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 |
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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 | 0.2523 % | 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 |
| CU.PR.E | Perpetual-Discount | Quote: 19.20 – 20.75 Spot Rate : 1.5500 Average : 1.0716 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 19.06 – 19.98 Spot Rate : 0.9200 Average : 0.6061 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 14.80 – 15.70 Spot Rate : 0.9000 Average : 0.6437 YTW SCENARIO |
| GWO.PR.P | Insurance Straight | Quote: 20.60 – 21.10 Spot Rate : 0.5000 Average : 0.3118 YTW SCENARIO |
| GWO.PR.Y | Insurance Straight | Quote: 17.53 – 18.35 Spot Rate : 0.8200 Average : 0.6790 YTW SCENARIO |
[…] 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) […]
[…] 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. […]
[…] PerpetualDiscounts) was 355bp on 2024-3-27, narrowing slightly (and perhaps spuriously) from 360bp on 2024-2-21 (chart end-date 2024-3-8) […]