June 7, 2023

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
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.56 %

SLF.PR.E Insurance Straight Quote: 17.10 – 18.65
Spot Rate : 1.5500
Average : 1.0174

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 %

MFC.PR.B Insurance Straight Quote: 18.30 – 19.65
Spot Rate : 1.3500
Average : 0.8486

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 %

CCS.PR.C Insurance Straight Quote: 19.74 – 21.00
Spot Rate : 1.2600
Average : 0.8043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.35 %

PWF.PR.P FixedReset Disc Quote: 12.40 – 13.04
Spot Rate : 0.6400
Average : 0.4396

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 %

BMO.PR.F FixedReset Disc Quote: 23.78 – 24.39
Spot Rate : 0.6100
Average : 0.4217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 23.21
Evaluated at bid price : 23.78
Bid-YTW : 7.59 %

One Response to “June 7, 2023”

  1. […] 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. […]

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