TXPR closed at 534.62, up 0.69% on the day. Volume today was 1.07-million, above the median of the past 21 trading days.
CPD closed at 10.59, down 0.47% on the day. Volume was 90,580, third-highest of the past 21 trading days.
ZPR closed at 8.78, up 0.23% on the day. Volume was 91,020, third-lowest of the past 21 trading days.
Five-year Canada yields roared up to 3.76% today on the back of the BoC policy hike.
PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.23% on 2023-5-26 and since then the closing price has changed from 14.82 to 14.78, a decrease of 27bp in price, with a Duration of 12.21 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 2bp since 5/26 to 5.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to about 325bp from the 345bp reported May 31.
| 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 | 1.2681 % | 2,159.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2681 % | 4,142.2 |
| Floater | 10.49 % | 10.84 % | 45,750 | 8.78 | 1 | 1.2681 % | 2,387.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3342 % | 3,337.8 |
| SplitShare | 4.82 % | 7.32 % | 43,093 | 2.24 | 7 | 0.3342 % | 3,986.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3342 % | 3,110.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3500 % | 2,660.8 |
| Perpetual-Discount | 6.41 % | 6.55 % | 41,430 | 13.07 | 31 | -0.3500 % | 2,901.4 |
| FixedReset Disc | 5.88 % | 8.56 % | 83,998 | 11.18 | 63 | 0.7916 % | 2,120.3 |
| Insurance Straight | 6.38 % | 6.44 % | 58,444 | 13.36 | 19 | -0.5970 % | 2,819.9 |
| FloatingReset | 11.58 % | 12.02 % | 49,722 | 8.23 | 2 | -0.1745 % | 2,322.1 |
| FixedReset Prem | 6.97 % | 6.99 % | 306,377 | 3.77 | 1 | 0.0000 % | 2,318.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7916 % | 2,167.4 |
| FixedReset Ins Non | 6.09 % | 7.70 % | 87,321 | 11.61 | 9 | 0.3650 % | 2,329.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Insurance Straight | -8.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.60 % |
| PWF.PR.L | Perpetual-Discount | -2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.75 % |
| FTS.PR.F | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.23 % |
| FTS.PR.J | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 6.26 % |
| POW.PR.B | Perpetual-Discount | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 6.62 % |
| GWO.PR.Y | Insurance Straight | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 6.25 % |
| TD.PF.I | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 23.03 Evaluated at bid price : 24.50 Bid-YTW : 6.83 % |
| TD.PF.A | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 8.54 % |
| BMO.PR.S | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 8.54 % |
| BIK.PR.A | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 22.89 Evaluated at bid price : 23.50 Bid-YTW : 8.12 % |
| TD.PF.K | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 7.44 % |
| BMO.PR.E | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 7.64 % |
| BN.PF.B | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 9.97 % |
| TRP.PR.G | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 9.50 % |
| BN.PR.B | Floater | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 11.18 Evaluated at bid price : 11.18 Bid-YTW : 10.84 % |
| BN.PR.X | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 9.50 % |
| TRP.PR.E | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 9.86 % |
| RY.PR.H | FixedReset Disc | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 8.57 % |
| NA.PR.S | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 8.58 % |
| PVS.PR.K | SplitShare | 1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 6.97 % |
| TRP.PR.D | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 9.89 % |
| BN.PF.H | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 9.14 % |
| BIP.PR.A | FixedReset Disc | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 10.14 % |
| MFC.PR.K | FixedReset Ins Non | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 8.06 % |
| TRP.PR.A | FixedReset Disc | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 13.44 Evaluated at bid price : 13.44 Bid-YTW : 10.06 % |
| GWO.PR.N | FixedReset Ins Non | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 11.67 Evaluated at bid price : 11.67 Bid-YTW : 9.36 % |
| RY.PR.M | FixedReset Disc | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 8.43 % |
| BN.PF.J | FixedReset Disc | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 8.07 % |
| PWF.PR.P | FixedReset Disc | 5.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 9.42 % |
| BN.PF.E | FixedReset Disc | 8.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 14.59 Evaluated at bid price : 14.59 Bid-YTW : 10.37 % |
| BN.PF.I | FixedReset Disc | 8.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 9.09 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.K | FixedReset Disc | 25,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 7.44 % |
| CM.PR.Q | FixedReset Disc | 25,298 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 8.56 % |
| CM.PR.S | FixedReset Disc | 23,373 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 7.43 % |
| BMO.PR.E | FixedReset Disc | 18,580 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 7.64 % |
| BN.PF.B | FixedReset Disc | 16,590 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 9.97 % |
| MFC.PR.B | Insurance Straight | 14,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-07 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.39 % |
| There were 9 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.C | FixedReset Disc | Quote: 17.00 – 18.49 Spot Rate : 1.4900 Average : 0.9510 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 17.10 – 18.65 Spot Rate : 1.5500 Average : 1.0174 YTW SCENARIO |
| MFC.PR.B | Insurance Straight | Quote: 18.30 – 19.65 Spot Rate : 1.3500 Average : 0.8486 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 19.74 – 21.00 Spot Rate : 1.2600 Average : 0.8043 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 12.40 – 13.04 Spot Rate : 0.6400 Average : 0.4396 YTW SCENARIO |
| BMO.PR.F | FixedReset Disc | Quote: 23.78 – 24.39 Spot Rate : 0.6100 Average : 0.4217 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.68%, equivalent to 8.68% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.16% on 2023-6-9 and since then the closing price has changed from 14.94 to 14.87, a decrease of 47bp in price, with a Duration of 12.28 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 4bp since 6/9 to 5.20%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to about 350bp from the 325bp reported June 7. […]