June 13, 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 0.00 % 0.00 % 0 0.00 0 -1.3832 % 1,665.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3832 % 3,042.7
Floater 4.62 % 4.59 % 63,734 16.27 3 -1.3832 % 1,753.6
OpRet 4.88 % 1.50 % 43,259 0.08 1 0.0398 % 2,826.8
SplitShare 4.89 % 4.99 % 86,248 4.67 7 -0.1783 % 3,331.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1783 % 2,599.3
Perpetual-Premium 5.61 % -1.86 % 75,604 0.09 9 -0.0521 % 2,622.0
Perpetual-Discount 5.37 % 5.46 % 104,948 14.63 28 -0.0453 % 2,732.6
FixedReset 5.11 % 4.53 % 159,129 7.26 88 -0.4693 % 2,003.3
Deemed-Retractible 5.12 % 5.25 % 123,905 4.95 33 -0.1270 % 2,701.4
FloatingReset 3.12 % 4.85 % 25,663 5.22 17 -0.3074 % 2,121.8
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -3.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 7.15 %
TRP.PR.G FixedReset -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.71 %
SLF.PR.H FixedReset -3.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 8.90 %
PWF.PR.Q FloatingReset -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.36 %
HSE.PR.B FloatingReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.23 %
BAM.PR.B Floater -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 10.28
Evaluated at bid price : 10.28
Bid-YTW : 4.59 %
BAM.PR.T FixedReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 4.91 %
MFC.PR.H FixedReset -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 5.96 %
PWF.PR.T FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.74 %
MFC.PR.N FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.48
Bid-YTW : 6.77 %
HSE.PR.G FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.24 %
BAM.PR.C Floater -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.65 %
TRP.PR.A FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.44 %
FTS.PR.G FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.26 %
SLF.PR.I FixedReset -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.00 %
PWF.PR.P FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 4.19 %
MFC.PR.J FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.89
Bid-YTW : 6.53 %
MFC.PR.B Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.23
Bid-YTW : 6.36 %
MFC.PR.K FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 7.38 %
HSE.PR.E FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.25 %
BAM.PR.X FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.59 %
IFC.PR.A FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.02
Bid-YTW : 9.72 %
TRP.PR.F FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.42 %
MFC.PR.M FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.74 %
GWO.PR.M Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.58
Bid-YTW : 4.86 %
TRP.PR.I FloatingReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset 1,508,057 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.90 %
EML.PR.A FixedReset 318,453 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.24 %
TRP.PR.J FixedReset 77,507 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.88 %
TD.PF.G FixedReset 63,698 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.44 %
RY.PR.Q FixedReset 59,092 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.45 %
BAM.PR.N Perpetual-Discount 55,028 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-13
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.64 %
There were 22 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: 19.29 – 19.93
Spot Rate : 0.6400
Average : 0.3828

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 7.15 %

IFC.PR.C FixedReset Quote: 17.60 – 18.25
Spot Rate : 0.6500
Average : 0.4126

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.09 %

BMO.PR.R FloatingReset Quote: 22.00 – 22.49
Spot Rate : 0.4900
Average : 0.3486

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.59 %

BNS.PR.R FixedReset Quote: 23.35 – 23.73
Spot Rate : 0.3800
Average : 0.2555

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 4.54 %

POW.PR.G Perpetual-Premium Quote: 25.43 – 25.81
Spot Rate : 0.3800
Average : 0.2635

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 5.44 %

GWO.PR.M Deemed-Retractible Quote: 25.58 – 25.91
Spot Rate : 0.3300
Average : 0.2227

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.58
Bid-YTW : 4.86 %

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