{"id":47487,"date":"2024-10-23T21:03:29","date_gmt":"2024-10-24T02:03:29","guid":{"rendered":"https:\/\/prefblog.com\/?p=47487"},"modified":"2024-10-23T21:03:29","modified_gmt":"2024-10-24T02:03:29","slug":"october-23-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47487","title":{"rendered":"October 23, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.06%, equivalent to 7.88% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.84% on 2024-10-18 and since then the closing price of ZLC has changed from 15.44 to 15.16, a total return of -1.81%, implying an increase of yields of 15bp (BMO reports a duration of 12.44, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.99%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 290bp from the 300bp reported October 16<\/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-0.1912 %<\/td>\n2,147.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1912 %<\/td>\n4,117.9<\/td>\n<\/tr>\n
Floater<\/td>\n9.61 %<\/td>\n10.18 %<\/td>\n36,654<\/td>\n9.38<\/td>\n4<\/td>\n-0.1912 %<\/td>\n2,373.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0250 %<\/td>\n3,603.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.79 %<\/td>\n5.42 %<\/td>\n44,632<\/td>\n1.29<\/td>\n8<\/td>\n-0.0250 %<\/td>\n4,303.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0250 %<\/td>\n3,357.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4770 %<\/td>\n2,899.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.94 %<\/td>\n6.06 %<\/td>\n50,570<\/td>\n13.84<\/td>\n31<\/td>\n-0.4770 %<\/td>\n3,161.2<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.51 %<\/td>\n6.90 %<\/td>\n120,779<\/td>\n12.62<\/td>\n58<\/td>\n-0.1297 %<\/td>\n2,667.9<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.80 %<\/td>\n5.93 %<\/td>\n63,217<\/td>\n14.00<\/td>\n20<\/td>\n-0.4174 %<\/td>\n3,118.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n7.60 %<\/td>\n7.71 %<\/td>\n26,559<\/td>\n11.67<\/td>\n1<\/td>\n0.0888 %<\/td>\n2,852.9<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.42 %<\/td>\n5.64 %<\/td>\n202,361<\/td>\n13.56<\/td>\n7<\/td>\n0.1723 %<\/td>\n2,578.3<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1297 %<\/td>\n2,727.1<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.23 %<\/td>\n6.17 %<\/td>\n89,761<\/td>\n13.63<\/td>\n14<\/td>\n-0.4109 %<\/td>\n2,807.7<\/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
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-6.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 15.30
\nEvaluated at bid price : 15.30
\nBid-YTW : 6.87 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n-2.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.25
\nEvaluated at bid price : 21.25
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-2.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n-2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 19.08
\nEvaluated at bid price : 19.08
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n-2.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 19.62
\nEvaluated at bid price : 19.62
\nBid-YTW : 6.16 %<\/td>\n<\/tr>\n
BIP.PR.E<\/td>\nFixedReset Disc<\/td>\n-2.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 22.44
\nEvaluated at bid price : 23.08
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 23.69
\nEvaluated at bid price : 24.00
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nInsurance Straight<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.62
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.59
\nEvaluated at bid price : 22.00
\nBid-YTW : 7.16 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 22.96
\nEvaluated at bid price : 23.90
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 13.16
\nEvaluated at bid price : 13.16
\nBid-YTW : 8.82 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
PWF.PR.Z<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 22.51
\nEvaluated at bid price : 23.16
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.21
\nEvaluated at bid price : 21.21
\nBid-YTW : 7.65 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n2.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 23.30
\nEvaluated at bid price : 23.85
\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
RY.PR.M<\/td>\nFixedReset Disc<\/td>\n74,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 23.66
\nEvaluated at bid price : 24.16
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset Disc<\/td>\n46,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 18.32
\nEvaluated at bid price : 18.32
\nBid-YTW : 7.75 %<\/td>\n<\/tr>\n
NA.PR.C<\/td>\nFixedReset Prem<\/td>\n34,100<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2027-11-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.73
\nBid-YTW : 5.87 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset Disc<\/td>\n30,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 17.78
\nEvaluated at bid price : 17.78
\nBid-YTW : 7.83 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n26,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 23.22
\nEvaluated at bid price : 23.72
\nBid-YTW : 7.41 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n25,900<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 14.90
\nEvaluated at bid price : 14.90
\nBid-YTW : 7.33 %<\/td>\n<\/tr>\n
There were 12 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
BN.PF.I<\/td>\nFixedReset Disc<\/td>\nQuote: 22.37 – 23.60
\nSpot Rate : 1.2300
\nAverage : 0.8642<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 22.08
\nEvaluated at bid price : 22.37
\nBid-YTW : 7.43 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.75 – 21.99
\nSpot Rate : 1.2400
\nAverage : 0.8986<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 20.75
\nEvaluated at bid price : 20.75
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n

CU.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.50 – 23.34
\nSpot Rate : 0.8400
\nAverage : 0.5256<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 22.22
\nEvaluated at bid price : 22.50
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n

PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.00 – 21.74
\nSpot Rate : 0.7400
\nAverage : 0.4614<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 15.30 – 16.30
\nSpot Rate : 1.0000
\nAverage : 0.7378<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 15.30
\nEvaluated at bid price : 15.30
\nBid-YTW : 6.87 %<\/td>\n<\/tr>\n

GWO.PR.T<\/td>\nInsurance Straight<\/td>\nQuote: 21.25 – 21.95
\nSpot Rate : 0.7000
\nAverage : 0.4906<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-23
\nMaturity Price : 21.25
\nEvaluated at bid price : 21.25
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.06%, equivalent to 7.88% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.84% on 2024-10-18 and since then the closing price of ZLC has changed from 15.44 to 15.16, …<\/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-47487","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47487","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=47487"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47487\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47487"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47487"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47487"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}