June 26, 2024

TXPR closed at 589.62, up 0.96% on the day. Volume today was 4.75-million, second-highest of the past 21 trading days.

CPD closed at 11.705, up 0.99% on the day. Volume was 89,520, third-highest of the past 21 trading days.

ZPR closed at 10.115, up 0.75% on the day. Volume was 105,310, well below the median of the past 21 trading days.

Five-year Canada yields were up to 3.56%.

How’s this for a fund?

Quadravest Capital Management Inc. (the “Manager’) is pleased to announce that Quadravest Preferred Split Share ETF (“Preferred ETF”) will commence trading on the Toronto Stock Exchange (the “TSX”) on June 27, 2024 under the symbol PREF. A final prospectus dated June 7, 2024 has been filed with the securities regulatory authorities in each province and territory in Canada.

The investment objectives of Preferred ETF are to provide unitholders with: (a) monthly distributions and (b) the opportunity for capital preservation, primarily through a portfolio of preferred shares of split share corporations.

Preferred ETF will seek to achieve its investment objectives by investing in an actively managed portfolio of split corp. preferred shares offered by Canadian split share corporations listed on a Canadian exchange. The Preferred ETF may also invest in preferred shares of other issuers, exchange-traded funds, other investment funds, equities or income-generating securities, and securities that are convertible into any of the above noted securities provided such investments are consistent with the Preferred ETF’s investment objectives.

Thanks to Assiduous Reader NK for bringing this to my attention!

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.

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 -0.3578 % 2,127.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3578 % 4,080.4
Floater 10.92 % 11.05 % 67,646 8.82 1 -0.3578 % 2,351.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1482 % 3,467.5
SplitShare 4.85 % 6.98 % 28,953 1.59 7 0.1482 % 4,141.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1482 % 3,231.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5383 % 2,646.7
Perpetual-Discount 6.50 % 6.72 % 55,099 12.95 28 0.5383 % 2,886.1
FixedReset Disc 5.18 % 7.19 % 125,230 12.29 49 1.2605 % 2,576.5
Insurance Straight 6.34 % 6.48 % 59,649 13.27 20 -0.0863 % 2,864.6
FloatingReset 9.48 % 9.45 % 36,588 10.04 3 1.0638 % 2,672.4
FixedReset Prem 6.34 % 6.21 % 236,960 2.97 7 0.4479 % 2,537.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2605 % 2,633.7
FixedReset Ins Non 5.23 % 6.81 % 101,913 13.05 14 1.6514 % 2,715.4
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.43 %
SLF.PR.E Insurance Straight -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.09 %
PWF.PR.L Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.83 %
MFC.PR.C Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.06 %
GWO.PR.I Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.43 %
TD.PF.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.47 %
PWF.PR.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.73 %
FFH.PR.M FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.16
Evaluated at bid price : 23.80
Bid-YTW : 7.65 %
CU.PR.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.50 %
CM.PR.P FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.29
Evaluated at bid price : 24.00
Bid-YTW : 5.86 %
IFC.PR.F Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.19 %
GWO.PR.L Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.54 %
MFC.PR.K FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.51
Evaluated at bid price : 23.33
Bid-YTW : 6.26 %
CU.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.80
Evaluated at bid price : 23.24
Bid-YTW : 7.40 %
CM.PR.Q FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.02
Evaluated at bid price : 23.55
Bid-YTW : 6.39 %
TD.PF.C FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.19
Evaluated at bid price : 23.90
Bid-YTW : 5.89 %
IFC.PR.G FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.90
Evaluated at bid price : 22.30
Bid-YTW : 6.73 %
PWF.PR.S Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.65 %
FFH.PR.H FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 10.18 %
NA.PR.W FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.53 %
FFH.PR.I FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.28 %
CCS.PR.C Insurance Straight 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.52 %
RY.PR.O Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.21
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %
BN.PR.R FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 8.37 %
PWF.PR.P FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.96 %
RY.PR.M FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.67
Evaluated at bid price : 23.10
Bid-YTW : 6.25 %
MFC.PR.M FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.81 %
BN.PF.J FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.00
Evaluated at bid price : 22.40
Bid-YTW : 7.23 %
BMO.PR.W FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.39
Evaluated at bid price : 24.20
Bid-YTW : 5.79 %
NA.PR.S FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.69
Evaluated at bid price : 23.80
Bid-YTW : 6.28 %
TD.PF.E FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.14
Evaluated at bid price : 23.60
Bid-YTW : 6.41 %
FTS.PR.M FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 7.61 %
GWO.PR.Q Insurance Straight 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.56 %
SLF.PR.J FloatingReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.09 %
GWO.PR.N FixedReset Ins Non 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 7.60 %
MFC.PR.Q FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 6.50 %
SLF.PR.G FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 6.96 %
POW.PR.C Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.61 %
MFC.PR.F FixedReset Ins Non 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 6.84 %
NA.PR.E FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.77
Evaluated at bid price : 23.80
Bid-YTW : 6.30 %
BN.PF.E FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.03 %
FTS.PR.K FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 7.19 %
RY.PR.N Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.67
Evaluated at bid price : 23.95
Bid-YTW : 5.16 %
BIP.PR.E FixedReset Disc 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.49 %
FTS.PR.G FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.89 %
FTS.PR.H FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.83 %
IFC.PR.C FixedReset Ins Non 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.07 %
PWF.PR.T FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.81 %
BN.PF.I FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 7.92 %
MFC.PR.N FixedReset Ins Non 4.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 6.82 %
BN.PR.T FixedReset Disc 6.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 8.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 2,820,761 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 24.13
Evaluated at bid price : 24.99
Bid-YTW : 5.67 %
TD.PF.B FixedReset Disc 378,257 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.47 %
PWF.PR.G Perpetual-Discount 321,993 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 6.72 %
TD.PF.C FixedReset Disc 105,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.19
Evaluated at bid price : 23.90
Bid-YTW : 5.89 %
TD.PF.A FixedReset Disc 96,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.72
Evaluated at bid price : 24.53
Bid-YTW : 5.75 %
CM.PR.O FixedReset Disc 45,656 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.56 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 19.20 – 21.99
Spot Rate : 2.7900
Average : 2.1557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.50 %

RY.PR.M FixedReset Disc Quote: 23.10 – 24.50
Spot Rate : 1.4000
Average : 0.8808

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.67
Evaluated at bid price : 23.10
Bid-YTW : 6.25 %

BN.PF.F FixedReset Disc Quote: 19.45 – 20.99
Spot Rate : 1.5400
Average : 1.0782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.07 %

TD.PF.E FixedReset Disc Quote: 23.60 – 25.00
Spot Rate : 1.4000
Average : 0.9605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.14
Evaluated at bid price : 23.60
Bid-YTW : 6.41 %

FTS.PR.M FixedReset Disc Quote: 19.36 – 20.45
Spot Rate : 1.0900
Average : 0.6585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 7.61 %

GWO.PR.R Insurance Straight Quote: 18.53 – 19.88
Spot Rate : 1.3500
Average : 0.9630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.52 %

4 Responses to “June 26, 2024”

  1. […] Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 370bp on 2024-6-26 a violent widening from the 315bp on 2024-5-29 (chart end-date 2024-6-14) […]

  2. […] PerpetualDiscounts now yield 6.59%, equivalent to 8.57% 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 14.79, a decrease of 276bp in price, implying an increase of yields of 22bp (BMO reports a duration of 12.39, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.19%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined sharply to 340bp from the 370bp reported June 26. […]

  3. […] and interest-equivalent PerpetualDiscounts) was 325bp on 2024-07-31, a dramatic narrowing from the 370bp on 2024-6-26 (chart end-date 2024-7-12). This was, presumably, due to widespread reporting that inflation has […]

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