PerpetualDiscounts now yield 6.97%, equivalent to 9.06% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.40% on 2023-11-24 and since then the closing price has changed from 14.58 to 14.77, an increase of 130bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.15 implying a decrease of 11bp in yield to 5.29%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 375bp from the 365bp reported November 22.
| 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 | -0.2704 % | 2,138.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2704 % | 4,101.3 |
| Floater | 11.39 % | 11.57 % | 51,617 | 8.31 | 2 | -0.2704 % | 2,363.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3129 % | 3,380.6 |
| SplitShare | 4.97 % | 7.18 % | 55,215 | 1.81 | 8 | 0.3129 % | 4,037.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3129 % | 3,150.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1928 % | 2,531.4 |
| Perpetual-Discount | 6.75 % | 6.97 % | 52,161 | 12.53 | 33 | 0.1928 % | 2,760.4 |
| FixedReset Disc | 5.83 % | 8.20 % | 114,551 | 11.55 | 55 | 0.1735 % | 2,219.4 |
| Insurance Straight | 6.57 % | 6.72 % | 65,244 | 12.95 | 19 | -0.5079 % | 2,744.1 |
| FloatingReset | 10.54 % | 10.57 % | 36,636 | 9.20 | 1 | 3.1208 % | 2,497.9 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1735 % | 2,509.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1735 % | 2,268.7 |
| FixedReset Ins Non | 5.69 % | 7.80 % | 81,711 | 11.95 | 14 | 0.6923 % | 2,499.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.T | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 7.82 % |
| TD.PF.D | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 18.82 Evaluated at bid price : 18.82 Bid-YTW : 8.35 % |
| PWF.PR.Z | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 7.04 % |
| BN.PF.I | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 9.74 % |
| BMO.PR.Y | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 18.48 Evaluated at bid price : 18.48 Bid-YTW : 8.33 % |
| IFC.PR.C | FixedReset Ins Non | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 8.15 % |
| MFC.PR.F | FixedReset Ins Non | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 8.34 % |
| BIP.PR.F | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 8.50 % |
| IFC.PR.G | FixedReset Ins Non | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 7.46 % |
| NA.PR.W | FixedReset Disc | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 8.61 % |
| BIK.PR.A | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 22.20 Evaluated at bid price : 22.90 Bid-YTW : 8.49 % |
| BN.PR.X | FixedReset Disc | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 9.73 % |
| PVS.PR.H | SplitShare | 2.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 7.01 % |
| BIP.PR.E | FixedReset Disc | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 8.23 % |
| BN.PF.G | FixedReset Disc | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 10.43 % |
| MFC.PR.I | FixedReset Ins Non | 2.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 7.63 % |
| SLF.PR.J | FloatingReset | 3.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 15.53 Evaluated at bid price : 15.53 Bid-YTW : 10.57 % |
| CU.PR.H | Perpetual-Discount | 4.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 6.76 % |
| MFC.PR.C | Insurance Straight | 7.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 6.26 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.K | Perpetual-Discount | 88,266 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 7.02 % |
| CM.PR.Q | FixedReset Disc | 50,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 8.53 % |
| GWO.PR.N | FixedReset Ins Non | 38,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 13.21 Evaluated at bid price : 13.21 Bid-YTW : 8.74 % |
| BN.PF.A | FixedReset Disc | 34,979 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 19.97 Evaluated at bid price : 19.97 Bid-YTW : 8.64 % |
| BN.PF.G | FixedReset Disc | 32,436 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 10.43 % |
| MFC.PR.F | FixedReset Ins Non | 31,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-11-29 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 8.34 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.F | FixedReset Ins Non | Quote: 14.16 – 23.79 Spot Rate : 9.6300 Average : 7.7341 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 21.66 – 22.95 Spot Rate : 1.2900 Average : 0.8426 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 18.82 – 19.82 Spot Rate : 1.0000 Average : 0.8235 YTW SCENARIO |
| IFC.PR.K | Perpetual-Discount | Quote: 20.25 – 25.15 Spot Rate : 4.9000 Average : 4.7566 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 21.57 – 22.20 Spot Rate : 0.6300 Average : 0.4868 YTW SCENARIO |
| PVS.PR.G | SplitShare | Quote: 23.66 – 24.10 Spot Rate : 0.4400 Average : 0.3338 YTW SCENARIO |
[…] Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 375bp as of 2023-11-29 (chart end-date 2023-11-10) […]
[…] PerpetualDiscounts now yield 6.92%, equivalent to 9.00% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.40% on 2023-11-24 and since then the closing price has changed from 14.58 to 15.30, an increase of 493bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.15 implying a decrease of 41bp in yield to 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 400bp from the 375bp reported November 29. […]