PerpetualDiscounts now yield 6.68%, equivalent to 8.68% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2024-3-13 so there’s no need to adjust for market movement. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 365bp from the 370bp reported March 6.
| 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 | 0.0000 % | 2,368.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,542.0 |
| Floater | 10.16 % | 10.22 % | 41,345 | 9.43 | 1 | 0.0000 % | 2,617.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0602 % | 3,406.3 |
| SplitShare | 4.94 % | 7.35 % | 43,901 | 1.85 | 7 | -0.0602 % | 4,067.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0602 % | 3,173.9 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1227 % | 2,656.3 |
| Perpetual-Discount | 6.47 % | 6.68 % | 47,566 | 12.90 | 31 | 0.1227 % | 2,896.6 |
| FixedReset Disc | 5.41 % | 7.00 % | 106,724 | 12.37 | 59 | 0.0727 % | 2,441.0 |
| Insurance Straight | 6.29 % | 6.48 % | 51,124 | 13.29 | 22 | 0.2972 % | 2,858.3 |
| FloatingReset | 9.92 % | 10.09 % | 29,607 | 9.36 | 3 | 0.3592 % | 2,600.9 |
| FixedReset Prem | 6.98 % | 6.89 % | 152,349 | 12.44 | 1 | 0.1193 % | 2,502.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0727 % | 2,495.2 |
| FixedReset Ins Non | 5.49 % | 7.18 % | 72,478 | 12.48 | 14 | 0.0261 % | 2,588.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.Q | FixedReset Ins Non | -3.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.18 % |
| BN.PF.F | FixedReset Disc | -2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 8.73 % |
| BIP.PR.A | FixedReset Disc | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 9.30 % |
| POW.PR.C | Perpetual-Discount | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 6.64 % |
| TD.PF.C | FixedReset Disc | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.78 % |
| BMO.PR.W | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 21.31 Evaluated at bid price : 21.58 Bid-YTW : 6.55 % |
| BN.PR.X | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 8.33 % |
| BMO.PR.Y | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 6.97 % |
| SLF.PR.C | Insurance Straight | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 5.85 % |
| TD.PF.B | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 22.48 Evaluated at bid price : 23.41 Bid-YTW : 6.12 % |
| SLF.PR.H | FixedReset Ins Non | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 7.05 % |
| GWO.PR.N | FixedReset Ins Non | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 8.00 % |
| PWF.PR.S | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.69 % |
| IAF.PR.B | Insurance Straight | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 5.29 % |
| BN.PR.T | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 15.39 Evaluated at bid price : 15.39 Bid-YTW : 8.84 % |
| NA.PR.W | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 7.00 % |
| CCS.PR.C | Insurance Straight | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 6.66 % |
| TD.PF.E | FixedReset Disc | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 21.58 Evaluated at bid price : 21.97 Bid-YTW : 6.90 % |
| CU.PR.I | FixedReset Disc | 4.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 22.17 Evaluated at bid price : 22.50 Bid-YTW : 7.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.L | FixedReset Disc | 541,899 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 5.40 % |
| BMO.PR.S | FixedReset Disc | 235,917 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 22.66 Evaluated at bid price : 23.77 Bid-YTW : 6.09 % |
| TD.PF.B | FixedReset Disc | 212,747 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 22.48 Evaluated at bid price : 23.41 Bid-YTW : 6.12 % |
| TD.PF.I | FixedReset Disc | 75,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 23.03 Evaluated at bid price : 24.31 Bid-YTW : 6.66 % |
| MFC.PR.F | FixedReset Ins Non | 58,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 7.65 % |
| PWF.PR.P | FixedReset Disc | 53,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-13 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 8.17 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.N | FixedReset Ins Non | Quote: 19.33 – 21.00 Spot Rate : 1.6700 Average : 1.1950 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 17.50 – 18.64 Spot Rate : 1.1400 Average : 0.6745 YTW SCENARIO |
| BN.PF.F | FixedReset Disc | Quote: 18.30 – 19.80 Spot Rate : 1.5000 Average : 1.2005 YTW SCENARIO |
| TD.PF.A | FixedReset Disc | Quote: 20.50 – 22.96 Spot Rate : 2.4600 Average : 2.2139 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 17.81 – 18.50 Spot Rate : 0.6900 Average : 0.4637 YTW SCENARIO |
| TD.PF.C | FixedReset Disc | Quote: 21.00 – 21.69 Spot Rate : 0.6900 Average : 0.4644 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 14.99, an increase of 27bp in price, implying a decline of yields of 2bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.10%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 355bp from the 365bp reported March 13. […]