{"id":47681,"date":"2024-12-04T20:27:33","date_gmt":"2024-12-05T01:27:33","guid":{"rendered":"https:\/\/prefblog.com\/?p=47681"},"modified":"2024-12-04T20:27:33","modified_gmt":"2024-12-05T01:27:33","slug":"december-4-2024","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=47681","title":{"rendered":"December 4, 2024"},"content":{"rendered":"

PerpetualDiscounts now yield 6.23%, equivalent to 8.10% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 4.54% on 2024-12-3 and since then the closing price of ZLC changed from 15.82 to 15.90, a total return of +0.51%, implying a decrease of yields of 4bp (BMO reports a duration of 12.37, but don\u2019t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.50%. Therefore, the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened to 360bp from the 340bp reported November 27<\/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>\n0.4034 %<\/td>\n2,275.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4034 %<\/td>\n4,364.3<\/td>\n<\/tr>\n
Floater<\/td>\n8.37 %<\/td>\n8.69 %<\/td>\n28,040<\/td>\n10.58<\/td>\n4<\/td>\n0.4034 %<\/td>\n2,515.1<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1141 %<\/td>\n3,624.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.77 %<\/td>\n4.33 %<\/td>\n67,041<\/td>\n1.19<\/td>\n7<\/td>\n0.1141 %<\/td>\n4,328.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1141 %<\/td>\n3,377.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1091 %<\/td>\n2,842.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.04 %<\/td>\n6.23 %<\/td>\n50,516<\/td>\n13.51<\/td>\n32<\/td>\n0.1091 %<\/td>\n3,099.5<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.48 %<\/td>\n6.78 %<\/td>\n105,101<\/td>\n12.85<\/td>\n53<\/td>\n0.0414 %<\/td>\n2,744.4<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.02 %<\/td>\n6.15 %<\/td>\n59,277<\/td>\n13.73<\/td>\n21<\/td>\n0.0092 %<\/td>\n3,009.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n6.69 %<\/td>\n6.30 %<\/td>\n33,346<\/td>\n12.39<\/td>\n4<\/td>\n0.3268 %<\/td>\n3,351.1<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n6.15 %<\/td>\n5.53 %<\/td>\n186,493<\/td>\n3.72<\/td>\n10<\/td>\n-0.3147 %<\/td>\n2,591.0<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0414 %<\/td>\n2,805.4<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.23 %<\/td>\n6.13 %<\/td>\n88,555<\/td>\n13.79<\/td>\n14<\/td>\n-0.5199 %<\/td>\n2,807.2<\/td>\n<\/tr>\n<\/table>\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
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n-10.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 16.81
\nEvaluated at bid price : 16.81
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-3.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
BN.PF.J<\/td>\nFixedReset Disc<\/td>\n-2.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 22.31
\nEvaluated at bid price : 22.80
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nInsurance Straight<\/td>\n-2.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 20.38
\nEvaluated at bid price : 20.38
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
TD.PF.J<\/td>\nFixedReset Prem<\/td>\n-2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 23.19
\nEvaluated at bid price : 24.65
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
BN.PR.R<\/td>\nFixedReset Disc<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 17.15
\nEvaluated at bid price : 17.15
\nBid-YTW : 7.45 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Prem<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2029-04-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.35
\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nInsurance Straight<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.70
\nBid-YTW : 4.77 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset Disc<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 22.18
\nEvaluated at bid price : 22.75
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
FFH.PR.F<\/td>\nFloatingReset<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 22.36
\nEvaluated at bid price : 22.60
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
BN.PR.K<\/td>\nFloater<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 12.31
\nEvaluated at bid price : 12.31
\nBid-YTW : 8.69 %<\/td>\n<\/tr>\n
PVS.PR.J<\/td>\nSplitShare<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2028-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.06
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n5.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 16.63
\nEvaluated at bid price : 16.63
\nBid-YTW : 6.28 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nInsurance Straight<\/td>\n6.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 20.19
\nEvaluated at bid price : 20.19
\nBid-YTW : 5.58 %<\/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
TD.PF.C<\/td>\nFixedReset Disc<\/td>\n205,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 22.80
\nEvaluated at bid price : 24.07
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset Disc<\/td>\n144,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 18.84
\nEvaluated at bid price : 18.84
\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n
IFC.PR.I<\/td>\nInsurance Straight<\/td>\n56,250<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 22.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 6.16 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset Disc<\/td>\n52,932<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 17.90
\nEvaluated at bid price : 17.90
\nBid-YTW : 7.52 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset Disc<\/td>\n52,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
ENB.PF.E<\/td>\nFixedReset Disc<\/td>\n51,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 18.47
\nEvaluated at bid price : 18.47
\nBid-YTW : 7.54 %<\/td>\n<\/tr>\n
There were 29 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
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.81 – 19.00
\nSpot Rate : 2.1900
\nAverage : 1.2248<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 16.81
\nEvaluated at bid price : 16.81
\nBid-YTW : 7.23 %<\/td>\n<\/tr>\n

IFC.PR.E<\/td>\nInsurance Straight<\/td>\nQuote: 21.80 – 23.00
\nSpot Rate : 1.2000
\nAverage : 0.7379<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 21.80
\nEvaluated at bid price : 21.80
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n

BN.PR.R<\/td>\nFixedReset Disc<\/td>\nQuote: 17.15 – 17.95
\nSpot Rate : 0.8000
\nAverage : 0.5192<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 17.15
\nEvaluated at bid price : 17.15
\nBid-YTW : 7.45 %<\/td>\n<\/tr>\n

TD.PF.J<\/td>\nFixedReset Prem<\/td>\nQuote: 24.65 – 25.40
\nSpot Rate : 0.7500
\nAverage : 0.4767<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 23.19
\nEvaluated at bid price : 24.65
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.10 – 20.30
\nSpot Rate : 1.2000
\nAverage : 0.9640<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.18 – 21.79
\nSpot Rate : 0.6100
\nAverage : 0.4064<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2054-12-04
\nMaturity Price : 21.18
\nEvaluated at bid price : 21.18
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 6.23%, equivalent to 8.10% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.54% on 2024-12-3 and since then the closing price of ZLC changed from 15.82 to 15.90, a …<\/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-47681","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47681","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=47681"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/47681\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=47681"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=47681"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=47681"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}