PerpetualDiscounts now yield 6.96%, equivalent to 9.05% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.70, a decline of 69bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 5bp in yield to 4.77%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 430bp from the 440bp reported December 20.
| 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 | -0.9843 % | 2,138.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9843 % | 4,101.3 |
| Floater | 11.39 % | 11.49 % | 54,802 | 8.50 | 2 | -0.9843 % | 2,363.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1323 % | 3,373.1 |
| SplitShare | 4.98 % | 7.51 % | 57,319 | 1.74 | 8 | -0.1323 % | 4,028.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1323 % | 3,143.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0883 % | 2,537.6 |
| Perpetual-Discount | 6.77 % | 6.96 % | 65,253 | 12.66 | 33 | -0.0883 % | 2,767.2 |
| FixedReset Disc | 5.87 % | 7.77 % | 124,507 | 11.91 | 60 | 0.2123 % | 2,215.8 |
| Insurance Straight | 6.62 % | 6.79 % | 82,579 | 12.85 | 19 | 0.1800 % | 2,733.5 |
| FloatingReset | 10.68 % | 10.91 % | 36,977 | 8.89 | 3 | 0.2854 % | 2,480.7 |
| FixedReset Prem | 6.93 % | 6.67 % | 169,807 | 12.61 | 1 | -0.2361 % | 2,526.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2123 % | 2,265.0 |
| FixedReset Ins Non | 5.68 % | 7.15 % | 89,551 | 12.53 | 14 | 0.4573 % | 2,502.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CCS.PR.C | Insurance Straight | -3.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 7.08 % |
| MIC.PR.A | Perpetual-Discount | -2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 7.67 % |
| BIP.PR.E | FixedReset Disc | -2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 7.89 % |
| CU.PR.F | Perpetual-Discount | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 16.94 Evaluated at bid price : 16.94 Bid-YTW : 6.73 % |
| FTS.PR.G | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.99 % |
| RY.PR.M | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.79 % |
| FTS.PR.M | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 8.17 % |
| RY.PR.S | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 21.70 Evaluated at bid price : 22.10 Bid-YTW : 6.39 % |
| CU.PR.C | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 7.68 % |
| BN.PR.K | Floater | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 11.03 Evaluated at bid price : 11.03 Bid-YTW : 11.56 % |
| SLF.PR.G | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 8.13 % |
| MFC.PR.C | Insurance Straight | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.31 % |
| CM.PR.S | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.76 % |
| MFC.PR.N | FixedReset Ins Non | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 7.52 % |
| CU.PR.I | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 8.01 % |
| MFC.PR.L | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.19 % |
| CM.PR.T | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 23.23 Evaluated at bid price : 24.11 Bid-YTW : 6.70 % |
| RY.PR.N | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.81 % |
| FFH.PR.I | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 8.87 % |
| IFC.PR.G | FixedReset Ins Non | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 21.34 Evaluated at bid price : 21.63 Bid-YTW : 6.78 % |
| CM.PR.Y | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 23.86 Evaluated at bid price : 24.50 Bid-YTW : 6.89 % |
| BIP.PR.A | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 9.59 % |
| BN.PF.G | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 8.94 % |
| BN.PF.B | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 8.56 % |
| BN.PF.E | FixedReset Disc | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 9.33 % |
| TD.PF.D | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 7.66 % |
| CM.PR.Q | FixedReset Disc | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 7.82 % |
| PWF.PR.G | Perpetual-Discount | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 21.90 Evaluated at bid price : 22.14 Bid-YTW : 6.79 % |
| IFC.PR.A | FixedReset Ins Non | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.15 % |
| PWF.PR.T | FixedReset Disc | 2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 7.33 % |
| FFH.PR.G | FixedReset Disc | 2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 8.76 % |
| BN.PF.F | FixedReset Disc | 5.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 8.87 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| POW.PR.D | Perpetual-Discount | 142,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 6.93 % |
| RY.PR.Z | FixedReset Disc | 28,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 7.24 % |
| PWF.PR.S | Perpetual-Discount | 25,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 6.94 % |
| BN.PF.H | FixedReset Disc | 25,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 9.02 % |
| RY.PR.O | Perpetual-Discount | 15,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.80 % |
| BIK.PR.A | FixedReset Disc | 14,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-27 Maturity Price : 21.43 Evaluated at bid price : 21.73 Bid-YTW : 8.31 % |
| There were 12 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: 13.95 – 19.79 Spot Rate : 5.8400 Average : 3.1629 YTW SCENARIO |
| BMO.PR.W | FixedReset Disc | Quote: 17.15 – 18.50 Spot Rate : 1.3500 Average : 0.9262 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 17.80 – 19.18 Spot Rate : 1.3800 Average : 1.0333 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 18.59 – 19.95 Spot Rate : 1.3600 Average : 1.0624 YTW SCENARIO |
| TD.PF.A | FixedReset Disc | Quote: 18.50 – 19.18 Spot Rate : 0.6800 Average : 0.4508 YTW SCENARIO |
| GWO.PR.N | FixedReset Ins Non | Quote: 13.09 – 14.30 Spot Rate : 1.2100 Average : 0.9846 YTW SCENARIO |
[…] Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 430bp as of 2023-12-27 (chart end-date 2023-12-08) […]
[…] PerpetualDiscounts now yield 6.72%, equivalent to 8.74% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.33, a decline of 346bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 27bp in yield to 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 374bp from the 430bp reported December 27. […]
[…] and interest-equivalent PerpetualDiscounts) was 340bp on 2024-1-31, down precipituously from 430bp as of 2023-12-27 (chart end-date 2024-1-12) […]