PerpetualDiscounts now yield 6.75%, equivalent to 8.78% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.18% on 2024-4-5 and since then the closing price of ZLC has changed from 14.79 to 14.62, a decrease of 115bp in price, implying an increase of yields of 9bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.27%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 350bp from the 345bp reported April 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 | 0.0000 % | 2,370.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,545.6 |
| Floater | 10.15 % | 10.33 % | 45,677 | 9.28 | 1 | 0.0000 % | 2,619.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0419 % | 3,432.3 |
| SplitShare | 4.90 % | 7.09 % | 31,755 | 1.75 | 7 | 0.0419 % | 4,098.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0419 % | 3,198.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0286 % | 2,593.1 |
| Perpetual-Discount | 6.63 % | 6.75 % | 45,341 | 12.91 | 29 | 0.0286 % | 2,827.7 |
| FixedReset Disc | 5.26 % | 7.31 % | 109,312 | 12.09 | 57 | 0.2587 % | 2,527.4 |
| Insurance Straight | 6.55 % | 6.71 % | 53,643 | 12.92 | 21 | 0.3232 % | 2,769.1 |
| FloatingReset | 9.53 % | 9.48 % | 29,155 | 9.96 | 2 | 0.1312 % | 2,682.8 |
| FixedReset Prem | 6.40 % | 6.56 % | 205,858 | 3.16 | 3 | 0.2129 % | 2,513.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2587 % | 2,583.5 |
| FixedReset Ins Non | 5.37 % | 7.40 % | 70,853 | 12.30 | 14 | -0.0036 % | 2,645.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.M | Perpetual-Discount | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 16.97 Evaluated at bid price : 16.97 Bid-YTW : 7.08 % |
| MFC.PR.I | FixedReset Ins Non | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 21.90 Evaluated at bid price : 22.25 Bid-YTW : 7.33 % |
| NA.PR.S | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 22.23 Evaluated at bid price : 22.93 Bid-YTW : 6.65 % |
| BN.PF.B | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 8.44 % |
| MFC.PR.C | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 6.31 % |
| CCS.PR.C | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 18.88 Evaluated at bid price : 18.88 Bid-YTW : 6.70 % |
| FTS.PR.H | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 15.43 Evaluated at bid price : 15.43 Bid-YTW : 8.09 % |
| SLF.PR.D | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.25 % |
| BN.PR.Z | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 8.53 % |
| CU.PR.C | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 7.55 % |
| MFC.PR.B | Insurance Straight | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.35 % |
| RY.PR.M | FixedReset Disc | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 22.61 Evaluated at bid price : 23.00 Bid-YTW : 6.60 % |
| CM.PR.P | FixedReset Disc | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 22.22 Evaluated at bid price : 22.96 Bid-YTW : 6.36 % |
| RY.PR.S | FixedReset Disc | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 22.65 Evaluated at bid price : 23.70 Bid-YTW : 6.44 % |
| RY.PR.N | Perpetual-Discount | 2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 22.42 Evaluated at bid price : 22.70 Bid-YTW : 5.47 % |
| IFC.PR.F | Insurance Straight | 2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.77 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset Disc | 1,250,934 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.08 % |
| CM.PR.T | FixedReset Disc | 223,296 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-30 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.64 % |
| RY.PR.J | FixedReset Disc | 128,122 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 23.15 Evaluated at bid price : 23.68 Bid-YTW : 6.67 % |
| RY.PR.H | FixedReset Disc | 125,463 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 23.33 Evaluated at bid price : 24.20 Bid-YTW : 6.20 % |
| BMO.PR.T | FixedReset Disc | 82,510 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-17 Maturity Price : 23.47 Evaluated at bid price : 24.32 Bid-YTW : 6.15 % |
| TD.PF.L | FixedReset Prem | 69,950 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-30 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.39 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.E | FixedReset Disc | Quote: 23.11 – 23.95 Spot Rate : 0.8400 Average : 0.6208 YTW SCENARIO |
| BN.PR.M | Perpetual-Discount | Quote: 16.97 – 17.60 Spot Rate : 0.6300 Average : 0.4665 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 18.88 – 20.00 Spot Rate : 1.1200 Average : 0.9832 YTW SCENARIO |
| BN.PF.A | FixedReset Disc | Quote: 21.05 – 22.67 Spot Rate : 1.6200 Average : 1.5004 YTW SCENARIO |
| NA.PR.G | FixedReset Prem | Quote: 25.12 – 25.47 Spot Rate : 0.3500 Average : 0.2470 YTW SCENARIO |
| TD.PF.J | FixedReset Disc | Quote: 23.20 – 23.59 Spot Rate : 0.3900 Average : 0.2904 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.90%, equivalent to 8.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.21% on 2024-4-5 (? previously they were saying the YTM was 5.18% on 2024-4-5; what are they doing?) and since then the closing price of ZLC has changed from 14.79 to 14.52, a decrease of 183bp in price, implying an increase of yields of 15bp (BMO reports a duration of 12.30, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.36%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 360bp from the 350bp reported April 17. […]