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.
| 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 | 0.4034 % | 2,275.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4034 % | 4,364.3 |
| Floater | 8.37 % | 8.69 % | 28,040 | 10.58 | 4 | 0.4034 % | 2,515.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1141 % | 3,624.2 |
| SplitShare | 4.77 % | 4.33 % | 67,041 | 1.19 | 7 | 0.1141 % | 4,328.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1141 % | 3,377.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1091 % | 2,842.4 |
| Perpetual-Discount | 6.04 % | 6.23 % | 50,516 | 13.51 | 32 | 0.1091 % | 3,099.5 |
| FixedReset Disc | 5.48 % | 6.78 % | 105,101 | 12.85 | 53 | 0.0414 % | 2,744.4 |
| Insurance Straight | 6.02 % | 6.15 % | 59,277 | 13.73 | 21 | 0.0092 % | 3,009.4 |
| FloatingReset | 6.69 % | 6.30 % | 33,346 | 12.39 | 4 | 0.3268 % | 3,351.1 |
| FixedReset Prem | 6.15 % | 5.53 % | 186,493 | 3.72 | 10 | -0.3147 % | 2,591.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0414 % | 2,805.4 |
| FixedReset Ins Non | 5.23 % | 6.13 % | 88,555 | 13.79 | 14 | -0.5199 % | 2,807.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.H | FixedReset Ins Non | -10.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 7.23 % |
| IFC.PR.A | FixedReset Ins Non | -3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.30 % |
| BN.PF.J | FixedReset Disc | -2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 22.31 Evaluated at bid price : 22.80 Bid-YTW : 6.81 % |
| CCS.PR.C | Insurance Straight | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 20.38 Evaluated at bid price : 20.38 Bid-YTW : 6.15 % |
| TD.PF.J | FixedReset Prem | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 23.19 Evaluated at bid price : 24.65 Bid-YTW : 5.76 % |
| BN.PR.R | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 7.45 % |
| BIK.PR.A | FixedReset Prem | -1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-04-01 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 5.95 % |
| SLF.PR.C | Insurance Straight | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.63 % |
| PVS.PR.K | SplitShare | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.77 % |
| PWF.PR.T | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 22.18 Evaluated at bid price : 22.75 Bid-YTW : 5.99 % |
| FFH.PR.F | FloatingReset | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 22.36 Evaluated at bid price : 22.60 Bid-YTW : 6.30 % |
| BN.PR.K | Floater | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 12.31 Evaluated at bid price : 12.31 Bid-YTW : 8.69 % |
| PVS.PR.J | SplitShare | 1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 4.33 % |
| MFC.PR.F | FixedReset Ins Non | 5.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 16.63 Evaluated at bid price : 16.63 Bid-YTW : 6.28 % |
| SLF.PR.E | Insurance Straight | 6.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 20.19 Evaluated at bid price : 20.19 Bid-YTW : 5.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.C | FixedReset Disc | 205,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 22.80 Evaluated at bid price : 24.07 Bid-YTW : 5.39 % |
| ENB.PF.C | FixedReset Disc | 144,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 18.84 Evaluated at bid price : 18.84 Bid-YTW : 7.46 % |
| IFC.PR.I | Insurance Straight | 56,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 22.00 Evaluated at bid price : 22.30 Bid-YTW : 6.16 % |
| ENB.PR.B | FixedReset Disc | 52,932 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 7.52 % |
| FTS.PR.M | FixedReset Disc | 52,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.70 % |
| ENB.PF.E | FixedReset Disc | 51,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-04 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 7.54 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.H | FixedReset Ins Non | Quote: 16.81 – 19.00 Spot Rate : 2.1900 Average : 1.2248 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 21.80 – 23.00 Spot Rate : 1.2000 Average : 0.7379 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 17.15 – 17.95 Spot Rate : 0.8000 Average : 0.5192 YTW SCENARIO |
| TD.PF.J | FixedReset Prem | Quote: 24.65 – 25.40 Spot Rate : 0.7500 Average : 0.4767 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 19.10 – 20.30 Spot Rate : 1.2000 Average : 0.9640 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 21.18 – 21.79 Spot Rate : 0.6100 Average : 0.4064 YTW SCENARIO |