I’ve updated the EQB LRCN post again.
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.
| 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 | -0.4401 % | 2,157.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4401 % | 4,137.2 |
| Floater | 10.75 % | 10.92 % | 89,259 | 8.87 | 2 | -0.4401 % | 2,384.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0069 % | 3,495.3 |
| SplitShare | 4.78 % | 6.59 % | 27,226 | 1.25 | 6 | 0.0069 % | 4,174.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0069 % | 3,256.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5686 % | 2,695.7 |
| Perpetual-Discount | 6.38 % | 6.52 % | 51,902 | 13.19 | 28 | -0.5686 % | 2,939.6 |
| FixedReset Disc | 5.18 % | 7.00 % | 111,689 | 12.26 | 49 | -1.0888 % | 2,612.0 |
| Insurance Straight | 6.16 % | 6.45 % | 61,128 | 13.28 | 21 | 0.0898 % | 2,899.5 |
| FloatingReset | 9.20 % | 8.99 % | 32,984 | 10.40 | 4 | 0.5919 % | 2,795.7 |
| FixedReset Prem | 5.82 % | 6.16 % | 245,155 | 3.95 | 8 | -0.4724 % | 2,535.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0888 % | 2,669.9 |
| FixedReset Ins Non | 5.09 % | 6.75 % | 104,635 | 13.08 | 14 | -0.5809 % | 2,792.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.E | FixedReset Disc | -21.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 7.88 % |
| PWF.PR.P | FixedReset Disc | -7.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 14.08 Evaluated at bid price : 14.08 Bid-YTW : 8.38 % |
| TD.PF.D | FixedReset Disc | -6.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 21.84 Evaluated at bid price : 22.34 Bid-YTW : 6.77 % |
| BN.PR.Z | FixedReset Disc | -4.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 7.98 % |
| MFC.PR.I | FixedReset Ins Non | -4.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 22.61 Evaluated at bid price : 23.33 Bid-YTW : 6.77 % |
| IFC.PR.G | FixedReset Ins Non | -3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 22.03 Evaluated at bid price : 22.50 Bid-YTW : 6.75 % |
| NA.PR.S | FixedReset Disc | -2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 22.45 Evaluated at bid price : 23.31 Bid-YTW : 6.38 % |
| PVS.PR.K | SplitShare | -1.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 23.21 Bid-YTW : 6.31 % |
| TD.PF.E | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 22.83 Evaluated at bid price : 23.30 Bid-YTW : 6.52 % |
| TD.PF.I | FixedReset Prem | -1.36 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 5.66 % |
| IFC.PR.F | Insurance Straight | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 6.23 % |
| BN.PR.K | Floater | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 10.94 % |
| BN.PF.J | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 22.33 Evaluated at bid price : 22.91 Bid-YTW : 7.15 % |
| GWO.PR.G | Insurance Straight | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.45 % |
| GWO.PR.L | Insurance Straight | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.47 % |
| SLF.PR.J | FloatingReset | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 8.75 % |
| PWF.PR.S | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.44 % |
| PWF.PR.G | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.41 % |
| IFC.PR.A | FixedReset Ins Non | 2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.77 % |
| BN.PR.X | FixedReset Disc | 3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 7.87 % |
| IFC.PR.E | Insurance Straight | 3.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 6.23 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.C | Perpetual-Discount | 70,798 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 17.98 Evaluated at bid price : 17.98 Bid-YTW : 6.81 % |
| FFH.PR.C | FixedReset Disc | 55,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 21.59 Evaluated at bid price : 21.96 Bid-YTW : 7.54 % |
| MFC.PR.F | FixedReset Ins Non | 52,595 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 6.75 % |
| RY.PR.M | FixedReset Disc | 51,299 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 23.04 Evaluated at bid price : 23.50 Bid-YTW : 6.24 % |
| CU.PR.C | FixedReset Disc | 37,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.95 % |
| MFC.PR.K | FixedReset Ins Non | 36,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-10 Maturity Price : 22.83 Evaluated at bid price : 23.99 Bid-YTW : 6.15 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NA.PR.E | FixedReset Disc | Quote: 19.06 – 24.05 Spot Rate : 4.9900 Average : 2.6523 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 22.34 – 23.90 Spot Rate : 1.5600 Average : 0.9642 YTW SCENARIO |
| BN.PR.Z | FixedReset Disc | Quote: 20.15 – 21.24 Spot Rate : 1.0900 Average : 0.6605 YTW SCENARIO |
| GWO.PR.G | Insurance Straight | Quote: 20.35 – 21.41 Spot Rate : 1.0600 Average : 0.6515 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 23.33 – 24.33 Spot Rate : 1.0000 Average : 0.6207 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 14.08 – 15.65 Spot Rate : 1.5700 Average : 1.1994 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.48%, equivalent to 8.42% 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 15.10, an increase of 189bp in price, implying a decrease of yields of 15bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.97%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 345bp reported July 10. […]