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 |
| PVS.PR.J | SplitShare | Quote: 20.25 – 22.25 Spot Rate : 2.0000 Average : 1.1875 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 22.15 – 23.65 Spot Rate : 1.5000 Average : 1.0953 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 17.30 – 18.35 Spot Rate : 1.0500 Average : 0.6574 YTW SCENARIO |
| RY.PR.O | Perpetual-Discount | Quote: 21.05 – 23.50 Spot Rate : 2.4500 Average : 2.1754 YTW SCENARIO |
| BMO.PR.F | FixedReset Disc | Quote: 23.70 – 24.60 Spot Rate : 0.9000 Average : 0.6363 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2022-11-25 and since then the closing price has changed from 15.24 to 15.12, a decline of 79bp in price, with a Duration of 12.31 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 6bp since 11/25 to 5.03%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly to 345bp from the 340bp reported November 23. […]