I regret to advise that due to continued server problems, the Market Action report for May 9 will be delayed. I will update this post when I can.
Update, 2017-5-13:
| 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 | 0.2438 % | 2,156.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2438 % | 3,957.2 |
| Floater | 3.54 % | 3.68 % | 49,430 | 18.09 | 4 | 0.2438 % | 2,280.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0469 % | 3,031.9 |
| SplitShare | 4.69 % | 4.35 % | 64,243 | 1.59 | 5 | 0.0469 % | 3,620.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0469 % | 2,825.0 |
| Perpetual-Premium | 5.31 % | -4.43 % | 73,779 | 0.09 | 22 | 0.0124 % | 2,784.8 |
| Perpetual-Discount | 5.10 % | 5.09 % | 106,557 | 15.33 | 14 | -0.2096 % | 3,002.7 |
| FixedReset | 4.43 % | 4.01 % | 218,059 | 6.55 | 94 | 0.4730 % | 2,334.4 |
| Deemed-Retractible | 4.98 % | 4.46 % | 136,529 | 0.12 | 30 | -0.0054 % | 2,892.2 |
| FloatingReset | 2.46 % | 2.94 % | 48,060 | 4.48 | 10 | 0.1957 % | 2,536.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.M | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 22.53 Evaluated at bid price : 22.78 Bid-YTW : 5.27 % |
| SLF.PR.G | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.33 Bid-YTW : 8.67 % |
| BMO.PR.Y | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 22.35 Evaluated at bid price : 22.91 Bid-YTW : 4.04 % |
| TRP.PR.H | FloatingReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 3.32 % |
| BMO.PR.W | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 3.92 % |
| NA.PR.S | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 3.98 % |
| BAM.PF.E | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 4.27 % |
| SLF.PR.H | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.18 Bid-YTW : 7.00 % |
| MFC.PR.L | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.71 Bid-YTW : 6.35 % |
| TRP.PR.G | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 22.68 Evaluated at bid price : 23.55 Bid-YTW : 4.19 % |
| CU.PR.I | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.80 Bid-YTW : 2.31 % |
| IFC.PR.A | FixedReset | 1.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 7.50 % |
| BAM.PR.X | FixedReset | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 4.28 % |
| BAM.PR.T | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 4.35 % |
| TRP.PR.B | FixedReset | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 3.98 % |
| TRP.PR.A | FixedReset | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 3.98 % |
| TRP.PR.D | FixedReset | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 4.05 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BIP.PR.D | FixedReset | 158,124 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : 4.61 % |
| BNS.PR.D | FloatingReset | 151,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.40 % |
| BMO.PR.K | Deemed-Retractible | 105,510 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-08 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.45 % |
| RY.PR.I | FixedReset | 103,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 3.30 % |
| RY.PR.R | FixedReset | 101,751 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 27.10 Bid-YTW : 3.35 % |
| TD.PF.C | FixedReset | 89,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-05-09 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 3.96 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.I | FixedReset | Quote: 26.10 – 26.48 Spot Rate : 0.3800 Average : 0.2515 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 15.42 – 15.81 Spot Rate : 0.3900 Average : 0.2692 YTW SCENARIO |
| BAM.PF.D | Perpetual-Discount | Quote: 23.59 – 23.99 Spot Rate : 0.4000 Average : 0.2901 YTW SCENARIO |
| MFC.PR.M | FixedReset | Quote: 21.51 – 21.85 Spot Rate : 0.3400 Average : 0.2343 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 25.99 – 26.29 Spot Rate : 0.3000 Average : 0.2051 YTW SCENARIO |
| MFC.PR.J | FixedReset | Quote: 22.47 – 22.79 Spot Rate : 0.3200 Average : 0.2251 YTW SCENARIO |