PerpetualDiscounts now yield 6.93%, equivalent to 9.01% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.17% on 2023-7-31 (see below) and since then the closing price has changed from 14.92 to 14.32, a decrease of 402bp in price, with a Duration of 12.26 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 33bp since 7/31 to 5.50%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 350bp reported August 9.
I’m not too sure about BMO’s current claim that ZLC had an average yield-to-maturity of 5.17% on 2023-7-31. On August 9 I reported their claim that the average yield on that date was 5.26%.
| 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 | 0.1729 % | 2,239.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1729 % | 4,295.9 |
| Floater | 10.87 % | 11.17 % | 42,291 | 8.60 | 2 | 0.1729 % | 2,475.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4680 % | 3,387.0 |
| SplitShare | 4.98 % | 7.16 % | 42,906 | 2.05 | 8 | 0.4680 % | 4,044.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4680 % | 3,155.9 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5931 % | 2,524.0 |
| Perpetual-Discount | 6.80 % | 6.93 % | 44,352 | 12.63 | 31 | -0.5931 % | 2,752.3 |
| FixedReset Disc | 5.86 % | 8.72 % | 90,706 | 10.92 | 56 | 0.1454 % | 2,134.4 |
| Insurance Straight | 6.65 % | 6.81 % | 51,498 | 12.73 | 18 | 0.1402 % | 2,704.2 |
| FloatingReset | 10.91 % | 11.22 % | 38,760 | 8.58 | 1 | 0.0000 % | 2,428.7 |
| FixedReset Prem | 7.01 % | 7.04 % | 224,664 | 3.65 | 1 | 0.1599 % | 2,304.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1454 % | 2,181.8 |
| FixedReset Ins Non | 6.37 % | 8.17 % | 81,709 | 11.29 | 10 | 0.0715 % | 2,321.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.S | Perpetual-Discount | -9.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 7.65 % |
| CU.PR.D | Perpetual-Discount | -6.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.25 % |
| BN.PF.H | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 9.55 % |
| RY.PR.N | Perpetual-Discount | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.86 % |
| MFC.PR.K | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 8.11 % |
| ELF.PR.F | Perpetual-Discount | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.97 % |
| GWO.PR.H | Insurance Straight | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.92 % |
| CM.PR.Y | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 23.18 Evaluated at bid price : 23.75 Bid-YTW : 7.93 % |
| BNS.PR.I | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 7.88 % |
| BN.PR.M | Perpetual-Discount | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.01 % |
| MFC.PR.L | FixedReset Ins Non | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 8.81 % |
| SLF.PR.C | Insurance Straight | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 17.43 Evaluated at bid price : 17.43 Bid-YTW : 6.50 % |
| NA.PR.S | FixedReset Disc | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 8.89 % |
| BN.PF.I | FixedReset Disc | 2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 9.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.I | FixedReset Disc | 38,378 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 7.88 % |
| BN.PF.I | FixedReset Disc | 29,321 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 9.57 % |
| PVS.PR.F | SplitShare | 25,370 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 7.00 % |
| RY.PR.H | FixedReset Disc | 24,254 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 8.71 % |
| BN.PF.J | FixedReset Disc | 19,830 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 8.97 % |
| CM.PR.S | FixedReset Disc | 15,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-16 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 7.76 % |
| There were 3 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.S | Perpetual-Discount | Quote: 15.90 – 17.80 Spot Rate : 1.9000 Average : 1.0889 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 17.00 – 18.10 Spot Rate : 1.1000 Average : 0.6464 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 17.13 – 18.50 Spot Rate : 1.3700 Average : 0.9674 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 19.75 – 20.38 Spot Rate : 0.6300 Average : 0.3966 YTW SCENARIO |
| NA.PR.W | FixedReset Disc | Quote: 16.65 – 17.49 Spot Rate : 0.8400 Average : 0.6736 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 23.40 – 23.97 Spot Rate : 0.5700 Average : 0.4040 YTW SCENARIO |
[…] PerpetualDiscounts now yield 7.13%, equivalent to 9.27% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.43% on 2023-8-18 and since then the closing price has changed from 14.45 to 14.57, an increase of 83bp in price, with a Duration of 12.05 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 7bp since 8/13 to 5.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has roared up to 390bp from the 350bp reported August 16. […]