PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.23% on 2024-2-6 and since then the closing price has changed from 15.08 to 15.06, an increase of 13bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.23 implying a decrease of 1bp in yield to 5.22%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 330bp from the 340bp reported January 31.
| 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 | 0.3409 % | 2,275.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3409 % | 4,364.5 |
| Floater | 10.70 % | 10.94 % | 52,383 | 8.78 | 2 | 0.3409 % | 2,515.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0842 % | 3,416.3 |
| SplitShare | 4.93 % | 7.26 % | 47,756 | 1.92 | 7 | 0.0842 % | 4,079.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0842 % | 3,183.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0295 % | 2,681.7 |
| Perpetual-Discount | 6.40 % | 6.55 % | 49,096 | 13.12 | 34 | -0.0295 % | 2,924.3 |
| FixedReset Disc | 5.60 % | 7.59 % | 119,071 | 12.14 | 59 | -0.4287 % | 2,360.7 |
| Insurance Straight | 6.29 % | 6.49 % | 73,925 | 13.18 | 20 | 0.2682 % | 2,880.0 |
| FloatingReset | 9.71 % | 10.09 % | 36,424 | 9.41 | 3 | 0.3109 % | 2,687.1 |
| FixedReset Prem | 6.96 % | 6.74 % | 177,027 | 3.30 | 1 | -0.5906 % | 2,509.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4287 % | 2,413.1 |
| FixedReset Ins Non | 5.41 % | 7.36 % | 97,856 | 12.52 | 14 | -0.5735 % | 2,627.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.R | FixedReset Disc | -9.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 9.93 % |
| SLF.PR.H | FixedReset Ins Non | -7.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.62 % |
| SLF.PR.C | Insurance Straight | -5.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.28 % |
| BN.PF.G | FixedReset Disc | -4.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 9.40 % |
| BN.PF.H | FixedReset Disc | -3.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 8.73 % |
| CU.PR.H | Perpetual-Discount | -3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.45 % |
| BN.PF.I | FixedReset Disc | -3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 8.73 % |
| PWF.PR.P | FixedReset Disc | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 14.11 Evaluated at bid price : 14.11 Bid-YTW : 8.49 % |
| GWO.PR.N | FixedReset Ins Non | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 8.11 % |
| BN.PF.F | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 8.99 % |
| FTS.PR.M | FixedReset Disc | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 8.09 % |
| BN.PR.T | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 8.98 % |
| FFH.PR.I | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 8.70 % |
| GWO.PR.T | Insurance Straight | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.59 % |
| PWF.PF.A | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.53 % |
| TD.PF.B | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 6.86 % |
| BN.PF.A | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 7.88 % |
| BN.PF.D | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 6.75 % |
| BN.PR.M | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 6.57 % |
| FTS.PR.F | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 5.99 % |
| CIU.PR.A | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 6.55 % |
| IFC.PR.A | FixedReset Ins Non | 2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.85 % |
| GWO.PR.Y | Insurance Straight | 5.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 6.33 % |
| GWO.PR.I | Insurance Straight | 5.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 6.32 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.T | FixedReset Disc | 88,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 7.46 % |
| BN.PR.M | Perpetual-Discount | 73,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 6.57 % |
| SLF.PR.G | FixedReset Ins Non | 73,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 7.88 % |
| MFC.PR.K | FixedReset Ins Non | 63,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 22.19 Evaluated at bid price : 22.82 Bid-YTW : 6.65 % |
| BMO.PR.E | FixedReset Disc | 54,690 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 23.14 Evaluated at bid price : 24.90 Bid-YTW : 6.42 % |
| IFC.PR.A | FixedReset Ins Non | 53,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-07 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.85 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.H | FixedReset Ins Non | Quote: 17.50 – 19.24 Spot Rate : 1.7400 Average : 1.0821 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 13.80 – 15.65 Spot Rate : 1.8500 Average : 1.3387 YTW SCENARIO |
| SLF.PR.C | Insurance Straight | Quote: 18.00 – 19.50 Spot Rate : 1.5000 Average : 1.0026 YTW SCENARIO |
| BN.PF.H | FixedReset Disc | Quote: 21.51 – 22.60 Spot Rate : 1.0900 Average : 0.7367 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 19.26 – 20.95 Spot Rate : 1.6900 Average : 1.4188 YTW SCENARIO |
| BN.PF.G | FixedReset Disc | Quote: 16.53 – 17.69 Spot Rate : 1.1600 Average : 0.9274 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-14, so there is no need to adjust the figure for the timing of the measurement! The pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to 355bp from the 330bp reported February 7. […]