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.
| 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 | 0.6983 % | 2,175.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6983 % | 4,172.3 |
| Floater | 8.75 % | 9.28 % | 30,464 | 10.06 | 4 | 0.6983 % | 2,404.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6868 % | 3,635.8 |
| SplitShare | 4.75 % | 4.99 % | 79,168 | 3.00 | 6 | 0.6868 % | 4,341.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6868 % | 3,387.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4789 % | 2,803.2 |
| Perpetual-Discount | 6.14 % | 6.26 % | 47,859 | 13.49 | 31 | -0.4789 % | 3,056.7 |
| FixedReset Disc | 5.48 % | 6.92 % | 95,528 | 12.64 | 58 | 0.1983 % | 2,696.4 |
| Insurance Straight | 6.00 % | 6.15 % | 60,173 | 13.62 | 21 | -0.6133 % | 3,019.0 |
| FloatingReset | 6.75 % | 6.77 % | 35,961 | 12.72 | 2 | 2.1348 % | 3,218.3 |
| FixedReset Prem | 6.39 % | 5.54 % | 171,900 | 3.69 | 7 | 0.0828 % | 2,592.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1983 % | 2,756.3 |
| FixedReset Ins Non | 5.24 % | 6.26 % | 71,392 | 13.56 | 14 | -0.8640 % | 2,802.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.C | Insurance Straight | -9.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 6.44 % |
| BN.PR.M | Perpetual-Discount | -5.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.78 % |
| BN.PF.D | Perpetual-Discount | -5.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.79 % |
| BN.PF.C | Perpetual-Discount | -4.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.72 % |
| FFH.PR.K | FixedReset Disc | -2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 22.52 Evaluated at bid price : 23.00 Bid-YTW : 7.03 % |
| GWO.PR.S | Insurance Straight | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.37 % |
| MFC.PR.N | FixedReset Ins Non | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 6.49 % |
| BN.PR.N | Perpetual-Discount | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 6.50 % |
| CU.PR.D | Perpetual-Discount | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.22 % |
| ENB.PF.K | FixedReset Disc | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 22.20 Evaluated at bid price : 22.67 Bid-YTW : 6.96 % |
| GWO.PR.G | Insurance Straight | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 6.22 % |
| BN.PR.R | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 7.82 % |
| FFH.PR.I | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 6.76 % |
| BN.PF.I | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 22.55 Evaluated at bid price : 23.05 Bid-YTW : 7.39 % |
| BN.PR.B | Floater | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 9.28 % |
| MIC.PR.A | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.45 % |
| CU.PR.C | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.71 % |
| BN.PF.J | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 22.59 Evaluated at bid price : 23.28 Bid-YTW : 6.80 % |
| BN.PR.T | FixedReset Disc | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 7.81 % |
| BN.PF.H | FixedReset Disc | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 23.99 Evaluated at bid price : 24.44 Bid-YTW : 7.38 % |
| GWO.PR.T | Insurance Straight | 3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.18 % |
| PVS.PR.K | SplitShare | 3.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.75 % |
| FFH.PR.F | FloatingReset | 4.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 7.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.R | FixedReset Disc | 455,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 7.82 % |
| BN.PF.G | FixedReset Disc | 265,725 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 7.62 % |
| FFH.PR.C | FixedReset Disc | 101,047 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 24.15 Evaluated at bid price : 25.07 Bid-YTW : 6.32 % |
| ENB.PF.C | FixedReset Disc | 92,313 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 7.89 % |
| FFH.PR.D | FloatingReset | 62,869 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 24.61 Evaluated at bid price : 25.13 Bid-YTW : 6.77 % |
| FFH.PR.E | FixedReset Disc | 51,001 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-11-20 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.60 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.A | FixedReset Ins Non | Quote: 19.00 – 23.00 Spot Rate : 4.0000 Average : 2.2718 YTW SCENARIO |
| MFC.PR.C | Insurance Straight | Quote: 17.51 – 19.50 Spot Rate : 1.9900 Average : 1.1434 YTW SCENARIO |
| BN.PR.M | Perpetual-Discount | Quote: 17.85 – 19.32 Spot Rate : 1.4700 Average : 0.9611 YTW SCENARIO |
| BN.PF.C | Perpetual-Discount | Quote: 18.40 – 19.65 Spot Rate : 1.2500 Average : 0.8749 YTW SCENARIO |
| FFH.PR.K | FixedReset Disc | Quote: 23.00 – 24.00 Spot Rate : 1.0000 Average : 0.6516 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 21.00 – 21.99 Spot Rate : 0.9900 Average : 0.6441 YTW SCENARIO |