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.
| 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 | 0.5930 % | 2,294.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5930 % | 4,401.6 |
| Floater | 10.61 % | 10.87 % | 30,886 | 8.81 | 2 | 0.5930 % | 2,536.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0418 % | 3,440.5 |
| SplitShare | 4.89 % | 7.15 % | 50,943 | 1.90 | 7 | 0.0418 % | 4,108.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0418 % | 3,205.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3404 % | 2,644.7 |
| Perpetual-Discount | 6.50 % | 6.66 % | 47,641 | 12.96 | 33 | 0.3404 % | 2,884.0 |
| FixedReset Disc | 5.60 % | 7.78 % | 117,665 | 12.04 | 59 | 0.0432 % | 2,356.8 |
| Insurance Straight | 6.31 % | 6.51 % | 65,417 | 13.14 | 21 | 0.2944 % | 2,872.2 |
| FloatingReset | 9.99 % | 10.25 % | 35,520 | 9.27 | 3 | 0.1881 % | 2,608.7 |
| FixedReset Prem | 6.95 % | 6.73 % | 164,971 | 3.28 | 1 | -0.2367 % | 2,513.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0432 % | 2,409.1 |
| FixedReset Ins Non | 5.43 % | 7.18 % | 90,893 | 12.38 | 14 | 0.1922 % | 2,617.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.J | FixedReset Disc | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.87 % |
| BN.PR.Z | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 19.48 Evaluated at bid price : 19.48 Bid-YTW : 8.51 % |
| PWF.PR.T | FixedReset Disc | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 7.39 % |
| PVS.PR.H | SplitShare | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 6.54 % |
| PWF.PR.Z | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 6.71 % |
| POW.PR.A | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.65 % |
| BN.PR.K | Floater | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 10.87 % |
| IFC.PR.K | Insurance Straight | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.43 % |
| SLF.PR.G | FixedReset Ins Non | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 7.99 % |
| CU.PR.C | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 7.83 % |
| CM.PR.O | FixedReset Disc | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 7.27 % |
| BN.PF.J | FixedReset Disc | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 8.14 % |
| CU.PR.H | Perpetual-Discount | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 6.30 % |
| GWO.PR.Y | Insurance Straight | 2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.58 % |
| BMO.PR.Y | FixedReset Disc | 3.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 7.78 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset Disc | 124,376 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 7.09 % |
| BMO.PR.T | FixedReset Disc | 61,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.51 % |
| CM.PR.O | FixedReset Disc | 58,625 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 7.27 % |
| BMO.PR.W | FixedReset Disc | 50,725 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.71 % |
| TD.PF.A | FixedReset Disc | 47,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.21 % |
| BN.PF.B | FixedReset Disc | 32,418 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-14 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 8.32 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.J | FixedReset Disc | Quote: 21.90 – 22.99 Spot Rate : 1.0900 Average : 0.6473 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 14.80 – 15.90 Spot Rate : 1.1000 Average : 0.7231 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 24.00 – 25.00 Spot Rate : 1.0000 Average : 0.6341 YTW SCENARIO |
| BN.PF.H | FixedReset Disc | Quote: 21.52 – 22.35 Spot Rate : 0.8300 Average : 0.5382 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 21.31 – 22.23 Spot Rate : 0.9200 Average : 0.6940 YTW SCENARIO |
| BN.PF.C | Perpetual-Discount | Quote: 17.65 – 18.29 Spot Rate : 0.6400 Average : 0.4153 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-20 and since then the closing price has changed from 15.06 to 15.03, a decline of 20bp with a duration (BMO doesn’t specify Macaulay or Modified; I will assume Modified) of 12.36, which implies an increase in yield fo 2bp, to 5.14%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 360bp from the 355bp reported February 14. […]