PerpetualDiscounts now yield 6.48%, equivalent to 8.42% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 15.10, an increase of 189bp in price, implying a decrease of yields of 15bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.97%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 345bp reported July 10.
| 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 | -0.0875 % | 2,178.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0875 % | 4,177.4 |
| Floater | 10.65 % | 10.85 % | 24,203 | 8.91 | 2 | -0.0875 % | 2,407.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0411 % | 3,498.4 |
| SplitShare | 4.78 % | 6.79 % | 28,549 | 1.23 | 6 | 0.0411 % | 4,177.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0411 % | 3,259.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0475 % | 2,720.1 |
| Perpetual-Discount | 6.33 % | 6.48 % | 56,010 | 13.25 | 28 | 0.0475 % | 2,966.1 |
| FixedReset Disc | 5.13 % | 7.04 % | 114,203 | 12.49 | 49 | 0.2293 % | 2,638.0 |
| Insurance Straight | 6.14 % | 6.37 % | 60,336 | 13.38 | 21 | -0.5406 % | 2,910.7 |
| FloatingReset | 9.18 % | 8.93 % | 29,761 | 10.44 | 4 | 0.1797 % | 2,791.4 |
| FixedReset Prem | 5.84 % | 6.22 % | 254,057 | 11.92 | 8 | -0.2127 % | 2,528.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2293 % | 2,696.5 |
| FixedReset Ins Non | 5.22 % | 6.61 % | 93,336 | 13.21 | 14 | 0.3235 % | 2,814.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.T | Insurance Straight | -15.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 7.65 % |
| BN.PR.X | FixedReset Disc | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 8.03 % |
| FTS.PR.H | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 7.87 % |
| GWO.PR.P | Insurance Straight | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.53 % |
| BIP.PR.E | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 21.91 Evaluated at bid price : 22.29 Bid-YTW : 7.34 % |
| BN.PR.T | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 8.21 % |
| BIK.PR.A | FixedReset Prem | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 23.27 Evaluated at bid price : 25.26 Bid-YTW : 7.35 % |
| POW.PR.A | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 21.39 Evaluated at bid price : 21.66 Bid-YTW : 6.50 % |
| MFC.PR.Q | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 22.57 Evaluated at bid price : 23.40 Bid-YTW : 6.41 % |
| MFC.PR.M | FixedReset Ins Non | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 21.47 Evaluated at bid price : 21.78 Bid-YTW : 6.61 % |
| GWO.PR.I | Insurance Straight | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 6.31 % |
| FTS.PR.M | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 7.33 % |
| BIP.PR.A | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 22.61 Evaluated at bid price : 23.15 Bid-YTW : 7.34 % |
| RY.PR.S | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 23.16 Evaluated at bid price : 24.92 Bid-YTW : 5.85 % |
| BN.PR.R | FixedReset Disc | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 16.58 Evaluated at bid price : 16.58 Bid-YTW : 8.12 % |
| BN.PF.F | FixedReset Disc | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 7.82 % |
| CU.PR.C | FixedReset Disc | 6.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.97 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.B | FixedReset Prem | 604,274 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-08-30 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.60 % |
| CM.PR.O | FixedReset Disc | 563,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 23.97 Evaluated at bid price : 24.95 Bid-YTW : 5.72 % |
| BMO.PR.T | FixedReset Disc | 311,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 24.01 Evaluated at bid price : 25.00 Bid-YTW : 5.66 % |
| TD.PF.I | FixedReset Prem | 127,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 5.86 % |
| RY.PR.J | FixedReset Disc | 116,317 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 23.56 Evaluated at bid price : 24.14 Bid-YTW : 6.24 % |
| FTS.PR.M | FixedReset Disc | 71,875 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-17 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 7.33 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.Y | Insurance Straight | Quote: 17.82 – 22.20 Spot Rate : 4.3800 Average : 2.3268 YTW SCENARIO |
| GWO.PR.T | Insurance Straight | Quote: 17.05 – 20.31 Spot Rate : 3.2600 Average : 1.8238 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 21.78 – 22.78 Spot Rate : 1.0000 Average : 0.6853 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 21.50 – 23.22 Spot Rate : 1.7200 Average : 1.4502 YTW SCENARIO |
| BN.PR.X | FixedReset Disc | Quote: 16.01 – 16.80 Spot Rate : 0.7900 Average : 0.6204 YTW SCENARIO |
| NA.PR.W | FixedReset Disc | Quote: 22.05 – 22.51 Spot Rate : 0.4600 Average : 0.3010 YTW SCENARIO |
