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 |
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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 | -0.2472 % | 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 |
FFH.PR.G | FixedReset Disc | Quote: 21.58 – 22.58 Spot Rate : 1.0000 Average : 0.6590 YTW SCENARIO |
CU.PR.E | Perpetual-Discount | Quote: 20.22 – 21.00 Spot Rate : 0.7800 Average : 0.4739 YTW SCENARIO |
POW.PR.B | Perpetual-Discount | Quote: 21.73 – 22.38 Spot Rate : 0.6500 Average : 0.4107 YTW SCENARIO |
MFC.PR.B | Insurance Straight | Quote: 19.61 – 20.23 Spot Rate : 0.6200 Average : 0.4273 YTW SCENARIO |
BN.PR.Z | FixedReset Disc | Quote: 20.80 – 21.50 Spot Rate : 0.7000 Average : 0.5361 YTW SCENARIO |
[…] 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. […]