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.
| 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 | -0.1717 % | 2,218.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1717 % | 4,254.2 |
| Floater | 9.71 % | 9.97 % | 80,981 | 9.44 | 2 | -0.1717 % | 2,451.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1531 % | 3,537.5 |
| SplitShare | 4.70 % | 5.72 % | 33,968 | 1.10 | 4 | -0.1531 % | 4,224.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1531 % | 3,296.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2177 % | 2,916.7 |
| Perpetual-Discount | 5.90 % | 6.04 % | 58,602 | 13.78 | 31 | -0.2177 % | 3,180.6 |
| FixedReset Disc | 5.48 % | 6.60 % | 111,708 | 12.90 | 58 | -0.4487 % | 2,663.5 |
| Insurance Straight | 5.79 % | 5.84 % | 65,765 | 14.08 | 20 | 0.1116 % | 3,127.4 |
| FloatingReset | 8.27 % | 8.38 % | 32,324 | 10.85 | 2 | 0.2587 % | 2,778.5 |
| FixedReset Prem | 6.45 % | 5.55 % | 212,614 | 13.54 | 7 | -0.0223 % | 2,565.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4487 % | 2,722.6 |
| FixedReset Ins Non | 5.20 % | 5.95 % | 100,866 | 13.97 | 14 | -0.8734 % | 2,826.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BIP.PR.A | FixedReset Disc | -12.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 8.21 % |
| ENB.PF.G | FixedReset Disc | -6.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 8.23 % |
| SLF.PR.H | FixedReset Ins Non | -6.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.54 % |
| MFC.PR.B | Insurance Straight | -5.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.03 % |
| PWF.PR.R | Perpetual-Discount | -5.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 6.40 % |
| BN.PF.E | FixedReset Disc | -4.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.77 % |
| MFC.PR.F | FixedReset Ins Non | -4.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 6.26 % |
| BN.PR.X | FixedReset Disc | -4.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 7.24 % |
| PWF.PR.L | Perpetual-Discount | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.17 % |
| MFC.PR.M | FixedReset Ins Non | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.05 % |
| MFC.PR.N | FixedReset Ins Non | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.95 % |
| ENB.PF.K | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 22.77 Evaluated at bid price : 23.71 Bid-YTW : 6.37 % |
| FFH.PR.G | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 7.43 % |
| GWO.PR.Q | Insurance Straight | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 5.90 % |
| SLF.PR.D | Insurance Straight | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 5.41 % |
| CU.PR.D | Perpetual-Discount | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 5.92 % |
| GWO.PR.T | Insurance Straight | 2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.70 Evaluated at bid price : 21.70 Bid-YTW : 5.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.A | FixedReset Disc | 69,972 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 23.40 Evaluated at bid price : 24.52 Bid-YTW : 5.12 % |
| IFC.PR.C | FixedReset Ins Non | 62,487 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 6.24 % |
| CM.PR.S | FixedReset Disc | 61,446 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 24.83 Evaluated at bid price : 24.83 Bid-YTW : 5.50 % |
| POW.PR.D | Perpetual-Discount | 58,616 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 6.04 % |
| ENB.PR.T | FixedReset Disc | 38,960 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 20.48 Evaluated at bid price : 20.48 Bid-YTW : 6.94 % |
| MFC.PR.Q | FixedReset Ins Non | 32,732 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-11 Maturity Price : 23.07 Evaluated at bid price : 24.45 Bid-YTW : 5.57 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.A | FixedReset Disc | Quote: 19.00 – 21.95 Spot Rate : 2.9500 Average : 1.7637 YTW SCENARIO |
| BN.PF.G | FixedReset Disc | Quote: 15.80 – 19.05 Spot Rate : 3.2500 Average : 2.5599 YTW SCENARIO |
| PWF.PR.R | Perpetual-Discount | Quote: 21.80 – 23.20 Spot Rate : 1.4000 Average : 0.8423 YTW SCENARIO |
| GWO.PR.H | Insurance Straight | Quote: 20.67 – 22.00 Spot Rate : 1.3300 Average : 0.7757 YTW SCENARIO |
| MFC.PR.B | Insurance Straight | Quote: 19.40 – 20.69 Spot Rate : 1.2900 Average : 0.7636 YTW SCENARIO |
| ENB.PF.G | FixedReset Disc | Quote: 16.21 – 18.00 Spot Rate : 1.7900 Average : 1.3432 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.98%, equivalent to 7.77% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-13 and since then the closing price of ZLC has changed from 15.55 to 15.51, a decrease of 26bp in price, implying an increase of yields of 2bp (BMO reports a duration of 12.46, 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 to 300bp from the 310bp reported September 11. […]