November 15, 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 -0.3196 % 1,731.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3196 % 3,163.5
Floater 4.33 % 4.47 % 46,089 16.44 4 -0.3196 % 1,823.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2310 % 2,898.8
SplitShare 4.83 % 4.81 % 45,925 4.33 6 -0.2310 % 3,461.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2310 % 2,701.0
Perpetual-Premium 5.44 % 5.08 % 79,484 14.50 23 -0.2625 % 2,661.3
Perpetual-Discount 5.39 % 5.39 % 89,240 14.86 15 -1.2429 % 2,773.4
FixedReset 4.85 % 4.56 % 186,379 6.80 93 -1.1067 % 2,101.3
Deemed-Retractible 5.15 % 5.37 % 129,170 4.63 32 -0.4120 % 2,740.9
FloatingReset 2.79 % 3.43 % 42,527 4.90 12 -0.2981 % 2,322.7
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -3.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.31 %
IFC.PR.A FixedReset -3.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.74
Bid-YTW : 9.67 %
IAG.PR.G FixedReset -3.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 6.99 %
MFC.PR.J FixedReset -2.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.17 %
SLF.PR.I FixedReset -2.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 7.05 %
NA.PR.W FixedReset -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.46 %
TRP.PR.D FixedReset -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.68 %
BAM.PR.N Perpetual-Discount -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.78 %
BNS.PR.Z FixedReset -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.33
Bid-YTW : 6.40 %
TD.PF.E FixedReset -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 4.32 %
SLF.PR.H FixedReset -2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.89
Bid-YTW : 8.59 %
CU.PR.E Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 22.76
Evaluated at bid price : 23.15
Bid-YTW : 5.29 %
PWF.PR.P FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 4.56 %
TRP.PR.E FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.64 %
BMO.PR.W FixedReset -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 4.25 %
W.PR.M FixedReset -1.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.87 %
W.PR.K FixedReset -1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.86 %
TD.PF.C FixedReset -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 4.31 %
MFC.PR.I FixedReset -1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.52 %
BAM.PR.M Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.74 %
MFC.PR.H FixedReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 5.73 %
RY.PR.J FixedReset -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.34 %
CU.PR.G Perpetual-Discount -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.39 %
MFC.PR.F FixedReset -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.60
Bid-YTW : 10.83 %
BAM.PR.K Floater -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 4.55 %
TD.PF.B FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.33 %
TD.PF.D FixedReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 4.36 %
BAM.PF.D Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.41
Evaluated at bid price : 21.72
Bid-YTW : 5.71 %
BMO.PR.Y FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.28 %
MFC.PR.K FixedReset -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.12
Bid-YTW : 8.05 %
BNS.PR.D FloatingReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 6.36 %
MFC.PR.M FixedReset -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 7.45 %
BAM.PF.C Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.77 %
BAM.PF.G FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.57 %
CU.PR.F Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.37 %
CU.PR.D Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 22.80
Evaluated at bid price : 23.20
Bid-YTW : 5.28 %
BMO.PR.T FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.25 %
SLF.PR.E Deemed-Retractible -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 7.18 %
RY.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.28 %
BNS.PR.Y FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 5.53 %
SLF.PR.D Deemed-Retractible -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 7.23 %
PWF.PR.K Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 22.79
Evaluated at bid price : 23.07
Bid-YTW : 5.40 %
MFC.PR.L FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 7.76 %
MFC.PR.N FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.32
Bid-YTW : 7.32 %
SLF.PR.C Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 7.20 %
TRP.PR.G FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.56 %
SLF.PR.J FloatingReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.58
Bid-YTW : 10.30 %
BMO.PR.M FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 3.50 %
CM.PR.P FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.28 %
TD.PF.A FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.28 %
NA.PR.S FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.45 %
BMO.PR.S FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.24 %
TRP.PR.C FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.40 %
NA.PR.Q FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 4.15 %
CM.PR.O FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.29 %
HSE.PR.A FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.28 %
BMO.PR.Q FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 6.34 %
BAM.PF.B FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.93 %
CM.PR.Q FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.33 %
HSE.PR.E FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 5.20 %
SLF.PR.B Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 6.47 %
BAM.PF.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.88 %
EML.PR.A FixedReset -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.88 %
HSE.PR.C FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.26 %
BNS.PR.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 4.26 %
CU.PR.H Perpetual-Premium -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 24.20
Evaluated at bid price : 24.60
Bid-YTW : 5.33 %
MFC.PR.G FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 6.33 %
BAM.PF.F FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.60 %
BAM.PR.Z FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.00 %
RY.PR.Z FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.19 %
VNR.PR.A FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.88 %
TRP.PR.F FloatingReset 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 3.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 166,295 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.61 %
TRP.PR.A FixedReset 159,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.63 %
BAM.PR.Z FixedReset 112,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.00 %
BAM.PF.E FixedReset 89,727 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.59 %
TD.PF.H FixedReset 65,955 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.63 %
BNS.PR.N Deemed-Retractible 64,898 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.92 %
There were 81 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Quote: 15.74 – 16.25
Spot Rate : 0.5100
Average : 0.3093

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.74
Bid-YTW : 9.67 %

NA.PR.Q FixedReset Quote: 24.15 – 24.59
Spot Rate : 0.4400
Average : 0.2979

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 4.15 %

BAM.PR.N Perpetual-Discount Quote: 20.89 – 21.20
Spot Rate : 0.3100
Average : 0.1887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.78 %

SLF.PR.I FixedReset Quote: 19.90 – 20.18
Spot Rate : 0.2800
Average : 0.1714

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 7.05 %

TRP.PR.A FixedReset Quote: 15.75 – 16.05
Spot Rate : 0.3000
Average : 0.2034

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.63 %

BAM.PR.K Floater Quote: 10.51 – 10.77
Spot Rate : 0.2600
Average : 0.1675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 4.55 %

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