PerpetualDiscounts now yield 6.22%, equivalent to 8.09% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.91% on 2024-7-31 and since then the closing price of ZLC has changed from 15.24 to 15.21, a decrease of 20bp in price, implying an increase of yields of 2bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.93%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 315bp from the 325bp reported July 31.
| 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 | 1.3805 % | 2,240.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.3805 % | 4,298.1 |
| Floater | 9.98 % | 10.14 % | 88,685 | 9.38 | 2 | 1.3805 % | 2,477.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4604 % | 3,550.5 |
| SplitShare | 4.68 % | 5.97 % | 30,261 | 1.18 | 4 | 0.4604 % | 4,240.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4604 % | 3,308.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1166 % | 2,824.2 |
| Perpetual-Discount | 6.09 % | 6.22 % | 59,431 | 13.55 | 31 | 0.1166 % | 3,079.6 |
| FixedReset Disc | 5.50 % | 7.01 % | 139,555 | 12.43 | 62 | 0.3115 % | 2,613.4 |
| Insurance Straight | 5.97 % | 6.12 % | 65,015 | 13.67 | 21 | 0.2280 % | 3,032.8 |
| FloatingReset | 8.89 % | 8.91 % | 26,745 | 10.43 | 3 | -0.0704 % | 2,739.2 |
| FixedReset Prem | 6.77 % | 5.73 % | 259,513 | 12.00 | 5 | 0.7074 % | 2,547.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3115 % | 2,671.4 |
| FixedReset Ins Non | 5.28 % | 6.29 % | 106,855 | 13.47 | 14 | 0.2016 % | 2,783.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| FFH.PR.K | FixedReset Disc | -7.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 8.03 % |
| CM.PR.Q | FixedReset Disc | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.71 Evaluated at bid price : 23.25 Bid-YTW : 6.06 % |
| BN.PF.H | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.90 Evaluated at bid price : 23.35 Bid-YTW : 7.52 % |
| CU.PR.D | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.19 % |
| FFH.PR.I | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.84 % |
| CM.PR.P | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.08 Evaluated at bid price : 23.86 Bid-YTW : 5.45 % |
| TD.PF.C | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.97 Evaluated at bid price : 23.75 Bid-YTW : 5.48 % |
| ENB.PF.A | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 7.71 % |
| SLF.PR.G | FixedReset Ins Non | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 6.56 % |
| BN.PR.Z | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 7.32 % |
| FTS.PR.G | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 21.36 Evaluated at bid price : 21.67 Bid-YTW : 6.35 % |
| MFC.PR.K | FixedReset Ins Non | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.82 Evaluated at bid price : 23.94 Bid-YTW : 5.80 % |
| BN.PF.E | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.99 % |
| BMO.PR.E | FixedReset Prem | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.43 Evaluated at bid price : 25.70 Bid-YTW : 5.72 % |
| ENB.PR.F | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 7.72 % |
| PVS.PR.J | SplitShare | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 5.73 % |
| FTS.PR.H | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 7.30 % |
| FTS.PR.K | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 6.68 % |
| ENB.PF.K | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.49 Evaluated at bid price : 23.20 Bid-YTW : 6.78 % |
| BN.PF.A | FixedReset Disc | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.21 Evaluated at bid price : 22.79 Bid-YTW : 6.82 % |
| CU.PR.I | FixedReset Disc | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.52 Evaluated at bid price : 23.97 Bid-YTW : 6.86 % |
| GWO.PR.I | Insurance Straight | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.98 % |
| BN.PF.F | FixedReset Disc | 2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 7.46 % |
| BN.PR.B | Floater | 2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 10.14 % |
| BN.PF.G | FixedReset Disc | 16.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 7.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.H | FixedReset Disc | 334,592 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.96 Evaluated at bid price : 24.93 Bid-YTW : 5.24 % |
| BMO.PR.T | FixedReset Disc | 307,266 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.97 Evaluated at bid price : 24.93 Bid-YTW : 5.22 % |
| ENB.PF.K | FixedReset Disc | 110,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.49 Evaluated at bid price : 23.20 Bid-YTW : 6.78 % |
| PWF.PR.L | Perpetual-Discount | 109,276 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.21 % |
| PWF.PR.T | FixedReset Disc | 106,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 21.65 Evaluated at bid price : 21.99 Bid-YTW : 6.22 % |
| GWO.PR.L | Insurance Straight | 86,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 6.19 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FFH.PR.K | FixedReset Disc | Quote: 19.65 – 21.10 Spot Rate : 1.4500 Average : 0.8316 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 23.25 – 24.25 Spot Rate : 1.0000 Average : 0.6263 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 21.35 – 22.96 Spot Rate : 1.6100 Average : 1.2386 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 16.35 – 17.43 Spot Rate : 1.0800 Average : 0.7148 YTW SCENARIO |
| IFC.PR.F | Insurance Straight | Quote: 21.25 – 22.99 Spot Rate : 1.7400 Average : 1.3928 YTW SCENARIO |
| CU.PR.I | FixedReset Disc | Quote: 23.97 – 24.95 Spot Rate : 0.9800 Average : 0.6692 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.19%, equivalent to 8.05% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.91% on 2024-7-31 and since then the closing price of ZLC has changed from 15.24 to 15.47, an increase of 138bp in price, implying a decrease of yields of 11bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 325bp from the 315bp reported August 7. […]