November 23, 2022

PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.32%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 340bp from the 310bp reported November 16. However, I suspect that the “Weighted Average Yield to Maturity” reported by BMO on their ZLC page is not kept current; anything to withhold information from the masses is good business for the banks! I’ve sent an inquiry; we’ll just see what kind of answer I get! So far, I’ve simply gotten the run-around, since BMO is of course a bank, which means their staff is not only completely untrained, but is left hanging out to dry when they yell for help. My guy’s trying hard, but I may have to write a letter for them to file after sending me a soothing response.

Assiduous Reader KC has, however eMailed me to suggest an alternative: the ICE BofA 10+ Year Canada Corporate Index (F9C0). This is under serious consideration.

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 -0.0831 % 2,311.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0831 % 4,433.1
Floater 8.66 % 8.85 % 53,202 10.44 2 -0.0831 % 2,554.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.9127 % 3,231.2
SplitShare 5.26 % 7.71 % 44,621 2.80 8 -0.9127 % 3,858.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.9127 % 3,010.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4252 % 2,594.4
Perpetual-Discount 6.57 % 6.70 % 83,930 12.90 34 0.4252 % 2,829.0
FixedReset Disc 5.54 % 7.75 % 92,281 11.89 63 0.2064 % 2,175.2
Insurance Straight 6.49 % 6.68 % 92,533 12.89 18 0.5629 % 2,774.9
FloatingReset 9.12 % 9.71 % 41,624 9.68 2 0.7974 % 2,564.8
FixedReset Prem 6.65 % 6.29 % 400,267 4.20 1 -0.7782 % 2,373.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2064 % 2,223.5
FixedReset Ins Non 5.49 % 7.75 % 47,170 12.05 14 -0.4123 % 2,287.7
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -5.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 9.02 %
CU.PR.E Perpetual-Discount -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.88 %
TRP.PR.G FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.80 %
BAM.PF.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 15.37
Evaluated at bid price : 15.37
Bid-YTW : 9.01 %
PVS.PR.K SplitShare -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 7.71 %
IAF.PR.I FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.35 %
TD.PF.L FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 22.48
Evaluated at bid price : 22.89
Bid-YTW : 7.16 %
MFC.PR.Q FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 8.00 %
NA.PR.W FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 8.12 %
PVS.PR.F SplitShare -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 7.93 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 6.66 %
MFC.PR.C Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.34 %
POW.PR.D Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 6.69 %
NA.PR.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.51 %
PWF.PR.P FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 8.67 %
GWO.PR.P Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.73 %
BAM.PR.X FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.95 %
GWO.PR.G Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.71 %
SLF.PR.J FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.78 %
BAM.PF.C Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.78 %
TRP.PR.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 9.22 %
BAM.PR.T FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 8.76 %
CU.PR.G Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.55 %
PWF.PF.A Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.66 %
TRP.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 8.92 %
RY.PR.N Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.94 %
BAM.PF.I FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.51
Evaluated at bid price : 21.79
Bid-YTW : 7.75 %
CM.PR.T FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 22.67
Evaluated at bid price : 23.10
Bid-YTW : 7.11 %
TRP.PR.A FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 8.85 %
CCS.PR.C Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.41 %
BAM.PR.N Perpetual-Discount 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.63 %
RY.PR.O Perpetual-Discount 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.86 %
BAM.PF.G FixedReset Disc 3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 9.08 %
RY.PR.M FixedReset Disc 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 7.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.K Perpetual-Discount 94,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.59 %
MFC.PR.C Insurance Straight 85,477 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.34 %
GWO.PR.T Insurance Straight 57,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.75 %
BAM.PF.J FixedReset Disc 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 22.54
Evaluated at bid price : 23.50
Bid-YTW : 6.92 %
GWO.PR.L Insurance Straight 43,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.71 %
CU.PR.F Perpetual-Discount 41,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.56 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.E Perpetual-Discount Quote: 17.93 – 22.00
Spot Rate : 4.0700
Average : 2.2873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.88 %

PVS.PR.J SplitShare Quote: 20.25 – 22.25
Spot Rate : 2.0000
Average : 1.1875

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 9.02 %

PVS.PR.H SplitShare Quote: 22.15 – 23.65
Spot Rate : 1.5000
Average : 1.0953

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.90 %

CU.PR.G Perpetual-Discount Quote: 17.30 – 18.35
Spot Rate : 1.0500
Average : 0.6574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.55 %

RY.PR.O Perpetual-Discount Quote: 21.05 – 23.50
Spot Rate : 2.4500
Average : 2.1754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.86 %

BMO.PR.F FixedReset Disc Quote: 23.70 – 24.60
Spot Rate : 0.9000
Average : 0.6363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 23.27
Evaluated at bid price : 23.70
Bid-YTW : 7.10 %

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