PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.34% on 2024-4-30 and since then the closing price of ZLC has changed from 14.50 to 14.83, an increase of 228bp in price, implying a decrease of yields of 19bp (BMO reports a duration of 12.23, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.15%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 340bp from the 345bp reported May 1.
| 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 | -1.2903 % | 2,337.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2903 % | 4,483.4 |
| Floater | 10.29 % | 10.54 % | 59,490 | 9.07 | 1 | -1.2903 % | 2,583.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0361 % | 3,471.0 |
| SplitShare | 4.85 % | 6.91 % | 35,383 | 1.40 | 8 | 0.0361 % | 4,145.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0361 % | 3,234.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0592 % | 2,680.5 |
| Perpetual-Discount | 6.40 % | 6.56 % | 53,475 | 13.10 | 27 | 0.0592 % | 2,923.0 |
| FixedReset Disc | 5.15 % | 7.03 % | 131,150 | 11.96 | 57 | -0.0697 % | 2,593.7 |
| Insurance Straight | 6.31 % | 6.49 % | 59,491 | 13.18 | 21 | 0.2869 % | 2,876.4 |
| FloatingReset | 9.14 % | 9.16 % | 29,379 | 10.17 | 2 | -0.8207 % | 2,804.4 |
| FixedReset Prem | 6.90 % | 6.20 % | 196,088 | 3.11 | 2 | 0.1571 % | 2,539.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0697 % | 2,651.3 |
| FixedReset Ins Non | 5.04 % | 6.90 % | 81,670 | 12.89 | 14 | -0.5654 % | 2,817.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset Ins Non | -14.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 7.82 % |
| CU.PR.D | Perpetual-Discount | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.68 % |
| NA.PR.W | FixedReset Disc | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 21.51 Evaluated at bid price : 21.85 Bid-YTW : 6.74 % |
| PWF.PR.O | Perpetual-Discount | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 21.78 Evaluated at bid price : 22.02 Bid-YTW : 6.64 % |
| MFC.PR.L | FixedReset Ins Non | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 21.67 Evaluated at bid price : 22.05 Bid-YTW : 6.75 % |
| FFH.PR.C | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 21.62 Evaluated at bid price : 22.00 Bid-YTW : 7.81 % |
| SLF.PR.J | FloatingReset | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 17.18 Evaluated at bid price : 17.18 Bid-YTW : 9.54 % |
| IFC.PR.I | Insurance Straight | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.56 % |
| BN.PR.B | Floater | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 12.24 Evaluated at bid price : 12.24 Bid-YTW : 10.54 % |
| CM.PR.P | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 22.72 Evaluated at bid price : 23.35 Bid-YTW : 6.27 % |
| BN.PR.X | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 15.92 Evaluated at bid price : 15.92 Bid-YTW : 8.46 % |
| SLF.PR.C | Insurance Straight | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 6.07 % |
| PWF.PR.Z | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 6.53 % |
| GWO.PR.I | Insurance Straight | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.31 % |
| POW.PR.C | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 6.50 % |
| MFC.PR.K | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 22.64 Evaluated at bid price : 23.61 Bid-YTW : 6.47 % |
| IFC.PR.E | Insurance Straight | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.29 % |
| IFC.PR.A | FixedReset Ins Non | 2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 6.90 % |
| GWO.PR.G | Insurance Straight | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.52 % |
| BN.PF.I | FixedReset Disc | 3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 22.29 Evaluated at bid price : 22.75 Bid-YTW : 7.92 % |
| BN.PR.M | Perpetual-Discount | 3.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.70 % |
| IFC.PR.F | Insurance Straight | 5.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.53 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.R | FixedReset Disc | 341,157 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 8.54 % |
| RY.PR.H | FixedReset Disc | 316,421 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 23.63 Evaluated at bid price : 24.50 Bid-YTW : 6.06 % |
| TD.PF.D | FixedReset Disc | 261,632 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 22.70 Evaluated at bid price : 23.18 Bid-YTW : 6.72 % |
| RY.PR.J | FixedReset Disc | 222,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 22.96 Evaluated at bid price : 23.50 Bid-YTW : 6.66 % |
| TD.PF.M | FixedReset Disc | 143,353 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 24.06 Evaluated at bid price : 24.87 Bid-YTW : 7.30 % |
| TD.PF.J | FixedReset Disc | 111,176 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-05-08 Maturity Price : 23.03 Evaluated at bid price : 24.40 Bid-YTW : 6.39 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.F | FixedReset Ins Non | Quote: 15.25 – 18.05 Spot Rate : 2.8000 Average : 1.6193 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 20.60 – 21.70 Spot Rate : 1.1000 Average : 0.6708 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 18.40 – 19.34 Spot Rate : 0.9400 Average : 0.6851 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 19.65 – 21.15 Spot Rate : 1.5000 Average : 1.2894 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 17.18 – 17.90 Spot Rate : 0.7200 Average : 0.5157 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 21.00 – 21.90 Spot Rate : 0.9000 Average : 0.7008 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.49%, equivalent to 8.44% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.19% on 2024-5-10 and since then the closing price of ZLC has changed from 14.76 to 14.98, an increase of 149bp in price, implying a decrease of yields of 12bp (BMO reports a duration of 12.32, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.07%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 335bp from the 340bp reported May 1. […]