PerpetualDiscounts now yield 5.96%, equivalent to 7.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.48 after going ex-dividend for $0.06 on 9/27, a total return of +0.19%, implying a decrease of yields of 2bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.75%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 300bp reported September 25.
| 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 | -0.5719 % | 2,155.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5719 % | 4,133.5 |
| Floater | 9.99 % | 10.08 % | 84,149 | 9.51 | 2 | -0.5719 % | 2,382.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5854 % | 3,596.2 |
| SplitShare | 4.79 % | 5.21 % | 96,812 | 4.17 | 4 | 0.5854 % | 4,294.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5854 % | 3,350.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3478 % | 2,934.4 |
| Perpetual-Discount | 5.87 % | 5.96 % | 49,820 | 13.91 | 31 | 0.3478 % | 3,199.8 |
| FixedReset Disc | 5.52 % | 6.58 % | 118,004 | 12.86 | 58 | 0.2016 % | 2,664.4 |
| Insurance Straight | 5.74 % | 5.80 % | 62,554 | 14.19 | 20 | -1.0487 % | 3,151.3 |
| FloatingReset | 8.24 % | 8.39 % | 30,002 | 11.01 | 2 | -1.2297 % | 2,706.8 |
| FixedReset Prem | 6.43 % | 5.52 % | 219,345 | 13.57 | 7 | 0.0334 % | 2,574.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2016 % | 2,723.5 |
| FixedReset Ins Non | 5.23 % | 5.94 % | 100,202 | 14.00 | 14 | -0.0343 % | 2,809.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.E | Insurance Straight | -6.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 6.17 % |
| CCS.PR.C | Insurance Straight | -5.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.52 Evaluated at bid price : 21.78 Bid-YTW : 5.77 % |
| FTS.PR.H | FixedReset Disc | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 6.96 % |
| CU.PR.J | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 6.02 % |
| IFC.PR.C | FixedReset Ins Non | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.42 % |
| FFH.PR.D | FloatingReset | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 8.39 % |
| ENB.PR.N | FixedReset Disc | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 6.62 % |
| GWO.PR.Q | Insurance Straight | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.86 % |
| FTS.PR.K | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 6.14 % |
| GWO.PR.M | Insurance Straight | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 6.01 % |
| GWO.PR.T | Insurance Straight | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 5.90 % |
| GWO.PR.G | Insurance Straight | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.83 % |
| FFH.PR.E | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 7.30 % |
| TD.PF.E | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 23.14 Evaluated at bid price : 23.67 Bid-YTW : 5.80 % |
| CU.PR.G | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.88 % |
| TD.PF.A | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.30 Evaluated at bid price : 23.05 Bid-YTW : 5.43 % |
| PWF.PR.P | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 7.15 % |
| ENB.PF.K | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.83 Evaluated at bid price : 23.80 Bid-YTW : 6.32 % |
| CU.PR.F | Perpetual-Discount | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.97 % |
| POW.PR.C | Perpetual-Discount | 3.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 24.16 Evaluated at bid price : 24.42 Bid-YTW : 5.95 % |
| ENB.PF.G | FixedReset Disc | 3.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 7.44 % |
| BN.PR.M | Perpetual-Discount | 6.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 6.13 % |
| BN.PR.X | FixedReset Disc | 8.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.C | FixedReset Disc | 146,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.20 Evaluated at bid price : 22.89 Bid-YTW : 5.47 % |
| ENB.PR.Y | FixedReset Disc | 132,335 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 7.22 % |
| ENB.PF.A | FixedReset Disc | 125,802 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 7.33 % |
| PVS.PR.L | SplitShare | 96,800 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.21 % |
| CM.PR.P | FixedReset Disc | 95,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.92 Evaluated at bid price : 23.80 Bid-YTW : 5.17 % |
| BMO.PR.W | FixedReset Disc | 71,351 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.69 Evaluated at bid price : 23.82 Bid-YTW : 5.19 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.E | Insurance Straight | Quote: 21.24 – 22.82 Spot Rate : 1.5800 Average : 0.9270 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 20.79 – 21.80 Spot Rate : 1.0100 Average : 0.6478 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 21.78 – 23.00 Spot Rate : 1.2200 Average : 0.9268 YTW SCENARIO |
| PWF.PR.O | Perpetual-Discount | Quote: 24.28 – 25.00 Spot Rate : 0.7200 Average : 0.4532 YTW SCENARIO |
| IFC.PR.C | FixedReset Ins Non | Quote: 20.15 – 20.90 Spot Rate : 0.7500 Average : 0.4832 YTW SCENARIO |
| BN.PF.D | Perpetual-Discount | Quote: 20.01 – 20.60 Spot Rate : 0.5900 Average : 0.3684 YTW SCENARIO |
No more BMO.PR.W.
https://newsroom.bmo.com/2024-10-03-BMO-to-Redeem-Non-Cumulative-5-Year-Rate-Reset-Class-B-Preferred-Shares,-Series-31-Non-Viability-Contingent-Capital-NVCC
[…] PerpetualDiscounts now yield 6.03%, equivalent to 7.84% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.22 after going ex-dividend for $0.06 on 9/27, a total return of -1.48%, implying an increase of yields of 12bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.89%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 295bp from the 300bp reported October 2. […]
[…] corporate bonds and interest-equivalent PerpetualDiscounts) was 305bp on 2024-10-30, very near the 300bp on 2024-10-2 (chart end-date […]