PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.74% on 2023-9-30 (sic) and since then (by which I think they meant 2023-9-29) the closing price has changed from 13.93 to 14.01, an increase of 57bp in price, with a Duration of 11.91 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 9/29 [?] to 5.69%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 360bp from the 340bp reported October 4.
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 | -0.2224 % | 2,167.3 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2224 % | 4,156.9 |
Floater | 11.23 % | 11.39 % | 58,954 | 8.55 | 2 | -0.2224 % | 2,395.7 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0931 % | 3,291.7 |
SplitShare | 5.08 % | 8.61 % | 39,320 | 1.92 | 7 | -0.0931 % | 3,931.0 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0931 % | 3,067.1 |
Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1086 % | 2,439.9 |
Perpetual-Discount | 7.04 % | 7.14 % | 43,254 | 12.44 | 31 | 0.1086 % | 2,660.6 |
FixedReset Disc | 6.10 % | 9.16 % | 103,192 | 10.65 | 56 | -0.0752 % | 2,093.2 |
Insurance Straight | 6.92 % | 7.03 % | 61,588 | 12.52 | 16 | -0.1368 % | 2,597.1 |
FloatingReset | 11.09 % | 11.28 % | 34,285 | 8.62 | 1 | 1.4865 % | 2,415.9 |
FixedReset Prem | 4.77 % | 5.25 % | 451,574 | 0.14 | 1 | 0.0401 % | 2,296.4 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0752 % | 2,139.7 |
FixedReset Ins Non | 6.33 % | 8.86 % | 64,969 | 10.95 | 13 | 0.0091 % | 2,273.5 |
Performance Highlights | |||
Issue | Index | Change | Notes |
SLF.PR.E | Insurance Straight | -4.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.02 % |
TD.PF.I | FixedReset Disc | -3.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 8.05 % |
FTS.PR.G | FixedReset Disc | -2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 8.63 % |
BIP.PR.F | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 9.59 % |
POW.PR.C | Perpetual-Discount | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 7.09 % |
GWO.PR.Y | Insurance Straight | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.02 % |
IFC.PR.E | Insurance Straight | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 7.03 % |
ELF.PR.H | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 7.12 % |
BN.PR.M | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.42 % |
BN.PF.B | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 10.24 % |
BN.PF.D | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 7.44 % |
GWO.PR.M | Insurance Straight | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 7.03 % |
BN.PF.H | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 10.31 % |
SLF.PR.J | FloatingReset | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 11.28 % |
BIK.PR.A | FixedReset Disc | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 9.65 % |
IFC.PR.C | FixedReset Disc | 3.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 16.23 Evaluated at bid price : 16.23 Bid-YTW : 9.47 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
TD.PF.K | FixedReset Prem | 221,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-30 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 5.25 % |
BMO.PR.Y | FixedReset Disc | 53,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 9.40 % |
TD.PF.B | FixedReset Disc | 42,499 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 8.78 % |
TD.PF.C | FixedReset Disc | 32,974 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.09 Evaluated at bid price : 17.09 Bid-YTW : 9.16 % |
CM.PR.Q | FixedReset Disc | 19,695 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.18 Evaluated at bid price : 17.18 Bid-YTW : 9.37 % |
RY.PR.H | FixedReset Disc | 18,193 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-11 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.96 % |
There were 12 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
MFC.PR.F | FixedReset Ins Non | Quote: 13.25 – 23.80 Spot Rate : 10.5500 Average : 5.7581 YTW SCENARIO |
CU.PR.F | Perpetual-Discount | Quote: 16.43 – 18.28 Spot Rate : 1.8500 Average : 1.0588 YTW SCENARIO |
MFC.PR.I | FixedReset Ins Non | Quote: 19.50 – 20.76 Spot Rate : 1.2600 Average : 0.9092 YTW SCENARIO |
SLF.PR.E | Insurance Straight | Quote: 16.20 – 17.16 Spot Rate : 0.9600 Average : 0.6317 YTW SCENARIO |
GWO.PR.I | Insurance Straight | Quote: 16.35 – 17.80 Spot Rate : 1.4500 Average : 1.1951 YTW SCENARIO |
RY.PR.O | Perpetual-Discount | Quote: 20.40 – 21.05 Spot Rate : 0.6500 Average : 0.4207 YTW SCENARIO |
BCE NCIB Is Real
October 12th, 2023BCE Inc. renewed its Normal Course Issuer Bid on 2022-11-2:
I normally don’t report these announcements because they normally don’t mean anything. But:
According to the 2022 Annual Report:
… and according to the 23Q2 Quarterly Report:
The 23Q3 Quarterly Report will be released 2023-11-2.
A poster on Financial Wisdom Forum, Thurman, has compiled the following numbers of the purchases to date (from a compilation of SEDI data), which I have not checked myself and present ‘as is’:
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