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.
| 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 | -0.0638 % | 2,147.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0638 % | 4,119.7 |
| Floater | 8.86 % | 9.38 % | 33,110 | 9.99 | 4 | -0.0638 % | 2,374.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2206 % | 3,609.3 |
| SplitShare | 4.79 % | 5.33 % | 73,463 | 2.14 | 6 | 0.2206 % | 4,310.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2206 % | 3,363.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4489 % | 2,805.7 |
| Perpetual-Discount | 6.14 % | 6.26 % | 49,611 | 13.52 | 31 | 0.4489 % | 3,059.4 |
| FixedReset Disc | 5.56 % | 7.01 % | 92,145 | 12.45 | 58 | 0.2706 % | 2,655.8 |
| Insurance Straight | 5.96 % | 6.12 % | 61,466 | 13.67 | 21 | 0.9309 % | 3,037.2 |
| FloatingReset | 7.55 % | 7.24 % | 27,808 | 12.18 | 2 | 0.7853 % | 2,877.8 |
| FixedReset Prem | 6.38 % | 5.54 % | 168,861 | 3.72 | 7 | 0.1104 % | 2,595.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2706 % | 2,714.8 |
| FixedReset Ins Non | 5.29 % | 6.26 % | 75,443 | 13.46 | 14 | 0.2891 % | 2,779.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.O | Perpetual-Discount | -7.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 21.90 Evaluated at bid price : 22.14 Bid-YTW : 5.55 % |
| GWO.PR.M | Insurance Straight | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.38 % |
| PWF.PR.O | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.34 % |
| POW.PR.C | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 6.24 % |
| BN.PF.E | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 7.62 % |
| POW.PR.A | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 6.21 % |
| FTS.PR.G | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 21.67 Evaluated at bid price : 21.96 Bid-YTW : 6.29 % |
| PWF.PF.A | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 6.24 % |
| IFC.PR.G | FixedReset Ins Non | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 22.89 Evaluated at bid price : 24.00 Bid-YTW : 5.97 % |
| ELF.PR.H | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 6.23 % |
| FFH.PR.I | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 7.68 % |
| BN.PR.N | Perpetual-Discount | 2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 6.37 % |
| GWO.PR.I | Insurance Straight | 2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 5.97 % |
| BN.PF.C | Perpetual-Discount | 3.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.42 % |
| CU.PR.J | Perpetual-Discount | 3.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 6.19 % |
| BN.PF.F | FixedReset Disc | 4.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.49 % |
| PWF.PR.S | Perpetual-Discount | 12.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.31 % |
| GWO.PR.T | Insurance Straight | 22.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 6.18 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.N | FixedReset Disc | 160,482 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 21.29 Evaluated at bid price : 21.57 Bid-YTW : 7.10 % |
| ENB.PR.F | FixedReset Disc | 46,662 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 7.81 % |
| ENB.PF.A | FixedReset Disc | 45,577 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 7.72 % |
| TD.PF.C | FixedReset Disc | 39,770 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 22.46 Evaluated at bid price : 23.35 Bid-YTW : 5.64 % |
| PVS.PR.L | SplitShare | 32,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.33 % |
| GWO.PR.T | Insurance Straight | 27,753 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-13 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 6.18 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.O | Perpetual-Discount | Quote: 22.14 – 24.29 Spot Rate : 2.1500 Average : 1.2213 YTW SCENARIO |
| POW.PR.C | Perpetual-Discount | Quote: 23.51 – 24.48 Spot Rate : 0.9700 Average : 0.6368 YTW SCENARIO |
| GWO.PR.M | Insurance Straight | Quote: 23.05 – 23.80 Spot Rate : 0.7500 Average : 0.4592 YTW SCENARIO |
| BIP.PR.B | FixedReset Disc | Quote: 23.15 – 24.54 Spot Rate : 1.3900 Average : 1.1013 YTW SCENARIO |
| ENB.PR.N | FixedReset Disc | Quote: 21.57 – 22.10 Spot Rate : 0.5300 Average : 0.3236 YTW SCENARIO |
| PWF.PR.O | Perpetual-Discount | Quote: 23.05 – 24.00 Spot Rate : 0.9500 Average : 0.7480 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.90% on 2024-11-19 and since then the closing price of ZLC has changed from 15.35 to 15.26, a total return of -0.59%, implying an increase of yields of 5bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.95%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 320bp from the 335bp reported November 13. […]