{"id":47589,"date":"2024-11-13T22:10:54","date_gmt":"2024-11-14T03:10:54","guid":{"rendered":"https:\/\/prefblog.com\/?p=47589"},"modified":"2024-11-13T22:10:54","modified_gmt":"2024-11-14T03:10:54","slug":"november-13-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47589","title":{"rendered":"November 13, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.77% on 2024-11-12 and since then the closing price of ZLC has changed from 15.51 to 15.46, a total return of -0.32%, implying an increase of yields of 3bp (BMO reports a duration of 12.49, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and perhaps spuriously) to 335bp from the 340bp reported November 6<\/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-0.0638 %<\/td>\n2,147.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0638 %<\/td>\n4,119.7<\/td>\n<\/tr>\n
Floater<\/td>\n8.86 %<\/td>\n9.38 %<\/td>\n33,110<\/td>\n9.99<\/td>\n4<\/td>\n-0.0638 %<\/td>\n2,374.2<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2206 %<\/td>\n3,609.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.79 %<\/td>\n5.33 %<\/td>\n73,463<\/td>\n2.14<\/td>\n6<\/td>\n0.2206 %<\/td>\n4,310.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2206 %<\/td>\n3,363.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4489 %<\/td>\n2,805.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.14 %<\/td>\n6.26 %<\/td>\n49,611<\/td>\n13.52<\/td>\n31<\/td>\n0.4489 %<\/td>\n3,059.4<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.56 %<\/td>\n7.01 %<\/td>\n92,145<\/td>\n12.45<\/td>\n58<\/td>\n0.2706 %<\/td>\n2,655.8<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.96 %<\/td>\n6.12 %<\/td>\n61,466<\/td>\n13.67<\/td>\n21<\/td>\n0.9309 %<\/td>\n3,037.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n7.55 %<\/td>\n7.24 %<\/td>\n27,808<\/td>\n12.18<\/td>\n2<\/td>\n0.7853 %<\/td>\n2,877.8<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.38 %<\/td>\n5.54 %<\/td>\n168,861<\/td>\n3.72<\/td>\n7<\/td>\n0.1104 %<\/td>\n2,595.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2706 %<\/td>\n2,714.8<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.29 %<\/td>\n6.26 %<\/td>\n75,443<\/td>\n13.46<\/td>\n14<\/td>\n0.2891 %<\/td>\n2,779.3<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n-7.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 21.90
\nEvaluated at bid price : 22.14
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nInsurance Straight<\/td>\n-2.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.05
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
PWF.PR.O<\/td>\nPerpetual-Discount<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.05
\nBid-YTW : 6.34 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 23.21
\nEvaluated at bid price : 23.51
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 18.42
\nEvaluated at bid price : 18.42
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.55
\nEvaluated at bid price : 22.80
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset Disc<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 21.67
\nEvaluated at bid price : 21.96
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
PWF.PF.A<\/td>\nPerpetual-Discount<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 18.22
\nEvaluated at bid price : 18.22
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.89
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.07
\nEvaluated at bid price : 22.30
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
FFH.PR.I<\/td>\nFixedReset Disc<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 18.70
\nEvaluated at bid price : 18.70
\nBid-YTW : 7.68 %<\/td>\n<\/tr>\n
BN.PR.N<\/td>\nPerpetual-Discount<\/td>\n2.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 18.95
\nEvaluated at bid price : 18.95
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n2.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 19.14
\nEvaluated at bid price : 19.14
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n3.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n3.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 19.28
\nEvaluated at bid price : 19.28
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n4.99 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 7.49 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n12.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n22.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 21.19
\nEvaluated at bid price : 21.19
\nBid-YTW : 6.18 %<\/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
ENB.PR.N<\/td>\nFixedReset Disc<\/td>\n160,482<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 21.29
\nEvaluated at bid price : 21.57
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset Disc<\/td>\n46,662<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 18.23
\nEvaluated at bid price : 18.23
\nBid-YTW : 7.81 %<\/td>\n<\/tr>\n
ENB.PF.A<\/td>\nFixedReset Disc<\/td>\n45,577<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 7.72 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n39,770<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.46
\nEvaluated at bid price : 23.35
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
PVS.PR.L<\/td>\nSplitShare<\/td>\n32,600<\/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 : 5.33 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n27,753<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 21.19
\nEvaluated at bid price : 21.19
\nBid-YTW : 6.18 %<\/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
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.14 – 24.29
\nSpot Rate : 2.1500
\nAverage : 1.2213<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 21.90
\nEvaluated at bid price : 22.14
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n

POW.PR.C<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.51 – 24.48
\nSpot Rate : 0.9700
\nAverage : 0.6368<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 23.21
\nEvaluated at bid price : 23.51
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n

GWO.PR.M<\/td>\nInsurance Straight<\/td>\nQuote: 23.05 – 23.80
\nSpot Rate : 0.7500
\nAverage : 0.4592<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.05
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n

BIP.PR.B<\/td>\nFixedReset Disc<\/td>\nQuote: 23.15 – 24.54
\nSpot Rate : 1.3900
\nAverage : 1.1013<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.65
\nEvaluated at bid price : 23.15
\nBid-YTW : 8.09 %<\/td>\n<\/tr>\n

ENB.PR.N<\/td>\nFixedReset Disc<\/td>\nQuote: 21.57 – 22.10
\nSpot Rate : 0.5300
\nAverage : 0.3236<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 21.29
\nEvaluated at bid price : 21.57
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.05 – 24.00
\nSpot Rate : 0.9500
\nAverage : 0.7480<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-13
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.05
\nBid-YTW : 6.34 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-11-12 and since then the closing price of ZLC has changed from 15.51 to 15.46, …<\/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-47589","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47589","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=47589"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47589\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47589"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47589"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47589"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}