PerpetualDiscounts now yield 5.96%, equivalent to 7.75% 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 is unchanged at 15.51. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 300bp reported September 18.
| 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 | -0.3932 % | 2,174.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3932 % | 4,170.1 |
| Floater | 9.90 % | 10.01 % | 49,379 | 9.58 | 2 | -0.3932 % | 2,403.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3053 % | 3,563.9 |
| SplitShare | 4.67 % | 5.07 % | 52,119 | 1.06 | 4 | 0.3053 % | 4,256.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3053 % | 3,320.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2767 % | 2,933.8 |
| Perpetual-Discount | 5.87 % | 5.96 % | 54,201 | 13.92 | 31 | 0.2767 % | 3,199.2 |
| FixedReset Disc | 5.51 % | 6.57 % | 115,655 | 12.86 | 58 | -0.1321 % | 2,652.1 |
| Insurance Straight | 5.74 % | 5.80 % | 64,377 | 14.25 | 20 | 0.4232 % | 3,153.0 |
| FloatingReset | 8.38 % | 8.47 % | 32,874 | 10.94 | 2 | -0.3397 % | 2,734.8 |
| FixedReset Prem | 6.45 % | 5.55 % | 229,762 | 13.52 | 7 | -0.0446 % | 2,567.6 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1321 % | 2,711.0 |
| FixedReset Ins Non | 5.19 % | 5.95 % | 99,021 | 14.01 | 14 | 0.1058 % | 2,830.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset Disc | -6.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 14.08 Evaluated at bid price : 14.08 Bid-YTW : 7.41 % |
| ENB.PF.G | FixedReset Disc | -3.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.78 % |
| FFH.PR.K | FixedReset Disc | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 7.09 % |
| FFH.PR.C | FixedReset Disc | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 6.89 % |
| CU.PR.D | Perpetual-Discount | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.98 % |
| GWO.PR.Y | Insurance Straight | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 5.80 % |
| ENB.PF.C | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 7.51 % |
| PVS.PR.K | SplitShare | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 5.07 % |
| SLF.PR.D | Insurance Straight | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.47 % |
| BN.PF.B | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.57 % |
| BN.PR.N | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.10 % |
| MFC.PR.B | Insurance Straight | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.77 % |
| CCS.PR.C | Insurance Straight | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 21.32 Evaluated at bid price : 21.59 Bid-YTW : 5.81 % |
| PWF.PR.S | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.84 % |
| GWO.PR.T | Insurance Straight | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 21.65 Evaluated at bid price : 21.65 Bid-YTW : 5.99 % |
| RY.PR.M | FixedReset Disc | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 23.00 Evaluated at bid price : 23.51 Bid-YTW : 5.56 % |
| BIP.PR.E | FixedReset Disc | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 22.69 Evaluated at bid price : 23.55 Bid-YTW : 6.33 % |
| MFC.PR.F | FixedReset Ins Non | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 6.09 % |
| TD.PF.D | FixedReset Disc | 3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 23.09 Evaluated at bid price : 23.70 Bid-YTW : 5.76 % |
| SLF.PR.H | FixedReset Ins Non | 3.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.99 % |
| SLF.PR.C | Insurance Straight | 3.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.46 % |
| CU.PR.G | Perpetual-Discount | 6.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.91 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.J | FixedReset Prem | 122,004 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 23.28 Evaluated at bid price : 24.95 Bid-YTW : 5.54 % |
| GWO.PR.N | FixedReset Ins Non | 111,755 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 6.62 % |
| TD.PF.C | FixedReset Disc | 70,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 22.12 Evaluated at bid price : 22.75 Bid-YTW : 5.52 % |
| POW.PR.B | Perpetual-Discount | 58,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 22.08 Evaluated at bid price : 22.36 Bid-YTW : 5.99 % |
| SLF.PR.D | Insurance Straight | 51,930 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.47 % |
| NA.PR.G | FixedReset Prem | 51,814 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-25 Maturity Price : 23.49 Evaluated at bid price : 25.86 Bid-YTW : 5.70 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| ENB.PF.C | FixedReset Disc | Quote: 18.05 – 18.90 Spot Rate : 0.8500 Average : 0.5041 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 14.08 – 15.15 Spot Rate : 1.0700 Average : 0.7272 YTW SCENARIO |
| ENB.PF.G | FixedReset Disc | Quote: 17.10 – 18.02 Spot Rate : 0.9200 Average : 0.5949 YTW SCENARIO |
| BN.PF.A | FixedReset Disc | Quote: 23.35 – 24.25 Spot Rate : 0.9000 Average : 0.6499 YTW SCENARIO |
| PVS.PR.K | SplitShare | Quote: 24.45 – 25.00 Spot Rate : 0.5500 Average : 0.3857 YTW SCENARIO |
| FFH.PR.K | FixedReset Disc | Quote: 21.50 – 22.00 Spot Rate : 0.5000 Average : 0.3427 YTW SCENARIO |