| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.7178 % | 1,796.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7178 % | 3,282.5 |
| Floater | 4.21 % | 4.28 % | 54,280 | 16.87 | 4 | 0.7178 % | 1,891.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0397 % | 2,930.5 |
| SplitShare | 4.82 % | 4.59 % | 58,432 | 4.30 | 6 | 0.0397 % | 3,499.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0397 % | 2,730.6 |
| Perpetual-Premium | 5.46 % | 5.53 % | 85,868 | 14.40 | 23 | -0.1154 % | 2,648.6 |
| Perpetual-Discount | 5.51 % | 5.53 % | 100,537 | 14.56 | 15 | -0.8088 % | 2,726.8 |
| FixedReset | 4.76 % | 4.57 % | 233,587 | 6.83 | 96 | 0.6198 % | 2,148.1 |
| Deemed-Retractible | 5.19 % | 4.64 % | 145,863 | 4.55 | 32 | -0.1024 % | 2,744.8 |
| FloatingReset | 2.86 % | 3.79 % | 45,962 | 4.81 | 12 | -1.1542 % | 2,286.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.D | FloatingReset | -19.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.81 Bid-YTW : 9.79 % |
| BAM.PR.N | Perpetual-Discount | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 5.66 % |
| BAM.PF.C | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.74 % |
| BAM.PF.D | Perpetual-Discount | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 5.67 % |
| FTS.PR.J | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.44 Evaluated at bid price : 21.72 Bid-YTW : 5.50 % |
| PWF.PR.S | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.58 Evaluated at bid price : 21.93 Bid-YTW : 5.53 % |
| CU.PR.D | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 22.26 Evaluated at bid price : 22.56 Bid-YTW : 5.47 % |
| BMO.PR.T | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.41 % |
| RY.PR.J | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 4.54 % |
| BMO.PR.S | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 4.41 % |
| CU.PR.C | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.42 % |
| PWF.PR.T | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.42 % |
| BAM.PR.X | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 4.81 % |
| HSE.PR.C | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 5.05 % |
| TRP.PR.H | FloatingReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 3.72 % |
| VNR.PR.A | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 5.02 % |
| TRP.PR.G | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 4.64 % |
| SLF.PR.I | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.38 % |
| MFC.PR.N | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.53 Bid-YTW : 7.21 % |
| HSE.PR.A | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 5.23 % |
| HSE.PR.G | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.96 Evaluated at bid price : 22.35 Bid-YTW : 5.15 % |
| MFC.PR.G | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.29 Bid-YTW : 6.39 % |
| SLF.PR.G | FixedReset | 1.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.16 Bid-YTW : 9.44 % |
| IAG.PR.G | FixedReset | 1.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 6.46 % |
| RY.PR.M | FixedReset | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 20.99 Evaluated at bid price : 20.99 Bid-YTW : 4.43 % |
| SLF.PR.J | FloatingReset | 1.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.21 Bid-YTW : 9.66 % |
| MFC.PR.M | FixedReset | 1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 7.26 % |
| MFC.PR.J | FixedReset | 2.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 6.49 % |
| MFC.PR.I | FixedReset | 2.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.57 Bid-YTW : 6.19 % |
| MFC.PR.L | FixedReset | 2.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.91 Bid-YTW : 7.58 % |
| MFC.PR.K | FixedReset | 2.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 7.60 % |
| CU.PR.I | FixedReset | 2.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 27.06 Bid-YTW : 2.37 % |
| MFC.PR.H | FixedReset | 2.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 5.44 % |
| GWO.PR.N | FixedReset | 2.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.28 Bid-YTW : 10.16 % |
| SLF.PR.K | FloatingReset | 2.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.61 Bid-YTW : 8.41 % |
| IFC.PR.C | FixedReset | 3.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 6.22 % |
| IFC.PR.A | FixedReset | 3.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.13 Bid-YTW : 8.43 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset | 169,453 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 23.15 Evaluated at bid price : 25.06 Bid-YTW : 4.85 % |
| BAM.PF.I | FixedReset | 152,645 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 23.16 Evaluated at bid price : 25.06 Bid-YTW : 4.83 % |
| CU.PR.F | Perpetual-Discount | 127,528 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.50 % |
| FTS.PR.M | FixedReset | 127,050 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.70 % |
| FTS.PR.J | Perpetual-Discount | 122,666 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 21.44 Evaluated at bid price : 21.72 Bid-YTW : 5.50 % |
| RY.PR.Z | FixedReset | 99,513 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-16 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.41 % |
| There were 88 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.D | FloatingReset | Quote: 15.81 – 19.65 Spot Rate : 3.8400 Average : 2.0466 YTW SCENARIO |
| GWO.PR.H | Deemed-Retractible | Quote: 22.23 – 22.45 Spot Rate : 0.2200 Average : 0.1434 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 20.56 – 20.80 Spot Rate : 0.2400 Average : 0.1816 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 22.54 – 22.82 Spot Rate : 0.2800 Average : 0.2219 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 22.80 – 23.15 Spot Rate : 0.3500 Average : 0.2953 YTW SCENARIO |
| W.PR.K | FixedReset | Quote: 25.61 – 25.84 Spot Rate : 0.2300 Average : 0.1763 YTW SCENARIO |
Hi James:
I imagine you’ll have something to say about this consolidation they are planning. The TR.PR.D hit 13.00 today. The return below 12.30 seems to imply the market isn’t thrilled.
http://www.transalta.com/newsroom/news-releases/2016-12-19/transalta-corporation-announces-preferred-share-exchange
Done!