{"id":47609,"date":"2024-11-20T19:26:02","date_gmt":"2024-11-21T00:26:02","guid":{"rendered":"https:\/\/prefblog.com\/?p=47609"},"modified":"2024-11-20T19:26:02","modified_gmt":"2024-11-21T00:26:02","slug":"november-20-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47609","title":{"rendered":"November 20, 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 4.90% on 2024-11-19 and since then the closing price of ZLC has changed from 15.35 to 15.26, a total return of -0.59%, implying an increase of yields of 5bp (BMO reports a duration of 12.47, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.95%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed to 320bp from the 335bp reported November 13<\/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>\n0.6983 %<\/td>\n2,175.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.6983 %<\/td>\n4,172.3<\/td>\n<\/tr>\n
Floater<\/td>\n8.75 %<\/td>\n9.28 %<\/td>\n30,464<\/td>\n10.06<\/td>\n4<\/td>\n0.6983 %<\/td>\n2,404.5<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.6868 %<\/td>\n3,635.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.75 %<\/td>\n4.99 %<\/td>\n79,168<\/td>\n3.00<\/td>\n6<\/td>\n0.6868 %<\/td>\n4,341.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.6868 %<\/td>\n3,387.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4789 %<\/td>\n2,803.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.14 %<\/td>\n6.26 %<\/td>\n47,859<\/td>\n13.49<\/td>\n31<\/td>\n-0.4789 %<\/td>\n3,056.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.48 %<\/td>\n6.92 %<\/td>\n95,528<\/td>\n12.64<\/td>\n58<\/td>\n0.1983 %<\/td>\n2,696.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.00 %<\/td>\n6.15 %<\/td>\n60,173<\/td>\n13.62<\/td>\n21<\/td>\n-0.6133 %<\/td>\n3,019.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n6.75 %<\/td>\n6.77 %<\/td>\n35,961<\/td>\n12.72<\/td>\n2<\/td>\n2.1348 %<\/td>\n3,218.3<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.39 %<\/td>\n5.54 %<\/td>\n171,900<\/td>\n3.69<\/td>\n7<\/td>\n0.0828 %<\/td>\n2,592.9<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1983 %<\/td>\n2,756.3<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.24 %<\/td>\n6.26 %<\/td>\n71,392<\/td>\n13.56<\/td>\n14<\/td>\n-0.8640 %<\/td>\n2,802.0<\/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\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nInsurance Straight<\/td>\n-9.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 17.51
\nEvaluated at bid price : 17.51
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n-5.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
BN.PF.D<\/td>\nPerpetual-Discount<\/td>\n-5.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.79 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n-4.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
FFH.PR.K<\/td>\nFixedReset Disc<\/td>\n-2.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 22.52
\nEvaluated at bid price : 23.00
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nInsurance Straight<\/td>\n-2.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset Ins Non<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 20.87
\nEvaluated at bid price : 20.87
\nBid-YTW : 6.49 %<\/td>\n<\/tr>\n
BN.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 18.62
\nEvaluated at bid price : 18.62
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
ENB.PF.K<\/td>\nFixedReset Disc<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 22.20
\nEvaluated at bid price : 22.67
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 21.27
\nEvaluated at bid price : 21.27
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 16.76
\nEvaluated at bid price : 16.76
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n
FFH.PR.I<\/td>\nFixedReset Disc<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 21.32
\nEvaluated at bid price : 21.60
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
BN.PF.I<\/td>\nFixedReset Disc<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 22.55
\nEvaluated at bid price : 23.05
\nBid-YTW : 7.39 %<\/td>\n<\/tr>\n
BN.PR.B<\/td>\nFloater<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 11.50
\nEvaluated at bid price : 11.50
\nBid-YTW : 9.28 %<\/td>\n<\/tr>\n
MIC.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.31
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 22.59
\nEvaluated at bid price : 23.28
\nBid-YTW : 6.80 %<\/td>\n<\/tr>\n
BN.PR.T<\/td>\nFixedReset Disc<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 16.82
\nEvaluated at bid price : 16.82
\nBid-YTW : 7.81 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n2.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 23.99
\nEvaluated at bid price : 24.44
\nBid-YTW : 7.38 %<\/td>\n<\/tr>\n
GWO.PR.T<\/td>\nInsurance Straight<\/td>\n3.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n3.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.95
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
FFH.PR.F<\/td>\nFloatingReset<\/td>\n4.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 7.00 %<\/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.R<\/td>\nFixedReset Disc<\/td>\n455,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 16.76
\nEvaluated at bid price : 16.76
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n
BN.PF.G<\/td>\nFixedReset Disc<\/td>\n265,725<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 19.47
\nEvaluated at bid price : 19.47
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n
FFH.PR.C<\/td>\nFixedReset Disc<\/td>\n101,047<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 24.15
\nEvaluated at bid price : 25.07
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset Disc<\/td>\n92,313<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 18.33
\nEvaluated at bid price : 18.33
\nBid-YTW : 7.89 %<\/td>\n<\/tr>\n
FFH.PR.D<\/td>\nFloatingReset<\/td>\n62,869<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 24.61
\nEvaluated at bid price : 25.13
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
FFH.PR.E<\/td>\nFixedReset Disc<\/td>\n51,001<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
There were 22 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.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.00 – 23.00
\nSpot Rate : 4.0000
\nAverage : 2.2718<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n

MFC.PR.C<\/td>\nInsurance Straight<\/td>\nQuote: 17.51 – 19.50
\nSpot Rate : 1.9900
\nAverage : 1.1434<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 17.51
\nEvaluated at bid price : 17.51
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n

BN.PR.M<\/td>\nPerpetual-Discount<\/td>\nQuote: 17.85 – 19.32
\nSpot Rate : 1.4700
\nAverage : 0.9611<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n

BN.PF.C<\/td>\nPerpetual-Discount<\/td>\nQuote: 18.40 – 19.65
\nSpot Rate : 1.2500
\nAverage : 0.8749<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n

FFH.PR.K<\/td>\nFixedReset Disc<\/td>\nQuote: 23.00 – 24.00
\nSpot Rate : 1.0000
\nAverage : 0.6516<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 22.52
\nEvaluated at bid price : 23.00
\nBid-YTW : 7.03 %<\/td>\n<\/tr>\n

GWO.PR.S<\/td>\nInsurance Straight<\/td>\nQuote: 21.00 – 21.99
\nSpot Rate : 0.9900
\nAverage : 0.6441<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-20
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.37 %<\/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 4.90% on 2024-11-19 and since then the closing price of ZLC has changed from 15.35 to 15.26, …<\/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-47609","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47609","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=47609"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47609\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47609"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47609"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47609"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}