The day brought with it sone interest with massive trading in the BCE.PR.E / BCE.PR.F pair with Gundy CIBC acting on the E buy-side and the F sell-side. TMXMoney.com reports VWAPs (for all trades in the day, not just CIBC’s) of 17.618 and 17.651, respectively.
E will go ex-dividend 1/31 for about 0.11723 (which was the dividend earned on 12/31) while F went ex on 12/31 for $0.2415625, while conversion is effective 2/1, so that helps the math a bit. If somebody is putting the position on AND converting to close the position, they’re making a little money, much of which will be eaten up by commission unless they have low trading costs. Cost of capital would nibble away at the balance. So maybe it’s a real money account behind all this, that has held the Fs but wants or wouldn’t mind the Es, depending on what the reset rate on the Fs turns out to be. It would be interesting to hear the story on this … it would be interesting to hear a lot of stories!
And who were the guys on the other side of all these trades and what were their stories?
| 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 | -0.0788 % | 2,319.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0788 % | 4,449.3 |
| Floater | 7.52 % | 7.80 % | 33,948 | 11.61 | 4 | -0.0788 % | 2,564.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1144 % | 3,637.7 |
| SplitShare | 4.76 % | 4.62 % | 52,853 | 0.77 | 8 | 0.1144 % | 4,344.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1144 % | 3,389.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0246 % | 2,892.8 |
| Perpetual-Discount | 5.94 % | 6.07 % | 58,061 | 13.80 | 32 | 0.0246 % | 3,154.5 |
| FixedReset Disc | 5.36 % | 6.63 % | 99,477 | 12.78 | 50 | -0.2235 % | 2,841.4 |
| Insurance Straight | 5.92 % | 5.98 % | 67,055 | 13.94 | 21 | -0.8752 % | 3,055.5 |
| FloatingReset | 6.25 % | 6.35 % | 41,695 | 13.37 | 3 | 0.3696 % | 3,435.0 |
| FixedReset Prem | 5.71 % | 5.50 % | 165,022 | 3.36 | 12 | -0.3375 % | 2,583.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2235 % | 2,904.4 |
| FixedReset Ins Non | 5.16 % | 6.07 % | 73,772 | 13.70 | 14 | 0.0527 % | 2,931.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.D | Insurance Straight | -19.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 16.22 Evaluated at bid price : 16.22 Bid-YTW : 6.94 % |
| SLF.PR.E | Insurance Straight | -6.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.98 % |
| BN.PR.T | FixedReset Disc | -5.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 7.58 % |
| CU.PR.E | Perpetual-Discount | -3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.06 % |
| FTS.PR.J | Perpetual-Discount | -2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.89 % |
| MFC.PR.B | Insurance Straight | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 19.74 Evaluated at bid price : 19.74 Bid-YTW : 5.96 % |
| FTS.PR.K | FixedReset Disc | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 6.53 % |
| IFC.PR.E | Insurance Straight | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 21.66 Evaluated at bid price : 22.05 Bid-YTW : 5.93 % |
| BN.PR.R | FixedReset Disc | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 7.40 % |
| BIP.PR.A | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 23.23 Evaluated at bid price : 24.03 Bid-YTW : 6.95 % |
| MFC.PR.L | FixedReset Ins Non | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 22.16 Evaluated at bid price : 22.75 Bid-YTW : 6.05 % |
| ENB.PR.D | FixedReset Disc | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 7.40 % |
| NA.PR.E | FixedReset Prem | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 23.17 Evaluated at bid price : 24.57 Bid-YTW : 5.81 % |
| ENB.PF.G | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 7.52 % |
| ENB.PR.H | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.82 % |
| ENB.PR.P | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.28 Evaluated at bid price : 20.28 Bid-YTW : 7.22 % |
| PWF.PR.F | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 21.46 Evaluated at bid price : 21.72 Bid-YTW : 6.05 % |
| GWO.PR.H | Insurance Straight | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.04 % |
| BN.PF.J | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 22.88 Evaluated at bid price : 23.80 Bid-YTW : 6.62 % |
| MFC.PR.N | FixedReset Ins Non | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 22.03 Evaluated at bid price : 22.60 Bid-YTW : 6.07 % |
| FTS.PR.H | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 6.85 % |
| GWO.PR.I | Insurance Straight | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 5.90 % |
| GWO.PR.N | FixedReset Ins Non | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 16.58 Evaluated at bid price : 16.58 Bid-YTW : 6.53 % |
| PWF.PR.P | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 16.44 Evaluated at bid price : 16.44 Bid-YTW : 6.98 % |
| FTS.PR.G | FixedReset Disc | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 22.14 Evaluated at bid price : 22.62 Bid-YTW : 6.16 % |
| IFC.PR.F | Insurance Straight | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 22.27 Evaluated at bid price : 22.55 Bid-YTW : 5.92 % |
| PWF.PR.L | Perpetual-Discount | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.08 % |
| GWO.PR.Q | Insurance Straight | 4.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 6.05 % |
| PWF.PR.Z | Perpetual-Discount | 7.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 6.13 % |
| GWO.PR.R | Insurance Straight | 8.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 6.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.C | FixedReset Prem | 1,486,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-03-02 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.96 % |
| CM.PR.P | FixedReset Disc | 1,218,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 23.99 Evaluated at bid price : 24.95 Bid-YTW : 5.40 % |
| GWO.PR.N | FixedReset Ins Non | 301,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 16.58 Evaluated at bid price : 16.58 Bid-YTW : 6.53 % |
| SLF.PR.G | FixedReset Ins Non | 152,169 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 6.43 % |
| ENB.PF.E | FixedReset Disc | 118,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 7.43 % |
| ENB.PF.A | FixedReset Disc | 98,852 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-14 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 7.24 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.D | Insurance Straight | Quote: 16.22 – 20.47 Spot Rate : 4.2500 Average : 2.3771 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 22.15 – 23.71 Spot Rate : 1.5600 Average : 0.9597 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 19.00 – 20.50 Spot Rate : 1.5000 Average : 0.9028 YTW SCENARIO |
| BN.PR.T | FixedReset Disc | Quote: 17.40 – 18.70 Spot Rate : 1.3000 Average : 0.7876 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 17.85 – 19.50 Spot Rate : 1.6500 Average : 1.1477 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 24.30 – 25.88 Spot Rate : 1.5800 Average : 1.2628 YTW SCENARIO |