| 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 | 6.71 % | 7.15 % | 27,703 | 13.35 | 1 | -0.6135 % | 2,420.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0509 % | 4,597.4 |
| Floater | 6.28 % | 6.57 % | 59,219 | 13.13 | 3 | 0.0509 % | 2,649.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0396 % | 3,648.5 |
| SplitShare | 4.80 % | 4.76 % | 62,113 | 3.35 | 6 | -0.0396 % | 4,357.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0396 % | 3,399.6 |
| Perpetual-Premium | 5.54 % | -1.31 % | 85,336 | 0.08 | 4 | -0.0991 % | 3,084.6 |
| Perpetual-Discount | 5.58 % | 5.65 % | 46,138 | 14.36 | 28 | 0.8219 % | 3,370.6 |
| FixedReset Disc | 5.91 % | 6.06 % | 130,888 | 13.68 | 32 | 0.0056 % | 3,034.1 |
| Insurance Straight | 5.53 % | 5.56 % | 54,798 | 14.56 | 18 | 0.4530 % | 3,272.7 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0056 % | 3,609.4 |
| FixedReset Prem | 5.79 % | 4.95 % | 126,520 | 2.82 | 20 | 0.1031 % | 2,631.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0056 % | 3,101.5 |
| FixedReset Ins Non | 5.31 % | 5.37 % | 56,783 | 14.50 | 15 | -1.2156 % | 3,016.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.A | FixedReset Ins Non | -22.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 6.82 % |
| ENB.PR.H | FixedReset Disc | -3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.06 % |
| CU.PR.F | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.59 % |
| POW.PR.B | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.68 % |
| PWF.PR.H | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 24.92 Evaluated at bid price : 25.15 Bid-YTW : 5.81 % |
| MFC.PR.N | FixedReset Ins Non | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 22.74 Evaluated at bid price : 23.84 Bid-YTW : 5.31 % |
| PWF.PR.O | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-01 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 3.71 % |
| GWO.PR.G | Insurance Straight | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 23.54 Evaluated at bid price : 23.81 Bid-YTW : 5.48 % |
| SLF.PR.G | FixedReset Ins Non | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.69 % |
| PWF.PR.L | Perpetual-Discount | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 22.73 Evaluated at bid price : 23.02 Bid-YTW : 5.63 % |
| CU.PR.D | Perpetual-Discount | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.50 % |
| PWF.PR.S | Perpetual-Discount | 4.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 5.67 % |
| GWO.PR.H | Insurance Straight | 8.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 21.64 Evaluated at bid price : 21.89 Bid-YTW : 5.56 % |
| CU.PR.G | Perpetual-Discount | 13.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.R | FixedReset Disc | 178,501 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.27 % |
| RY.PR.M | FixedReset Disc | 81,619 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 3.25 % |
| BIP.PR.F | FixedReset Prem | 67,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 23.35 Evaluated at bid price : 25.01 Bid-YTW : 5.79 % |
| PWF.PR.S | Perpetual-Discount | 64,807 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 5.67 % |
| ENB.PR.P | FixedReset Disc | 49,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 6.37 % |
| ENB.PR.B | FixedReset Disc | 40,750 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-10-02 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.46 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible. | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.A | FixedReset Ins Non | Quote: 16.75 – 21.87 Spot Rate : 5.1200 Average : 2.8224 YTW SCENARIO |
| BN.PF.A | FixedReset Disc | Quote: 25.50 – 26.50 Spot Rate : 1.0000 Average : 0.5649 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 22.10 – 24.25 Spot Rate : 2.1500 Average : 1.7604 YTW SCENARIO |
| GWO.PR.G | Insurance Straight | Quote: 23.81 – 25.00 Spot Rate : 1.1900 Average : 0.8289 YTW SCENARIO |
| ENB.PR.H | FixedReset Disc | Quote: 21.40 – 22.37 Spot Rate : 0.9700 Average : 0.6275 YTW SCENARIO |
| BN.PR.X | FixedReset Disc | Quote: 18.71 – 20.25 Spot Rate : 1.5400 Average : 1.2507 YTW SCENARIO |
I have notice that cpx.pr.a is trading at a very low current yield and also a low reset yield (Reset date dec 31 2025). considering this is a higher risk prefered share, how do you explain this high valuation ? Is the probability of a redemption high? I would doubt it but I cannot otherwise explain the valuation.
Your thoughts ?
From an Implied Volatility Theory perspective, CPX.PR.A has been trading too cheap for a long time. Current pricing is finally in-line with fair pricing (still slightly cheap).
stusclues,
I think that Frank’s point was that CPX is a higher risk name than, say, Fortis or Emera, yet this particular pref is trading with a future reset yield even lower than those two lower risk names. At current GOC5yr, I see this resetting at 5.6%. Most of the Emera and Fortis prefs trade with current yields at or above that of the estimated reset yield for CPX.PR.A. I agree with Frank, when viewed in this light, this is an expensive pref.
Frank,
The market is not pricing in any significant chance of redemption, otherwise, it would be trading in the high $24 range. The market has been wrong with redemption predictions before, of course, and the market sometimes misprices certain prefs, as I believe is the case here.
cpx.pr.a is trading at a very low current yield
I’m not going to opine on what the Current Yield should be, but I will point out that this issue last reset in December, 2020, when interest rates were … not what they are today.
The issue reset in 2020 based on a GOC-5 yield of 0.45%. Should this rate on the upcoming reset be 2.77%, the issue will experience an 88% increase in dividend. At least some of the lowness of the current Current Yield can be ascribed to anticipation of an increase coming in the near future.