December 23, 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 0.0221 % 1,807.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0221 % 3,301.6
Floater 4.19 % 4.27 % 63,853 16.88 4 0.0221 % 1,902.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1190 % 2,933.3
SplitShare 4.82 % 4.64 % 82,974 4.28 6 0.1190 % 3,502.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1190 % 2,733.1
Perpetual-Premium 5.46 % 5.40 % 89,148 14.45 23 0.0403 % 2,654.0
Perpetual-Discount 5.50 % 5.50 % 111,380 14.59 15 0.1612 % 2,734.8
FixedReset 4.75 % 4.67 % 262,106 6.76 96 -0.3475 % 2,154.4
Deemed-Retractible 5.18 % 4.64 % 138,922 4.53 32 -0.1860 % 2,749.3
FloatingReset 2.84 % 4.00 % 46,012 4.79 12 -0.3636 % 2,312.9
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.21
Bid-YTW : 10.36 %
MFC.PR.G FixedReset -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.15 %
TD.PR.T FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 3.98 %
RY.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.68 %
MFC.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 6.01 %
SLF.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.31 %
MFC.PR.N FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.13 %
IFC.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.50
Bid-YTW : 9.11 %
MFC.PR.H FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.40 %
IAG.PR.A Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.84 %
BAM.PF.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.96 %
MFC.PR.J FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 6.32 %
CM.PR.O FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.59 %
HSE.PR.E FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 21.93
Evaluated at bid price : 22.27
Bid-YTW : 5.28 %
BNS.PR.A FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 3.75 %
FTS.PR.F Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 22.32
Evaluated at bid price : 22.59
Bid-YTW : 5.47 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 117,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.43 %
MFC.PR.R FixedReset 114,858 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.87 %
TRP.PR.D FixedReset 91,469 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.96 %
RY.PR.Z FixedReset 53,148 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 4.53 %
BMO.PR.T FixedReset 50,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.57 %
BMO.PR.S FixedReset 48,445 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.55 %
There were 56 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: 19.65 – 22.50
Spot Rate : 2.8500
Average : 2.3824

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.58 %

GWO.PR.N FixedReset Quote: 14.06 – 14.70
Spot Rate : 0.6400
Average : 0.4039

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.06
Bid-YTW : 10.46 %

GRP.PR.A SplitShare Quote: 25.55 – 25.94
Spot Rate : 0.3900
Average : 0.2969

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-22
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -6.11 %

RY.PR.J FixedReset Quote: 20.80 – 21.15
Spot Rate : 0.3500
Average : 0.2571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.68 %

BNS.PR.A FloatingReset Quote: 23.57 – 23.80
Spot Rate : 0.2300
Average : 0.1411

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 3.75 %

BNS.PR.B FloatingReset Quote: 22.88 – 23.15
Spot Rate : 0.2700
Average : 0.1831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 4.02 %

Leave a Reply

You must be logged in to post a comment.