{"id":47456,"date":"2024-10-09T23:01:17","date_gmt":"2024-10-10T04:01:17","guid":{"rendered":"https:\/\/prefblog.com\/?p=47456"},"modified":"2024-10-09T23:01:17","modified_gmt":"2024-10-10T04:01:17","slug":"october-9-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47456","title":{"rendered":"October 9, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.03%, equivalent to 7.84% 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 15.22 after going ex-dividend for $0.06 on 9\/27, a total return of -1.48%, implying an increase of yields of 12bp (BMO reports a duration of 12.47, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.89%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and perhaps spuriously) to 295bp from the 300bp reported October 2<\/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>\n0.4919 %<\/td>\n2,147.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4919 %<\/td>\n4,119.7<\/td>\n<\/tr>\n
Floater<\/td>\n9.61 %<\/td>\n10.14 %<\/td>\n36,152<\/td>\n9.45<\/td>\n4<\/td>\n0.4919 %<\/td>\n2,374.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1504 %<\/td>\n3,602.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.79 %<\/td>\n5.21 %<\/td>\n42,397<\/td>\n1.33<\/td>\n8<\/td>\n0.1504 %<\/td>\n4,301.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1504 %<\/td>\n3,356.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2135 %<\/td>\n2,904.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.92 %<\/td>\n6.03 %<\/td>\n49,758<\/td>\n13.81<\/td>\n31<\/td>\n0.2135 %<\/td>\n3,167.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.50 %<\/td>\n6.91 %<\/td>\n122,438<\/td>\n12.49<\/td>\n58<\/td>\n0.0432 %<\/td>\n2,675.8<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.78 %<\/td>\n5.85 %<\/td>\n59,296<\/td>\n14.11<\/td>\n20<\/td>\n-0.8802 %<\/td>\n3,131.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n8.20 %<\/td>\n8.30 %<\/td>\n28,149<\/td>\n11.09<\/td>\n1<\/td>\n0.4608 %<\/td>\n2,760.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.45 %<\/td>\n5.79 %<\/td>\n211,058<\/td>\n13.50<\/td>\n7<\/td>\n-0.0557 %<\/td>\n2,567.7<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0432 %<\/td>\n2,735.2<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.19 %<\/td>\n6.30 %<\/td>\n95,333<\/td>\n13.61<\/td>\n14<\/td>\n0.0888 %<\/td>\n2,828.0<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n-3.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.44
\nEvaluated at bid price : 21.70
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n-3.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.25
\nEvaluated at bid price : 21.25
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nInsurance Straight<\/td>\n-3.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.45
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n-3.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset Disc<\/td>\n-2.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 18.42
\nEvaluated at bid price : 18.42
\nBid-YTW : 7.73 %<\/td>\n<\/tr>\n
BN.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 16.35
\nEvaluated at bid price : 16.35
\nBid-YTW : 7.48 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 23.05
\nEvaluated at bid price : 23.54
\nBid-YTW : 7.55 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 18.89
\nEvaluated at bid price : 18.89
\nBid-YTW : 6.05 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 22.34
\nEvaluated at bid price : 22.75
\nBid-YTW : 7.38 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 7.29 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nInsurance Straight<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 20.73
\nEvaluated at bid price : 20.73
\nBid-YTW : 5.90 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 22.84
\nEvaluated at bid price : 23.90
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
BN.PR.K<\/td>\nFloater<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 11.30
\nEvaluated at bid price : 11.30
\nBid-YTW : 10.14 %<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 22.55
\nEvaluated at bid price : 22.80
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 24.00
\nEvaluated at bid price : 24.25
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 23.48
\nEvaluated at bid price : 24.00
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 20.81
\nEvaluated at bid price : 20.81
\nBid-YTW : 6.59 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.39
\nEvaluated at bid price : 21.66
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n2.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.05
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n3.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 22.06
\nEvaluated at bid price : 22.57
\nBid-YTW : 6.20 %<\/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
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n323,000<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-11-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.09
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n113,227<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 19.89
\nEvaluated at bid price : 19.89
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n102,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 23.61
\nEvaluated at bid price : 24.20
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n100,330<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
MFC.PR.Q<\/td>\nFixedReset Ins Non<\/td>\n70,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 22.89
\nEvaluated at bid price : 24.01
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
ENB.PF.A<\/td>\nFixedReset Disc<\/td>\n68,044<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 7.59 %<\/td>\n<\/tr>\n
There were 17 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
CU.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.76 – 23.34
\nSpot Rate : 1.5800
\nAverage : 1.0682<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.76
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n

MFC.PR.B<\/td>\nInsurance Straight<\/td>\nQuote: 19.90 – 20.66
\nSpot Rate : 0.7600
\nAverage : 0.4342<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.25 – 20.07
\nSpot Rate : 0.8200
\nAverage : 0.5102<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n

GWO.PR.Q<\/td>\nInsurance Straight<\/td>\nQuote: 21.45 – 22.18
\nSpot Rate : 0.7300
\nAverage : 0.4390<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.45
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n

GWO.PR.T<\/td>\nInsurance Straight<\/td>\nQuote: 21.25 – 22.37
\nSpot Rate : 1.1200
\nAverage : 0.8927<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 21.25
\nEvaluated at bid price : 21.25
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n

GWO.PR.Y<\/td>\nInsurance Straight<\/td>\nQuote: 19.40 – 20.00
\nSpot Rate : 0.6000
\nAverage : 0.3830<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-09
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.03%, equivalent to 7.84% 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 15.22 …<\/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-47456","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47456","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=47456"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47456\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47456"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47456"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47456"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}