There were a few things I wanted to discuss in today’s post, notably Six Strange Things That Have Been Happening in Financial Markets and a new twist in the Sprott Silver Battle, but frankly – it’s late and I’m tired. So today, folks, all you’re getting is the barest of bare bones.
| 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 | 4.27 % | 5.12 % | 31,504 | 17.68 | 1 | 0.0000 % | 1,819.2 |
| FixedFloater | 6.05 % | 5.29 % | 28,536 | 17.17 | 1 | 0.1913 % | 3,227.2 |
| Floater | 3.88 % | 3.92 % | 68,686 | 17.55 | 3 | 2.1229 % | 2,036.7 |
| OpRet | 4.84 % | 4.52 % | 32,765 | 0.78 | 1 | 0.0395 % | 2,718.6 |
| SplitShare | 4.73 % | 5.60 % | 145,738 | 4.37 | 5 | 0.1121 % | 3,212.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1121 % | 2,506.8 |
| Perpetual-Premium | 5.82 % | 3.40 % | 88,415 | 0.08 | 6 | -0.0728 % | 2,498.4 |
| Perpetual-Discount | 5.53 % | 5.64 % | 83,047 | 14.45 | 33 | -0.2943 % | 2,586.3 |
| FixedReset | 4.81 % | 4.51 % | 225,507 | 15.51 | 76 | -1.0322 % | 2,127.0 |
| Deemed-Retractible | 5.18 % | 5.20 % | 108,826 | 5.41 | 34 | -0.1084 % | 2,582.3 |
| FloatingReset | 2.57 % | 3.89 % | 54,555 | 5.78 | 10 | -0.1782 % | 2,187.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset | -5.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.85 % |
| FTS.PR.J | Perpetual-Discount | -4.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.77 % |
| HSE.PR.A | FixedReset | -3.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 5.06 % |
| TRP.PR.D | FixedReset | -3.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 4.76 % |
| TRP.PR.E | FixedReset | -3.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 4.64 % |
| NA.PR.S | FixedReset | -3.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.50 % |
| HSE.PR.C | FixedReset | -3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.04 % |
| MFC.PR.F | FixedReset | -2.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.70 Bid-YTW : 9.50 % |
| TRP.PR.A | FixedReset | -2.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.80 % |
| MFC.PR.L | FixedReset | -2.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.07 Bid-YTW : 6.50 % |
| MFC.PR.K | FixedReset | -2.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.03 Bid-YTW : 6.45 % |
| IFC.PR.A | FixedReset | -2.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.55 Bid-YTW : 8.74 % |
| TRP.PR.H | FloatingReset | -2.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 11.53 Evaluated at bid price : 11.53 Bid-YTW : 3.68 % |
| SLF.PR.H | FixedReset | -2.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.19 % |
| FTS.PR.H | FixedReset | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.36 Evaluated at bid price : 14.36 Bid-YTW : 4.41 % |
| NA.PR.W | FixedReset | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 4.38 % |
| TD.PF.D | FixedReset | -2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.18 % |
| BAM.PF.E | FixedReset | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 4.67 % |
| MFC.PR.N | FixedReset | -1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 6.00 % |
| BAM.PR.Z | FixedReset | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 4.87 % |
| SLF.PR.G | FixedReset | -1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.85 % |
| TRP.PR.F | FloatingReset | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 4.00 % |
| CM.PR.P | FixedReset | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.59 Evaluated at bid price : 19.59 Bid-YTW : 4.36 % |
| BIP.PR.A | FixedReset | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.73 Evaluated at bid price : 22.11 Bid-YTW : 5.22 % |
| MFC.PR.J | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.21 Bid-YTW : 5.41 % |
| BMO.PR.W | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 4.31 % |
| MFC.PR.B | Deemed-Retractible | -1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.85 % |
| MFC.PR.H | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.79 % |
| TD.PF.B | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.27 % |
| TD.PR.Y | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 4.05 % |
| TD.PR.Z | FloatingReset | -1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 3.89 % |
| BMO.PR.T | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.30 % |
| TD.PF.C | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.30 % |
| MFC.PR.G | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.09 Bid-YTW : 5.16 % |
| PWF.PR.T | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 22.02 Evaluated at bid price : 22.39 Bid-YTW : 3.95 % |
| BAM.PF.H | FixedReset | -1.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 % |
| RY.PR.Z | FixedReset | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 4.20 % |
| TRP.PR.C | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 4.69 % |
| IFC.PR.C | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.12 Bid-YTW : 6.73 % |
| RY.PR.H | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 4.26 % |
| BAM.PF.G | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 4.62 % |
| CU.PR.H | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 23.48 Evaluated at bid price : 23.80 Bid-YTW : 5.52 % |
| BNS.PR.P | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.27 Bid-YTW : 3.76 % |
| W.PR.J | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 24.07 Evaluated at bid price : 24.33 Bid-YTW : 5.81 % |
| TD.PF.A | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 4.27 % |
| GWO.PR.R | Deemed-Retractible | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.07 Bid-YTW : 6.64 % |
| RY.PR.J | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 21.76 Evaluated at bid price : 22.15 Bid-YTW : 4.20 % |
| BAM.PR.C | Floater | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 3.96 % |
| BAM.PR.T | FixedReset | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.73 % |
| TD.PR.T | FloatingReset | 1.78 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 3.46 % |
| BAM.PR.X | FixedReset | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 4.70 % |
| BAM.PR.K | Floater | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.16 Evaluated at bid price : 12.16 Bid-YTW : 3.92 % |
| BAM.PR.B | Floater | 2.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 12.35 Evaluated at bid price : 12.35 Bid-YTW : 3.86 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.H | FixedReset | 82,443 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.40 % |
| CU.PR.I | FixedReset | 70,396 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.90 % |
| RY.PR.H | FixedReset | 65,246 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 4.26 % |
| TD.PF.B | FixedReset | 52,666 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.27 % |
| TD.PF.C | FixedReset | 33,606 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.30 % |
| BMO.PR.W | FixedReset | 33,404 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-12 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 4.31 % |
| There were 45 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FTS.PR.J | Perpetual-Discount | Quote: 21.03 – 22.23 Spot Rate : 1.2000 Average : 0.7292 YTW SCENARIO |
| ELF.PR.H | Perpetual-Discount | Quote: 24.25 – 25.00 Spot Rate : 0.7500 Average : 0.5031 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 16.01 – 16.70 Spot Rate : 0.6900 Average : 0.5199 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 21.52 – 21.99 Spot Rate : 0.4700 Average : 0.3328 YTW SCENARIO |
| RY.PR.N | Perpetual-Discount | Quote: 23.65 – 24.00 Spot Rate : 0.3500 Average : 0.2182 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 16.44 – 16.92 Spot Rate : 0.4800 Average : 0.3534 YTW SCENARIO |
Mr Hymas, thank you for linking the ‘6 strange things’ article. Its a nice summary. So many strange things in the market right now.