| 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 | -0.1014 % | 2,429.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1014 % | 4,606.7 |
| Floater | 5.93 % | 6.22 % | 66,360 | 13.49 | 3 | -0.1014 % | 2,654.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0787 % | 3,667.6 |
| SplitShare | 4.76 % | 3.79 % | 73,162 | 1.18 | 5 | 0.0787 % | 4,379.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0787 % | 3,417.4 |
| Perpetual-Premium | 5.64 % | -0.80 % | 80,557 | 0.09 | 7 | 0.3441 % | 3,111.0 |
| Perpetual-Discount | 5.53 % | 5.62 % | 50,389 | 14.43 | 26 | 0.2783 % | 3,421.9 |
| FixedReset Disc | 5.83 % | 6.08 % | 108,227 | 13.50 | 31 | 0.3542 % | 3,129.7 |
| Insurance Straight | 5.52 % | 5.52 % | 60,110 | 14.56 | 21 | -0.4341 % | 3,289.0 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3542 % | 3,723.1 |
| FixedReset Prem | 5.90 % | 4.64 % | 99,911 | 2.24 | 20 | -0.0844 % | 2,657.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3542 % | 3,199.2 |
| FixedReset Ins Non | 5.31 % | 5.54 % | 83,988 | 14.36 | 13 | -1.0778 % | 3,088.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset Ins Non | -15.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 6.98 % |
| GWO.PR.Y | Insurance Straight | -6.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.07 % |
| SLF.PR.C | Insurance Straight | -3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.30 % |
| GWO.PR.I | Insurance Straight | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.51 % |
| TD.PF.I | FixedReset Prem | -1.91 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.96 % |
| MFC.PR.N | FixedReset Ins Non | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 22.93 Evaluated at bid price : 24.24 Bid-YTW : 5.40 % |
| GWO.PR.S | Insurance Straight | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 23.07 Evaluated at bid price : 23.33 Bid-YTW : 5.63 % |
| IFC.PR.C | FixedReset Ins Non | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 23.72 Evaluated at bid price : 24.30 Bid-YTW : 5.77 % |
| CU.PR.F | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.43 % |
| PWF.PR.H | Perpetual-Premium | 1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-01-11 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : -0.80 % |
| PWF.PR.R | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 24.29 Evaluated at bid price : 24.60 Bid-YTW : 5.66 % |
| ENB.PF.C | FixedReset Disc | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 21.84 Evaluated at bid price : 22.24 Bid-YTW : 6.34 % |
| CU.PR.H | Perpetual-Discount | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 23.59 Evaluated at bid price : 23.86 Bid-YTW : 5.54 % |
| SLF.PR.G | FixedReset Ins Non | 2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 5.64 % |
| GWO.PR.H | Insurance Straight | 3.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 5.48 % |
| BN.PF.G | FixedReset Disc | 5.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 22.96 Evaluated at bid price : 24.35 Bid-YTW : 6.01 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.G | FixedReset Disc | 51,007 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 22.96 Evaluated at bid price : 24.35 Bid-YTW : 6.01 % |
| BN.PF.C | Perpetual-Discount | 39,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.81 % |
| IFC.PR.A | FixedReset Ins Non | 38,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.63 % |
| ENB.PF.E | FixedReset Disc | 26,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 21.84 Evaluated at bid price : 22.25 Bid-YTW : 6.32 % |
| FTS.PR.M | FixedReset Disc | 25,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 23.11 Evaluated at bid price : 24.60 Bid-YTW : 5.55 % |
| BN.PR.K | Floater | 22,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-12-12 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 6.24 % |
| There were 6 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 |
| GWO.PR.N | FixedReset Ins Non | Quote: 15.50 – 18.44 Spot Rate : 2.9400 Average : 1.9551 YTW SCENARIO |
| GWO.PR.Y | Insurance Straight | Quote: 18.60 – 21.04 Spot Rate : 2.4400 Average : 1.7375 YTW SCENARIO |
| BN.PF.M | FixedReset Prem | Quote: 25.75 – 26.75 Spot Rate : 1.0000 Average : 0.5773 YTW SCENARIO |
| BN.PF.J | FixedReset Prem | Quote: 26.00 – 27.00 Spot Rate : 1.0000 Average : 0.6158 YTW SCENARIO |
| SLF.PR.C | Insurance Straight | Quote: 21.06 – 21.86 Spot Rate : 0.8000 Average : 0.5236 YTW SCENARIO |
| MFC.PR.C | Insurance Straight | Quote: 22.00 – 23.00 Spot Rate : 1.0000 Average : 0.7519 YTW SCENARIO |
Hello everyone,
Even though the comment section has become very quiet (unlike a few months ago), I have a question.
Until recently I did not pay too much attention to series that can convert into an other at a set date but things have changed.
Can anyone help me understand why someone would buy BCE.PR.K (fixed reset) at $19.5 when BCE.PR.L (floater) is at $19?
The K series yields 4.2%, the L series 5.4% and you can convert one into the other the 31st of december 2026.
I actually got lucky (I guess) to have an order filled this week at $18.5 for the L since the bid/ask spread was like $18.2-$19.
Since I know I am not smarter than the market, I’d like to know what I am missing.
Thank you for your help 🙂
Never underestimate how stupid the market can be!
The mismatched pricing of BCE.pr.L is likely related to it’s extremely low trading volume and subsequent high spreads.
You’re not really missing anything, the floaters are typically a better value than the fixed resets, that one included.
As for why someone might buy BCE.PR.K:
– as you noted the spread on the L is large so if you’re not going to hold it to the conversion it’ll be more difficult to sell and you might give back some of that value crossing spreads both ways
– if you’re trying to buy in large blocks it’s less likely that anyone has size in the L given the smaller shares outstanding
– some indexes have K in their index but not L so they would only buy the K
I have also noticed large spreads on the typically smaller outstanding share counts on the floating side of the strong pairs and have been trying to nibble on a few. Managed to get some CVE.PR.B at a good price this summer, but overall it is a hard thing to exploit in my opinion.
Thank you for your useful comments.
Since my reasoning doesn’t appear to be flawed, I added some at $18.75 today.
The bid/ask was better at $18.55/$18.75
You may also be interested in the theory of Preferred Pairs and the associated calculator. There are also my essays Interconvertibility Part 1 and Interconvertibility Part 2.
Thanks a lot!
I have already started but will definitely take the time to review all of this.
The market did not listen to me and BCE.PR.L dropped all the way to $18.05 today ha ha
Not that low but I had some orders filled again today so I am pleased.
As others mentioned, it is true that the K series is much bigger ($383M) vs. L ($29M) and therefore, much more liquid.