November 23, 2021

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 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
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %

SLF.PR.H FixedReset Ins Non Quote: 22.65 – 24.00
Spot Rate : 1.3500
Average : 0.9315

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 %

BAM.PR.R FixedReset Disc Quote: 20.30 – 21.15
Spot Rate : 0.8500
Average : 0.5639

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 %

TRP.PR.C FixedReset Disc Quote: 15.90 – 17.00
Spot Rate : 1.1000
Average : 0.8761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.48 %

BAM.PR.B Floater Quote: 14.60 – 15.30
Spot Rate : 0.7000
Average : 0.4923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %

TRP.PR.A FixedReset Disc Quote: 19.80 – 20.53
Spot Rate : 0.7300
Average : 0.5281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.43 %

3 Responses to “November 23, 2021”

  1. Alan says:

    Is there a reason why SLF.PR.D spiked to 25.90 on Tuesday?

    Perhaps just a major mistake during order entry?

  2. jiHymas says:

    I got a query on this yesterday and responded:

    I have no idea what happened with this trade. Fat finger? Short-covering? When the dealers buy somebody in, they don’t care much how bad the price is.

    Whoever was on the sell side of that trade made himself some easy money!

  3. gsp says:

    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.

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