PerpetualDiscounts now yield 7.08%, equivalent to 9.20% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.71% on 2023-10-27 and since then the closing price has changed from 13.90 to 14.37, an increase of 338bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 11.96 implying a decrease of 28bp in yield to 5.43%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is unchanged at the 375bp reported November 1.
| 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 | 0.3791 % | 2,046.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3791 % | 3,925.3 |
| Floater | 11.90 % | 12.22 % | 54,474 | 7.96 | 2 | 0.3791 % | 2,262.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2315 % | 3,312.0 |
| SplitShare | 5.07 % | 8.43 % | 39,703 | 1.84 | 8 | -0.2315 % | 3,955.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2315 % | 3,086.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4942 % | 2,468.6 |
| Perpetual-Discount | 6.92 % | 7.08 % | 48,938 | 12.47 | 33 | -0.4942 % | 2,691.9 |
| FixedReset Disc | 6.02 % | 8.63 % | 118,206 | 11.09 | 55 | -0.0362 % | 2,120.5 |
| Insurance Straight | 6.75 % | 6.91 % | 63,423 | 12.61 | 19 | -0.4176 % | 2,668.8 |
| FloatingReset | 11.20 % | 11.49 % | 33,680 | 8.41 | 1 | -2.0134 % | 2,348.3 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0362 % | 2,397.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0362 % | 2,167.6 |
| FixedReset Ins Non | 6.06 % | 8.40 % | 80,914 | 11.24 | 14 | 0.8090 % | 2,345.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.I | Insurance Straight | -4.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.23 % |
| CU.PR.H | Perpetual-Discount | -4.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 6.95 % |
| PVS.PR.H | SplitShare | -3.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 8.87 % |
| POW.PR.A | Perpetual-Discount | -3.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 7.36 % |
| MFC.PR.F | FixedReset Ins Non | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 9.24 % |
| CU.PR.C | FixedReset Disc | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.46 Evaluated at bid price : 17.46 Bid-YTW : 8.63 % |
| SLF.PR.J | FloatingReset | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 11.49 % |
| CU.PR.I | FixedReset Disc | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 8.92 % |
| BN.PR.X | FixedReset Disc | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 10.60 % |
| SLF.PR.C | Insurance Straight | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 6.48 % |
| FTS.PR.J | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.60 % |
| CU.PR.E | Perpetual-Discount | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.79 % |
| POW.PR.D | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 6.96 % |
| BMO.PR.T | FixedReset Disc | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 8.75 % |
| SLF.PR.D | Insurance Straight | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 6.48 % |
| PWF.PR.G | Perpetual-Discount | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.10 % |
| PWF.PR.S | Perpetual-Discount | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 7.08 % |
| CU.PR.F | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 6.71 % |
| CIU.PR.A | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 6.95 % |
| PWF.PR.L | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 7.11 % |
| BN.PR.R | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 12.47 Evaluated at bid price : 12.47 Bid-YTW : 11.21 % |
| CM.PR.S | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 7.75 % |
| BIP.PR.F | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 9.09 % |
| PVS.PR.J | SplitShare | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 8.43 % |
| BIK.PR.A | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 9.42 % |
| BN.PR.M | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 7.63 % |
| SLF.PR.G | FixedReset Ins Non | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 13.46 Evaluated at bid price : 13.46 Bid-YTW : 9.15 % |
| SLF.PR.H | FixedReset Ins Non | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 8.40 % |
| BN.PF.E | FixedReset Disc | 4.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 13.82 Evaluated at bid price : 13.82 Bid-YTW : 11.11 % |
| MFC.PR.N | FixedReset Ins Non | 5.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 8.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.P | FixedReset Disc | 84,902 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 9.74 % |
| CM.PR.Q | FixedReset Disc | 34,657 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 8.98 % |
| CU.PR.C | FixedReset Disc | 30,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 17.46 Evaluated at bid price : 17.46 Bid-YTW : 8.63 % |
| BN.PR.R | FixedReset Disc | 23,054 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 12.47 Evaluated at bid price : 12.47 Bid-YTW : 11.21 % |
| MFC.PR.L | FixedReset Ins Non | 20,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 8.41 % |
| IFC.PR.C | FixedReset Ins Non | 18,785 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-08 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 8.85 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.I | Insurance Straight | Quote: 19.00 – 20.36 Spot Rate : 1.3600 Average : 0.8549 YTW SCENARIO |
| POW.PR.A | Perpetual-Discount | Quote: 19.30 – 20.62 Spot Rate : 1.3200 Average : 0.9265 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 18.95 – 19.95 Spot Rate : 1.0000 Average : 0.7247 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 14.60 – 15.10 Spot Rate : 0.5000 Average : 0.3330 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 22.30 – 23.15 Spot Rate : 0.8500 Average : 0.6855 YTW SCENARIO |
| CM.PR.P | FixedReset Disc | Quote: 16.66 – 17.19 Spot Rate : 0.5300 Average : 0.3741 YTW SCENARIO |
[…] PerpetualDiscounts now yield 7.04%, equivalent to 9.15% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.56% on 2023-11-10 and since then the closing price has changed from 14.20 to 14.40, an increase of 141bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.03 implying a decrease of 12bp in yield to 5.44%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is has narrowed slightly (and perhaps spuriously) to 370bp from the 375bp reported November 8. […]