PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.23% on 2024-2-6 and since then the closing price has changed from 15.08 to 15.06, an increase of 13bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.23 implying a decrease of 1bp in yield to 5.22%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 330bp from the 340bp reported January 31.
HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3409 % | 2,275.5 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3409 % | 4,364.5 |
Floater | 10.70 % | 10.94 % | 52,383 | 8.78 | 2 | 0.3409 % | 2,515.3 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0842 % | 3,416.3 |
SplitShare | 4.93 % | 7.26 % | 47,756 | 1.92 | 7 | 0.0842 % | 4,079.8 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0842 % | 3,183.2 |
Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0295 % | 2,681.7 |
Perpetual-Discount | 6.40 % | 6.55 % | 49,096 | 13.12 | 34 | -0.0295 % | 2,924.3 |
FixedReset Disc | 5.60 % | 7.59 % | 119,071 | 12.14 | 59 | -0.4287 % | 2,360.7 |
Insurance Straight | 6.29 % | 6.49 % | 73,925 | 13.18 | 20 | 0.2682 % | 2,880.0 |
FloatingReset | 9.71 % | 10.09 % | 36,424 | 9.41 | 3 | 0.3109 % | 2,687.1 |
FixedReset Prem | 6.96 % | 6.74 % | 177,027 | 3.30 | 1 | -0.5906 % | 2,509.4 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4287 % | 2,413.1 |
FixedReset Ins Non | 5.41 % | 7.36 % | 97,856 | 12.52 | 14 | -0.5735 % | 2,627.4 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BN.PR.R | FixedReset Disc | -9.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 9.93 % |
SLF.PR.H | FixedReset Ins Non | -7.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.62 % |
SLF.PR.C | Insurance Straight | -5.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.28 % |
BN.PF.G | FixedReset Disc | -4.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 9.40 % |
BN.PF.H | FixedReset Disc | -3.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 8.73 % |
CU.PR.H | Perpetual-Discount | -3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.45 % |
BN.PF.I | FixedReset Disc | -3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 8.73 % |
PWF.PR.P | FixedReset Disc | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 14.11 Evaluated at bid price : 14.11 Bid-YTW : 8.49 % |
GWO.PR.N | FixedReset Ins Non | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 8.11 % |
BN.PF.F | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 8.99 % |
FTS.PR.M | FixedReset Disc | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 8.09 % |
BN.PR.T | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 8.98 % |
FFH.PR.I | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 8.70 % |
GWO.PR.T | Insurance Straight | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.59 % |
PWF.PF.A | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.53 % |
TD.PF.B | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 6.86 % |
BN.PF.A | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 7.88 % |
BN.PF.D | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 6.75 % |
BN.PR.M | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 6.57 % |
FTS.PR.F | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 5.99 % |
CIU.PR.A | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 6.55 % |
IFC.PR.A | FixedReset Ins Non | 2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.85 % |
GWO.PR.Y | Insurance Straight | 5.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 6.33 % |
GWO.PR.I | Insurance Straight | 5.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 6.32 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
PWF.PR.T | FixedReset Disc | 88,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 7.46 % |
BN.PR.M | Perpetual-Discount | 73,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 6.57 % |
SLF.PR.G | FixedReset Ins Non | 73,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 7.88 % |
MFC.PR.K | FixedReset Ins Non | 63,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 22.19 Evaluated at bid price : 22.82 Bid-YTW : 6.65 % |
BMO.PR.E | FixedReset Disc | 54,690 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 23.14 Evaluated at bid price : 24.90 Bid-YTW : 6.42 % |
IFC.PR.A | FixedReset Ins Non | 53,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.85 % |
There were 16 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
SLF.PR.H | FixedReset Ins Non | Quote: 17.50 – 19.24 Spot Rate : 1.7400 Average : 1.0821 YTW SCENARIO |
BN.PR.R | FixedReset Disc | Quote: 13.80 – 15.65 Spot Rate : 1.8500 Average : 1.3387 YTW SCENARIO |
SLF.PR.C | Insurance Straight | Quote: 18.00 – 19.50 Spot Rate : 1.5000 Average : 1.0026 YTW SCENARIO |
BN.PF.H | FixedReset Disc | Quote: 21.51 – 22.60 Spot Rate : 1.0900 Average : 0.7367 YTW SCENARIO |
CU.PR.E | Perpetual-Discount | Quote: 19.26 – 20.95 Spot Rate : 1.6900 Average : 1.4188 YTW SCENARIO |
BN.PF.G | FixedReset Disc | Quote: 16.53 – 17.69 Spot Rate : 1.1600 Average : 0.9274 YTW SCENARIO |
FTN.PR.A Downgraded to Pfd-4(high) by DBRS
February 5th, 2024DBRS has announced that it:
The affected issue is FTN.PR.A.
DBRS places emphasis on the grind in the portfolio due to the Capital Unit dividends, but the mitigating factor is that these dividends will be (and have been in the past) halted if the NAVPU falls below $15. It is not clear how much account has been taken of this. However, the 9.5% yield on the preferreds means that, as they say, the preferred share dividend coverage ratio is less than one time.
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