January 29, 2025

In addition to the BoC policy announcement today, there was the FOMC announcement:

Recent indicators suggest that economic activity has continued to expand at a solid pace. The unemployment rate has stabilized at a low level in recent months, and labor market conditions remain solid. Inflation remains somewhat elevated.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. The Committee judges that the risks to achieving its employment and inflation goals are roughly in balance. The economic outlook is uncertain, and the Committee is attentive to the risks to both sides of its dual mandate.

In support of its goals, the Committee decided to maintain the target range for the federal funds rate at 4-1/4 to 4-1/2 percent. In considering the extent and timing of additional adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks. The Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage‑backed securities. The Committee is strongly committed to supporting maximum employment and returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michael S. Barr; Michelle W. Bowman; Susan M. Collins; Lisa D. Cook; Austan D. Goolsbee; Philip N. Jefferson; Adriana D. Kugler; Alberto G. Musalem; Jeffrey R. Schmid; and Christopher J. Waller.

For media inquiries, please email media@frb.gov or call 202-452-2955.

PerpetualDiscounts now yield 6.04%, equivalent to 7.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.79% on 2025-1-28 and since then the closing price of ZLC changed from 15.53 to 15.52, a total return of -0.07%, implying an increase in yields (assuming that the “Duration” of 12.51 reported by BMO is Modified Duration) of about 1bp to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widenened slightly (and perhaps spuriously) to 305bp from the 300bp reported January 22.

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 -0.2537 % 2,336.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2537 % 4,481.7
Floater 7.46 % 7.73 % 37,205 11.66 4 -0.2537 % 2,582.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2436 % 3,645.1
SplitShare 4.75 % 4.96 % 49,146 1.96 8 0.2436 % 4,353.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2436 % 3,396.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2631 % 2,904.8
Perpetual-Discount 5.91 % 6.04 % 58,260 13.83 32 -0.2631 % 3,167.5
FixedReset Disc 5.34 % 6.51 % 108,524 13.09 50 -0.4283 % 2,850.9
Insurance Straight 5.88 % 5.94 % 66,781 13.93 21 -1.0840 % 3,078.8
FloatingReset 5.95 % 6.08 % 42,243 13.72 3 0.3192 % 3,456.4
FixedReset Prem 5.71 % 5.47 % 175,418 13.71 12 -0.0394 % 2,583.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4283 % 2,914.2
FixedReset Ins Non 5.12 % 5.82 % 70,724 13.89 14 -0.3847 % 2,949.6
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -19.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.48 %
CU.PR.C FixedReset Disc -7.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.80 %
PWF.PR.K Perpetual-Discount -5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.43 %
ENB.PF.E FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 7.37 %
SLF.PR.G FixedReset Ins Non -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.28 %
CCS.PR.C Insurance Straight -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %
ENB.PR.F FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.17 %
POW.PR.C Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.09 %
CU.PR.D Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.06 %
BN.PF.E FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.68 %
MFC.PR.C Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.83 %
CU.PR.E Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.00 %
PWF.PR.H Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 6.11 %
ENB.PF.K FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 22.82
Evaluated at bid price : 23.70
Bid-YTW : 6.56 %
PWF.PR.R Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.06 %
ENB.PF.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.16 %
PWF.PF.A Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.86 %
CU.PR.J Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.00 %
GWO.PR.H Insurance Straight 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 5.99 %
GWO.PR.Q Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.W FixedReset Prem 705,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-17
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.92 %
TD.PF.C FixedReset Prem 100,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 23.91
Evaluated at bid price : 24.98
Bid-YTW : 5.17 %
CM.PR.P FixedReset Disc 100,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 23.93
Evaluated at bid price : 24.99
Bid-YTW : 5.16 %
MFC.PR.Q FixedReset Ins Non 70,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 23.08
Evaluated at bid price : 24.36
Bid-YTW : 5.76 %
IFC.PR.I Insurance Straight 65,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 22.49
Evaluated at bid price : 22.85
Bid-YTW : 5.97 %
ENB.PF.C FixedReset Disc 54,144 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.16 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible.
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.50 – 21.80
Spot Rate : 4.3000
Average : 2.6102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.48 %

BN.PR.R FixedReset Disc Quote: 19.16 – 21.00
Spot Rate : 1.8400
Average : 1.2679

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.65 %

CU.PR.C FixedReset Disc Quote: 19.95 – 21.60
Spot Rate : 1.6500
Average : 1.0865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.80 %

PWF.PR.K Perpetual-Discount Quote: 19.40 – 20.75
Spot Rate : 1.3500
Average : 0.8510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.43 %

CCS.PR.C Insurance Straight Quote: 21.00 – 23.00
Spot Rate : 2.0000
Average : 1.6170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %

ENB.PF.E FixedReset Disc Quote: 19.07 – 19.85
Spot Rate : 0.7800
Average : 0.5017

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-29
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 7.37 %

2 Responses to “January 29, 2025”

  1. […] Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 305bp on 2025-01-29, narrowing from 330bp on 2025-01-02 (chart end-date […]

  2. […] PerpetualDiscounts now yield 6.00%, equivalent to 7.80% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.63% on 2025-2-4 and since then the closing price of ZLC changed from 15.77 to 15.85, a total return of +0.51%, implying a decrease in yields (assuming that the “Duration” of 12.64 reported by BMO is Modified Duration) of about 4bp to 4.59%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widenened to 320bp from the 305bp reported January 29. […]

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