PerpetualDiscounts now yield 6.13%, equivalent to 7.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.93% on 2024-10-29 and since then the closing price of ZLC has changed from 15.30 to 15.28, a total return of -0.13%, implying an increase of yields of 1bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.94%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 305bp from the 290bp reported October 23.
| 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 | 0.0000 % | 2,147.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,117.9 |
| Floater | 8.87 % | 9.36 % | 36,807 | 10.05 | 4 | 0.0000 % | 2,373.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1051 % | 3,599.3 |
| SplitShare | 4.80 % | 5.23 % | 45,780 | 1.27 | 8 | -0.1051 % | 4,298.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1051 % | 3,353.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2322 % | 2,858.2 |
| Perpetual-Discount | 6.02 % | 6.13 % | 51,621 | 13.69 | 31 | 0.2322 % | 3,116.7 |
| FixedReset Disc | 5.53 % | 7.03 % | 112,355 | 12.47 | 58 | 0.0303 % | 2,659.6 |
| Insurance Straight | 5.93 % | 6.09 % | 68,898 | 13.74 | 20 | 0.3510 % | 3,051.6 |
| FloatingReset | 7.46 % | 7.57 % | 27,178 | 11.82 | 1 | -0.8889 % | 2,823.8 |
| FixedReset Prem | 6.41 % | 5.72 % | 180,317 | 3.75 | 7 | -0.1383 % | 2,583.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0303 % | 2,718.7 |
| FixedReset Ins Non | 5.27 % | 6.28 % | 87,118 | 13.49 | 14 | 0.1771 % | 2,785.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PF.I | FixedReset Disc | -2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 7.67 % |
| FTS.PR.J | Perpetual-Discount | -2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 5.99 % |
| ENB.PF.A | FixedReset Disc | -2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 7.79 % |
| IFC.PR.F | Insurance Straight | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 22.08 Evaluated at bid price : 22.08 Bid-YTW : 6.08 % |
| FTS.PR.K | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 6.57 % |
| PWF.PR.L | Perpetual-Discount | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 6.19 % |
| MFC.PR.F | FixedReset Ins Non | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 6.90 % |
| MFC.PR.B | Insurance Straight | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.93 % |
| GWO.PR.R | Insurance Straight | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 19.94 Evaluated at bid price : 19.94 Bid-YTW : 6.10 % |
| BN.PR.N | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 6.40 % |
| MFC.PR.C | Insurance Straight | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.80 % |
| CU.PR.J | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.10 % |
| PWF.PR.Z | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.13 % |
| PWF.PR.S | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.04 % |
| SLF.PR.C | Insurance Straight | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 5.59 % |
| PWF.PR.R | Perpetual-Discount | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 6.23 % |
| MFC.PR.N | FixedReset Ins Non | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 6.33 % |
| GWO.PR.G | Insurance Straight | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 6.34 % |
| IFC.PR.E | Insurance Straight | 3.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 21.90 Evaluated at bid price : 21.90 Bid-YTW : 6.02 % |
| BN.PF.C | Perpetual-Discount | 3.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 6.42 % |
| POW.PR.D | Perpetual-Discount | 4.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.10 % |
| BN.PF.F | FixedReset Disc | 7.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.44 Evaluated at bid price : 20.44 Bid-YTW : 7.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.K | Floater | 85,485 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 11.32 Evaluated at bid price : 11.32 Bid-YTW : 9.38 % |
| BMO.PR.W | FixedReset Disc | 69,768 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-12-25 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 4.71 % |
| TD.PF.C | FixedReset Disc | 37,282 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 22.26 Evaluated at bid price : 23.00 Bid-YTW : 5.75 % |
| MFC.PR.M | FixedReset Ins Non | 35,880 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 21.49 Evaluated at bid price : 21.80 Bid-YTW : 6.28 % |
| BN.PR.B | Floater | 18,759 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 9.40 % |
| FTS.PR.M | FixedReset Disc | 18,374 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-30 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 6.86 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.C | FixedReset Ins Non | Quote: 18.00 – 21.00 Spot Rate : 3.0000 Average : 2.4495 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 15.50 – 17.00 Spot Rate : 1.5000 Average : 1.1596 YTW SCENARIO |
| BN.PF.I | FixedReset Disc | Quote: 21.90 – 23.60 Spot Rate : 1.7000 Average : 1.3901 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 20.22 – 20.80 Spot Rate : 0.5800 Average : 0.3723 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 20.32 – 21.01 Spot Rate : 0.6900 Average : 0.4990 YTW SCENARIO |
| ENB.PF.A | FixedReset Disc | Quote: 18.70 – 19.19 Spot Rate : 0.4900 Average : 0.3193 YTW SCENARIO |
[…] Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 305bp on 2024-10-30, very near the 300bp on 2024-10-2 (chart end-date […]
[…] PerpetualDiscounts now yield 6.28%, equivalent to 8.16% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.85% on 2024-11-5 and since then the closing price of ZLC has changed from 15.40 to 15.34, a total return of -0.39%, implying an increase of yields of 3bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.88%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to 340bp from the 305bp reported October 30. […]