April 12, 2016

Just the bare bones again!

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 4.69 % 5.70 % 10,068 17.03 1 0.0694 % 1,676.6
FixedFloater 6.39 % 5.61 % 20,354 16.76 1 3.1944 % 3,109.8
Floater 4.54 % 4.68 % 56,751 16.11 4 0.2649 % 1,705.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1965 % 2,805.2
SplitShare 4.72 % 5.08 % 91,262 1.58 6 0.1965 % 3,282.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1965 % 2,561.2
Perpetual-Premium 5.77 % -15.39 % 90,915 0.09 6 -0.0131 % 2,594.3
Perpetual-Discount 5.51 % 5.53 % 92,240 14.62 33 0.2530 % 2,649.8
FixedReset 5.06 % 4.52 % 179,626 14.31 87 0.2279 % 2,011.6
Deemed-Retractible 5.15 % 5.31 % 126,458 5.09 34 0.1434 % 2,647.8
FloatingReset 3.04 % 4.61 % 34,922 5.39 17 0.2601 % 2,088.9
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 4.61 %
TRP.PR.B FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 4.28 %
BNS.PR.Z FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 5.61 %
FTS.PR.I FloatingReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 11.32
Evaluated at bid price : 11.32
Bid-YTW : 4.24 %
BIP.PR.A FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.62 %
TRP.PR.D FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.37 %
TD.PF.E FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.27 %
BAM.PF.A FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.70 %
MFC.PR.I FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.43 %
GWO.PR.N FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 9.88 %
SLF.PR.J FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.50
Bid-YTW : 10.84 %
BAM.PR.X FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.44 %
BAM.PR.T FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.93 %
MFC.PR.H FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 6.13 %
BNS.PR.F FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.27
Bid-YTW : 6.60 %
HSE.PR.E FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.52 %
TRP.PR.F FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 4.61 %
HSE.PR.G FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.52 %
BMO.PR.Q FixedReset 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 6.00 %
TD.PF.D FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.25 %
MFC.PR.J FixedReset 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 6.58 %
SLF.PR.H FixedReset 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.66 %
NA.PR.S FixedReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 4.19 %
TRP.PR.C FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 4.47 %
BAM.PF.B FixedReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 4.73 %
GWO.PR.O FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.25
Bid-YTW : 10.94 %
PWF.PR.Q FloatingReset 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 4.36 %
PWF.PR.T FixedReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 3.85 %
IAG.PR.G FixedReset 2.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 6.28 %
HSE.PR.A FixedReset 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 5.38 %
BAM.PR.G FixedFloater 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 25.00
Evaluated at bid price : 14.86
Bid-YTW : 5.61 %
MFC.PR.F FixedReset 3.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.55
Bid-YTW : 10.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 91,389 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 4.59 %
BNS.PR.G FixedReset 84,745 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 4.66 %
RY.PR.Q FixedReset 72,641 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.59 %
BNS.PR.L Deemed-Retractible 67,265 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.37 %
MFC.PR.O FixedReset 60,370 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.73 %
SLF.PR.A Deemed-Retractible 58,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 6.20 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.O FloatingReset Quote: 12.25 – 14.25
Spot Rate : 2.0000
Average : 1.2956

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.25
Bid-YTW : 10.94 %

RY.PR.K FloatingReset Quote: 22.12 – 23.50
Spot Rate : 1.3800
Average : 1.1804

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 4.68 %

BAM.PR.G FixedFloater Quote: 14.86 – 15.50
Spot Rate : 0.6400
Average : 0.4880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 25.00
Evaluated at bid price : 14.86
Bid-YTW : 5.61 %

TRP.PR.B FixedReset Quote: 11.86 – 12.39
Spot Rate : 0.5300
Average : 0.3838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-12
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 4.28 %

RY.PR.I FixedReset Quote: 23.67 – 24.17
Spot Rate : 0.5000
Average : 0.3557

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.67
Bid-YTW : 4.23 %

BNS.PR.Z FixedReset Quote: 20.65 – 21.00
Spot Rate : 0.3500
Average : 0.2237

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 5.61 %

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