{"id":47429,"date":"2024-10-02T20:14:55","date_gmt":"2024-10-03T01:14:55","guid":{"rendered":"https:\/\/prefblog.com\/?p=47429"},"modified":"2024-10-02T20:14:55","modified_gmt":"2024-10-03T01:14:55","slug":"october-2-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47429","title":{"rendered":"October 2, 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 has changed from 15.51 to 15.48 after going ex-dividend for $0.06 on 9\/27, a total return of +0.19%, implying a decrease of yields of 2bp (BMO reports a duration of 12.47, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.75%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has remained constant at the 300bp reported September 25<\/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-0.5719 %<\/td>\n2,155.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5719 %<\/td>\n4,133.5<\/td>\n<\/tr>\n
Floater<\/td>\n9.99 %<\/td>\n10.08 %<\/td>\n84,149<\/td>\n9.51<\/td>\n2<\/td>\n-0.5719 %<\/td>\n2,382.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5854 %<\/td>\n3,596.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.79 %<\/td>\n5.21 %<\/td>\n96,812<\/td>\n4.17<\/td>\n4<\/td>\n0.5854 %<\/td>\n4,294.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5854 %<\/td>\n3,350.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3478 %<\/td>\n2,934.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.87 %<\/td>\n5.96 %<\/td>\n49,820<\/td>\n13.91<\/td>\n31<\/td>\n0.3478 %<\/td>\n3,199.8<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.52 %<\/td>\n6.58 %<\/td>\n118,004<\/td>\n12.86<\/td>\n58<\/td>\n0.2016 %<\/td>\n2,664.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.74 %<\/td>\n5.80 %<\/td>\n62,554<\/td>\n14.19<\/td>\n20<\/td>\n-1.0487 %<\/td>\n3,151.3<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.24 %<\/td>\n8.39 %<\/td>\n30,002<\/td>\n11.01<\/td>\n2<\/td>\n-1.2297 %<\/td>\n2,706.8<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.43 %<\/td>\n5.52 %<\/td>\n219,345<\/td>\n13.57<\/td>\n7<\/td>\n0.0334 %<\/td>\n2,574.1<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2016 %<\/td>\n2,723.5<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.23 %<\/td>\n5.94 %<\/td>\n100,202<\/td>\n14.00<\/td>\n14<\/td>\n-0.0343 %<\/td>\n2,809.8<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n-6.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 21.24
\nEvaluated at bid price : 21.24
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n-5.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 21.52
\nEvaluated at bid price : 21.78
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset Disc<\/td>\n-2.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 14.80
\nEvaluated at bid price : 14.80
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 19.98
\nEvaluated at bid price : 19.98
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
FFH.PR.D<\/td>\nFloatingReset<\/td>\n-1.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 8.39 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset Disc<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 21.68
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.62 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nInsurance Straight<\/td>\n-1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 21.86
\nEvaluated at bid price : 22.10
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset Disc<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 20.57
\nEvaluated at bid price : 20.57
\nBid-YTW : 6.14 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nInsurance Straight<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 24.00
\nEvaluated at bid price : 24.25
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 22.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.90 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 22.12
\nEvaluated at bid price : 22.40
\nBid-YTW : 5.83 %<\/td>\n<\/tr>\n
FFH.PR.E<\/td>\nFixedReset Disc<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 7.30 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 23.14
\nEvaluated at bid price : 23.67
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 5.88 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 22.30
\nEvaluated at bid price : 23.05
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 14.56
\nEvaluated at bid price : 14.56
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
ENB.PF.K<\/td>\nFixedReset Disc<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 22.83
\nEvaluated at bid price : 23.80
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n2.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 19.11
\nEvaluated at bid price : 19.11
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n3.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 24.16
\nEvaluated at bid price : 24.42
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset Disc<\/td>\n3.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 7.44 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n6.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 19.53
\nEvaluated at bid price : 19.53
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n8.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 16.55
\nEvaluated at bid price : 16.55
\nBid-YTW : 6.94 %<\/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.C<\/td>\nFixedReset Disc<\/td>\n146,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 22.20
\nEvaluated at bid price : 22.89
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset Disc<\/td>\n132,335<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 18.20
\nEvaluated at bid price : 18.20
\nBid-YTW : 7.22 %<\/td>\n<\/tr>\n
ENB.PF.A<\/td>\nFixedReset Disc<\/td>\n125,802<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 18.62
\nEvaluated at bid price : 18.62
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
PVS.PR.L<\/td>\nSplitShare<\/td>\n96,800<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 5.21 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n95,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 22.92
\nEvaluated at bid price : 23.80
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n71,351<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 22.69
\nEvaluated at bid price : 23.82
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
There were 20 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
IFC.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 21.24 – 22.82
\nSpot Rate : 1.5800
\nAverage : 0.9270<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 21.24
\nEvaluated at bid price : 21.24
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.79 – 21.80
\nSpot Rate : 1.0100
\nAverage : 0.6478<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 20.79
\nEvaluated at bid price : 20.79
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n

CCS.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 21.78 – 23.00
\nSpot Rate : 1.2200
\nAverage : 0.9268<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 21.52
\nEvaluated at bid price : 21.78
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.28 – 25.00
\nSpot Rate : 0.7200
\nAverage : 0.4532<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 24.03
\nEvaluated at bid price : 24.28
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\nQuote: 20.15 – 20.90
\nSpot Rate : 0.7500
\nAverage : 0.4832<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n

BN.PF.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.01 – 20.60
\nSpot Rate : 0.5900
\nAverage : 0.3684<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-02
\nMaturity Price : 20.01
\nEvaluated at bid price : 20.01
\nBid-YTW : 6.17 %<\/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 has changed from 15.51 to 15.48 …<\/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-47429","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47429","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=47429"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47429\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47429"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47429"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47429"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}