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.
| 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 % | 2,040.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,914.1 |
| Floater | 11.93 % | 12.29 % | 38,025 | 7.91 | 2 | 0.0000 % | 2,255.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0492 % | 3,339.4 |
| SplitShare | 5.03 % | 8.13 % | 45,519 | 1.83 | 8 | 1.0492 % | 3,987.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0492 % | 3,111.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5410 % | 2,489.5 |
| Perpetual-Discount | 6.86 % | 7.04 % | 48,565 | 12.50 | 33 | 0.5410 % | 2,714.7 |
| FixedReset Disc | 6.04 % | 8.81 % | 114,423 | 11.00 | 55 | 0.3849 % | 2,129.7 |
| Insurance Straight | 6.76 % | 6.97 % | 61,042 | 12.52 | 19 | -0.2478 % | 2,666.3 |
| FloatingReset | 11.24 % | 11.57 % | 30,522 | 8.35 | 1 | 0.4844 % | 2,335.4 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3849 % | 2,407.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3849 % | 2,177.0 |
| FixedReset Ins Non | 6.02 % | 8.53 % | 85,988 | 11.34 | 14 | 0.0900 % | 2,362.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Insurance Straight | -4.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.74 % |
| IFC.PR.F | Insurance Straight | -3.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 7.22 % |
| MFC.PR.C | Insurance Straight | -3.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.71 % |
| RY.PR.N | Perpetual-Discount | -2.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.16 % |
| MFC.PR.N | FixedReset Ins Non | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 9.02 % |
| RY.PR.J | FixedReset Disc | -2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 9.00 % |
| GWO.PR.N | FixedReset Ins Non | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 12.31 Evaluated at bid price : 12.31 Bid-YTW : 9.49 % |
| NA.PR.E | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 7.85 % |
| PWF.PR.T | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 7.87 % |
| GWO.PR.Q | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 7.03 % |
| GWO.PR.Y | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 6.83 % |
| RY.PR.Z | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 8.31 % |
| GWO.PR.G | Insurance Straight | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.88 Evaluated at bid price : 18.88 Bid-YTW : 7.02 % |
| BMO.PR.Y | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 17.29 Evaluated at bid price : 17.29 Bid-YTW : 9.03 % |
| BN.PF.F | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 10.91 % |
| PWF.PR.F | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.08 % |
| BN.PF.D | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 7.43 % |
| POW.PR.G | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 7.07 % |
| POW.PR.B | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 19.19 Evaluated at bid price : 19.19 Bid-YTW : 7.08 % |
| PVS.PR.I | SplitShare | 1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 8.11 % |
| BN.PR.M | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 16.46 Evaluated at bid price : 16.46 Bid-YTW : 7.36 % |
| RY.PR.H | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 8.56 % |
| BN.PF.C | Perpetual-Discount | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 7.45 % |
| BN.PR.Z | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 9.91 % |
| PVS.PR.K | SplitShare | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 8.41 % |
| GWO.PR.I | Insurance Straight | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 6.84 % |
| GWO.PR.P | Insurance Straight | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 7.05 % |
| MFC.PR.Q | FixedReset Ins Non | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.90 % |
| POW.PR.A | Perpetual-Discount | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 7.05 % |
| PVS.PR.G | SplitShare | 1.68 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 8.23 % |
| PWF.PF.A | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 6.86 % |
| PVS.PR.J | SplitShare | 1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 8.29 % |
| PVS.PR.H | SplitShare | 1.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 8.24 % |
| PWF.PR.G | Perpetual-Discount | 2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 6.98 % |
| BNS.PR.I | FixedReset Disc | 2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 22.15 Evaluated at bid price : 22.80 Bid-YTW : 7.08 % |
| POW.PR.D | Perpetual-Discount | 3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 6.83 % |
| BN.PF.G | FixedReset Disc | 3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 11.24 % |
| BN.PF.E | FixedReset Disc | 5.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 11.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.B | Insurance Straight | 43,388 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 6.47 % |
| MFC.PR.F | FixedReset Ins Non | 41,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 13.08 Evaluated at bid price : 13.08 Bid-YTW : 9.26 % |
| PWF.PF.A | Perpetual-Discount | 38,926 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 6.86 % |
| PWF.PR.S | Perpetual-Discount | 36,341 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.04 % |
| GWO.PR.N | FixedReset Ins Non | 30,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 12.31 Evaluated at bid price : 12.31 Bid-YTW : 9.49 % |
| BN.PF.H | FixedReset Disc | 24,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-15 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 10.01 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.B | Perpetual-Discount | Quote: 19.19 – 23.00 Spot Rate : 3.8100 Average : 2.1535 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 17.92 – 19.85 Spot Rate : 1.9300 Average : 1.0628 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 17.00 – 18.15 Spot Rate : 1.1500 Average : 0.7259 YTW SCENARIO |
| PWF.PR.Z | Perpetual-Discount | Quote: 18.50 – 19.60 Spot Rate : 1.1000 Average : 0.6866 YTW SCENARIO |
| FTS.PR.G | FixedReset Disc | Quote: 19.38 – 20.40 Spot Rate : 1.0200 Average : 0.6332 YTW SCENARIO |
| GWO.PR.Q | Insurance Straight | Quote: 18.66 – 19.48 Spot Rate : 0.8200 Average : 0.5506 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.93%, equivalent to 9.01% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.42% on 2023-11-17 and since then the closing price has changed from 14.50 to 14.61, an increase of 76bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.03 implying a decrease of 6bp in yield to 5.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is has narrowed slightly (and perhaps spuriously) to 365bp from the 379bp reported November 15. […]