March 27, 2024

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
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
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.26 %

IAF.PR.B Insurance Straight Quote: 20.01 – 22.50
Spot Rate : 2.4900
Average : 1.9685

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.J SplitShare Quote: 23.06 – 24.06
Spot Rate : 1.0000
Average : 0.6245

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.79 %

PVS.PR.H SplitShare Quote: 23.90 – 24.99
Spot Rate : 1.0900
Average : 0.8864

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 6.51 %

POW.PR.D Perpetual-Discount Quote: 19.20 – 19.80
Spot Rate : 0.6000
Average : 0.4250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.54 %

IFC.PR.I Insurance Straight Quote: 21.07 – 21.87
Spot Rate : 0.8000
Average : 0.6819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.45 %

3 Responses to “March 27, 2024”

  1. […] 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) […]

  2. […] 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. […]

  3. […] bonds and interest-equivalent PerpetualDiscounts) was 345bp on 2024-5-1 narrowing a bit from 355bp on 2024-3-27 (chart end-date 2024-4-12) […]

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