26T01:59:34","slug":"september-25-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47397","title":{"rendered":"September 25, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 5.96%, equivalent to 7.75% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.77% on 2024-9-20 and since then the closing price of ZLC is unchanged at 15.51. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained constant at the 300bp reported September 18<\/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-0.3932 %<\/td>\n2,174.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3932 %<\/td>\n4,170.1<\/td>\n<\/tr>\n
Floater<\/td>\n9.90 %<\/td>\n10.01 %<\/td>\n49,379<\/td>\n9.58<\/td>\n2<\/td>\n-0.3932 %<\/td>\n2,403.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3053 %<\/td>\n3,563.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.67 %<\/td>\n5.07 %<\/td>\n52,119<\/td>\n1.06<\/td>\n4<\/td>\n0.3053 %<\/td>\n4,256.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3053 %<\/td>\n3,320.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2767 %<\/td>\n2,933.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.87 %<\/td>\n5.96 %<\/td>\n54,201<\/td>\n13.92<\/td>\n31<\/td>\n0.2767 %<\/td>\n3,199.2<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.51 %<\/td>\n6.57 %<\/td>\n115,655<\/td>\n12.86<\/td>\n58<\/td>\n-0.1321 %<\/td>\n2,652.1<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.74 %<\/td>\n5.80 %<\/td>\n64,377<\/td>\n14.25<\/td>\n20<\/td>\n0.4232 %<\/td>\n3,153.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.38 %<\/td>\n8.47 %<\/td>\n32,874<\/td>\n10.94<\/td>\n2<\/td>\n-0.3397 %<\/td>\n2,734.8<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.45 %<\/td>\n5.55 %<\/td>\n229,762<\/td>\n13.52<\/td>\n7<\/td>\n-0.0446 %<\/td>\n2,567.6<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1321 %<\/td>\n2,711.0<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.19 %<\/td>\n5.95 %<\/td>\n99,021<\/td>\n14.01<\/td>\n14<\/td>\n0.1058 %<\/td>\n2,830.3<\/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\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-6.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 14.08
\nEvaluated at bid price : 14.08
\nBid-YTW : 7.41 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset Disc<\/td>\n-3.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 7.78 %<\/td>\n<\/tr>\n
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\n-2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n
FFH.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 21.53
\nEvaluated at bid price : 21.53
\nBid-YTW : 6.89 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 19.53
\nEvaluated at bid price : 19.53
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset Disc<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 7.51 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.45
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 20.46
\nEvaluated at bid price : 20.46
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
BN.PF.B<\/td>\nFixedReset Disc<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
BN.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 20.30
\nEvaluated at bid price : 20.30
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 21.32
\nEvaluated at bid price : 21.59
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 21.65
\nEvaluated at bid price : 21.65
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 23.00
\nEvaluated at bid price : 23.51
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 22.69
\nEvaluated at bid price : 23.55
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n2.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 16.38
\nEvaluated at bid price : 16.38
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset Disc<\/td>\n3.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 23.09
\nEvaluated at bid price : 23.70
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n3.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n3.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n6.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 5.91 %<\/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.J<\/td>\nFixedReset Prem<\/td>\n122,004<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 23.28
\nEvaluated at bid price : 24.95
\nBid-YTW : 5.54 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset Ins Non<\/td>\n111,755<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 14.65
\nEvaluated at bid price : 14.65
\nBid-YTW : 6.62 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n70,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 22.12
\nEvaluated at bid price : 22.75
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n58,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 22.08
\nEvaluated at bid price : 22.36
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nInsurance Straight<\/td>\n51,930<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 20.46
\nEvaluated at bid price : 20.46
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Prem<\/td>\n51,814<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.86
\nBid-YTW : 5.70 %<\/td>\n<\/tr>\n
There were 15 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.PF.C<\/td>\nFixedReset Disc<\/td>\nQuote: 18.05 – 18.90
\nSpot Rate : 0.8500
\nAverage : 0.5041<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 7.51 %<\/td>\n<\/tr>\n

PWF.PR.P<\/td>\nFixedReset Disc<\/td>\nQuote: 14.08 – 15.15
\nSpot Rate : 1.0700
\nAverage : 0.7272<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 14.08
\nEvaluated at bid price : 14.08
\nBid-YTW : 7.41 %<\/td>\n<\/tr>\n

ENB.PF.G<\/td>\nFixedReset Disc<\/td>\nQuote: 17.10 – 18.02
\nSpot Rate : 0.9200
\nAverage : 0.5949<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 7.78 %<\/td>\n<\/tr>\n

BN.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 23.35 – 24.25
\nSpot Rate : 0.9000
\nAverage : 0.6499<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 22.54
\nEvaluated at bid price : 23.35
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n

PVS.PR.K<\/td>\nSplitShare<\/td>\nQuote: 24.45 – 25.00
\nSpot Rate : 0.5500
\nAverage : 0.3857<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.45
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n

FFH.PR.K<\/td>\nFixedReset Disc<\/td>\nQuote: 21.50 – 22.00
\nSpot Rate : 0.5000
\nAverage : 0.3427<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-09-25
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.96%, equivalent to 7.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC is unchanged at 15.51. Therefore, the …<\/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-47397","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47397","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=47397"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47397\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47397"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47397"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47397"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}