February 21, 2024

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.

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 0.2523 % 2,303.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2523 % 4,418.2
Floater 10.57 % 10.81 % 48,271 8.84 2 0.2523 % 2,546.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7289 % 3,411.0
SplitShare 4.94 % 6.98 % 49,348 1.91 7 -0.7289 % 4,073.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7289 % 3,178.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0216 % 2,649.0
Perpetual-Discount 6.49 % 6.70 % 46,390 12.92 33 0.0216 % 2,888.6
FixedReset Disc 5.60 % 7.61 % 111,381 12.17 59 0.0033 % 2,358.4
Insurance Straight 6.29 % 6.50 % 62,181 13.13 21 -0.1986 % 2,882.5
FloatingReset 10.04 % 10.21 % 33,517 9.28 3 0.0757 % 2,592.1
FixedReset Prem 6.95 % 6.80 % 155,505 3.26 1 -0.3156 % 2,511.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0033 % 2,410.8
FixedReset Ins Non 5.43 % 7.09 % 85,668 12.44 14 -0.0848 % 2,615.7
Performance Highlights
Issue Index Change Notes
FTS.PR.M FixedReset Disc -18.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 9.86 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.46 %
GWO.PR.P Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %
MFC.PR.L FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 7.50 %
SLF.PR.C Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.96 %
BN.PR.B Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 10.81 %
BIP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 7.88 %
RY.PR.S FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 6.66 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 7.60 %
RY.PR.J FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 7.72 %
RY.PR.O Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 22.00
Evaluated at bid price : 22.30
Bid-YTW : 5.51 %
CU.PR.J Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.49 %
CU.PR.C FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 7.57 %
PWF.PR.P FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.33 %
TD.PF.A FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.90 %
BN.PF.G FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.29 %
TD.PF.J FixedReset Disc 43,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.70
Evaluated at bid price : 22.04
Bid-YTW : 7.04 %
TD.PF.A FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.90 %
TD.PF.C FixedReset Disc 25,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.36 %
BN.PR.X FixedReset Disc 24,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.22 %
PWF.PR.F Perpetual-Discount 23,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.71 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.M FixedReset Disc Quote: 15.25 – 19.38
Spot Rate : 4.1300
Average : 2.2306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 9.86 %

CU.PR.E Perpetual-Discount Quote: 19.20 – 20.75
Spot Rate : 1.5500
Average : 1.0716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %

MFC.PR.N FixedReset Ins Non Quote: 19.06 – 19.98
Spot Rate : 0.9200
Average : 0.6061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.67 %

BN.PR.R FixedReset Disc Quote: 14.80 – 15.70
Spot Rate : 0.9000
Average : 0.6437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.29 %

GWO.PR.P Insurance Straight Quote: 20.60 – 21.10
Spot Rate : 0.5000
Average : 0.3118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %

GWO.PR.Y Insurance Straight Quote: 17.53 – 18.35
Spot Rate : 0.8200
Average : 0.6790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 6.54 %

2 Responses to “February 21, 2024”

  1. […] Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 360bp on 2024-2-21, widening from 340bp on 2024-1-31 (chart end-date 2024-2-9) […]

  2. […] PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2024-3-5 and since then the closing price has changed from 15.24 to 15.29, an increase of 33bp with a duration (BMO doesn’t specify Macaulay or Modified; I will assume Modified) of 12.43, which implies a decrease in yield of 3bp, to 5.00%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 370bp from the 360bp reported February 21. […]

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