PerpetualDiscounts now yield 6.10%, equivalent to 7.93% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.63% on 2024-12-31 and since then the closing price of ZLC changed from 15.53 to 15.52, a total return of -0.06%, implying a negligible increase in yields. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 330bp from the 335bp reported December 24.
| 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 | 0.6039 % | 2,284.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6039 % | 4,381.8 |
| Floater | 7.63 % | 7.90 % | 36,753 | 11.52 | 4 | 0.6039 % | 2,525.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0851 % | 3,640.3 |
| SplitShare | 4.75 % | 4.31 % | 54,118 | 1.12 | 7 | 0.0851 % | 4,347.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0851 % | 3,392.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0728 % | 2,874.9 |
| Perpetual-Discount | 5.97 % | 6.10 % | 53,005 | 13.75 | 32 | -0.0728 % | 3,134.9 |
| FixedReset Disc | 5.33 % | 6.53 % | 103,794 | 12.83 | 53 | 0.1813 % | 2,817.8 |
| Insurance Straight | 5.93 % | 6.02 % | 63,656 | 13.88 | 21 | 0.0769 % | 3,055.0 |
| FloatingReset | 6.44 % | 6.56 % | 36,666 | 13.10 | 3 | 0.5149 % | 3,349.2 |
| FixedReset Prem | 6.16 % | 5.48 % | 179,698 | 13.43 | 8 | 0.1688 % | 2,608.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1813 % | 2,880.3 |
| FixedReset Ins Non | 5.23 % | 5.96 % | 76,798 | 13.83 | 14 | -0.4028 % | 2,888.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Z | Perpetual-Discount | -6.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.57 % |
| IFC.PR.C | FixedReset Ins Non | -3.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.37 % |
| GWO.PR.N | FixedReset Ins Non | -2.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 6.83 % |
| POW.PR.C | Perpetual-Discount | -2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 23.00 Evaluated at bid price : 23.27 Bid-YTW : 6.25 % |
| BN.PR.T | FixedReset Disc | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 7.27 % |
| GWO.PR.G | Insurance Straight | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.24 % |
| SLF.PR.D | Insurance Straight | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.68 % |
| BIP.PR.E | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 22.75 Evaluated at bid price : 23.60 Bid-YTW : 6.54 % |
| GWO.PR.R | Insurance Straight | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 6.16 % |
| BN.PR.M | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 6.47 % |
| MFC.PR.J | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 23.16 Evaluated at bid price : 24.50 Bid-YTW : 5.85 % |
| POW.PR.B | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.10 % |
| CU.PR.G | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 5.86 % |
| BN.PF.G | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 6.86 % |
| BN.PF.F | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 6.82 % |
| ENB.PF.K | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 22.51 Evaluated at bid price : 23.16 Bid-YTW : 6.76 % |
| SLF.PR.C | Insurance Straight | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.56 % |
| FFH.PR.F | FloatingReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 22.04 Evaluated at bid price : 22.30 Bid-YTW : 6.03 % |
| FTS.PR.K | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.25 % |
| FTS.PR.F | Perpetual-Discount | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.77 % |
| ENB.PR.D | FixedReset Disc | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 7.30 % |
| FTS.PR.J | Perpetual-Discount | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 20.58 Evaluated at bid price : 20.58 Bid-YTW : 5.85 % |
| RY.PR.O | Perpetual-Discount | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 24.23 Evaluated at bid price : 24.52 Bid-YTW : 5.04 % |
| ENB.PR.F | FixedReset Disc | 2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 7.17 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.P | FixedReset Disc | 538,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-03-02 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 4.72 % |
| TD.PF.D | FixedReset Disc | 27,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 24.11 Evaluated at bid price : 24.70 Bid-YTW : 5.83 % |
| GWO.PR.S | Insurance Straight | 25,001 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 6.07 % |
| CM.PR.S | FixedReset Prem | 20,476 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 25.35 Evaluated at bid price : 25.35 Bid-YTW : 5.48 % |
| ENB.PR.T | FixedReset Disc | 15,802 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.86 % |
| FTS.PR.G | FixedReset Disc | 12,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-02 Maturity Price : 21.94 Evaluated at bid price : 22.33 Bid-YTW : 6.09 % |
| There were 6 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.Z | Perpetual-Discount | Quote: 20.00 – 22.00 Spot Rate : 2.0000 Average : 1.2166 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 24.25 – 25.88 Spot Rate : 1.6300 Average : 0.9963 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 17.86 – 20.00 Spot Rate : 2.1400 Average : 1.5316 YTW SCENARIO |
| IFC.PR.F | Insurance Straight | Quote: 22.20 – 24.99 Spot Rate : 2.7900 Average : 2.2193 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 21.05 – 23.25 Spot Rate : 2.2000 Average : 1.6917 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 21.50 – 23.12 Spot Rate : 1.6200 Average : 1.1405 YTW SCENARIO |
[…] Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 330bp on 2025-01-02, narrowing from the 340bp on 2024-11-27 (chart end-date […]