PerpetualDiscounts now yield 5.68%, equivalent to 7.38% interest at the standard conversion factor of 1.3x. Long corporates yield 5.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 230bp, a slight (and perhaps spurious) narrowing from the 235bp reported August 27.
| 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 | 6.72 % | 7.14 % | 37,850 | 13.31 | 1 | 0.3058 % | 2,450.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6827 % | 4,655.8 |
| Floater | 6.53 % | 6.85 % | 45,367 | 12.65 | 3 | 0.6827 % | 2,683.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6393 % | 3,630.2 |
| SplitShare | 4.83 % | 4.39 % | 57,958 | 3.43 | 6 | -0.6393 % | 4,335.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6393 % | 3,382.6 |
| Perpetual-Premium | 5.49 % | 2.84 % | 69,143 | 0.08 | 3 | 0.5057 % | 3,073.1 |
| Perpetual-Discount | 5.58 % | 5.68 % | 44,365 | 14.26 | 28 | 0.3783 % | 3,365.2 |
| FixedReset Disc | 5.90 % | 6.18 % | 123,194 | 13.39 | 32 | 0.0572 % | 3,034.6 |
| Insurance Straight | 5.50 % | 5.50 % | 53,350 | 14.65 | 18 | 0.0864 % | 3,288.2 |
| FloatingReset | 5.16 % | 4.44 % | 44,869 | 0.15 | 1 | 0.0000 % | 3,809.5 |
| FixedReset Prem | 5.66 % | 5.06 % | 121,013 | 2.44 | 21 | 0.1729 % | 2,627.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0572 % | 3,102.0 |
| FixedReset Ins Non | 5.28 % | 5.57 % | 71,406 | 14.34 | 15 | 0.2585 % | 3,037.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.I | Insurance Straight | -5.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.59 Evaluated at bid price : 23.00 Bid-YTW : 5.97 % |
| PVS.PR.M | SplitShare | -3.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2031-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.47 % |
| GWO.PR.G | Insurance Straight | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 5.59 % |
| BN.PF.E | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 6.39 % |
| POW.PR.C | Perpetual-Premium | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-10-03 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 1.82 % |
| MFC.PR.B | Insurance Straight | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 5.30 % |
| BN.PF.G | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.34 Evaluated at bid price : 23.09 Bid-YTW : 6.19 % |
| CU.PR.D | Perpetual-Discount | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.59 % |
| PWF.PR.L | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.79 % |
| ENB.PR.N | FixedReset Disc | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.92 Evaluated at bid price : 23.95 Bid-YTW : 6.07 % |
| NA.PR.I | FixedReset Prem | 2.71 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-05-01 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 5.56 % |
| FTS.PR.J | Perpetual-Discount | 2.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.71 Evaluated at bid price : 22.95 Bid-YTW : 5.19 % |
| MFC.PR.F | FixedReset Ins Non | 3.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 5.89 % |
| GWO.PR.P | Insurance Straight | 4.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 5.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.G | Insurance Straight | 150,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 5.59 % |
| MFC.PR.N | FixedReset Ins Non | 90,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 22.59 Evaluated at bid price : 23.53 Bid-YTW : 5.51 % |
| BN.PR.M | Perpetual-Discount | 62,930 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 5.88 % |
| SLF.PR.D | Insurance Straight | 57,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 5.19 % |
| ENB.PF.K | FixedReset Disc | 54,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 23.46 Evaluated at bid price : 24.95 Bid-YTW : 6.11 % |
| BN.PR.T | FixedReset Disc | 50,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-03 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 6.45 % |
| There were 11 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 |
| IFC.PR.I | Insurance Straight | Quote: 23.00 – 24.94 Spot Rate : 1.9400 Average : 1.1661 YTW SCENARIO |
| BN.PF.E | FixedReset Disc | Quote: 21.55 – 25.00 Spot Rate : 3.4500 Average : 2.7626 YTW SCENARIO |
| GWO.PR.Q | Insurance Straight | Quote: 22.55 – 24.36 Spot Rate : 1.8100 Average : 1.3811 YTW SCENARIO |
| PVS.PR.M | SplitShare | Quote: 24.65 – 25.65 Spot Rate : 1.0000 Average : 0.5899 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 20.70 – 22.00 Spot Rate : 1.3000 Average : 0.9585 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 23.39 – 24.15 Spot Rate : 0.7600 Average : 0.4713 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.63%, equivalent to 7.32% interest at the standard conversion factor of 1.3x. Long corporates yielded 4.87% on 2025-9-9 and the price of the fund increased from 15.22 (2025-9-9) to 15.29 (2025-9-10), or 46bp, with a duration of 12.27 (BMO does not specify what kind of duration; I will assume Modified) implying a yield decrease of 4bp, implying in turn a 2025-9-10 yield of 4.83%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 250bp, a sharp widening from the 230bp reported September 3. […]