December 1, 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 0.2943 % 1,757.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2943 % 3,209.9
Floater 4.27 % 4.43 % 47,689 16.47 4 0.2943 % 1,849.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0862 % 2,917.0
SplitShare 4.85 % 4.52 % 54,401 4.33 6 -0.0862 % 3,483.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0862 % 2,718.0
Perpetual-Premium 5.45 % 5.34 % 82,105 14.41 23 -0.0733 % 2,656.1
Perpetual-Discount 5.42 % 5.43 % 94,610 14.73 15 -0.6982 % 2,762.9
FixedReset 4.85 % 4.55 % 206,764 6.85 96 0.4218 % 2,107.3
Deemed-Retractible 5.18 % 5.27 % 138,552 4.59 32 -0.2199 % 2,748.1
FloatingReset 2.88 % 3.80 % 43,858 4.84 12 0.2556 % 2,307.5
Performance Highlights
Issue Index Change Notes
SLF.PR.K FloatingReset -2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.74 %
GWO.PR.N FixedReset -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 10.78 %
CU.PR.F Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 5.44 %
ELF.PR.G Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 21.98
Evaluated at bid price : 22.22
Bid-YTW : 5.41 %
SLF.PR.G FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.32
Bid-YTW : 10.14 %
FTS.PR.J Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 21.88
Evaluated at bid price : 22.19
Bid-YTW : 5.37 %
CU.PR.G Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 5.41 %
HSE.PR.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 5.28 %
BAM.PR.X FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.76 %
BMO.PR.M FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.63 %
BMO.PR.S FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 4.35 %
TRP.PR.G FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.80 %
BNS.PR.P FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 3.37 %
TRP.PR.B FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 4.51 %
TRP.PR.H FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 3.97 %
BAM.PF.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.92 %
SLF.PR.I FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 6.73 %
BAM.PF.E FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.67 %
BAM.PF.F FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 4.66 %
BAM.PF.G FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 4.58 %
TRP.PR.D FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 4.76 %
MFC.PR.K FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.03
Bid-YTW : 8.08 %
BAM.PR.Z FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.04 %
IFC.PR.C FixedReset 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.18
Bid-YTW : 6.66 %
TRP.PR.F FloatingReset 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.01 %
CU.PR.C FixedReset 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.36 %
IFC.PR.A FixedReset 2.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.N Deemed-Retractible 1,108,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.97 %
TRP.PR.K FixedReset 447,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 23.08
Evaluated at bid price : 24.86
Bid-YTW : 4.86 %
BAM.PF.I FixedReset 98,642 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 23.14
Evaluated at bid price : 25.01
Bid-YTW : 4.74 %
MFC.PR.R FixedReset 84,173 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.97 %
TD.PF.A FixedReset 75,724 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.39 %
TD.PF.B FixedReset 62,267 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.45 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Quote: 20.28 – 21.85
Spot Rate : 1.5700
Average : 0.8642

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 6.73 %

SLF.PR.K FloatingReset Quote: 16.25 – 16.75
Spot Rate : 0.5000
Average : 0.3640

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.74 %

SLF.PR.G FixedReset Quote: 14.32 – 14.65
Spot Rate : 0.3300
Average : 0.2185

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.32
Bid-YTW : 10.14 %

GWO.PR.N FixedReset Quote: 13.56 – 13.90
Spot Rate : 0.3400
Average : 0.2419

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 10.78 %

POW.PR.D Perpetual-Discount Quote: 23.31 – 23.62
Spot Rate : 0.3100
Average : 0.2165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-01
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 5.43 %

IFC.PR.C FixedReset Quote: 20.18 – 20.44
Spot Rate : 0.2600
Average : 0.1719

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.18
Bid-YTW : 6.66 %

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