PerpetualDiscounts now yield 6.89%, equivalent to 8.96% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.27% on 2023-7-7 and since then the closing price has changed from 14.72 to 14.89, an increase of 115bp in price, with a Duration of 12.20 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 9bp since 7/7 to 5.20%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at about the 375bp reported July 5.
| 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 | -0.6140 % | 2,188.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6140 % | 4,197.7 |
| Floater | 10.73 % | 10.92 % | 44,088 | 8.87 | 1 | -0.6140 % | 2,419.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5633 % | 3,267.3 |
| SplitShare | 5.16 % | 8.42 % | 40,553 | 2.42 | 7 | -0.5633 % | 3,901.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5633 % | 3,044.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1379 % | 2,531.7 |
| Perpetual-Discount | 6.73 % | 6.89 % | 42,074 | 12.73 | 28 | -0.1379 % | 2,760.7 |
| FixedReset Disc | 5.88 % | 8.69 % | 77,346 | 10.93 | 64 | 0.2159 % | 2,121.3 |
| Insurance Straight | 6.69 % | 6.84 % | 53,847 | 12.75 | 19 | -0.2745 % | 2,688.8 |
| FloatingReset | 11.33 % | 11.03 % | 28,181 | 8.79 | 2 | 0.1695 % | 2,398.4 |
| FixedReset Prem | 7.00 % | 6.80 % | 246,522 | 3.75 | 1 | 0.0399 % | 2,309.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2159 % | 2,168.4 |
| FixedReset Ins Non | 6.40 % | 8.32 % | 69,251 | 11.07 | 11 | 0.1614 % | 2,290.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.E | FixedReset Disc | -5.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 9.15 % |
| IFC.PR.F | Insurance Straight | -3.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.05 % |
| PVS.PR.J | SplitShare | -2.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 8.72 % |
| CM.PR.Y | FixedReset Disc | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 23.31 Evaluated at bid price : 23.85 Bid-YTW : 7.75 % |
| BN.PF.H | FixedReset Disc | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 9.75 % |
| BN.PF.I | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 9.48 % |
| GWO.PR.Y | Insurance Straight | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 6.88 % |
| NA.PR.W | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 8.90 % |
| CM.PR.O | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 8.56 % |
| BMO.PR.Y | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 8.67 % |
| PWF.PR.T | FixedReset Disc | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 8.47 % |
| RY.PR.J | FixedReset Disc | 2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 8.51 % |
| TRP.PR.E | FixedReset Disc | 6.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 10.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.K | FixedReset Ins Non | 51,036 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 7.96 % |
| TD.PF.D | FixedReset Disc | 39,705 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 8.62 % |
| RY.PR.J | FixedReset Disc | 34,145 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 8.51 % |
| TD.PF.M | FixedReset Disc | 25,935 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 23.21 Evaluated at bid price : 23.75 Bid-YTW : 7.76 % |
| RY.PR.S | FixedReset Disc | 23,975 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 8.07 % |
| SLF.PR.G | FixedReset Ins Non | 21,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-12 Maturity Price : 12.83 Evaluated at bid price : 12.83 Bid-YTW : 9.48 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.E | FixedReset Disc | Quote: 17.01 – 18.10 Spot Rate : 1.0900 Average : 0.6749 YTW SCENARIO |
| IFC.PR.C | FixedReset Disc | Quote: 17.55 – 18.49 Spot Rate : 0.9400 Average : 0.5588 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 16.35 – 17.33 Spot Rate : 0.9800 Average : 0.6123 YTW SCENARIO |
| IFC.PR.F | Insurance Straight | Quote: 19.00 – 19.85 Spot Rate : 0.8500 Average : 0.5780 YTW SCENARIO |
| PVS.PR.K | SplitShare | Quote: 20.75 – 21.50 Spot Rate : 0.7500 Average : 0.5406 YTW SCENARIO |
| BN.PF.H | FixedReset Disc | Quote: 19.31 – 19.90 Spot Rate : 0.5900 Average : 0.4437 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.89%, equivalent to 8.96% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.14% on 2023-7-14 and since then the closing price has changed from 14.93 to 15.03, an increase of 67bp in price, with a Duration of 12.29 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 7/14 to 5.09%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 385bp from the 375bp reported July 12. […]