PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.38, a decrease of 45bp in price, implying an increase of yields of 4bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.87%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 305bp reported August 28.
| 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 | 0.5625 % | 2,216.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5625 % | 4,250.5 |
| Floater | 10.09 % | 10.42 % | 35,206 | 9.11 | 2 | 0.5625 % | 2,449.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3669 % | 3,560.6 |
| SplitShare | 4.67 % | 5.15 % | 30,822 | 1.12 | 4 | 0.3669 % | 4,252.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3669 % | 3,317.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1676 % | 2,897.0 |
| Perpetual-Discount | 5.94 % | 6.09 % | 57,882 | 13.71 | 31 | 0.1676 % | 3,159.0 |
| FixedReset Disc | 5.43 % | 6.81 % | 116,540 | 12.64 | 58 | 0.1354 % | 2,690.9 |
| Insurance Straight | 5.82 % | 5.88 % | 68,849 | 14.08 | 20 | 0.2598 % | 3,110.6 |
| FloatingReset | 8.34 % | 8.41 % | 33,538 | 10.84 | 2 | 0.3369 % | 2,776.4 |
| FixedReset Prem | 6.43 % | 5.59 % | 210,517 | 3.88 | 7 | 0.0389 % | 2,575.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1354 % | 2,750.7 |
| FixedReset Ins Non | 5.17 % | 6.03 % | 95,381 | 13.91 | 14 | 0.5601 % | 2,842.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.L | Perpetual-Discount | -8.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 6.70 % |
| PWF.PR.R | Perpetual-Discount | -3.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 21.76 Evaluated at bid price : 22.01 Bid-YTW : 6.33 % |
| SLF.PR.E | Insurance Straight | -3.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.64 % |
| BN.PF.J | FixedReset Disc | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 22.71 Evaluated at bid price : 23.55 Bid-YTW : 6.60 % |
| ENB.PR.N | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 6.88 % |
| BN.PF.C | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 6.20 % |
| PWF.PR.E | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 22.43 Evaluated at bid price : 22.69 Bid-YTW : 6.13 % |
| FFH.PR.G | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 7.49 % |
| POW.PR.C | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 24.15 Evaluated at bid price : 24.40 Bid-YTW : 6.03 % |
| GWO.PR.M | Insurance Straight | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 5.99 % |
| SLF.PR.C | Insurance Straight | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.57 % |
| GWO.PR.R | Insurance Straight | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.82 % |
| FFH.PR.K | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 22.01 Evaluated at bid price : 22.30 Bid-YTW : 7.11 % |
| IFC.PR.I | Insurance Straight | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 22.96 Evaluated at bid price : 23.40 Bid-YTW : 5.86 % |
| BN.PF.F | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 7.13 % |
| MIC.PR.A | Perpetual-Discount | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.57 % |
| BN.PR.M | Perpetual-Discount | 6.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 19.59 Evaluated at bid price : 19.59 Bid-YTW : 6.19 % |
| MFC.PR.N | FixedReset Ins Non | 7.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 21.61 Evaluated at bid price : 21.98 Bid-YTW : 5.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.B | FixedReset Disc | 58,264 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 7.48 % |
| ENB.PR.P | FixedReset Disc | 50,165 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 7.19 % |
| ENB.PR.Y | FixedReset Disc | 45,261 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 7.49 % |
| ENB.PR.T | FixedReset Disc | 43,265 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 7.06 % |
| ENB.PR.D | FixedReset Disc | 42,760 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 7.38 % |
| BN.PR.K | Floater | 42,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-04 Maturity Price : 11.62 Evaluated at bid price : 11.62 Bid-YTW : 10.42 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.L | Perpetual-Discount | Quote: 19.32 – 21.30 Spot Rate : 1.9800 Average : 1.0946 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 20.28 – 21.98 Spot Rate : 1.7000 Average : 0.9434 YTW SCENARIO |
| BN.PR.X | FixedReset Disc | Quote: 17.05 – 18.70 Spot Rate : 1.6500 Average : 0.9807 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 20.00 – 21.19 Spot Rate : 1.1900 Average : 0.7131 YTW SCENARIO |
| PWF.PR.R | Perpetual-Discount | Quote: 22.01 – 22.93 Spot Rate : 0.9200 Average : 0.6229 YTW SCENARIO |
| SLF.PR.D | Insurance Straight | Quote: 20.00 – 20.96 Spot Rate : 0.9600 Average : 0.6641 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.04%, equivalent to 7.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.96% on 2024-8-31 (I assume they meant to write 2024-8-30) and since then the closing price of ZLC has changed from 15.15 to 15.51, an increase of 238bp in price, implying a decrease of yields of 19bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.77%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 310bp from the 305bp reported September 4. […]