| 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 | -0.7619 % | 1,963.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7619 % | 3,603.1 |
| Floater | 6.06 % | 6.19 % | 37,565 | 13.65 | 4 | -0.7619 % | 2,076.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0452 % | 3,337.6 |
| SplitShare | 4.67 % | 4.61 % | 80,927 | 4.16 | 7 | -0.0452 % | 3,985.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0452 % | 3,109.9 |
| Perpetual-Premium | 5.63 % | -16.13 % | 60,763 | 0.09 | 7 | 0.0944 % | 2,973.6 |
| Perpetual-Discount | 5.47 % | 5.54 % | 64,830 | 14.59 | 25 | 0.0830 % | 3,107.4 |
| FixedReset Disc | 5.34 % | 5.35 % | 167,400 | 14.91 | 69 | 0.1384 % | 2,151.7 |
| Deemed-Retractible | 5.24 % | 5.91 % | 71,754 | 8.00 | 27 | 0.0285 % | 3,105.0 |
| FloatingReset | 4.04 % | 4.32 % | 44,897 | 2.47 | 4 | -0.1050 % | 2,362.6 |
| FixedReset Prem | 5.14 % | 3.70 % | 172,435 | 1.94 | 17 | 0.0496 % | 2,593.4 |
| FixedReset Bank Non | 1.98 % | 4.28 % | 108,202 | 2.48 | 3 | -0.2505 % | 2,646.5 |
| FixedReset Ins Non | 5.21 % | 7.36 % | 87,608 | 8.06 | 22 | -0.0500 % | 2,186.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.T | FixedReset Disc | -2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 18.09 Evaluated at bid price : 18.09 Bid-YTW : 5.53 % |
| BAM.PR.K | Floater | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 11.01 Evaluated at bid price : 11.01 Bid-YTW : 6.34 % |
| HSE.PR.C | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 6.42 % |
| MFC.PR.Q | FixedReset Ins Non | -1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.52 Bid-YTW : 7.48 % |
| IFC.PR.A | FixedReset Ins Non | -1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.52 Bid-YTW : 9.01 % |
| EMA.PR.F | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 6.15 % |
| IFC.PR.G | FixedReset Ins Non | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.26 Bid-YTW : 7.08 % |
| IFC.PR.F | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.87 % |
| BMO.PR.S | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.15 % |
| SLF.PR.G | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.80 Bid-YTW : 9.83 % |
| BIP.PR.A | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 6.64 % |
| TRP.PR.A | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 6.20 % |
| BAM.PF.B | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 5.89 % |
| TD.PF.A | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 18.17 Evaluated at bid price : 18.17 Bid-YTW : 5.21 % |
| PWF.PR.P | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 13.43 Evaluated at bid price : 13.43 Bid-YTW : 5.73 % |
| BAM.PR.R | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 15.43 Evaluated at bid price : 15.43 Bid-YTW : 6.12 % |
| CU.PR.C | FixedReset Disc | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 5.40 % |
| MFC.PR.N | FixedReset Ins Non | 1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.45 Bid-YTW : 8.24 % |
| CM.PR.P | FixedReset Disc | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 5.41 % |
| TRP.PR.G | FixedReset Disc | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 6.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.G | FixedReset Prem | 405,970 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 3.65 % |
| CM.PR.R | FixedReset Disc | 87,177 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 21.79 Evaluated at bid price : 22.06 Bid-YTW : 5.46 % |
| TRP.PR.K | FixedReset Disc | 84,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 5.17 % |
| RY.PR.A | Deemed-Retractible | 65,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-08-08 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : -2.33 % |
| TRP.PR.D | FixedReset Disc | 49,650 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 16.94 Evaluated at bid price : 16.94 Bid-YTW : 5.79 % |
| BAM.PR.T | FixedReset Disc | 47,775 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-07-09 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 6.13 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EMA.PR.F | FixedReset Disc | Quote: 17.26 – 17.96 Spot Rate : 0.7000 Average : 0.4740 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 14.05 – 14.49 Spot Rate : 0.4400 Average : 0.2876 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 24.00 – 24.45 Spot Rate : 0.4500 Average : 0.3022 YTW SCENARIO |
| HSE.PR.C | FixedReset Disc | Quote: 18.33 – 18.90 Spot Rate : 0.5700 Average : 0.4639 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 18.09 – 18.45 Spot Rate : 0.3600 Average : 0.2652 YTW SCENARIO |
| NA.PR.G | FixedReset Disc | Quote: 21.20 – 21.60 Spot Rate : 0.4000 Average : 0.3080 YTW SCENARIO |
Question for James please: any thoughts on why there might be differences in the prices of certain of straight perpetuals (discounts)? For example: SLF.PR.E quoted at 21.05/21.20, last trade at 21.05. vs. SLF.PR.C quoted at 21.46/21.50, last trade at 21.47
YTC on SLF.PR.E using last trade & July 10th settlement = 6.6%
YTC on SLF.PR.C using last trade & July 10th settlement = 6.3%
Shouldn’t the YTC’s be theoretically equivalent between these two issues (not to mention that SLF.PR.E pays $1.125 vs $1.1125 for SLF.PR.C)
Maybe I’m missing something obvious.
Maybe I’m missing something obvious.
Yes, it’s the inefficiency of the Canadian preferred market. Not all issues have the same size, holding patterns(e.g. ETF holdings) and liquidity. Hence different market prices for essentially the same product.
Thanks @skeptical
any thoughts on why there might be differences in the prices of certain of straight perpetuals (discounts)?
The higher-coupon, higher-price issue will normally trade to yield a bit more than its lower-coupon, lower-price siblings. This is because the higher-coupon, higher-price issue has greater call risk and purchasers require compensation for assuming this risk.
For all the math, explanations and a handy-dandy calculator that applies the theory to user-defined prices, see Implied Volatility of Straight Perpetuals.
As skeptical pointed out, the inefficiency of the Canadian preferred market means there’s a lot of noise in the charts … but there is also, generally speaking, a pretty clear ‘signal’.
@james Thank you sir
Thanks for that very informative link James.