PerpetualDiscounts now yield 6.73%, equivalent to 8.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.10% on 2023-6-16 and since then the closing price has changed from 15.09 to 15.01, a decrease of 53bp in price, with a Duration of 12.35 (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 6/16 to 5.14%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to about 360bp from the 350bp reported June 14.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.0000 % | 2,192.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,205.1 |
| Floater | 10.72 % | 10.82 % | 46,235 | 8.97 | 1 | 0.0000 % | 2,423.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4284 % | 3,277.3 |
| SplitShare | 5.12 % | 8.32 % | 43,005 | 2.19 | 6 | -0.4284 % | 3,913.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4284 % | 3,053.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5994 % | 2,594.7 |
| Perpetual-Discount | 6.58 % | 6.73 % | 40,618 | 12.83 | 31 | -0.5994 % | 2,829.4 |
| FixedReset Disc | 5.86 % | 8.57 % | 86,584 | 11.07 | 63 | -0.1356 % | 2,128.5 |
| Insurance Straight | 6.55 % | 6.58 % | 54,614 | 13.14 | 19 | -0.9524 % | 2,745.3 |
| FloatingReset | 11.42 % | 11.02 % | 25,940 | 8.83 | 2 | 0.1722 % | 2,361.1 |
| FixedReset Prem | 6.97 % | 7.06 % | 253,425 | 3.73 | 1 | 0.1988 % | 2,318.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1356 % | 2,175.8 |
| FixedReset Ins Non | 6.41 % | 7.84 % | 93,063 | 11.59 | 9 | -1.2410 % | 2,303.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset Ins Non | -8.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 9.91 % |
| SLF.PR.C | Insurance Straight | -5.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 6.57 % |
| PWF.PR.L | Perpetual-Discount | -5.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.23 % |
| SLF.PR.D | Insurance Straight | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 6.37 % |
| IFC.PR.K | Perpetual-Discount | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 6.47 % |
| IFC.PR.A | FixedReset Ins Non | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 7.81 % |
| PVS.PR.J | SplitShare | -1.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 8.19 % |
| PWF.PR.S | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 6.72 % |
| IFC.PR.F | Insurance Straight | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.46 % |
| IFC.PR.E | Insurance Straight | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.36 % |
| PVS.PR.K | SplitShare | -1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.96 % |
| NA.PR.E | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 7.97 % |
| ELF.PR.H | Perpetual-Discount | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 6.94 % |
| CU.PR.D | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.42 % |
| GWO.PR.S | Insurance Straight | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.77 % |
| GWO.PR.R | Insurance Straight | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 6.68 % |
| BIK.PR.A | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 21.82 Evaluated at bid price : 22.30 Bid-YTW : 8.59 % |
| BN.PR.M | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 7.03 % |
| MFC.PR.C | Insurance Straight | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 6.49 % |
| TRP.PR.B | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 10.37 Evaluated at bid price : 10.37 Bid-YTW : 10.87 % |
| TRP.PR.C | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 10.62 Evaluated at bid price : 10.62 Bid-YTW : 10.90 % |
| TRP.PR.A | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 9.91 % |
| CU.PR.F | Perpetual-Discount | 2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 6.53 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.K | FixedReset Disc | 354,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 21.61 Evaluated at bid price : 21.97 Bid-YTW : 7.31 % |
| MFC.PR.N | FixedReset Ins Non | 102,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 9.02 % |
| TD.PF.A | FixedReset Disc | 81,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 8.53 % |
| RY.PR.J | FixedReset Disc | 64,422 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 8.45 % |
| MFC.PR.M | FixedReset Ins Non | 53,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 8.95 % |
| BN.PF.G | FixedReset Disc | 25,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-21 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 10.45 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.L | Perpetual-Discount | Quote: 18.00 – 19.67 Spot Rate : 1.6700 Average : 1.0894 YTW SCENARIO |
| GWO.PR.N | FixedReset Ins Non | Quote: 11.00 – 12.20 Spot Rate : 1.2000 Average : 0.6978 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 17.97 – 19.25 Spot Rate : 1.2800 Average : 0.8964 YTW SCENARIO |
| SLF.PR.C | Insurance Straight | Quote: 17.05 – 18.00 Spot Rate : 0.9500 Average : 0.6320 YTW SCENARIO |
| BIP.PR.F | FixedReset Disc | Quote: 19.19 – 19.89 Spot Rate : 0.7000 Average : 0.4201 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 20.25 – 21.28 Spot Rate : 1.0300 Average : 0.7665 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.89%, equivalent to 8.96% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.10% on 2023-6-16 and since then the closing price has changed from 15.09 to 15.11, an increase of 13bp in price, with a Duration of 12.35 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 1bp since 6/16 to 5.09%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has gapped upward to about 385bp from the 360bp reported June 21. […]