PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 15.18, a decline of 33bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.38 implying an increase of 3bp in yield to 5.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply (for the second successive week) to 350bp from the 374bp reported January 3.
| 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 | 0.7207 % | 2,160.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7207 % | 4,144.0 |
| Floater | 11.27 % | 11.44 % | 51,923 | 8.52 | 2 | 0.7207 % | 2,388.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0846 % | 3,393.5 |
| SplitShare | 4.96 % | 7.65 % | 49,893 | 1.99 | 7 | -0.0846 % | 4,052.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0846 % | 3,162.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3669 % | 2,660.4 |
| Perpetual-Discount | 6.46 % | 6.56 % | 53,697 | 13.19 | 34 | 0.3669 % | 2,901.0 |
| FixedReset Disc | 5.72 % | 7.54 % | 115,591 | 12.21 | 59 | 0.1205 % | 2,294.1 |
| Insurance Straight | 6.33 % | 6.48 % | 74,808 | 13.24 | 20 | -0.0102 % | 2,862.8 |
| FloatingReset | 10.41 % | 10.84 % | 36,957 | 8.91 | 5 | 0.9148 % | 2,581.3 |
| FixedReset Prem | 5.91 % | 6.53 % | 151,163 | 3.38 | 2 | 0.1595 % | 2,520.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1205 % | 2,345.0 |
| FixedReset Ins Non | 5.54 % | 7.10 % | 91,467 | 12.63 | 14 | -0.0188 % | 2,567.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.E | FixedReset Disc | -3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.72 % |
| BN.PR.X | FixedReset Disc | -3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 8.59 % |
| NA.PR.W | FixedReset Disc | -3.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 7.87 % |
| PWF.PR.P | FixedReset Disc | -2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 8.20 % |
| CCS.PR.C | Insurance Straight | -2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.75 % |
| BN.PF.F | FixedReset Disc | -2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 8.90 % |
| CIU.PR.A | Perpetual-Discount | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.72 % |
| MFC.PR.L | FixedReset Ins Non | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 7.33 % |
| IFC.PR.G | FixedReset Ins Non | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.96 % |
| SLF.PR.G | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 7.75 % |
| FFH.PR.D | FloatingReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 10.21 % |
| CU.PR.J | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 18.74 Evaluated at bid price : 18.74 Bid-YTW : 6.44 % |
| TD.PF.D | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 7.34 % |
| CM.PR.O | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 7.35 % |
| GWO.PR.N | FixedReset Ins Non | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 7.67 % |
| BN.PR.M | Perpetual-Discount | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 6.72 % |
| BN.PF.J | FixedReset Disc | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 7.95 % |
| BN.PF.I | FixedReset Disc | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 8.54 % |
| BN.PF.E | FixedReset Disc | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 15.91 Evaluated at bid price : 15.91 Bid-YTW : 9.03 % |
| BN.PF.B | FixedReset Disc | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 8.40 % |
| SLF.PR.J | FloatingReset | 4.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 10.25 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.L | FixedReset Disc | 106,491 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 23.77 Evaluated at bid price : 24.60 Bid-YTW : 6.69 % |
| GWO.PR.G | Insurance Straight | 88,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.50 % |
| BMO.PR.S | FixedReset Disc | 55,558 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 7.13 % |
| BN.PR.Z | FixedReset Disc | 54,572 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 8.30 % |
| IFC.PR.C | FixedReset Ins Non | 49,246 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 7.46 % |
| RY.PR.Z | FixedReset Disc | 35,335 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-10 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 7.02 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.G | FixedReset Ins Non | Quote: 21.50 – 23.50 Spot Rate : 2.0000 Average : 1.2876 YTW SCENARIO |
| TD.PF.J | FixedReset Disc | Quote: 22.10 – 23.72 Spot Rate : 1.6200 Average : 0.9568 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 18.64 – 20.00 Spot Rate : 1.3600 Average : 0.8966 YTW SCENARIO |
| IFC.PR.C | FixedReset Ins Non | Quote: 18.70 – 19.70 Spot Rate : 1.0000 Average : 0.6253 YTW SCENARIO |
| TD.PF.B | FixedReset Disc | Quote: 20.20 – 21.10 Spot Rate : 0.9000 Average : 0.6222 YTW SCENARIO |
| BN.PF.I | FixedReset Disc | Quote: 20.02 – 20.90 Spot Rate : 0.8800 Average : 0.6250 YTW SCENARIO |