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 14.91, an increase of 61bp in price, implying a decrease of yields of 5bp (BMO reports a duration of 12.33, 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 to 335bp from the 345bp reported July 17.
| 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 | 0.8551 % | 2,249.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8551 % | 4,314.6 |
| Floater | 10.31 % | 10.48 % | 87,422 | 9.16 | 2 | 0.8551 % | 2,486.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0885 % | 3,524.1 |
| SplitShare | 4.74 % | 6.32 % | 28,099 | 1.21 | 6 | 0.0885 % | 4,208.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0885 % | 3,283.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3409 % | 2,761.8 |
| Perpetual-Discount | 6.23 % | 6.38 % | 57,693 | 13.38 | 28 | 0.3409 % | 3,011.6 |
| FixedReset Disc | 5.09 % | 7.01 % | 118,208 | 12.44 | 49 | 0.2658 % | 2,658.2 |
| Insurance Straight | 6.02 % | 6.30 % | 63,513 | 13.47 | 21 | 0.0901 % | 2,968.6 |
| FloatingReset | 8.99 % | 8.90 % | 29,319 | 10.47 | 4 | -0.8992 % | 2,798.2 |
| FixedReset Prem | 5.81 % | 5.86 % | 237,306 | 2.96 | 8 | -0.0049 % | 2,541.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2658 % | 2,717.2 |
| FixedReset Ins Non | 5.19 % | 6.52 % | 90,964 | 13.31 | 14 | 1.9926 % | 2,831.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.F | Insurance Straight | -6.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.50 % |
| SLF.PR.J | FloatingReset | -3.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 8.90 % |
| IFC.PR.C | FixedReset Ins Non | -3.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.80 % |
| PWF.PR.S | Perpetual-Discount | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 6.48 % |
| MIC.PR.A | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 6.81 % |
| BN.PF.H | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 23.16 Evaluated at bid price : 23.60 Bid-YTW : 7.79 % |
| BN.PF.B | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 7.30 % |
| BN.PF.F | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 7.80 % |
| SLF.PR.D | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 5.75 % |
| MFC.PR.N | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 21.56 Evaluated at bid price : 21.92 Bid-YTW : 6.45 % |
| POW.PR.D | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 6.35 % |
| BN.PR.M | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 6.48 % |
| CU.PR.J | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 6.33 % |
| PWF.PR.R | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 6.38 % |
| BN.PR.N | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 6.54 % |
| SLF.PR.E | Insurance Straight | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.78 % |
| BN.PR.B | Floater | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 11.84 Evaluated at bid price : 11.84 Bid-YTW : 10.48 % |
| BN.PR.T | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 8.05 % |
| NA.PR.E | FixedReset Disc | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 23.00 Evaluated at bid price : 24.30 Bid-YTW : 6.07 % |
| CU.PR.C | FixedReset Disc | 6.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.97 % |
| IFC.PR.A | FixedReset Ins Non | 8.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 19.63 Evaluated at bid price : 19.63 Bid-YTW : 6.52 % |
| MFC.PR.M | FixedReset Ins Non | 31.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 21.54 Evaluated at bid price : 21.88 Bid-YTW : 6.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.N | Perpetual-Discount | 532,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 23.83 Evaluated at bid price : 24.10 Bid-YTW : 5.16 % |
| TD.PF.B | FixedReset Prem | 300,902 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 23.94 Evaluated at bid price : 24.97 Bid-YTW : 5.65 % |
| BMO.PR.Y | FixedReset Disc | 42,378 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 23.67 Evaluated at bid price : 24.17 Bid-YTW : 6.14 % |
| BMO.PR.W | FixedReset Disc | 41,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 24.01 Evaluated at bid price : 24.75 Bid-YTW : 5.68 % |
| PWF.PR.K | Perpetual-Discount | 40,959 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.35 % |
| POW.PR.D | Perpetual-Discount | 34,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-07-24 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 6.35 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.S | Perpetual-Discount | Quote: 18.65 – 20.88 Spot Rate : 2.2300 Average : 1.2199 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 21.64 – 23.64 Spot Rate : 2.0000 Average : 1.2544 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 20.95 – 22.48 Spot Rate : 1.5300 Average : 0.8670 YTW SCENARIO |
| IFC.PR.F | Insurance Straight | Quote: 20.65 – 22.99 Spot Rate : 2.3400 Average : 1.6931 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 21.18 – 22.90 Spot Rate : 1.7200 Average : 1.1747 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 22.15 – 24.50 Spot Rate : 2.3500 Average : 1.9583 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.30%, equivalent to 8.19% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.05% on 2024-7-26 and since then the closing price of ZLC has changed from 15.05 to 15.24, an increase of 126bp in price, implying a decrease of yields of 10bp (BMO reports a duration of 12.29, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.95%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 325bp from the 335bp reported July 24. […]