Treasury markets, such as they were, were weak today:
Ten-year Treasury futures contracts for September delivery slid 14/32, or $4.38 per $1,000 face amount, to 129 9/32 as of 11:07 a.m. in New York, based on electronic trading at the Chicago Board of Trade. It was the biggest decline since May 18.
…
The odds of a rate increase in June implied by federal funds futures climbed to 34 percent from 30 percent on May 27. They rise to 80 percent by year-end, up from 74 percent three days previously
| 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 | 4.74 % | 5.75 % | 10,670 | 17.00 | 1 | -2.0619 % | 1,670.9 |
| FixedFloater | 6.62 % | 5.75 % | 17,193 | 16.75 | 1 | -1.7123 % | 3,052.8 |
| Floater | 4.31 % | 4.43 % | 42,538 | 16.47 | 4 | 0.6423 % | 1,802.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0809 % | 2,835.1 |
| SplitShare | 4.94 % | 5.17 % | 80,249 | 3.92 | 7 | 0.0809 % | 3,317.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0809 % | 2,588.5 |
| Perpetual-Premium | 5.74 % | -14.66 % | 85,844 | 0.09 | 6 | 0.0458 % | 2,608.4 |
| Perpetual-Discount | 5.42 % | 5.46 % | 105,283 | 14.57 | 33 | 0.2753 % | 2,704.6 |
| FixedReset | 5.13 % | 4.65 % | 164,119 | 7.41 | 88 | 0.3287 % | 1,996.1 |
| Deemed-Retractible | 5.10 % | 5.43 % | 131,832 | 4.86 | 33 | 0.2356 % | 2,697.6 |
| FloatingReset | 3.16 % | 5.00 % | 25,401 | 5.25 | 17 | -0.1061 % | 2,105.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.E | Ratchet | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 5.75 % |
| BAM.PR.G | FixedFloater | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 25.00 Evaluated at bid price : 14.35 Bid-YTW : 5.75 % |
| TRP.PR.I | FloatingReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 4.67 % |
| FTS.PR.I | FloatingReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.33 % |
| SLF.PR.H | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.49 Bid-YTW : 8.61 % |
| BAM.PF.E | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.85 % |
| IAG.PR.A | Deemed-Retractible | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 6.50 % |
| GWO.PR.I | Deemed-Retractible | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 6.41 % |
| CU.PR.C | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.51 % |
| FTS.PR.J | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 22.37 Evaluated at bid price : 22.66 Bid-YTW : 5.25 % |
| FTS.PR.F | Perpetual-Discount | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.27 % |
| CCS.PR.C | Deemed-Retractible | 1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 6.27 % |
| TRP.PR.H | FloatingReset | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 4.28 % |
| MFC.PR.G | FixedReset | 1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.15 Bid-YTW : 6.71 % |
| MFC.PR.N | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 6.66 % |
| TRP.PR.C | FixedReset | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 12.38 Evaluated at bid price : 12.38 Bid-YTW : 4.72 % |
| BAM.PF.G | FixedReset | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 20.34 Evaluated at bid price : 20.34 Bid-YTW : 4.78 % |
| BAM.PF.B | FixedReset | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.97 % |
| TRP.PR.B | FixedReset | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 4.39 % |
| BMO.PR.T | FixedReset | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 4.36 % |
| MFC.PR.M | FixedReset | 2.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 6.62 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.D | FixedReset | 230,297 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.75 % |
| CU.PR.C | FixedReset | 125,286 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.51 % |
| POW.PR.D | Perpetual-Discount | 105,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-30 Maturity Price : 22.70 Evaluated at bid price : 22.94 Bid-YTW : 5.52 % |
| TD.PF.G | FixedReset | 48,720 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 4.58 % |
| BMO.PR.K | Deemed-Retractible | 31,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-06-29 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : -10.43 % |
| RY.PR.C | Deemed-Retractible | 30,706 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-06-29 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : -4.15 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.G | Perpetual-Discount | Quote: 25.39 – 26.50 Spot Rate : 1.1100 Average : 0.6385 YTW SCENARIO |
| BAM.PR.E | Ratchet | Quote: 14.25 – 15.14 Spot Rate : 0.8900 Average : 0.6597 YTW SCENARIO |
| SLF.PR.G | FixedReset | Quote: 14.30 – 14.80 Spot Rate : 0.5000 Average : 0.3335 YTW SCENARIO |
| TD.PF.A | FixedReset | Quote: 18.51 – 18.98 Spot Rate : 0.4700 Average : 0.3117 YTW SCENARIO |
| GWO.PR.O | FloatingReset | Quote: 13.00 – 13.95 Spot Rate : 0.9500 Average : 0.8241 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 14.06 – 14.50 Spot Rate : 0.4400 Average : 0.3246 YTW SCENARIO |