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.
| 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 | 0.5348 % | 2,151.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5348 % | 4,126.2 |
| Floater | 10.78 % | 10.86 % | 28,052 | 8.93 | 2 | 0.5348 % | 2,377.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1866 % | 3,475.2 |
| SplitShare | 4.81 % | 6.57 % | 31,627 | 1.27 | 6 | 0.1866 % | 4,150.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1866 % | 3,238.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4841 % | 2,683.3 |
| Perpetual-Discount | 6.41 % | 6.59 % | 53,382 | 13.04 | 28 | 0.4841 % | 2,926.0 |
| FixedReset Disc | 5.16 % | 7.31 % | 115,693 | 12.22 | 49 | 0.7383 % | 2,618.8 |
| Insurance Straight | 6.20 % | 6.47 % | 58,491 | 13.27 | 21 | 0.0690 % | 2,880.3 |
| FloatingReset | 9.36 % | 9.17 % | 35,339 | 10.28 | 4 | 0.3643 % | 2,758.8 |
| FixedReset Prem | 5.80 % | 6.29 % | 248,131 | 3.01 | 8 | 0.1085 % | 2,545.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7383 % | 2,676.9 |
| FixedReset Ins Non | 5.14 % | 6.95 % | 96,821 | 12.96 | 14 | 2.5253 % | 2,766.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.J | FixedReset Ins Non | -4.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.99 Evaluated at bid price : 22.40 Bid-YTW : 7.00 % |
| IFC.PR.C | FixedReset Ins Non | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.33 % |
| SLF.PR.J | FloatingReset | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 8.92 % |
| IFC.PR.F | Insurance Straight | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 6.30 % |
| PWF.PR.R | Perpetual-Discount | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 6.76 % |
| GWO.PR.I | Insurance Straight | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 6.45 % |
| GWO.PR.Y | Insurance Straight | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.48 % |
| BN.PF.E | FixedReset Disc | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 8.26 % |
| PWF.PR.Z | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 6.66 % |
| BN.PR.M | Perpetual-Discount | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 6.67 % |
| NA.PR.S | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 22.81 Evaluated at bid price : 24.05 Bid-YTW : 6.38 % |
| FFH.PR.D | FloatingReset | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 9.17 % |
| MFC.PR.F | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 6.99 % |
| BN.PF.D | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 6.92 % |
| RY.PR.O | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 23.52 Evaluated at bid price : 23.80 Bid-YTW : 5.20 % |
| PWF.PR.K | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.57 % |
| CM.PR.P | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 23.09 Evaluated at bid price : 23.82 Bid-YTW : 6.07 % |
| IFC.PR.G | FixedReset Ins Non | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 22.11 Evaluated at bid price : 22.62 Bid-YTW : 6.82 % |
| TD.PF.J | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 23.12 Evaluated at bid price : 24.60 Bid-YTW : 6.34 % |
| FFH.PR.I | FixedReset Disc | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 8.24 % |
| BN.PR.K | Floater | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 11.36 Evaluated at bid price : 11.36 Bid-YTW : 10.86 % |
| MFC.PR.L | FixedReset Ins Non | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.60 Evaluated at bid price : 21.94 Bid-YTW : 6.65 % |
| GWO.PR.N | FixedReset Ins Non | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 7.94 % |
| FFH.PR.H | FloatingReset | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 9.90 % |
| IFC.PR.E | Insurance Straight | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 20.99 Evaluated at bid price : 20.99 Bid-YTW : 6.24 % |
| BN.PF.H | FixedReset Disc | 1.90 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 7.51 % |
| BIP.PR.A | FixedReset Disc | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.64 Evaluated at bid price : 22.05 Bid-YTW : 7.92 % |
| POW.PR.B | Perpetual-Discount | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 20.44 Evaluated at bid price : 20.44 Bid-YTW : 6.58 % |
| SLF.PR.E | Insurance Straight | 2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.94 % |
| BN.PR.R | FixedReset Disc | 2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 8.42 % |
| BN.PR.Z | FixedReset Disc | 3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 7.84 % |
| POW.PR.G | Perpetual-Discount | 3.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.61 % |
| TD.PF.D | FixedReset Disc | 4.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 23.48 Evaluated at bid price : 24.00 Bid-YTW : 6.50 % |
| IFC.PR.A | FixedReset Ins Non | 5.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 7.06 % |
| BN.PF.J | FixedReset Disc | 5.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 22.39 Evaluated at bid price : 23.00 Bid-YTW : 7.22 % |
| PWF.PR.P | FixedReset Disc | 6.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 8.15 % |
| MFC.PR.N | FixedReset Ins Non | 7.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 6.93 % |
| MFC.PR.M | FixedReset Ins Non | 28.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.95 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.O | FixedReset Disc | 108,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 23.98 Evaluated at bid price : 24.90 Bid-YTW : 5.94 % |
| TD.PF.I | FixedReset Prem | 51,926 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 5.25 % |
| POW.PR.D | Perpetual-Discount | 37,750 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 6.54 % |
| CM.PR.Y | FixedReset Disc | 24,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-08-30 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 6.22 % |
| BN.PR.B | Floater | 16,851 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 11.01 % |
| FTS.PR.G | FixedReset Disc | 15,403 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-03 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 6.99 % |
| There were 5 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.J | FixedReset Ins Non | Quote: 22.40 – 23.90 Spot Rate : 1.5000 Average : 1.0731 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 19.25 – 21.25 Spot Rate : 2.0000 Average : 1.5792 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 16.81 – 18.00 Spot Rate : 1.1900 Average : 0.8555 YTW SCENARIO |
| BN.PR.T | FixedReset Disc | Quote: 16.25 – 17.06 Spot Rate : 0.8100 Average : 0.6463 YTW SCENARIO |
| MFC.PR.B | Insurance Straight | Quote: 19.12 – 19.80 Spot Rate : 0.6800 Average : 0.5350 YTW SCENARIO |
| BN.PR.K | Floater | Quote: 11.36 – 11.76 Spot Rate : 0.4000 Average : 0.2607 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 14.94, an increase of 81bp in price, implying a decrease of yields of 7bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.05%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slighly (and perhaps spuriously) to 345bp from the 340bp reported July 3. […]