PerpetualDiscounts now yield 6.03%, equivalent to 7.84% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.22 after going ex-dividend for $0.06 on 9/27, a total return of -1.48%, implying an increase of yields of 12bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.89%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 295bp from the 300bp reported October 2.
| 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 | 0.4919 % | 2,147.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4919 % | 4,119.7 |
| Floater | 9.61 % | 10.14 % | 36,152 | 9.45 | 4 | 0.4919 % | 2,374.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1504 % | 3,602.0 |
| SplitShare | 4.79 % | 5.21 % | 42,397 | 1.33 | 8 | 0.1504 % | 4,301.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1504 % | 3,356.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2135 % | 2,904.9 |
| Perpetual-Discount | 5.92 % | 6.03 % | 49,758 | 13.81 | 31 | 0.2135 % | 3,167.6 |
| FixedReset Disc | 5.50 % | 6.91 % | 122,438 | 12.49 | 58 | 0.0432 % | 2,675.8 |
| Insurance Straight | 5.78 % | 5.85 % | 59,296 | 14.11 | 20 | -0.8802 % | 3,131.4 |
| FloatingReset | 8.20 % | 8.30 % | 28,149 | 11.09 | 1 | 0.4608 % | 2,760.5 |
| FixedReset Prem | 6.45 % | 5.79 % | 211,058 | 13.50 | 7 | -0.0557 % | 2,567.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0432 % | 2,735.2 |
| FixedReset Ins Non | 5.19 % | 6.30 % | 95,333 | 13.61 | 14 | 0.0888 % | 2,828.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CCS.PR.C | Insurance Straight | -3.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.80 % |
| GWO.PR.T | Insurance Straight | -3.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.12 % |
| GWO.PR.Q | Insurance Straight | -3.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.06 % |
| MFC.PR.B | Insurance Straight | -3.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.91 % |
| ENB.PR.F | FixedReset Disc | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 7.73 % |
| BN.PR.X | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 7.48 % |
| BN.PF.H | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 23.05 Evaluated at bid price : 23.54 Bid-YTW : 7.55 % |
| CU.PR.G | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 6.05 % |
| BN.PF.I | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.34 Evaluated at bid price : 22.75 Bid-YTW : 7.38 % |
| BN.PF.F | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.29 % |
| GWO.PR.H | Insurance Straight | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 5.90 % |
| IFC.PR.G | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.84 Evaluated at bid price : 23.90 Bid-YTW : 6.00 % |
| BN.PR.K | Floater | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 10.14 % |
| ENB.PR.A | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 6.11 % |
| POW.PR.C | Perpetual-Discount | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 6.00 % |
| TD.PF.E | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 23.48 Evaluated at bid price : 24.00 Bid-YTW : 6.07 % |
| IFC.PR.C | FixedReset Ins Non | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 6.59 % |
| PWF.PR.L | Perpetual-Discount | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.39 Evaluated at bid price : 21.66 Bid-YTW : 6.00 % |
| PWF.PR.E | Perpetual-Discount | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.08 % |
| PWF.PR.T | FixedReset Disc | 3.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.06 Evaluated at bid price : 22.57 Bid-YTW : 6.20 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.W | FixedReset Disc | 323,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 4.71 % |
| PWF.PF.A | Perpetual-Discount | 113,227 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.89 Evaluated at bid price : 19.89 Bid-YTW : 5.77 % |
| CM.PR.Q | FixedReset Disc | 102,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 23.61 Evaluated at bid price : 24.20 Bid-YTW : 5.93 % |
| PWF.PR.K | Perpetual-Discount | 100,330 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.96 % |
| MFC.PR.Q | FixedReset Ins Non | 70,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.89 Evaluated at bid price : 24.01 Bid-YTW : 5.97 % |
| ENB.PF.A | FixedReset Disc | 68,044 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 7.59 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.H | Perpetual-Discount | Quote: 21.76 – 23.34 Spot Rate : 1.5800 Average : 1.0682 YTW SCENARIO |
| MFC.PR.B | Insurance Straight | Quote: 19.90 – 20.66 Spot Rate : 0.7600 Average : 0.4342 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 19.25 – 20.07 Spot Rate : 0.8200 Average : 0.5102 YTW SCENARIO |
| GWO.PR.Q | Insurance Straight | Quote: 21.45 – 22.18 Spot Rate : 0.7300 Average : 0.4390 YTW SCENARIO |
| GWO.PR.T | Insurance Straight | Quote: 21.25 – 22.37 Spot Rate : 1.1200 Average : 0.8927 YTW SCENARIO |
| GWO.PR.Y | Insurance Straight | Quote: 19.40 – 20.00 Spot Rate : 0.6000 Average : 0.3830 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.00%, equivalent to 7.80% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.93% on 2024-10-11 and since then the closing price of ZLC has changed from 15.25 to 15.47, a total return of +1.44%, implying a decrease of yields of 12bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.81%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 300bp from the 295bp reported October 9. […]