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.
| 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 % | 2,212.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,244.0 |
| Floater | 11.00 % | 11.39 % | 47,449 | 8.41 | 2 | 0.0000 % | 2,445.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1669 % | 3,325.4 |
| SplitShare | 5.08 % | 7.66 % | 40,254 | 2.30 | 7 | -0.1669 % | 3,971.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1669 % | 3,098.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1949 % | 2,502.4 |
| Perpetual-Discount | 6.83 % | 7.04 % | 47,182 | 12.46 | 33 | 0.1949 % | 2,728.8 |
| FixedReset Disc | 6.08 % | 9.03 % | 100,658 | 10.77 | 55 | -0.2135 % | 2,069.0 |
| Insurance Straight | 6.88 % | 6.94 % | 63,298 | 12.70 | 17 | 0.2133 % | 2,616.7 |
| FloatingReset | 11.36 % | 11.42 % | 37,459 | 8.60 | 1 | -0.0687 % | 2,340.3 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2135 % | 2,267.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2135 % | 2,115.0 |
| FixedReset Ins Non | 6.39 % | 8.41 % | 127,153 | 11.04 | 11 | -0.0265 % | 2,246.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PF.D | Perpetual-Discount | -5.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 7.55 % |
| PVS.PR.G | SplitShare | -1.90 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 8.12 % |
| BIK.PR.A | FixedReset Disc | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 9.47 % |
| NA.PR.S | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 9.32 % |
| MFC.PR.K | FixedReset Ins Non | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.92 % |
| BIP.PR.E | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 8.57 % |
| BN.PF.I | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 9.82 % |
| CU.PR.I | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 8.76 % |
| BN.PF.C | Perpetual-Discount | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 7.31 % |
| TD.PF.E | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.06 Evaluated at bid price : 17.06 Bid-YTW : 9.29 % |
| TD.PF.I | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 22.03 Evaluated at bid price : 22.51 Bid-YTW : 7.66 % |
| MFC.PR.L | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 9.00 % |
| PWF.PF.A | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 6.95 % |
| ELF.PR.F | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 6.92 % |
| RY.PR.O | Perpetual-Discount | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.89 % |
| SLF.PR.C | Insurance Straight | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.74 % |
| BN.PF.F | FixedReset Disc | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 10.57 % |
| BN.PR.R | FixedReset Disc | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 10.70 % |
| BN.PR.M | Perpetual-Discount | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.11 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.F | FixedReset Disc | 72,071 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 10.57 % |
| GWO.PR.S | Insurance Straight | 46,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 7.01 % |
| GWO.PR.N | FixedReset Ins Non | 40,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 11.86 Evaluated at bid price : 11.86 Bid-YTW : 9.66 % |
| BN.PR.Z | FixedReset Disc | 37,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 9.57 % |
| CIU.PR.A | Perpetual-Discount | 37,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 7.03 % |
| CM.PR.P | FixedReset Disc | 32,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 9.32 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.J | Perpetual-Discount | Quote: 17.15 – 20.00 Spot Rate : 2.8500 Average : 1.5750 YTW SCENARIO |
| FTS.PR.M | FixedReset Disc | Quote: 16.50 – 18.00 Spot Rate : 1.5000 Average : 0.8647 YTW SCENARIO |
| BN.PF.F | FixedReset Disc | Quote: 16.01 – 19.00 Spot Rate : 2.9900 Average : 2.4195 YTW SCENARIO |
| BN.PR.Z | FixedReset Disc | Quote: 17.85 – 19.09 Spot Rate : 1.2400 Average : 0.7430 YTW SCENARIO |
| CU.PR.I | FixedReset Disc | Quote: 20.60 – 23.75 Spot Rate : 3.1500 Average : 2.7272 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 16.72 – 18.00 Spot Rate : 1.2800 Average : 0.8742 YTW SCENARIO |
[…] PerpetualDiscounts now yield 7.05%, equivalent to 9.16% 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 14.39, a decrease of 137bp 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 11bp since 8/31 to 5.40%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained consstant at the 375bp reported September 6. […]