The market weakened in the afternoon and collapsed in the last half hour:
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| 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 | -2.4829 % | 3,113.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -2.4829 % | 5,713.5 |
| Floater | 3.49 % | 3.68 % | 39,207 | 18.12 | 4 | -2.4829 % | 3,292.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0079 % | 3,228.4 |
| SplitShare | 4.61 % | 4.77 % | 50,885 | 4.71 | 5 | 0.0079 % | 3,855.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0079 % | 3,008.1 |
| Perpetual-Premium | 5.63 % | 1.02 % | 77,407 | 0.20 | 12 | 0.1735 % | 2,907.0 |
| Perpetual-Discount | 5.58 % | 5.72 % | 75,431 | 14.32 | 21 | -0.5041 % | 2,937.3 |
| FixedReset Disc | 4.23 % | 5.14 % | 146,362 | 15.37 | 45 | -0.5747 % | 2,573.1 |
| Deemed-Retractible | 5.37 % | 6.79 % | 65,348 | 5.23 | 27 | -1.2594 % | 2,880.8 |
| FloatingReset | 3.61 % | 3.76 % | 42,853 | 5.54 | 4 | -0.4999 % | 2,832.0 |
| FixedReset Prem | 4.90 % | 4.30 % | 257,412 | 3.06 | 34 | -0.4460 % | 2,553.7 |
| FixedReset Bank Non | 3.12 % | 3.61 % | 74,521 | 0.34 | 8 | -0.0815 % | 2,573.5 |
| FixedReset Ins Non | 4.45 % | 5.84 % | 116,420 | 5.37 | 22 | -0.8418 % | 2,517.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.B | Deemed-Retractible | -11.59 % | A nonsensical quote brought to you courtesy of Nonsense Central. The issue traded 22,017 shares today in a range of 20.50-21.69 before the Exchange started selling the “closing” quotation of 19.00-21.35.
There were a number of trades in the extended session at the day’s low of 20.50. Almost all the selling was done by Royal Bank. I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO |
| TD.PF.J | FixedReset Prem | -3.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.87 Evaluated at bid price : 24.14 Bid-YTW : 5.11 % |
| SLF.PR.D | Deemed-Retractible | -3.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.77 Bid-YTW : 8.98 % |
| BAM.PR.K | Floater | -3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.72 % |
| IAG.PR.G | FixedReset Ins Non | -3.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.94 Bid-YTW : 6.01 % |
| IFC.PR.E | Deemed-Retractible | -2.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 7.19 % |
| BAM.PF.H | FixedReset Prem | -2.67 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 5.49 % |
| BAM.PR.B | Floater | -2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 3.69 % |
| BAM.PR.C | Floater | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 3.68 % |
| MFC.PR.G | FixedReset Ins Non | -2.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 5.84 % |
| HSE.PR.C | FixedReset Disc | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 23.02 Evaluated at bid price : 23.52 Bid-YTW : 5.80 % |
| MFC.PR.F | FixedReset Ins Non | -2.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.59 Bid-YTW : 9.47 % |
| MFC.PR.M | FixedReset Ins Non | -2.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.58 Bid-YTW : 6.59 % |
| MFC.PR.N | FixedReset Ins Non | -2.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 6.74 % |
| CM.PR.P | FixedReset Disc | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 21.88 Evaluated at bid price : 22.41 Bid-YTW : 5.06 % |
| SLF.PR.A | Deemed-Retractible | -1.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.90 Bid-YTW : 8.25 % |
| SLF.PR.J | FloatingReset | -1.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.44 Bid-YTW : 7.56 % |
| HSE.PR.A | FixedReset Disc | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 17.34 Evaluated at bid price : 17.34 Bid-YTW : 5.59 % |
| PWF.PR.A | Floater | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 3.05 % |
| MFC.PR.L | FixedReset Ins Non | -1.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.63 Bid-YTW : 7.29 % |
| BAM.PR.M | Perpetual-Discount | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 6.00 % |
| SLF.PR.C | Deemed-Retractible | -1.76 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 8.70 % |
| MFC.PR.B | Deemed-Retractible | -1.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 8.97 % |
| GWO.PR.S | Deemed-Retractible | -1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 6.61 % |
| NA.PR.W | FixedReset Disc | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 21.66 Evaluated at bid price : 22.08 Bid-YTW : 5.17 % |
| PWF.PR.S | Perpetual-Discount | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 5.83 % |
| CM.PR.O | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.21 Evaluated at bid price : 22.94 Bid-YTW : 5.05 % |
| BMO.PR.W | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.36 Evaluated at bid price : 22.83 Bid-YTW : 5.03 % |
| RY.PR.Z | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.33 Evaluated at bid price : 23.15 Bid-YTW : 4.96 % |
| BAM.PF.J | FixedReset Prem | -1.38 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.85 % |
| NA.PR.S | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.11 Evaluated at bid price : 22.76 Bid-YTW : 5.20 % |
| TD.PF.A | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.12 Evaluated at bid price : 22.80 Bid-YTW : 5.00 % |
| GWO.PR.R | Deemed-Retractible | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.34 Bid-YTW : 7.90 % |
| CU.PR.C | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.29 % |
| BAM.PR.N | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 5.98 % |
| GWO.PR.I | Deemed-Retractible | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 8.72 % |
| SLF.PR.E | Deemed-Retractible | -1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.19 Bid-YTW : 8.63 % |
| CU.PR.D | Perpetual-Discount | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.02 Evaluated at bid price : 22.35 Bid-YTW : 5.55 % |
| CU.PR.H | Perpetual-Discount | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 23.59 Evaluated at bid price : 24.00 Bid-YTW : 5.53 % |
| MFC.PR.J | FixedReset Ins Non | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 5.76 % |
| PWF.PR.Z | Perpetual-Discount | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 21.95 Evaluated at bid price : 22.30 Bid-YTW : 5.78 % |
| SLF.PR.I | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.63 Bid-YTW : 5.49 % |
| MFC.PR.C | Deemed-Retractible | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 9.39 % |
| CU.PR.I | FixedReset Prem | -1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 3.41 % |
| GWO.PR.H | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 7.93 % |
| BAM.PF.A | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.99 Evaluated at bid price : 24.50 Bid-YTW : 5.29 % |
| IFC.PR.F | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.24 Bid-YTW : 6.79 % |
| TRP.PR.C | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 5.30 % |
| TRP.PR.F | FloatingReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.31 % |
| BAM.PF.C | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 5.93 % |
| TRP.PR.E | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.37 Evaluated at bid price : 22.86 Bid-YTW : 5.14 % |
| POW.PR.A | Perpetual-Premium | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 24.59 Evaluated at bid price : 24.84 Bid-YTW : 5.67 % |
| MFC.PR.Q | FixedReset Ins Non | 3.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.39 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.E | FixedReset Prem | 317,002 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.82 % |
| BIP.PR.F | FixedReset Prem | 254,052 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.11 % |
| GWO.PR.N | FixedReset Ins Non | 246,669 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 8.00 % |
| RY.PR.C | Deemed-Retractible | 241,723 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-11-18 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 0.52 % |
| POW.PR.G | Perpetual-Premium | 220,648 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.40 % |
| PWF.PR.L | Perpetual-Discount | 204,099 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.16 Evaluated at bid price : 22.44 Bid-YTW : 5.69 % |
| TD.PF.K | FixedReset Prem | 196,934 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 23.17 Evaluated at bid price : 25.03 Bid-YTW : 4.85 % |
| CU.PR.D | Perpetual-Discount | 165,702 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 22.02 Evaluated at bid price : 22.35 Bid-YTW : 5.55 % |
| MFC.PR.Q | FixedReset Ins Non | 141,656 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.39 % |
| BIP.PR.A | FixedReset Disc | 138,575 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 23.53 Evaluated at bid price : 23.91 Bid-YTW : 6.10 % |
| CU.PR.H | Perpetual-Discount | 136,626 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-19 Maturity Price : 23.59 Evaluated at bid price : 24.00 Bid-YTW : 5.53 % |
| BIP.PR.B | FixedReset Prem | 136,436 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 4.51 % |
| There were 76 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.B | Deemed-Retractible | Quote: 19.00 – 21.35 Spot Rate : 2.3500 Average : 1.2919 YTW SCENARIO |
| TD.PF.J | FixedReset Prem | Quote: 24.14 – 25.14 Spot Rate : 1.0000 Average : 0.6159 YTW SCENARIO |
| BMO.PR.T | FixedReset Disc | Quote: 23.26 – 23.99 Spot Rate : 0.7300 Average : 0.4029 YTW SCENARIO |
| TD.PF.B | FixedReset Disc | Quote: 23.29 – 23.97 Spot Rate : 0.6800 Average : 0.3795 YTW SCENARIO |
| BAM.PF.H | FixedReset Prem | Quote: 24.83 – 25.59 Spot Rate : 0.7600 Average : 0.4628 YTW SCENARIO |
| PWF.PR.Z | Perpetual-Discount | Quote: 22.30 – 22.94 Spot Rate : 0.6400 Average : 0.3673 YTW SCENARIO |