PerpetualDiscounts now yield 6.62%, equivalent to 8.61% 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 15.02, an increase of 47bp in price, implying a decline of yields of 4bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.08%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 355bp reported March 20.
| 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 | 1.1438 % | 2,364.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1438 % | 4,534.6 |
| Floater | 10.18 % | 10.28 % | 44,421 | 9.35 | 1 | 1.1438 % | 2,613.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0478 % | 3,432.9 |
| SplitShare | 4.90 % | 7.06 % | 36,248 | 1.81 | 7 | -0.0478 % | 4,099.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0478 % | 3,198.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0683 % | 2,669.0 |
| Perpetual-Discount | 6.44 % | 6.62 % | 46,115 | 13.05 | 31 | 0.0683 % | 2,910.4 |
| FixedReset Disc | 5.32 % | 6.93 % | 108,706 | 12.20 | 59 | 0.1517 % | 2,483.1 |
| Insurance Straight | 6.33 % | 6.46 % | 51,523 | 13.29 | 22 | -0.1338 % | 2,842.6 |
| FloatingReset | 9.95 % | 10.23 % | 29,058 | 9.36 | 3 | 0.5098 % | 2,607.7 |
| FixedReset Prem | 6.89 % | 6.70 % | 149,469 | 3.17 | 1 | -0.0392 % | 2,535.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1517 % | 2,538.2 |
| FixedReset Ins Non | 5.39 % | 7.18 % | 75,133 | 12.60 | 14 | 0.2866 % | 2,634.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAF.PR.B | Insurance Straight | -8.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 5.78 % |
| PVS.PR.K | SplitShare | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 7.12 % |
| GWO.PR.H | Insurance Straight | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.46 % |
| BN.PR.B | Floater | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 12.38 Evaluated at bid price : 12.38 Bid-YTW : 10.28 % |
| BN.PR.T | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 8.87 % |
| NA.PR.G | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 23.26 Evaluated at bid price : 25.21 Bid-YTW : 6.52 % |
| CM.PR.O | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 22.94 Evaluated at bid price : 23.81 Bid-YTW : 6.08 % |
| PWF.PR.E | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 6.60 % |
| BIP.PR.B | FixedReset Disc | 2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 22.78 Evaluated at bid price : 23.15 Bid-YTW : 8.43 % |
| PWF.PR.S | Perpetual-Discount | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.62 % |
| RY.PR.O | Perpetual-Discount | 2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 22.42 Evaluated at bid price : 22.70 Bid-YTW : 5.45 % |
| TD.PF.B | FixedReset Disc | 2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 22.29 Evaluated at bid price : 23.05 Bid-YTW : 6.35 % |
| MFC.PR.I | FixedReset Ins Non | 3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 22.19 Evaluated at bid price : 22.68 Bid-YTW : 7.01 % |
| BN.PF.F | FixedReset Disc | 3.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 8.44 % |
| SLF.PR.C | Insurance Straight | 5.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.99 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset Disc | 219,834 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 21.98 Evaluated at bid price : 22.52 Bid-YTW : 6.46 % |
| TD.PF.L | FixedReset Disc | 186,789 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 5.46 % |
| CM.PR.T | FixedReset Disc | 182,408 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 24.88 Bid-YTW : 5.55 % |
| CM.PR.O | FixedReset Disc | 70,925 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 22.94 Evaluated at bid price : 23.81 Bid-YTW : 6.08 % |
| RY.PR.H | FixedReset Disc | 67,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 21.83 Evaluated at bid price : 22.30 Bid-YTW : 6.54 % |
| BMO.PR.E | FixedReset Disc | 63,290 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-27 Maturity Price : 23.13 Evaluated at bid price : 24.84 Bid-YTW : 6.46 % |
| There were 10 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: 19.91 – 21.55 Spot Rate : 1.6400 Average : 0.9626 YTW SCENARIO |
| IAF.PR.B | Insurance Straight | Quote: 20.01 – 22.50 Spot Rate : 2.4900 Average : 1.9685 YTW SCENARIO |
| PVS.PR.J | SplitShare | Quote: 23.06 – 24.06 Spot Rate : 1.0000 Average : 0.6245 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 23.90 – 24.99 Spot Rate : 1.0900 Average : 0.8864 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 19.20 – 19.80 Spot Rate : 0.6000 Average : 0.4250 YTW SCENARIO |
| IFC.PR.I | Insurance Straight | Quote: 21.07 – 21.87 Spot Rate : 0.8000 Average : 0.6819 YTW SCENARIO |
[…] Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 355bp on 2024-3-27, narrowing slightly (and perhaps spuriously) from 360bp on 2024-2-21 (chart end-date 2024-3-8) […]
[…] PerpetualDiscounts now yield 6.64%, equivalent to 8.63% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.05% on 2024-3-22 and since then the closing price of ZLC has changed from 15.09 to 14.79, a decrease of 199bp in price, implying an increase of yields of 16bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.21%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined significantly to 340bp from the 355bp reported March 27. […]