{"id":47520,"date":"2024-10-30T21:24:38","date_gmt":"2024-10-31T02:24:38","guid":{"rendered":"https:\/\/prefblog.com\/?p=47520"},"modified":"2024-10-30T21:24:38","modified_gmt":"2024-10-31T02:24:38","slug":"47520","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47520","title":{"rendered":"October 30, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.13%, equivalent to 7.97% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.93% on 2024-10-29 and since then the closing price of ZLC has changed from 15.30 to 15.28, a total return of -0.13%, implying an increase of yields of 1bp (BMO reports a duration of 12.35, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.94%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 305bp from the 290bp reported October 23<\/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>\n0.0000 %<\/td>\n2,147.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n4,117.9<\/td>\n<\/tr>\n
Floater<\/td>\n8.87 %<\/td>\n9.36 %<\/td>\n36,807<\/td>\n10.05<\/td>\n4<\/td>\n0.0000 %<\/td>\n2,373.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1051 %<\/td>\n3,599.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.80 %<\/td>\n5.23 %<\/td>\n45,780<\/td>\n1.27<\/td>\n8<\/td>\n-0.1051 %<\/td>\n4,298.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1051 %<\/td>\n3,353.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2322 %<\/td>\n2,858.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.02 %<\/td>\n6.13 %<\/td>\n51,621<\/td>\n13.69<\/td>\n31<\/td>\n0.2322 %<\/td>\n3,116.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.53 %<\/td>\n7.03 %<\/td>\n112,355<\/td>\n12.47<\/td>\n58<\/td>\n0.0303 %<\/td>\n2,659.6<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.93 %<\/td>\n6.09 %<\/td>\n68,898<\/td>\n13.74<\/td>\n20<\/td>\n0.3510 %<\/td>\n3,051.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n7.46 %<\/td>\n7.57 %<\/td>\n27,178<\/td>\n11.82<\/td>\n1<\/td>\n-0.8889 %<\/td>\n2,823.8<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.41 %<\/td>\n5.72 %<\/td>\n180,317<\/td>\n3.75<\/td>\n7<\/td>\n-0.1383 %<\/td>\n2,583.0<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0303 %<\/td>\n2,718.7<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.27 %<\/td>\n6.28 %<\/td>\n87,118<\/td>\n13.49<\/td>\n14<\/td>\n0.1771 %<\/td>\n2,785.3<\/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
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n-2.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 21.52
\nEvaluated at bid price : 21.90
\nBid-YTW : 7.67 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-2.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.22
\nEvaluated at bid price : 20.22
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
ENB.PF.A<\/td>\nFixedReset Disc<\/td>\n-2.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.79 %<\/td>\n<\/tr>\n
IFC.PR.F<\/td>\nInsurance Straight<\/td>\n-1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 22.08
\nEvaluated at bid price : 22.08
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset Disc<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.29
\nEvaluated at bid price : 20.29
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.76
\nEvaluated at bid price : 20.76
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nInsurance Straight<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 19.94
\nEvaluated at bid price : 19.94
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
BN.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 18.81
\nEvaluated at bid price : 18.81
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 19.85
\nEvaluated at bid price : 19.85
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
PWF.PR.Z<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 21.15
\nEvaluated at bid price : 21.15
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.16
\nEvaluated at bid price : 20.16
\nBid-YTW : 5.59 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\n1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 21.97
\nEvaluated at bid price : 22.20
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.30
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n2.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 6.34 %<\/td>\n<\/tr>\n
IFC.PR.E<\/td>\nInsurance Straight<\/td>\n3.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 21.90
\nEvaluated at bid price : 21.90
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n3.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 19.15
\nEvaluated at bid price : 19.15
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n4.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.70
\nEvaluated at bid price : 20.70
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n7.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.44
\nEvaluated at bid price : 20.44
\nBid-YTW : 7.33 %<\/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
BN.PR.K<\/td>\nFloater<\/td>\n85,485<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 11.32
\nEvaluated at bid price : 11.32
\nBid-YTW : 9.38 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset Disc<\/td>\n69,768<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2024-12-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.93
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n37,282<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 22.26
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n35,880<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 21.49
\nEvaluated at bid price : 21.80
\nBid-YTW : 6.28 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n18,759<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 11.30
\nEvaluated at bid price : 11.30
\nBid-YTW : 9.40 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n18,374<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.53
\nEvaluated at bid price : 20.53
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
There were 14 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.C<\/td>\nFixedReset Ins Non<\/td>\nQuote: 18.00 – 21.00
\nSpot Rate : 3.0000
\nAverage : 2.4495<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 7.59 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\nQuote: 15.50 – 17.00
\nSpot Rate : 1.5000
\nAverage : 1.1596<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n

BN.PF.I<\/td>\nFixedReset Disc<\/td>\nQuote: 21.90 – 23.60
\nSpot Rate : 1.7000
\nAverage : 1.3901<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 21.52
\nEvaluated at bid price : 21.90
\nBid-YTW : 7.67 %<\/td>\n<\/tr>\n

FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.22 – 20.80
\nSpot Rate : 0.5800
\nAverage : 0.3723<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.22
\nEvaluated at bid price : 20.22
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n

CU.PR.C<\/td>\nFixedReset Disc<\/td>\nQuote: 20.32 – 21.01
\nSpot Rate : 0.6900
\nAverage : 0.4990<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 20.32
\nEvaluated at bid price : 20.32
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n

ENB.PF.A<\/td>\nFixedReset Disc<\/td>\nQuote: 18.70 – 19.19
\nSpot Rate : 0.4900
\nAverage : 0.3193<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-10-30
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.79 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.13%, equivalent to 7.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.93% on 2024-10-29 and since then the closing price of ZLC has changed from 15.30 to 15.28, …<\/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-47520","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47520","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=47520"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47520\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47520"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47520"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47520"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}