PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from the figure reported August 29.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | -0.0407 % | 3,074.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0407 % | 5,641.8 |
| Floater | 3.51 % | 3.74 % | 40,658 | 17.89 | 4 | -0.0407 % | 3,251.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1661 % | 3,241.7 |
| SplitShare | 4.59 % | 4.43 % | 52,699 | 4.84 | 5 | 0.1661 % | 3,871.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1661 % | 3,020.5 |
| Perpetual-Premium | 5.54 % | -0.76 % | 53,300 | 0.09 | 12 | -0.0131 % | 2,921.8 |
| Perpetual-Discount | 5.40 % | 5.51 % | 57,963 | 14.58 | 22 | -0.2505 % | 3,002.0 |
| FixedReset Disc | 4.08 % | 4.79 % | 129,790 | 15.84 | 39 | -0.2128 % | 2,595.8 |
| Deemed-Retractible | 5.16 % | 5.76 % | 64,313 | 5.40 | 27 | -0.0031 % | 2,995.3 |
| FloatingReset | 3.40 % | 4.12 % | 41,154 | 5.69 | 5 | -0.1530 % | 2,862.1 |
| FixedReset Prem | 4.81 % | 4.01 % | 185,358 | 2.91 | 35 | -0.1730 % | 2,574.3 |
| FixedReset Bank Non | 3.19 % | 3.34 % | 62,232 | 0.46 | 9 | -0.0316 % | 2,575.6 |
| FixedReset Ins Non | 4.25 % | 4.83 % | 93,795 | 5.39 | 22 | -0.0656 % | 2,593.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.E | Perpetual-Discount | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-05 Maturity Price : 22.41 Evaluated at bid price : 22.67 Bid-YTW : 5.43 % |
| BAM.PR.X | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-05 Maturity Price : 19.34 Evaluated at bid price : 19.34 Bid-YTW : 4.86 % |
| BIP.PR.E | FixedReset Prem | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-05 Maturity Price : 23.16 Evaluated at bid price : 24.89 Bid-YTW : 5.05 % |
| BIP.PR.A | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-05 Maturity Price : 23.77 Evaluated at bid price : 24.11 Bid-YTW : 5.80 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.C | FixedReset Disc | 245,906 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-05 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 5.00 % |
| RY.PR.W | Perpetual-Discount | 127,410 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-05 Maturity Price : 24.57 Evaluated at bid price : 24.83 Bid-YTW : 4.96 % |
| BMO.PR.Q | FixedReset Bank Non | 109,191 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 3.74 % |
| MFC.PR.J | FixedReset Ins Non | 104,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 4.69 % |
| PWF.PR.L | Perpetual-Discount | 103,770 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-05 Maturity Price : 22.92 Evaluated at bid price : 23.19 Bid-YTW : 5.56 % |
| IFC.PR.C | FixedReset Ins Non | 78,082 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.41 Bid-YTW : 5.41 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.E | Deemed-Retractible | Quote: 21.46 – 21.96 Spot Rate : 0.5000 Average : 0.3659 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 24.41 – 24.82 Spot Rate : 0.4100 Average : 0.2849 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 21.90 – 22.35 Spot Rate : 0.4500 Average : 0.3320 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 23.32 – 24.00 Spot Rate : 0.6800 Average : 0.5707 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 22.67 – 23.05 Spot Rate : 0.3800 Average : 0.2783 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 17.43 – 17.72 Spot Rate : 0.2900 Average : 0.2170 YTW SCENARIO |
Busy, eh? No problem. I am keeping an eye on you. It looks you have missed “The Toronto-Dominion Bank 4.75% 5-Year Rate Reset Preferred Shares, Series 20” on Sept 4th. Today I just got another email about a new one: “Bank of Montreal 4.85% 5-Year Rate Reset Preferred Shares, Series 44”
Oops, sorry… I was wrong! You have not missed it! It is too down and not on “Recent Posts” lists
The BMO one was notified to me as:
Bank of Montreal 4.85% Non-Cumulative 5-yr Rate Reset Class B Preferred Shares, Series 44
Short Description: Offering of Non-Cumulative 5-Year Rate Reset Class B Preferred Shares Series 44
The BMO website link is:
https://newsroom.bmo.com/2018-09-06-Bank-of-Montreal-Announces-Preferred-Share-Issue