November 27, 2024

PerpetualDiscounts now yield 6.24%, equivalent to 8.11% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.56% on 2024-11-29 [have to work backwards here, because I forgot to do this calculation on the 27th] and prior to then the closing price of ZLC changed from 15.53 on the 27th to 15.80 on the 29th, a total return of +2.13%, implying a decrease of yields of 17bp (BMO reports a duration of 12.59, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) from 4.73%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 340bp from the 320bp reported November 20.

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 -0.2472 % 2,213.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2472 % 4,245.9
Floater 8.60 % 9.05 % 29,772 10.26 4 -0.2472 % 2,446.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1662 % 3,627.8
SplitShare 4.76 % 4.39 % 63,002 3.02 6 0.1662 % 4,332.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1662 % 3,380.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5232 % 2,833.0
Perpetual-Discount 6.08 % 6.24 % 53,163 13.51 31 0.5232 % 3,089.3
FixedReset Disc 5.43 % 6.84 % 105,155 12.57 57 0.2484 % 2,735.8
Insurance Straight 5.96 % 6.12 % 61,585 13.63 21 0.2551 % 3,036.8
FloatingReset 6.50 % 6.74 % 40,970 12.77 2 0.6617 % 3,304.5
FixedReset Prem 6.37 % 5.57 % 175,853 3.49 7 -0.1373 % 2,601.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2484 % 2,796.5
FixedReset Ins Non 5.20 % 6.33 % 83,999 13.46 14 0.2052 % 2,827.7
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.28
Evaluated at bid price : 23.05
Bid-YTW : 7.30 %
BIK.PR.A FixedReset Prem -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 5.99 %
BN.PF.F FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 7.48 %
BN.PF.D Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.44 %
FFH.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.58 %
PWF.PR.R Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.19 %
PWF.PR.G Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 6.20 %
FFH.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 6.15 %
BIP.PR.F FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.71
Evaluated at bid price : 23.70
Bid-YTW : 6.66 %
FFH.PR.F FloatingReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 6.50 %
ENB.PR.N FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 7.12 %
BN.PF.C Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.41 %
PWF.PR.T FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.19 %
BN.PR.M Perpetual-Discount 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.37 %
IFC.PR.G FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 23.00
Evaluated at bid price : 24.24
Bid-YTW : 6.06 %
SLF.PR.E Insurance Straight 6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.I FixedReset Disc 289,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.82
Evaluated at bid price : 23.50
Bid-YTW : 7.32 %
MFC.PR.M FixedReset Ins Non 262,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 6.34 %
MFC.PR.I FixedReset Ins Non 250,183 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.99
Evaluated at bid price : 23.98
Bid-YTW : 6.29 %
ENB.PR.Y FixedReset Disc 169,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 7.82 %
ENB.PR.T FixedReset Disc 132,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.39 %
POW.PR.A Perpetual-Discount 106,068 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.64
Evaluated at bid price : 22.89
Bid-YTW : 6.20 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.H Perpetual-Discount Quote: 23.25 – 24.49
Spot Rate : 1.2400
Average : 0.6922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 6.25 %

FFH.PR.G FixedReset Disc Quote: 21.58 – 22.58
Spot Rate : 1.0000
Average : 0.6590

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.58 %

CU.PR.E Perpetual-Discount Quote: 20.22 – 21.00
Spot Rate : 0.7800
Average : 0.4739

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.10 %

POW.PR.B Perpetual-Discount Quote: 21.73 – 22.38
Spot Rate : 0.6500
Average : 0.4107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 21.47
Evaluated at bid price : 21.73
Bid-YTW : 6.24 %

MFC.PR.B Insurance Straight Quote: 19.61 – 20.23
Spot Rate : 0.6200
Average : 0.4273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 5.95 %

BN.PR.Z FixedReset Disc Quote: 20.80 – 21.50
Spot Rate : 0.7000
Average : 0.5361

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-27
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.57 %

One Response to “November 27, 2024”

  1. […] PerpetualDiscounts now yield 6.23%, equivalent to 8.10% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.54% on 2024-12-3 and since then the closing price of ZLC changed from 15.82 to 15.90, a total return of +0.51%, implying a decrease of yields of 4bp (BMO reports a duration of 12.37, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.50%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 360bp from the 340bp reported November 27. […]

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