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.
| 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 | -1.2468 % | 2,190.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2468 % | 4,201.2 |
| Floater | 10.21 % | 10.44 % | 29,137 | 9.14 | 2 | -1.2468 % | 2,421.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1017 % | 3,557.4 |
| SplitShare | 4.68 % | 5.75 % | 29,736 | 1.16 | 4 | 0.1017 % | 4,248.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1017 % | 3,314.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3561 % | 2,842.2 |
| Perpetual-Discount | 6.06 % | 6.19 % | 57,400 | 13.62 | 31 | 0.3561 % | 3,099.3 |
| FixedReset Disc | 5.44 % | 6.89 % | 142,679 | 12.46 | 62 | 0.3657 % | 2,641.9 |
| Insurance Straight | 5.87 % | 5.98 % | 65,507 | 13.89 | 21 | 0.5128 % | 3,083.6 |
| FloatingReset | 8.93 % | 9.00 % | 25,956 | 10.33 | 3 | -0.2826 % | 2,721.8 |
| FixedReset Prem | 6.73 % | 5.73 % | 248,237 | 12.04 | 5 | 0.0933 % | 2,560.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3657 % | 2,700.6 |
| FixedReset Ins Non | 5.37 % | 6.31 % | 107,288 | 13.40 | 14 | -1.7672 % | 2,736.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.H | FixedReset Ins Non | -24.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 14.67 Evaluated at bid price : 14.67 Bid-YTW : 8.35 % |
| MFC.PR.F | FixedReset Ins Non | -4.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.91 % |
| BN.PR.B | Floater | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 11.45 Evaluated at bid price : 11.45 Bid-YTW : 10.51 % |
| MIC.PR.A | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.87 % |
| POW.PR.D | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 20.48 Evaluated at bid price : 20.48 Bid-YTW : 6.19 % |
| PWF.PR.G | Perpetual-Discount | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 6.36 % |
| FTS.PR.J | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.93 % |
| CU.PR.H | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 6.07 % |
| GWO.PR.G | Insurance Straight | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 5.94 % |
| FFH.PR.K | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 7.35 % |
| FFH.PR.C | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 7.28 % |
| CU.PR.D | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 6.02 % |
| SLF.PR.C | Insurance Straight | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 5.57 % |
| TD.PF.J | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 5.66 % |
| BN.PR.R | FixedReset Disc | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 7.79 % |
| BIP.PR.B | FixedReset Disc | 1.69 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.66 Bid-YTW : 7.11 % |
| POW.PR.C | Perpetual-Discount | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 6.16 % |
| PWF.PR.P | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 7.41 % |
| MFC.PR.N | FixedReset Ins Non | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 6.31 % |
| CCS.PR.C | Insurance Straight | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.20 % |
| ENB.PF.G | FixedReset Disc | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.98 % |
| IFC.PR.E | Insurance Straight | 2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 22.20 Evaluated at bid price : 22.20 Bid-YTW : 5.95 % |
| BN.PR.Z | FixedReset Disc | 5.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 7.18 % |
| CU.PR.J | Perpetual-Discount | 10.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.02 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.F | FixedReset Disc | 182,684 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 7.52 % |
| ENB.PF.K | FixedReset Disc | 145,324 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 22.66 Evaluated at bid price : 23.50 Bid-YTW : 6.73 % |
| ENB.PR.D | FixedReset Disc | 114,204 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 7.65 % |
| RY.PR.H | FixedReset Disc | 68,440 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 23.94 Evaluated at bid price : 24.95 Bid-YTW : 5.28 % |
| TD.PF.C | FixedReset Disc | 58,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 23.13 Evaluated at bid price : 23.92 Bid-YTW : 5.49 % |
| TD.PF.A | FixedReset Disc | 56,258 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-14 Maturity Price : 23.28 Evaluated at bid price : 24.30 Bid-YTW : 5.40 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.H | FixedReset Ins Non | Quote: 14.67 – 19.45 Spot Rate : 4.7800 Average : 2.6579 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 23.63 – 25.00 Spot Rate : 1.3700 Average : 0.8258 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 15.30 – 16.30 Spot Rate : 1.0000 Average : 0.6663 YTW SCENARIO |
| PWF.PR.E | Perpetual-Discount | Quote: 22.45 – 23.45 Spot Rate : 1.0000 Average : 0.6665 YTW SCENARIO |
| PWF.PR.G | Perpetual-Discount | Quote: 23.40 – 24.00 Spot Rate : 0.6000 Average : 0.4002 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 21.19 – 22.50 Spot Rate : 1.3100 Average : 1.1154 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.14%, equivalent to 7.98% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.90% on 2024-8-9 and since then the closing price of ZLC has changed from 15.31 to 15.52, an increase of 137bp in price, implying a decrease of yields of 11bp (BMO reports a duration of 12.37, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.79%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 320bp from the 325bp reported August 14. […]