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.
| 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 | 0.0213 % | 2,149.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0213 % | 4,122.3 |
| Floater | 9.60 % | 10.16 % | 37,635 | 9.42 | 4 | 0.0213 % | 2,375.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0250 % | 3,604.3 |
| SplitShare | 4.79 % | 5.20 % | 42,028 | 1.31 | 8 | 0.0250 % | 4,304.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0250 % | 3,358.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2604 % | 2,899.9 |
| Perpetual-Discount | 5.93 % | 6.00 % | 51,633 | 13.88 | 31 | 0.2604 % | 3,162.2 |
| FixedReset Disc | 5.53 % | 6.88 % | 120,084 | 12.52 | 58 | 0.1147 % | 2,661.1 |
| Insurance Straight | 5.79 % | 5.85 % | 58,645 | 14.13 | 20 | 0.3920 % | 3,123.8 |
| FloatingReset | 7.94 % | 8.04 % | 26,043 | 11.33 | 1 | 0.9589 % | 2,799.8 |
| FixedReset Prem | 6.46 % | 5.72 % | 204,607 | 13.57 | 7 | 0.0894 % | 2,562.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1147 % | 2,720.2 |
| FixedReset Ins Non | 5.21 % | 6.20 % | 92,554 | 13.65 | 14 | 0.5993 % | 2,819.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.E | FixedReset Disc | -3.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.12 Evaluated at bid price : 22.79 Bid-YTW : 6.24 % |
| CU.PR.C | FixedReset Disc | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 6.72 % |
| PWF.PR.L | Perpetual-Discount | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.10 % |
| CCS.PR.C | Insurance Straight | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.80 % |
| IFC.PR.A | FixedReset Ins Non | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.57 % |
| IFC.PR.G | FixedReset Ins Non | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.85 Evaluated at bid price : 23.93 Bid-YTW : 5.93 % |
| ENB.PR.A | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.98 % |
| GWO.PR.I | Insurance Straight | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 5.73 % |
| ENB.PF.G | FixedReset Disc | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 7.99 % |
| ENB.PF.K | FixedReset Disc | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.11 Evaluated at bid price : 22.55 Bid-YTW : 6.97 % |
| BN.PF.I | FixedReset Disc | 2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.14 Evaluated at bid price : 22.45 Bid-YTW : 7.41 % |
| SLF.PR.C | Insurance Straight | 3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 5.45 % |
| GWO.PR.T | Insurance Straight | 3.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 5.91 % |
| SLF.PR.H | FixedReset Ins Non | 6.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.40 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.D | Perpetual-Discount | 108,566 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 6.15 % |
| CM.PR.S | FixedReset Disc | 91,810 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 24.86 Evaluated at bid price : 24.86 Bid-YTW : 5.60 % |
| SLF.PR.G | FixedReset Ins Non | 83,428 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 6.61 % |
| FTS.PR.H | FixedReset Disc | 70,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 7.26 % |
| NA.PR.W | FixedReset Disc | 26,611 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.16 Evaluated at bid price : 22.82 Bid-YTW : 5.71 % |
| CM.PR.Q | FixedReset Disc | 23,715 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 23.65 Evaluated at bid price : 24.24 Bid-YTW : 5.84 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.E | Perpetual-Discount | Quote: 20.64 – 21.80 Spot Rate : 1.1600 Average : 0.7694 YTW SCENARIO |
| BN.PR.M | Perpetual-Discount | Quote: 19.35 – 20.39 Spot Rate : 1.0400 Average : 0.6558 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 22.79 – 24.05 Spot Rate : 1.2600 Average : 0.9572 YTW SCENARIO |
| PWF.PR.K | Perpetual-Discount | Quote: 20.77 – 21.50 Spot Rate : 0.7300 Average : 0.4404 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 19.25 – 20.75 Spot Rate : 1.5000 Average : 1.2405 YTW SCENARIO |
| TD.PF.I | FixedReset Prem | Quote: 25.46 – 26.10 Spot Rate : 0.6400 Average : 0.3897 YTW SCENARIO |