{"id":47641,"date":"2024-11-27T22:18:08","date_gmt":"2024-11-28T03:18:08","guid":{"rendered":"https:\/\/prefblog.com\/?p=47641"},"modified":"2024-11-27T22:18:08","modified_gmt":"2024-11-28T03:18:08","slug":"november-27-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47641","title":{"rendered":"November 27, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.24%, equivalent to 8.11% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.56% on 2024-11-29 [have to work backwards here, because I forgot to do this calculation on the 27th] and prior to then the closing price of ZLC changed from 15.53 on the 27th to 15.80 on the 29th, a total return of +2.13%, implying a decrease of yields of 17bp (BMO reports a duration of 12.59, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) from 4.73%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 340bp from the 320bp reported November 20<\/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-0.2472 %<\/td>\n2,213.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2472 %<\/td>\n4,245.9<\/td>\n<\/tr>\n
Floater<\/td>\n8.60 %<\/td>\n9.05 %<\/td>\n29,772<\/td>\n10.26<\/td>\n4<\/td>\n-0.2472 %<\/td>\n2,446.9<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1662 %<\/td>\n3,627.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.76 %<\/td>\n4.39 %<\/td>\n63,002<\/td>\n3.02<\/td>\n6<\/td>\n0.1662 %<\/td>\n4,332.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1662 %<\/td>\n3,380.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5232 %<\/td>\n2,833.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.08 %<\/td>\n6.24 %<\/td>\n53,163<\/td>\n13.51<\/td>\n31<\/td>\n0.5232 %<\/td>\n3,089.3<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.43 %<\/td>\n6.84 %<\/td>\n105,155<\/td>\n12.57<\/td>\n57<\/td>\n0.2484 %<\/td>\n2,735.8<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.96 %<\/td>\n6.12 %<\/td>\n61,585<\/td>\n13.63<\/td>\n21<\/td>\n0.2551 %<\/td>\n3,036.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n6.50 %<\/td>\n6.74 %<\/td>\n40,970<\/td>\n12.77<\/td>\n2<\/td>\n0.6617 %<\/td>\n3,304.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.37 %<\/td>\n5.57 %<\/td>\n175,853<\/td>\n3.49<\/td>\n7<\/td>\n-0.1373 %<\/td>\n2,601.3<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2484 %<\/td>\n2,796.5<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.20 %<\/td>\n6.33 %<\/td>\n83,999<\/td>\n13.46<\/td>\n14<\/td>\n0.2052 %<\/td>\n2,827.7<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset Disc<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.28
\nEvaluated at bid price : 23.05
\nBid-YTW : 7.30 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Prem<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2029-04-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
BN.PF.F<\/td>\nFixedReset Disc<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 20.48
\nEvaluated at bid price : 20.48
\nBid-YTW : 7.48 %<\/td>\n<\/tr>\n
BN.PF.D<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
FFH.PR.G<\/td>\nFixedReset Disc<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.58
\nBid-YTW : 6.58 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Discount<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.17
\nEvaluated at bid price : 22.45
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 23.74
\nEvaluated at bid price : 24.05
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
FFH.PR.E<\/td>\nFixedReset Disc<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 21.56
\nEvaluated at bid price : 21.91
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
BIP.PR.F<\/td>\nFixedReset Disc<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.71
\nEvaluated at bid price : 23.70
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
FFH.PR.F<\/td>\nFloatingReset<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 21.83
\nEvaluated at bid price : 22.10
\nBid-YTW : 6.50 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset Disc<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 21.27
\nEvaluated at bid price : 21.55
\nBid-YTW : 7.12 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n2.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.18
\nEvaluated at bid price : 22.75
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
BN.PR.M<\/td>\nPerpetual-Discount<\/td>\n2.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
IFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 23.00
\nEvaluated at bid price : 24.24
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n6.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 5.69 %<\/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.PF.I<\/td>\nFixedReset Disc<\/td>\n289,700<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.50
\nBid-YTW : 7.32 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n262,050<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 21.64
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.34 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n250,183<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.99
\nEvaluated at bid price : 23.98
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset Disc<\/td>\n169,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 17.72
\nEvaluated at bid price : 17.72
\nBid-YTW : 7.82 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset Disc<\/td>\n132,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 7.39 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n106,068<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.64
\nEvaluated at bid price : 22.89
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
There were 23 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
PWF.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.25 – 24.49
\nSpot Rate : 1.2400
\nAverage : 0.6922<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 22.98
\nEvaluated at bid price : 23.25
\nBid-YTW : 6.25 %<\/td>\n<\/tr>\n

FFH.PR.G<\/td>\nFixedReset Disc<\/td>\nQuote: 21.58 – 22.58
\nSpot Rate : 1.0000
\nAverage : 0.6590<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.58
\nBid-YTW : 6.58 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.22 – 21.00
\nSpot Rate : 0.7800
\nAverage : 0.4739<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 20.22
\nEvaluated at bid price : 20.22
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n

POW.PR.B<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.73 – 22.38
\nSpot Rate : 0.6500
\nAverage : 0.4107<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 21.47
\nEvaluated at bid price : 21.73
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n

MFC.PR.B<\/td>\nInsurance Straight<\/td>\nQuote: 19.61 – 20.23
\nSpot Rate : 0.6200
\nAverage : 0.4273<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 19.61
\nEvaluated at bid price : 19.61
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n

BN.PR.Z<\/td>\nFixedReset Disc<\/td>\nQuote: 20.80 – 21.50
\nSpot Rate : 0.7000
\nAverage : 0.5361<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-11-27
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 7.57 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.24%, equivalent to 8.11% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.56% on 2024-11-29 [have to work backwards here, because I forgot to do this calculation on the …<\/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-47641","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47641","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=47641"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47641\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47641"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47641"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47641"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}