| 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 | 2.97 % | 3.41 % | 45,658 | 20.15 | 1 | -0.0969 % | 2,936.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2536 % | 5,386.0 |
| Floater | 2.96 % | 2.98 % | 88,672 | 19.72 | 3 | 0.2536 % | 3,104.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3656 % | 3,685.6 |
| SplitShare | 4.65 % | 4.05 % | 58,943 | 3.85 | 5 | 0.3656 % | 4,401.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3656 % | 3,434.1 |
| Perpetual-Premium | 5.14 % | -8.35 % | 44,872 | 0.09 | 29 | -0.0350 % | 3,271.5 |
| Perpetual-Discount | 4.71 % | 4.85 % | 69,397 | 15.70 | 6 | -0.9342 % | 3,848.5 |
| FixedReset Disc | 3.83 % | 3.87 % | 125,930 | 17.00 | 37 | -1.3850 % | 2,881.2 |
| Insurance Straight | 4.93 % | 3.97 % | 89,563 | 0.59 | 20 | -0.1639 % | 3,679.8 |
| FloatingReset | 2.40 % | 2.71 % | 29,233 | 20.42 | 2 | 0.3299 % | 2,962.5 |
| FixedReset Prem | 4.65 % | 3.08 % | 122,045 | 2.28 | 33 | -0.0815 % | 2,748.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.3850 % | 2,945.2 |
| FixedReset Ins Non | 4.02 % | 3.89 % | 93,903 | 16.87 | 19 | -0.1917 % | 2,996.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset Disc | -45.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 13.17 Evaluated at bid price : 13.17 Bid-YTW : 7.95 % |
| BAM.PR.M | Perpetual-Discount | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 24.34 Evaluated at bid price : 24.65 Bid-YTW : 4.87 % |
| BAM.PR.R | FixedReset Disc | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.60 % |
| FTS.PR.J | Perpetual-Premium | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 24.42 Evaluated at bid price : 24.70 Bid-YTW : 4.81 % |
| SLF.PR.H | FixedReset Ins Non | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 22.08 Evaluated at bid price : 22.65 Bid-YTW : 3.85 % |
| TRP.PR.B | FixedReset Disc | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 4.53 % |
| FTS.PR.G | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 22.15 Evaluated at bid price : 22.47 Bid-YTW : 4.14 % |
| IFC.PR.A | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 3.89 % |
| BAM.PF.B | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 22.84 Evaluated at bid price : 23.54 Bid-YTW : 4.48 % |
| IFC.PR.F | Insurance Straight | -1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-09-30 Maturity Price : 25.25 Evaluated at bid price : 25.80 Bid-YTW : 4.88 % |
| CU.PR.G | Perpetual-Discount | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 24.00 Evaluated at bid price : 24.29 Bid-YTW : 4.63 % |
| CU.PR.I | FixedReset Prem | -1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 2.80 % |
| SLF.PR.C | Insurance Straight | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 24.46 Evaluated at bid price : 24.70 Bid-YTW : 4.49 % |
| SLF.PR.G | FixedReset Ins Non | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 3.75 % |
| GWO.PR.N | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.75 % |
| TRP.PR.D | FixedReset Disc | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 21.67 Evaluated at bid price : 22.12 Bid-YTW : 4.43 % |
| PVS.PR.J | SplitShare | 1.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.96 % |
| BAM.PR.X | FixedReset Disc | 2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 4.49 % |
| SLF.PR.J | FloatingReset | 2.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 2.09 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset Prem | 273,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 2.27 % |
| SLF.PR.D | Insurance Straight | 191,950 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 24.34 Evaluated at bid price : 24.65 Bid-YTW : 4.49 % |
| MFC.PR.R | FixedReset Ins Non | 99,616 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 2.53 % |
| RY.PR.Z | FixedReset Disc | 82,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 23.30 Evaluated at bid price : 24.55 Bid-YTW : 3.73 % |
| PWF.PF.A | Perpetual-Discount | 61,430 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 24.30 Evaluated at bid price : 24.69 Bid-YTW : 4.59 % |
| FTS.PR.M | FixedReset Disc | 61,390 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-23 Maturity Price : 22.57 Evaluated at bid price : 23.23 Bid-YTW : 4.27 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 13.17 – 24.42 Spot Rate : 11.2500 Average : 5.9125 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 22.65 – 24.00 Spot Rate : 1.3500 Average : 0.9315 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 20.30 – 21.15 Spot Rate : 0.8500 Average : 0.5639 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 15.90 – 17.00 Spot Rate : 1.1000 Average : 0.8761 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 14.60 – 15.30 Spot Rate : 0.7000 Average : 0.4923 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 19.80 – 20.53 Spot Rate : 0.7300 Average : 0.5281 YTW SCENARIO |
Is there a reason why SLF.PR.D spiked to 25.90 on Tuesday?
Perhaps just a major mistake during order entry?
I got a query on this yesterday and responded:
Whoever was on the sell side of that trade made himself some easy money!
On tsx alone over 55k shares traded at that price in under 25 seconds. Someone at Desjardins messed up. Seeing as the price on the initial 700 shares was 24.90, I suspect a price entry error on a 100k share limit order.