PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.40% on 2023-8-25 and since then the closing price has changed from 14.52 to 14.56, an increase of 28bp in price, with a Duration of 12.07 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 2bp since 8/25 to 5.38%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 390bp reported August 23.
| 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 | 0.2202 % | 2,199.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2202 % | 4,218.1 |
| Floater | 11.07 % | 11.42 % | 55,827 | 8.41 | 2 | 0.2202 % | 2,430.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6297 % | 3,338.4 |
| SplitShare | 5.05 % | 7.23 % | 45,136 | 2.04 | 8 | -0.6297 % | 3,986.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6297 % | 3,110.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2167 % | 2,464.1 |
| Perpetual-Discount | 6.96 % | 7.14 % | 48,829 | 12.32 | 31 | -0.2167 % | 2,687.0 |
| FixedReset Disc | 6.08 % | 9.14 % | 102,355 | 10.63 | 56 | 0.0325 % | 2,059.1 |
| Insurance Straight | 6.91 % | 6.98 % | 57,796 | 12.65 | 18 | -0.6611 % | 2,603.4 |
| FloatingReset | 11.23 % | 11.27 % | 39,977 | 8.71 | 1 | 1.0239 % | 2,380.5 |
| FixedReset Prem | 7.08 % | 7.40 % | 217,704 | 3.60 | 1 | -0.2414 % | 2,281.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0325 % | 2,104.8 |
| FixedReset Ins Non | 6.59 % | 8.56 % | 101,509 | 11.01 | 10 | 0.0228 % | 2,243.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.C | Perpetual-Discount | -3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 7.14 % |
| BMO.PR.F | FixedReset Disc | -2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 22.26 Evaluated at bid price : 23.03 Bid-YTW : 8.19 % |
| PVS.PR.J | SplitShare | -2.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 7.85 % |
| CU.PR.G | Perpetual-Discount | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 7.06 % |
| FTS.PR.F | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 6.37 % |
| GWO.PR.N | FixedReset Ins Non | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 11.81 Evaluated at bid price : 11.81 Bid-YTW : 9.83 % |
| TD.PF.M | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 22.63 Evaluated at bid price : 23.18 Bid-YTW : 8.18 % |
| SLF.PR.E | Insurance Straight | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.81 % |
| PWF.PR.T | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 8.99 % |
| CU.PR.D | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 7.02 % |
| TD.PF.B | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 9.31 % |
| CU.PR.C | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 9.20 % |
| SLF.PR.J | FloatingReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 11.27 % |
| BN.PF.I | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 10.16 % |
| BN.PR.Z | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 9.83 % |
| GWO.PR.R | Insurance Straight | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 7.01 % |
| BN.PR.M | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 7.41 % |
| GWO.PR.G | Insurance Straight | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 7.00 % |
| BIP.PR.E | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 8.54 % |
| BN.PF.H | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 10.34 % |
| IFC.PR.K | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 7.00 % |
| GWO.PR.P | Insurance Straight | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 7.03 % |
| PWF.PR.S | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.17 % |
| RY.PR.J | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 9.13 % |
| BN.PF.A | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 9.27 % |
| TD.PF.D | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 9.29 % |
| BIP.PR.B | FixedReset Disc | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 9.47 % |
| BN.PF.J | FixedReset Disc | 2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 9.50 % |
| TD.PF.E | FixedReset Disc | 3.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 9.14 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.K | Floater | 126,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 11.36 Evaluated at bid price : 11.36 Bid-YTW : 11.46 % |
| GWO.PR.H | Insurance Straight | 79,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 6.99 % |
| SLF.PR.C | Insurance Straight | 76,420 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 6.70 % |
| BN.PF.F | FixedReset Disc | 73,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 11.03 % |
| NA.PR.S | FixedReset Disc | 49,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 9.31 % |
| BN.PF.E | FixedReset Disc | 47,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-30 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 11.32 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.M | FixedReset Ins Non | Quote: 16.50 – 18.00 Spot Rate : 1.5000 Average : 0.9860 YTW SCENARIO |
| BMO.PR.F | FixedReset Disc | Quote: 23.03 – 23.92 Spot Rate : 0.8900 Average : 0.5379 YTW SCENARIO |
| TD.PF.L | FixedReset Disc | Quote: 22.72 – 23.96 Spot Rate : 1.2400 Average : 0.9566 YTW SCENARIO |
| POW.PR.C | Perpetual-Discount | Quote: 20.70 – 21.50 Spot Rate : 0.8000 Average : 0.5306 YTW SCENARIO |
| PVS.PR.J | SplitShare | Quote: 21.80 – 22.60 Spot Rate : 0.8000 Average : 0.5682 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 22.90 – 23.50 Spot Rate : 0.6000 Average : 0.4444 YTW SCENARIO |
[…] Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 390bp as of 2023-8-31 (chart end-date 2023-8-11) […]
[…] PerpetualDiscounts now yield 7.04%, equivalent to 9.15% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.29% on 2023-8-31 and since then the closing price has changed from 14.59 to 14.37, a decrease of 151bp in price, with a Duration of 12.15 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 12bp since 8/31 to 5.41%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 375bp from the 390bp reported August 30. […]