May 16, 2016

The BoC has released the Bank of Canada Review – Spring 2016.

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 4.66 % 5.67 % 12,333 17.07 1 0.6250 % 1,692.5
FixedFloater 6.62 % 5.74 % 18,307 16.79 1 0.0000 % 3,052.8
Floater 4.52 % 4.75 % 43,664 15.90 4 -0.1911 % 1,716.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1906 % 2,819.5
SplitShare 4.93 % 5.47 % 82,625 2.46 7 0.1906 % 3,299.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1906 % 2,574.2
Perpetual-Premium 5.77 % -10.51 % 78,439 0.08 6 0.0394 % 2,596.0
Perpetual-Discount 5.48 % 5.59 % 102,937 14.49 33 0.2506 % 2,677.8
FixedReset 5.21 % 4.74 % 168,276 7.48 88 -0.1845 % 1,965.0
Deemed-Retractible 5.16 % 5.67 % 131,472 6.77 33 0.1590 % 2,663.8
FloatingReset 3.16 % 5.15 % 25,182 5.29 17 0.1732 % 2,083.1
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 4.67 %
BIP.PR.A FixedReset -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.80 %
IFC.PR.C FixedReset -2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.10 %
BMO.PR.Y FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.43 %
CU.PR.C FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.36 %
TD.PF.E FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.38 %
IFC.PR.A FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.31
Bid-YTW : 9.60 %
NA.PR.S FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.42 %
CIU.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.43 %
FTS.PR.I FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.21 %
SLF.PR.J FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.54 %
HSE.PR.B FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.51 %
FTS.PR.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.45 %
GWO.PR.N FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 9.95 %
GWO.PR.O FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.37 %
HSE.PR.A FixedReset 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 5.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 69,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.75 %
BAM.PF.H FixedReset 49,818 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 4.19 %
NA.PR.X FixedReset 49,091 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.54 %
MFC.PR.O FixedReset 44,088 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.63 %
BAM.PR.R FixedReset 39,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.08 %
BAM.PF.B FixedReset 32,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.01 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Quote: 18.93 – 19.50
Spot Rate : 0.5700
Average : 0.3855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 4.67 %

ALB.PR.C SplitShare Quote: 26.05 – 26.88
Spot Rate : 0.8300
Average : 0.6523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 26.05
Bid-YTW : 2.58 %

CU.PR.C FixedReset Quote: 18.00 – 18.43
Spot Rate : 0.4300
Average : 0.2878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.36 %

CU.PR.I FixedReset Quote: 25.45 – 25.93
Spot Rate : 0.4800
Average : 0.3824

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.04 %

SLF.PR.H FixedReset Quote: 16.12 – 16.69
Spot Rate : 0.5700
Average : 0.4754

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.12
Bid-YTW : 8.96 %

TRP.PR.I FloatingReset Quote: 10.75 – 12.28
Spot Rate : 1.5300
Average : 1.4562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.83 %

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