TXPR closed at 568.42, down 0.71% on the day. Volume today was 2.29-million, above the median of the past 21 trading days.
CPD closed at 11.32, down 0.62% on the day. Volume was 116,970, second-highest of the past 21 trading days.
ZPR closed at 9.65, down 0.82% on the day. Volume was 382,670, third-highest of the past 21 trading days.
Five-year Canada yields were up to 3.34%.
PerpetualDiscounts now yield 6.78%, equivalent to 8.81% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.07% on 2024-6-7 and since then the closing price of ZLC has changed from 15.02 to 15.30, an increase of 186bp in price, implying a decrease of yields of 15bp (BMO reports a duration of 12.31, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.92%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has exploded to 390bp from the 355bp reported June 12.
| 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 | -0.2730 % | 2,093.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2730 % | 4,014.5 |
| Floater | 11.10 % | 11.21 % | 60,405 | 8.72 | 1 | -0.2730 % | 2,313.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0238 % | 3,450.5 |
| SplitShare | 4.88 % | 6.90 % | 31,285 | 1.61 | 7 | -0.0238 % | 4,120.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0238 % | 3,215.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2127 % | 2,604.9 |
| Perpetual-Discount | 6.61 % | 6.78 % | 52,555 | 12.74 | 28 | -0.2127 % | 2,840.5 |
| FixedReset Disc | 5.42 % | 7.54 % | 121,616 | 11.93 | 49 | -0.6414 % | 2,465.3 |
| Insurance Straight | 6.45 % | 6.58 % | 59,703 | 13.14 | 20 | -0.1961 % | 2,815.8 |
| FloatingReset | 9.74 % | 9.51 % | 38,111 | 10.00 | 3 | -0.3094 % | 2,611.9 |
| FixedReset Prem | 6.42 % | 6.87 % | 223,732 | 12.49 | 7 | -0.4889 % | 2,507.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6414 % | 2,520.0 |
| FixedReset Ins Non | 5.70 % | 7.20 % | 104,395 | 12.61 | 14 | -4.1555 % | 2,493.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.L | FixedReset Ins Non | -24.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 9.06 % |
| MFC.PR.M | FixedReset Ins Non | -15.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 8.51 % |
| BN.PF.C | Perpetual-Discount | -9.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 7.68 % |
| BN.PF.G | FixedReset Disc | -5.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 9.42 % |
| MFC.PR.Q | FixedReset Ins Non | -5.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.09 % |
| PWF.PR.P | FixedReset Disc | -3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 14.08 Evaluated at bid price : 14.08 Bid-YTW : 8.20 % |
| CM.PR.S | FixedReset Disc | -2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 22.88 Evaluated at bid price : 22.88 Bid-YTW : 6.47 % |
| BN.PF.H | FixedReset Disc | -2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.46 Evaluated at bid price : 21.80 Bid-YTW : 8.30 % |
| BN.PF.J | FixedReset Disc | -2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 7.62 % |
| GWO.PR.I | Insurance Straight | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 6.57 % |
| TD.PF.J | FixedReset Disc | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 22.47 Evaluated at bid price : 23.20 Bid-YTW : 6.51 % |
| IFC.PR.A | FixedReset Ins Non | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.20 % |
| MFC.PR.K | FixedReset Ins Non | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.64 Evaluated at bid price : 21.95 Bid-YTW : 6.62 % |
| RY.PR.J | FixedReset Disc | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 22.15 Evaluated at bid price : 22.85 Bid-YTW : 6.48 % |
| TD.PF.C | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.61 Evaluated at bid price : 21.99 Bid-YTW : 6.34 % |
| MFC.PR.I | FixedReset Ins Non | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.31 Evaluated at bid price : 21.61 Bid-YTW : 7.16 % |
| BIP.PR.F | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 8.12 % |
| PWF.PR.H | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.88 % |
| IFC.PR.C | FixedReset Ins Non | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.37 % |
| GWO.PR.N | FixedReset Ins Non | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 7.85 % |
| BN.PF.I | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 8.11 % |
| PWF.PR.T | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.82 % |
| GWO.PR.M | Insurance Straight | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.46 Evaluated at bid price : 21.72 Bid-YTW : 6.70 % |
| NA.PR.G | FixedReset Prem | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 23.19 Evaluated at bid price : 24.94 Bid-YTW : 6.42 % |
| IFC.PR.G | FixedReset Ins Non | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.96 % |
| CU.PR.J | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 6.62 % |
| GWO.PR.P | Insurance Straight | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.66 % |
| FFH.PR.H | FloatingReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 10.50 % |
| GWO.PR.H | Insurance Straight | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 6.58 % |
| IFC.PR.I | Insurance Straight | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 6.53 % |
| GWO.PR.R | Insurance Straight | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 18.49 Evaluated at bid price : 18.49 Bid-YTW : 6.53 % |
| RY.PR.N | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.49 % |
| CU.PR.D | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 6.63 % |
| PWF.PR.F | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 6.80 % |
| BN.PF.E | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 8.69 % |
| PWF.PR.S | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.76 % |
| GWO.PR.G | Insurance Straight | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.64 % |
| IFC.PR.E | Insurance Straight | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.44 % |
| BN.PR.M | Perpetual-Discount | 2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 6.86 % |
| CU.PR.E | Perpetual-Discount | 3.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 6.64 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.O | FixedReset Disc | 249,562 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 23.64 Evaluated at bid price : 24.75 Bid-YTW : 5.72 % |
| PWF.PR.T | FixedReset Disc | 77,916 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.82 % |
| RY.PR.M | FixedReset Disc | 66,133 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 21.60 Evaluated at bid price : 22.00 Bid-YTW : 6.48 % |
| PWF.PR.R | Perpetual-Discount | 58,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.82 % |
| BMO.PR.Y | FixedReset Disc | 53,366 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 22.06 Evaluated at bid price : 22.71 Bid-YTW : 6.42 % |
| BN.PF.G | FixedReset Disc | 41,497 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-19 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 9.42 % |
| 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.L | FixedReset Ins Non | Quote: 15.35 – 20.00 Spot Rate : 4.6500 Average : 3.1708 YTW SCENARIO |
| BN.PF.G | FixedReset Disc | Quote: 15.80 – 19.50 Spot Rate : 3.7000 Average : 2.3726 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 16.67 – 20.01 Spot Rate : 3.3400 Average : 2.0664 YTW SCENARIO |
| BN.PF.C | Perpetual-Discount | Quote: 15.90 – 17.53 Spot Rate : 1.6300 Average : 1.0510 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 20.30 – 23.22 Spot Rate : 2.9200 Average : 2.4133 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 17.50 – 18.85 Spot Rate : 1.3500 Average : 0.8549 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.72%, equivalent to 8.74% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2024-6-24 and since then the closing price of ZLC has changed from 15.21 to 15.05, a decrease of 106bp in price, implying an increase of yields of 9bp (BMO reports a duration of 12.39, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.06%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined sharply to 370bp from the 390bp reported June 19. […]