September 25, 2024

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
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
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.51 %

PWF.PR.P FixedReset Disc Quote: 14.08 – 15.15
Spot Rate : 1.0700
Average : 0.7272

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 Quote: 17.10 – 18.02
Spot Rate : 0.9200
Average : 0.5949

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 %

BN.PF.A FixedReset Disc Quote: 23.35 – 24.25
Spot Rate : 0.9000
Average : 0.6499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 22.54
Evaluated at bid price : 23.35
Bid-YTW : 6.37 %

PVS.PR.K SplitShare Quote: 24.45 – 25.00
Spot Rate : 0.5500
Average : 0.3857

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 %

FFH.PR.K FixedReset Disc Quote: 21.50 – 22.00
Spot Rate : 0.5000
Average : 0.3427

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 %

One Response to “September 25, 2024”

  1. […] 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 has changed from 15.51 to 15.48 after going ex-dividend for $0.06 on 9/27, a total return of +0.19%, implying a decrease of yields of 2bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.75%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 300bp reported September 25. […]

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