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.
| 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 | 0.8772 % | 2,221.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8772 % | 4,260.7 |
| Floater | 10.58 % | 10.69 % | 41,847 | 9.04 | 1 | 0.8772 % | 2,455.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5007 % | 3,262.2 |
| SplitShare | 5.15 % | 8.57 % | 50,579 | 2.17 | 6 | 0.5007 % | 3,895.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5007 % | 3,039.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6790 % | 2,545.8 |
| Perpetual-Discount | 6.70 % | 6.89 % | 40,156 | 12.63 | 31 | -0.6790 % | 2,776.0 |
| FixedReset Disc | 5.90 % | 8.50 % | 82,581 | 11.15 | 63 | -0.1243 % | 2,113.1 |
| Insurance Straight | 6.65 % | 6.74 % | 54,916 | 12.92 | 19 | -0.5637 % | 2,704.8 |
| FloatingReset | 11.50 % | 11.11 % | 32,180 | 8.75 | 2 | -0.8556 % | 2,351.4 |
| FixedReset Prem | 7.00 % | 7.15 % | 265,360 | 12.17 | 1 | -0.1590 % | 2,310.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1243 % | 2,160.0 |
| FixedReset Ins Non | 6.40 % | 7.96 % | 91,071 | 11.56 | 9 | -0.0490 % | 2,304.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset Disc | -5.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 11.76 Evaluated at bid price : 11.76 Bid-YTW : 9.87 % |
| CU.PR.F | Perpetual-Discount | -5.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 16.57 Evaluated at bid price : 16.57 Bid-YTW : 6.89 % |
| GWO.PR.L | Insurance Straight | -4.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 19.74 Evaluated at bid price : 19.74 Bid-YTW : 7.22 % |
| PWF.PR.L | Perpetual-Discount | -4.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 7.18 % |
| PWF.PF.A | Perpetual-Discount | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 6.89 % |
| SLF.PR.C | Insurance Straight | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.40 % |
| GWO.PR.G | Insurance Straight | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.90 % |
| CU.PR.G | Perpetual-Discount | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 6.61 % |
| SLF.PR.J | FloatingReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 11.11 % |
| TRP.PR.A | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 10.07 % |
| PWF.PR.E | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 7.00 % |
| BN.PF.J | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 8.22 % |
| GWO.PR.R | Insurance Straight | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 6.79 % |
| ELF.PR.H | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.97 % |
| POW.PR.A | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.96 % |
| BN.PR.M | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.96 % |
| MFC.PR.K | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 7.96 % |
| PVS.PR.G | SplitShare | 1.32 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 8.29 % |
| PVS.PR.J | SplitShare | 1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 8.29 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.W | FixedReset Disc | 59,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 8.64 % |
| SLF.PR.J | FloatingReset | 53,366 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 11.11 % |
| NA.PR.C | FixedReset Prem | 50,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 23.25 Evaluated at bid price : 25.11 Bid-YTW : 7.15 % |
| SLF.PR.E | Insurance Straight | 29,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.33 % |
| NA.PR.W | FixedReset Disc | 29,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 8.76 % |
| NA.PR.G | FixedReset Disc | 27,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-28 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 7.58 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.P | FixedReset Disc | Quote: 11.76 – 13.04 Spot Rate : 1.2800 Average : 0.7841 YTW SCENARIO |
| GWO.PR.L | Insurance Straight | Quote: 19.74 – 20.75 Spot Rate : 1.0100 Average : 0.5799 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 16.57 – 17.57 Spot Rate : 1.0000 Average : 0.7040 YTW SCENARIO |
| BN.PF.A | FixedReset Disc | Quote: 19.00 – 20.00 Spot Rate : 1.0000 Average : 0.7040 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 18.16 – 19.07 Spot Rate : 0.9100 Average : 0.6266 YTW SCENARIO |
| PVS.PR.F | SplitShare | Quote: 23.90 – 24.40 Spot Rate : 0.5000 Average : 0.3113 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.81%, equivalent to 8.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.02% on 2023-6-30 and since then the closing price has changed from 15.15 to 14.96, a decrease of 125bp in price, with a Duration of 12.40 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 10bp since 6/30 to 5.12%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to about 375bp from the 385bp reported June 28. […]
[…] Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 385bp as of 2023-6-28 (chart end-date 2023-6-9) […]