December 22, 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 0.7588 % 1,806.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7588 % 3,300.8
Floater 4.19 % 4.27 % 61,777 16.87 4 0.7588 % 1,902.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0858 % 2,929.8
SplitShare 4.82 % 4.62 % 63,539 4.28 6 -0.0858 % 3,498.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0858 % 2,729.9
Perpetual-Premium 5.47 % 5.45 % 88,885 14.45 23 -0.0193 % 2,652.9
Perpetual-Discount 5.51 % 5.51 % 111,999 14.59 15 -0.1427 % 2,730.4
FixedReset 4.73 % 4.62 % 264,106 6.78 96 0.3488 % 2,161.9
Deemed-Retractible 5.17 % 4.56 % 141,001 4.53 32 -0.0157 % 2,754.5
FloatingReset 2.83 % 3.89 % 46,737 4.79 12 0.2331 % 2,321.4
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.07 %
GWO.PR.N FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.15
Bid-YTW : 10.36 %
MFC.PR.B Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.84
Bid-YTW : 6.75 %
BAM.PR.N Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.74 %
TRP.PR.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 4.71 %
TD.PR.Y FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.31 %
BAM.PF.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.90 %
RY.PR.M FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.51 %
HSE.PR.G FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 22.10
Evaluated at bid price : 22.55
Bid-YTW : 5.18 %
BNS.PR.Y FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.14 %
HSE.PR.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 22.09
Evaluated at bid price : 22.50
Bid-YTW : 5.22 %
BNS.PR.A FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 3.53 %
MFC.PR.G FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 5.92 %
MFC.PR.H FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.22 %
MFC.PR.M FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.93
Bid-YTW : 7.05 %
CM.PR.Q FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.48 %
SLF.PR.G FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.37
Bid-YTW : 9.32 %
MFC.PR.N FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.94 %
MFC.PR.I FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 5.83 %
BAM.PR.C Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.30 %
CCS.PR.C Deemed-Retractible 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.40 %
MFC.PR.K FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.38 %
SLF.PR.I FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 6.12 %
MFC.PR.J FixedReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.15 %
IAG.PR.G FixedReset 3.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 264,679 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.35 %
BNS.PR.B FloatingReset 233,726 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 3.87 %
TD.PF.H FixedReset 178,932 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.44 %
MFC.PR.R FixedReset 126,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %
TRP.PR.K FixedReset 108,808 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.73 %
FTS.PR.M FixedReset 72,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.76 %
There were 94 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: 19.64 – 23.00
Spot Rate : 3.3600
Average : 1.8698

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 6.58 %

SLF.PR.K FloatingReset Quote: 16.90 – 17.25
Spot Rate : 0.3500
Average : 0.2659

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.90
Bid-YTW : 8.19 %

TRP.PR.E FixedReset Quote: 19.13 – 19.39
Spot Rate : 0.2600
Average : 0.1811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.83 %

BNS.PR.H FixedReset Quote: 25.82 – 26.10
Spot Rate : 0.2800
Average : 0.2048

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.44 %

CU.PR.C FixedReset Quote: 20.31 – 20.67
Spot Rate : 0.3600
Average : 0.2908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.44 %

PVS.PR.B SplitShare Quote: 24.89 – 25.15
Spot Rate : 0.2600
Average : 0.1913

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 4.70 %

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