October 30, 2024

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
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
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %

MFC.PR.F FixedReset Ins Non Quote: 15.50 – 17.00
Spot Rate : 1.5000
Average : 1.1596

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 %

BN.PF.I FixedReset Disc Quote: 21.90 – 23.60
Spot Rate : 1.7000
Average : 1.3901

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 Quote: 20.22 – 20.80
Spot Rate : 0.5800
Average : 0.3723

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 %

CU.PR.C FixedReset Disc Quote: 20.32 – 21.01
Spot Rate : 0.6900
Average : 0.4990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.81 %

ENB.PF.A FixedReset Disc Quote: 18.70 – 19.19
Spot Rate : 0.4900
Average : 0.3193

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 %

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