PerpetualDiscounts now yield 6.28%, equivalent to 8.16% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.85% on 2024-11-5 and since then the closing price of ZLC has changed from 15.40 to 15.34, a total return of -0.39%, implying an increase of yields of 3bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.88%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to 340bp from the 305bp reported October 30.
| 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 | 0.1493 % | 2,145.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1493 % | 4,115.3 |
| Floater | 8.87 % | 9.37 % | 33,930 | 10.02 | 4 | 0.1493 % | 2,371.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3744 % | 3,587.9 |
| SplitShare | 4.82 % | 5.37 % | 67,160 | 2.16 | 6 | -0.3744 % | 4,284.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3744 % | 3,343.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.3701 % | 2,792.0 |
| Perpetual-Discount | 6.17 % | 6.28 % | 51,992 | 13.47 | 31 | -1.3701 % | 3,044.5 |
| FixedReset Disc | 5.58 % | 7.07 % | 100,013 | 12.35 | 58 | 0.1969 % | 2,649.4 |
| Insurance Straight | 6.11 % | 6.14 % | 68,585 | 13.67 | 21 | -3.0615 % | 2,964.8 |
| FloatingReset | 7.71 % | 7.48 % | 26,804 | 11.90 | 2 | 0.2478 % | 2,834.3 |
| FixedReset Prem | 6.40 % | 5.56 % | 183,486 | 3.73 | 7 | 0.1163 % | 2,587.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1969 % | 2,708.3 |
| FixedReset Ins Non | 5.31 % | 6.29 % | 82,212 | 13.43 | 14 | -1.1544 % | 2,768.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.T | Insurance Straight | -19.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.60 % |
| SLF.PR.D | Insurance Straight | -17.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.85 % |
| IFC.PR.C | FixedReset Ins Non | -11.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.59 % |
| BN.PF.C | Perpetual-Discount | -5.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.49 Evaluated at bid price : 18.49 Bid-YTW : 6.66 % |
| BN.PF.F | FixedReset Disc | -5.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.89 % |
| GWO.PR.G | Insurance Straight | -4.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.49 % |
| CU.PR.J | Perpetual-Discount | -4.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.45 % |
| PWF.PR.L | Perpetual-Discount | -4.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.43 % |
| PWF.PR.Z | Perpetual-Discount | -4.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 6.41 % |
| BN.PR.N | Perpetual-Discount | -3.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.70 % |
| MFC.PR.C | Insurance Straight | -3.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.02 % |
| PWF.PR.F | Perpetual-Discount | -3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.31 % |
| PWF.PR.E | Perpetual-Discount | -2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.56 Evaluated at bid price : 21.82 Bid-YTW : 6.34 % |
| PWF.PR.O | Perpetual-Discount | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.73 Evaluated at bid price : 23.02 Bid-YTW : 6.34 % |
| FFH.PR.K | FixedReset Disc | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 7.44 % |
| SLF.PR.E | Insurance Straight | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.73 % |
| PWF.PR.H | Perpetual-Discount | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.50 Evaluated at bid price : 22.76 Bid-YTW : 6.36 % |
| SLF.PR.H | FixedReset Ins Non | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.83 % |
| POW.PR.B | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 6.28 % |
| POW.PR.C | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 23.25 Evaluated at bid price : 23.55 Bid-YTW : 6.22 % |
| POW.PR.A | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 6.27 % |
| POW.PR.G | Perpetual-Discount | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.15 Evaluated at bid price : 22.43 Bid-YTW : 6.30 % |
| IFC.PR.F | Insurance Straight | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.90 Evaluated at bid price : 21.90 Bid-YTW : 6.14 % |
| PWF.PR.K | Perpetual-Discount | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.94 Evaluated at bid price : 19.94 Bid-YTW : 6.26 % |
| BN.PF.D | Perpetual-Discount | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.41 % |
| SLF.PR.C | Insurance Straight | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.71 Evaluated at bid price : 19.71 Bid-YTW : 5.72 % |
| PWF.PR.R | Perpetual-Discount | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.73 Evaluated at bid price : 21.98 Bid-YTW : 6.30 % |
| BIP.PR.F | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.89 Evaluated at bid price : 22.31 Bid-YTW : 6.95 % |
| IFC.PR.K | Insurance Straight | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.30 Evaluated at bid price : 21.58 Bid-YTW : 6.16 % |
| GWO.PR.Y | Insurance Straight | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 6.11 % |
| ENB.PR.A | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.26 Evaluated at bid price : 22.53 Bid-YTW : 6.22 % |
| PVS.PR.J | SplitShare | -1.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 6.03 % |
| CU.PR.D | Perpetual-Discount | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 6.20 % |
| CU.PR.C | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.92 % |
| GWO.PR.I | Insurance Straight | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 6.09 % |
| IFC.PR.G | FixedReset Ins Non | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.67 Evaluated at bid price : 23.55 Bid-YTW : 6.10 % |
| BN.PF.J | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.11 Evaluated at bid price : 22.51 Bid-YTW : 6.96 % |
| CU.PR.E | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.24 % |
| GWO.PR.P | Insurance Straight | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 6.25 % |
| GWO.PR.L | Insurance Straight | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.22 % |
| FTS.PR.K | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.04 Evaluated at bid price : 20.04 Bid-YTW : 6.65 % |
| GWO.PR.S | Insurance Straight | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.49 Evaluated at bid price : 21.49 Bid-YTW : 6.20 % |
| ENB.PR.Y | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 7.85 % |
| GWO.PR.Q | Insurance Straight | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.18 % |
| FTS.PR.G | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.51 % |
| BN.PR.X | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 8.03 % |
| MFC.PR.Q | FixedReset Ins Non | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.79 Evaluated at bid price : 23.78 Bid-YTW : 6.03 % |
| FFH.PR.I | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 7.73 % |
| IFC.PR.I | Insurance Straight | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.11 Evaluated at bid price : 22.45 Bid-YTW : 6.09 % |
| GWO.PR.M | Insurance Straight | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 6.25 % |
| MFC.PR.N | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.37 % |
| NA.PR.W | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.60 Evaluated at bid price : 23.65 Bid-YTW : 5.56 % |
| FFH.PR.C | FixedReset Disc | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.30 Evaluated at bid price : 23.05 Bid-YTW : 6.78 % |
| BN.PR.R | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 7.68 % |
| FTS.PR.M | FixedReset Disc | 3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.92 % |
| BN.PF.B | FixedReset Disc | 3.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 7.23 % |
| BN.PF.G | FixedReset Disc | 3.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 7.55 % |
| ENB.PR.F | FixedReset Disc | 5.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 7.75 % |
| FFH.PR.G | FixedReset Disc | 11.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.75 % |
| CU.PR.G | Perpetual-Discount | 16.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.18 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.C | FixedReset Disc | 48,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.43 Evaluated at bid price : 23.31 Bid-YTW : 5.67 % |
| BN.PF.A | FixedReset Disc | 38,544 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 22.17 Evaluated at bid price : 22.71 Bid-YTW : 6.88 % |
| MFC.PR.M | FixedReset Ins Non | 29,145 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 21.46 Evaluated at bid price : 21.76 Bid-YTW : 6.29 % |
| BN.PF.G | FixedReset Disc | 25,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 7.55 % |
| CU.PR.D | Perpetual-Discount | 18,147 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 6.20 % |
| ENB.PF.C | FixedReset Disc | 17,309 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-06 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 7.93 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.T | Insurance Straight | Quote: 17.25 – 21.32 Spot Rate : 4.0700 Average : 2.2017 YTW SCENARIO |
| SLF.PR.D | Insurance Straight | Quote: 16.50 – 19.75 Spot Rate : 3.2500 Average : 1.7622 YTW SCENARIO |
| IFC.PR.C | FixedReset Ins Non | Quote: 18.00 – 21.22 Spot Rate : 3.2200 Average : 2.1561 YTW SCENARIO |
| BN.PF.F | FixedReset Disc | Quote: 19.00 – 20.40 Spot Rate : 1.4000 Average : 0.9807 YTW SCENARIO |
| CU.PR.J | Perpetual-Discount | Quote: 18.80 – 19.87 Spot Rate : 1.0700 Average : 0.6754 YTW SCENARIO |
| PWF.PR.Z | Perpetual-Discount | Quote: 20.27 – 21.74 Spot Rate : 1.4700 Average : 1.0847 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-11-12 and since then the closing price of ZLC has changed from 15.51 to 15.46, a total return of -0.32%, implying an increase of yields of 3bp (BMO reports a duration of 12.49, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 335bp from the 340bp reported November 6. […]