PerpetualDiscounts now yield 6.06%, equivalent to 7.88% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.84% on 2024-10-18 and since then the closing price of ZLC has changed from 15.44 to 15.16, a total return of -1.81%, implying an increase of yields of 15bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.99%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 290bp from the 300bp reported October 16.
| 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 | -0.1912 % | 2,147.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1912 % | 4,117.9 |
| Floater | 9.61 % | 10.18 % | 36,654 | 9.38 | 4 | -0.1912 % | 2,373.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0250 % | 3,603.2 |
| SplitShare | 4.79 % | 5.42 % | 44,632 | 1.29 | 8 | -0.0250 % | 4,303.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0250 % | 3,357.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4770 % | 2,899.0 |
| Perpetual-Discount | 5.94 % | 6.06 % | 50,570 | 13.84 | 31 | -0.4770 % | 3,161.2 |
| FixedReset Disc | 5.51 % | 6.90 % | 120,779 | 12.62 | 58 | -0.1297 % | 2,667.9 |
| Insurance Straight | 5.80 % | 5.93 % | 63,217 | 14.00 | 20 | -0.4174 % | 3,118.4 |
| FloatingReset | 7.60 % | 7.71 % | 26,559 | 11.67 | 1 | 0.0888 % | 2,852.9 |
| FixedReset Prem | 6.42 % | 5.64 % | 202,361 | 13.56 | 7 | 0.1723 % | 2,578.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1297 % | 2,727.1 |
| FixedReset Ins Non | 5.23 % | 6.17 % | 89,761 | 13.63 | 14 | -0.4109 % | 2,807.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset Ins Non | -6.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.87 % |
| GWO.PR.T | Insurance Straight | -2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.13 % |
| CU.PR.F | Perpetual-Discount | -2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.12 % |
| BN.PR.M | Perpetual-Discount | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 6.30 % |
| CU.PR.J | Perpetual-Discount | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 6.16 % |
| BIP.PR.E | FixedReset Disc | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.44 Evaluated at bid price : 23.08 Bid-YTW : 6.72 % |
| PWF.PR.L | Perpetual-Discount | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.11 % |
| POW.PR.C | Perpetual-Discount | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 6.08 % |
| GWO.PR.Q | Insurance Straight | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.35 Evaluated at bid price : 21.62 Bid-YTW : 6.01 % |
| FFH.PR.K | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 7.16 % |
| CM.PR.P | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.96 Evaluated at bid price : 23.90 Bid-YTW : 5.43 % |
| PWF.PR.A | Floater | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 13.16 Evaluated at bid price : 13.16 Bid-YTW : 8.82 % |
| GWO.PR.Y | Insurance Straight | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.93 % |
| PWF.PR.Z | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.11 % |
| BN.PF.J | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.51 Evaluated at bid price : 23.16 Bid-YTW : 6.66 % |
| BIP.PR.A | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 7.65 % |
| TD.PF.E | FixedReset Disc | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.30 Evaluated at bid price : 23.85 Bid-YTW : 5.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.M | FixedReset Disc | 74,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.66 Evaluated at bid price : 24.16 Bid-YTW : 5.66 % |
| ENB.PF.C | FixedReset Disc | 46,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 7.75 % |
| NA.PR.C | FixedReset Prem | 34,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.73 Bid-YTW : 5.87 % |
| ENB.PF.G | FixedReset Disc | 30,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 7.83 % |
| BN.PF.H | FixedReset Disc | 26,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.22 Evaluated at bid price : 23.72 Bid-YTW : 7.41 % |
| PWF.PR.P | FixedReset Disc | 25,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 7.33 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BN.PF.I | FixedReset Disc | Quote: 22.37 – 23.60 Spot Rate : 1.2300 Average : 0.8642 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 20.75 – 21.99 Spot Rate : 1.2400 Average : 0.8986 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 22.50 – 23.34 Spot Rate : 0.8400 Average : 0.5256 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 21.00 – 21.74 Spot Rate : 0.7400 Average : 0.4614 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 15.30 – 16.30 Spot Rate : 1.0000 Average : 0.7378 YTW SCENARIO |
| GWO.PR.T | Insurance Straight | Quote: 21.25 – 21.95 Spot Rate : 0.7000 Average : 0.4906 YTW SCENARIO |
RS / RS.PR.A did an overnight issue, trading down today.
https://middlefield.com/wp-content/uploads/2024/10/rs-102424.pdf
FTS M seems to have been extended in a footnote under the “Preference Shares” table. Quite the communications strategy.
https://www.fortisinc.com/investors/share-information/index#preference-shares
[…] Thanks to Assiduous Reader IrateAR for bringing this to my attention! […]
[…] 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. […]