December 28, 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 0.8415 % 1,822.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8415 % 3,329.3
Floater 4.15 % 4.20 % 63,094 17.00 4 0.8415 % 1,918.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2381 % 2,940.2
SplitShare 4.82 % 4.68 % 79,690 4.26 6 0.2381 % 3,511.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2381 % 2,739.6
Perpetual-Premium 5.46 % 5.16 % 87,812 14.47 23 0.3212 % 2,662.5
Perpetual-Discount 5.46 % 5.49 % 107,491 14.59 15 0.8108 % 2,757.0
FixedReset 4.69 % 4.54 % 260,841 6.77 96 1.1426 % 2,179.0
Deemed-Retractible 5.17 % 4.64 % 141,672 4.51 32 0.2454 % 2,756.1
FloatingReset 2.80 % 3.79 % 45,929 4.78 12 0.8869 % 2,333.5
Performance Highlights
Issue Index Change Notes
BNS.PR.B FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 3.80 %
NA.PR.X FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.85 %
W.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.20 %
BAM.PF.B FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 4.96 %
NA.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.70 %
MFC.PR.O FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.80 %
GRP.PR.A SplitShare 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -18.33 %
CU.PR.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 5.37 %
CM.PR.P FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.51 %
BAM.PR.C Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 4.27 %
RY.PR.Z FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.47 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.01 %
FTS.PR.F Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.62
Evaluated at bid price : 22.87
Bid-YTW : 5.41 %
MFC.PR.F FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.39
Bid-YTW : 10.19 %
HSE.PR.C FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.04 %
TD.PF.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.13
Evaluated at bid price : 22.64
Bid-YTW : 4.40 %
TRP.PR.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.72 %
MFC.PR.L FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 7.06 %
NA.PR.W FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.68 %
TD.PR.Z FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 3.70 %
BNS.PR.A FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 3.46 %
CU.PR.H Perpetual-Premium 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 24.23
Evaluated at bid price : 24.63
Bid-YTW : 5.37 %
IFC.PR.C FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.35 %
BMO.PR.Y FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.44 %
PWF.PR.T FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.37 %
TRP.PR.A FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.94 %
SLF.PR.H FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.65
Bid-YTW : 8.06 %
CU.PR.F Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.40 %
FTS.PR.H FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 4.67 %
CM.PR.Q FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.45 %
RY.PR.H FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 4.51 %
RY.PR.M FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 4.45 %
PWF.PR.P FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 4.68 %
BAM.PR.B Floater 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.20 %
TD.PF.D FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.84
Evaluated at bid price : 22.18
Bid-YTW : 4.42 %
BAM.PF.A FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 5.40 %
FTS.PR.J Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.04
Evaluated at bid price : 22.41
Bid-YTW : 5.34 %
BAM.PF.E FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.70 %
MFC.PR.G FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 5.91 %
BAM.PF.F FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.44
Evaluated at bid price : 21.79
Bid-YTW : 4.70 %
HSE.PR.G FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.26
Evaluated at bid price : 22.79
Bid-YTW : 5.11 %
CU.PR.E Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.69
Evaluated at bid price : 23.06
Bid-YTW : 5.35 %
MFC.PR.K FixedReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.19 %
BAM.PR.R FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.90 %
BAM.PF.G FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.81
Evaluated at bid price : 22.13
Bid-YTW : 4.63 %
TD.PR.T FloatingReset 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.57 %
CU.PR.C FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.30 %
HSE.PR.E FixedReset 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.25
Evaluated at bid price : 22.74
Bid-YTW : 5.15 %
MFC.PR.J FixedReset 2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.00 %
MFC.PR.I FixedReset 2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 5.67 %
FTS.PR.K FixedReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.59 %
HSE.PR.A FixedReset 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 5.27 %
MFC.PR.M FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.24
Bid-YTW : 6.82 %
MFC.PR.N FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.19
Bid-YTW : 6.79 %
IAG.PR.G FixedReset 2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 5.77 %
SLF.PR.I FixedReset 2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.79
Bid-YTW : 5.94 %
TRP.PR.H FloatingReset 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 3.68 %
BAM.PR.X FixedReset 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 4.92 %
SLF.PR.G FixedReset 2.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.64
Bid-YTW : 9.08 %
MFC.PR.H FixedReset 2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.00 %
FTS.PR.G FixedReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 4.53 %
RY.PR.J FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.54 %
FTS.PR.M FixedReset 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.60 %
TRP.PR.C FixedReset 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 4.79 %
IFC.PR.A FixedReset 3.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.06
Bid-YTW : 8.61 %
TRP.PR.B FixedReset 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 172,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.34 %
BNS.PR.N Deemed-Retractible 162,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 0.78 %
BAM.PR.B Floater 118,853 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.20 %
NA.PR.S FixedReset 81,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.70 %
TRP.PR.K FixedReset 77,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.68 %
IFC.PR.D FloatingReset 62,712 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 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 19.62 – 20.26
Spot Rate : 0.6400
Average : 0.4180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.18 %

TRP.PR.A FixedReset Quote: 15.82 – 16.24
Spot Rate : 0.4200
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.94 %

TD.PR.Z FloatingReset Quote: 23.20 – 23.58
Spot Rate : 0.3800
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 3.70 %

SLF.PR.K FloatingReset Quote: 16.91 – 17.49
Spot Rate : 0.5800
Average : 0.4462

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.91
Bid-YTW : 8.19 %

TD.PR.T FloatingReset Quote: 23.25 – 23.62
Spot Rate : 0.3700
Average : 0.2765

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.57 %

RY.PR.I FixedReset Quote: 24.70 – 24.95
Spot Rate : 0.2500
Average : 0.1690

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.62 %

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