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.
| 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 % | 2,211.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,242.2 |
| Floater | 11.00 % | 11.22 % | 45,535 | 8.65 | 1 | 0.0000 % | 2,444.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7872 % | 3,291.5 |
| SplitShare | 5.12 % | 8.45 % | 42,590 | 2.40 | 7 | 0.7872 % | 3,930.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7872 % | 3,067.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1231 % | 2,536.0 |
| Perpetual-Discount | 6.72 % | 6.89 % | 45,557 | 12.71 | 28 | 0.1231 % | 2,765.4 |
| FixedReset Disc | 5.82 % | 8.43 % | 80,054 | 11.18 | 64 | 0.3935 % | 2,144.4 |
| Insurance Straight | 6.67 % | 6.82 % | 50,256 | 12.77 | 19 | 0.4891 % | 2,695.8 |
| FloatingReset | 11.40 % | 11.10 % | 35,798 | 8.73 | 2 | 0.6104 % | 2,408.2 |
| FixedReset Prem | 7.00 % | 6.84 % | 236,694 | 3.73 | 1 | 0.0000 % | 2,309.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3935 % | 2,192.0 |
| FixedReset Ins Non | 6.24 % | 8.00 % | 64,824 | 11.55 | 11 | -0.1035 % | 2,296.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.K | FixedReset Ins Non | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 8.03 % |
| CM.PR.Y | FixedReset Disc | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 23.52 Evaluated at bid price : 24.05 Bid-YTW : 7.56 % |
| FTS.PR.H | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 9.47 % |
| BIP.PR.F | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 8.34 % |
| BIP.PR.A | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 16.92 Evaluated at bid price : 16.92 Bid-YTW : 10.22 % |
| MFC.PR.B | Insurance Straight | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.74 % |
| CM.PR.Q | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 8.46 % |
| RY.PR.J | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 8.23 % |
| TD.PF.E | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 8.35 % |
| RY.PR.H | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 8.43 % |
| SLF.PR.G | FixedReset Ins Non | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 12.95 Evaluated at bid price : 12.95 Bid-YTW : 9.20 % |
| BN.PR.Z | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 8.71 % |
| BN.PF.B | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 9.73 % |
| SLF.PR.J | FloatingReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 11.10 % |
| IFC.PR.A | FixedReset Ins Non | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 8.00 % |
| CU.PR.C | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 8.47 % |
| BN.PF.H | FixedReset Disc | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 9.52 % |
| BIP.PR.E | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 8.21 % |
| BN.PR.R | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 13.74 Evaluated at bid price : 13.74 Bid-YTW : 9.99 % |
| PVS.PR.K | SplitShare | 2.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 7.94 % |
| PVS.PR.J | SplitShare | 2.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 8.17 % |
| SLF.PR.E | Insurance Straight | 3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.38 % |
| BN.PF.I | FixedReset Disc | 6.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 9.26 % |
| IFC.PR.E | Insurance Straight | 6.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.91 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.D | FixedReset Disc | 103,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 8.41 % |
| TD.PF.E | FixedReset Disc | 74,295 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 8.35 % |
| BN.PF.G | FixedReset Disc | 53,345 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 10.47 % |
| ELF.PR.H | Perpetual-Discount | 51,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.90 % |
| ELF.PR.F | Perpetual-Discount | 50,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.89 % |
| TRP.PR.D | FixedReset Disc | 34,217 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-19 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 10.07 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.W | FixedReset Disc | Quote: 17.09 – 19.00 Spot Rate : 1.9100 Average : 1.3714 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 20.85 – 22.00 Spot Rate : 1.1500 Average : 0.7069 YTW SCENARIO |
| BN.PF.A | FixedReset Disc | Quote: 19.88 – 20.90 Spot Rate : 1.0200 Average : 0.6384 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 16.80 – 18.12 Spot Rate : 1.3200 Average : 0.9617 YTW SCENARIO |
| TD.PF.J | FixedReset Disc | Quote: 20.90 – 21.50 Spot Rate : 0.6000 Average : 0.3477 YTW SCENARIO |
| BN.PF.G | FixedReset Disc | Quote: 14.75 – 15.39 Spot Rate : 0.6400 Average : 0.4040 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.81%, equivalent to 8.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.16% on 2023-7-21 and since then the closing price has changed from 14.98 to 14.86, a decrease of 80bp in price, with a Duration of 12.27 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 7bp since 7/21 to 5.23%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 360bp from the 385bp reported July 19. […]