Publication of the November 27 preferred share report has been delayed. I intend to post it shortly before publication of the November 28 report.
Update, 2017-11-29, finally:
| 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 | 0.1971 % | 2,461.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1971 % | 4,517.0 |
| Floater | 3.67 % | 3.90 % | 97,871 | 17.58 | 3 | 0.1971 % | 2,603.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5203 % | 3,127.4 |
| SplitShare | 4.72 % | 4.26 % | 50,072 | 1.09 | 6 | 0.5203 % | 3,734.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5203 % | 2,914.1 |
| Perpetual-Premium | 5.34 % | 4.67 % | 44,065 | 0.10 | 20 | -0.0431 % | 2,841.8 |
| Perpetual-Discount | 5.18 % | 5.22 % | 65,513 | 15.03 | 15 | 0.1043 % | 3,030.3 |
| FixedReset | 4.21 % | 4.14 % | 148,136 | 4.40 | 98 | -0.0423 % | 2,506.4 |
| Deemed-Retractible | 5.00 % | 5.27 % | 87,153 | 5.90 | 30 | 0.0804 % | 2,952.7 |
| FloatingReset | 2.70 % | 2.75 % | 41,958 | 3.95 | 8 | -0.1028 % | 2,687.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| W.PR.M | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 3.94 % |
| CU.PR.G | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-27 Maturity Price : 21.97 Evaluated at bid price : 22.30 Bid-YTW : 5.05 % |
| BAM.PR.N | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-27 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.38 % |
| MFC.PR.K | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 5.04 % |
| PVS.PR.E | SplitShare | 1.51 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-27 Maturity Price : 26.00 Evaluated at bid price : 26.15 Bid-YTW : -3.46 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.A | FixedReset | 57,135 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 3.46 % |
| BAM.PF.F | FixedReset | 53,503 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-27 Maturity Price : 23.58 Evaluated at bid price : 24.88 Bid-YTW : 4.49 % |
| BMO.PR.M | FixedReset | 53,136 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.41 % |
| HSB.PR.C | Deemed-Retractible | 44,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-27 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 1.80 % |
| BAM.PF.C | Perpetual-Discount | 32,410 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-27 Maturity Price : 22.46 Evaluated at bid price : 22.81 Bid-YTW : 5.39 % |
| IFC.PR.E | Deemed-Retractible | 26,456 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.27 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.G | FixedReset | Quote: 24.53 – 24.99 Spot Rate : 0.4600 Average : 0.2853 YTW SCENARIO |
| RY.PR.L | FixedReset | Quote: 25.32 – 25.63 Spot Rate : 0.3100 Average : 0.2183 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 16.61 – 16.86 Spot Rate : 0.2500 Average : 0.1708 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 18.00 – 18.28 Spot Rate : 0.2800 Average : 0.2135 YTW SCENARIO |
| HSE.PR.C | FixedReset | Quote: 24.70 – 24.90 Spot Rate : 0.2000 Average : 0.1343 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 24.86 – 25.07 Spot Rate : 0.2100 Average : 0.1448 YTW SCENARIO |