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.
| 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 | -4.7390 % | 2,265.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -4.7390 % | 4,344.2 |
| Floater | 10.62 % | 10.84 % | 53,890 | 8.89 | 1 | -4.7390 % | 2,503.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7660 % | 3,404.2 |
| SplitShare | 4.95 % | 7.74 % | 36,912 | 1.73 | 7 | -0.7660 % | 4,065.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7660 % | 3,171.9 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0072 % | 2,560.2 |
| Perpetual-Discount | 6.71 % | 6.90 % | 48,328 | 12.71 | 29 | -0.0072 % | 2,791.7 |
| FixedReset Disc | 5.25 % | 6.98 % | 113,625 | 11.82 | 57 | 0.4575 % | 2,535.5 |
| Insurance Straight | 6.66 % | 6.83 % | 56,148 | 12.75 | 21 | 0.0330 % | 2,726.0 |
| FloatingReset | 9.58 % | 9.65 % | 26,273 | 9.81 | 2 | -0.1314 % | 2,672.2 |
| FixedReset Prem | 6.39 % | 6.58 % | 194,509 | 3.14 | 3 | -0.1983 % | 2,519.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4575 % | 2,591.8 |
| FixedReset Ins Non | 5.30 % | 7.40 % | 66,138 | 12.40 | 14 | 0.5428 % | 2,681.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.B | Floater | -4.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 11.86 Evaluated at bid price : 11.86 Bid-YTW : 10.84 % |
| BN.PR.X | FixedReset Disc | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 14.93 Evaluated at bid price : 14.93 Bid-YTW : 9.13 % |
| PVS.PR.J | SplitShare | -1.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 7.66 % |
| PVS.PR.I | SplitShare | -1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 8.35 % |
| PVS.PR.H | SplitShare | -1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 7.74 % |
| FFH.PR.M | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.83 Evaluated at bid price : 23.40 Bid-YTW : 8.24 % |
| RY.PR.J | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 23.12 Evaluated at bid price : 23.65 Bid-YTW : 6.71 % |
| CM.PR.Q | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.98 Evaluated at bid price : 23.46 Bid-YTW : 6.71 % |
| PWF.PR.P | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 14.74 Evaluated at bid price : 14.74 Bid-YTW : 8.39 % |
| NA.PR.W | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 21.47 Evaluated at bid price : 21.80 Bid-YTW : 6.86 % |
| RY.PR.H | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 23.43 Evaluated at bid price : 24.30 Bid-YTW : 6.21 % |
| CM.PR.O | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 23.41 Evaluated at bid price : 24.35 Bid-YTW : 6.24 % |
| BN.PF.B | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 8.46 % |
| BMO.PR.T | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 23.74 Evaluated at bid price : 24.55 Bid-YTW : 6.19 % |
| RY.PR.N | Perpetual-Discount | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.21 Evaluated at bid price : 22.50 Bid-YTW : 5.43 % |
| MFC.PR.K | FixedReset Ins Non | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.19 Evaluated at bid price : 22.80 Bid-YTW : 6.79 % |
| TD.PF.C | FixedReset Disc | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.69 Evaluated at bid price : 23.30 Bid-YTW : 6.38 % |
| TD.PF.D | FixedReset Disc | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.73 Evaluated at bid price : 23.20 Bid-YTW : 6.79 % |
| CM.PR.P | FixedReset Disc | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.95 Evaluated at bid price : 23.58 Bid-YTW : 6.30 % |
| MFC.PR.L | FixedReset Ins Non | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 7.04 % |
| BMO.PR.S | FixedReset Disc | 2.41 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 5.56 % |
| RY.PR.O | Perpetual-Discount | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.21 Evaluated at bid price : 22.50 Bid-YTW : 5.43 % |
| BN.PF.G | FixedReset Disc | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 18.03 Evaluated at bid price : 18.03 Bid-YTW : 8.94 % |
| TD.PF.E | FixedReset Disc | 2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.98 Evaluated at bid price : 23.41 Bid-YTW : 6.75 % |
| PWF.PR.F | Perpetual-Discount | 3.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 6.91 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset Disc | 833,967 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-24 Maturity Price : 25.00 Evaluated at bid price : 24.89 Bid-YTW : 5.44 % |
| RY.PR.H | FixedReset Disc | 460,210 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 23.43 Evaluated at bid price : 24.30 Bid-YTW : 6.21 % |
| BMO.PR.T | FixedReset Disc | 454,167 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 23.74 Evaluated at bid price : 24.55 Bid-YTW : 6.19 % |
| BMO.PR.S | FixedReset Disc | 391,926 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 5.56 % |
| TD.PF.C | FixedReset Disc | 308,947 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.69 Evaluated at bid price : 23.30 Bid-YTW : 6.38 % |
| BMO.PR.F | FixedReset Disc | 115,229 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.40 % |
| BMO.PR.W | FixedReset Disc | 109,861 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 23.24 Evaluated at bid price : 23.96 Bid-YTW : 6.30 % |
| TD.PF.E | FixedReset Disc | 102,629 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-04-24 Maturity Price : 22.98 Evaluated at bid price : 23.41 Bid-YTW : 6.75 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BN.PF.F | FixedReset Disc | Quote: 19.60 – 20.75 Spot Rate : 1.1500 Average : 0.7155 YTW SCENARIO |
| BN.PR.X | FixedReset Disc | Quote: 14.93 – 15.99 Spot Rate : 1.0600 Average : 0.6449 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 18.55 – 19.72 Spot Rate : 1.1700 Average : 0.8526 YTW SCENARIO |
| GWO.PR.R | Insurance Straight | Quote: 17.75 – 18.90 Spot Rate : 1.1500 Average : 0.8685 YTW SCENARIO |
| BN.PR.B | Floater | Quote: 11.86 – 12.50 Spot Rate : 0.6400 Average : 0.3967 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 15.50 – 16.25 Spot Rate : 0.7500 Average : 0.5155 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.75%, equivalent to 8.78% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.30% on 2024-4-19 and since then the closing price of ZLC has changed from 14.61 to 14.59, a decrease of 14bp in price, implying an increase of yields of 1bp (BMO reports a duration of 12.23, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.31%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 345bp from the 360bp reported April 24. […]