| 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 | 0.2459 % | 2,363.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2459 % | 4,533.1 |
| Floater | 10.30 % | 10.54 % | 46,900 | 9.02 | 2 | 0.2459 % | 2,612.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2131 % | 3,378.8 |
| SplitShare | 4.98 % | 7.46 % | 48,743 | 1.89 | 7 | 0.2131 % | 4,034.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2131 % | 3,148.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1819 % | 2,640.2 |
| Perpetual-Discount | 6.51 % | 6.72 % | 46,593 | 12.89 | 33 | -0.1819 % | 2,879.0 |
| FixedReset Disc | 5.63 % | 7.68 % | 115,363 | 12.12 | 59 | 0.1666 % | 2,355.5 |
| Insurance Straight | 6.36 % | 6.54 % | 60,942 | 13.08 | 21 | -0.6382 % | 2,851.3 |
| FloatingReset | 10.00 % | 10.21 % | 36,355 | 9.30 | 3 | 0.0379 % | 2,589.1 |
| FixedReset Prem | 6.99 % | 6.98 % | 165,525 | 3.24 | 1 | 0.6000 % | 2,499.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1666 % | 2,407.8 |
| FixedReset Ins Non | 5.47 % | 7.24 % | 81,748 | 12.29 | 14 | 0.2121 % | 2,599.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.E | Insurance Straight | -10.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 7.18 % |
| BN.PR.X | FixedReset Disc | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 8.46 % |
| GWO.PR.S | Insurance Straight | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 6.69 % |
| BN.PF.I | FixedReset Disc | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 8.90 % |
| FTS.PR.J | Perpetual-Discount | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.29 % |
| RY.PR.N | Perpetual-Discount | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 21.71 Evaluated at bid price : 22.00 Bid-YTW : 5.59 % |
| FTS.PR.F | Perpetual-Discount | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.17 % |
| CCS.PR.C | Insurance Straight | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 6.79 % |
| MFC.PR.M | FixedReset Ins Non | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 19.13 Evaluated at bid price : 19.13 Bid-YTW : 7.82 % |
| CU.PR.H | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 6.29 % |
| SLF.PR.D | Insurance Straight | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 5.95 % |
| IFC.PR.G | FixedReset Ins Non | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 21.53 Evaluated at bid price : 21.81 Bid-YTW : 7.15 % |
| GWO.PR.N | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 8.17 % |
| BIP.PR.A | FixedReset Disc | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 9.61 % |
| MFC.PR.Q | FixedReset Ins Non | 2.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 21.48 Evaluated at bid price : 21.75 Bid-YTW : 7.16 % |
| BMO.PR.S | FixedReset Disc | 3.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 7.00 % |
| CU.PR.C | FixedReset Disc | 6.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 7.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| POW.PR.G | Perpetual-Discount | 68,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.77 % |
| BN.PR.N | Perpetual-Discount | 61,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.03 % |
| BMO.PR.S | FixedReset Disc | 31,759 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 7.00 % |
| RY.PR.Z | FixedReset Disc | 28,019 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 7.01 % |
| SLF.PR.J | FloatingReset | 25,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 10.21 % |
| NA.PR.G | FixedReset Disc | 24,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-02-26 Maturity Price : 22.93 Evaluated at bid price : 24.32 Bid-YTW : 6.79 % |
| There were 7 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.E | Insurance Straight | Quote: 18.50 – 20.97 Spot Rate : 2.4700 Average : 1.4078 YTW SCENARIO |
| TD.PF.J | FixedReset Disc | Quote: 21.93 – 22.97 Spot Rate : 1.0400 Average : 0.6318 YTW SCENARIO |
| BN.PF.B | FixedReset Disc | Quote: 19.35 – 19.92 Spot Rate : 0.5700 Average : 0.3559 YTW SCENARIO |
| BN.PR.X | FixedReset Disc | Quote: 15.75 – 16.24 Spot Rate : 0.4900 Average : 0.3036 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 20.02 – 20.50 Spot Rate : 0.4800 Average : 0.3138 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 19.83 – 20.69 Spot Rate : 0.8600 Average : 0.6988 YTW SCENARIO |
It is very unlikely that I am the first person who experienced that but somehow I had a small order for BN.PR.R that was filled right after 4pm at $14.58 whereas today’s price has barely moved all day at around $14.9.
Very weird… disappointed that it was just a very small quantity though ah ah.
Not unusual at all. The bid/ask is science-fiction in my opinion for prefs. More often than not, I’ll get a fill and it won’t impact the price or even show up at all on the past trades. I constantly try to steal shares way below and it works quite often. Not on the US prefs though.
Yes I place quite a few odd lots that are filled without impacting anything (and more often than not at a better price than expected) but the bid-ask has been like $14.8-$14.9 all day including at the close so I found it strange to see my order executed.
Anyway, not very interesting but it’s a rather quiet period for the pref market. We got a big rebound and it’s been pretty flat for a month or so now.
More and more people are expecting something to break soon in the economy so this quiet period may very well be short-lived.
We shall see!
I believe you have experienced an “on close at market” order on the other side. Happens on a regular basis and is usually a nice win for the matching order (in this case, yours).
A recent post on Financial Wisdom Forum linked to a whitepaper by Blackrock titled A global perspective on market-on-close activity
Yomgui – the trade was at 16:00:02 and I think what happened is the TSX was closed so the TSX bid is no longer operative and it’s a bit of a free for all. I would guess the other side meant to sell before the close and didn’t make it. Was this a discount broker order? It’s a bit of a curiosity that NBF had it resting on an alternative market.