January 5, 2017

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 4.28 % 5.16 % 23,446 17.70 1 -0.0634 % 1,814.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4014 % 3,385.6
Floater 4.08 % 4.18 % 53,942 17.08 4 1.4014 % 1,951.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1320 % 2,944.1
SplitShare 4.81 % 4.45 % 78,818 4.24 6 0.1320 % 3,515.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1320 % 2,743.2
Perpetual-Premium 5.57 % -1.61 % 77,287 0.09 13 0.1091 % 2,687.6
Perpetual-Discount 5.30 % 5.38 % 98,101 14.85 25 0.2266 % 2,805.3
FixedReset 4.62 % 4.45 % 230,616 6.79 96 -0.0094 % 2,213.6
Deemed-Retractible 5.13 % 3.38 % 133,233 0.23 32 0.0936 % 2,780.7
FloatingReset 2.46 % 3.63 % 40,258 4.76 11 0.2808 % 2,383.6
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.64
Bid-YTW : 6.46 %
MFC.PR.L FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 6.63 %
MFC.PR.K FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.78 %
BMO.PR.Q FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.62
Bid-YTW : 5.96 %
RY.PR.M FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 4.33 %
CU.PR.H Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 24.47
Evaluated at bid price : 24.88
Bid-YTW : 5.32 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 3.74 %
MFC.PR.F FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.90 %
BAM.PR.Z FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.97 %
BAM.PR.B Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 4.18 %
BAM.PR.R FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.68 %
PWF.PR.P FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 4.48 %
SLF.PR.J FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 9.08 %
NA.PR.W FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.46 %
BAM.PR.C Floater 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 4.21 %
BAM.PR.K Floater 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 4.23 %
SLF.PR.G FixedReset 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.80
Bid-YTW : 8.95 %
GWO.PR.N FixedReset 3.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.05
Bid-YTW : 9.49 %
TRP.PR.H FloatingReset 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 317,742 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.35 %
TRP.PR.K FixedReset 193,027 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.62 %
CU.PR.H Perpetual-Discount 179,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 24.47
Evaluated at bid price : 24.88
Bid-YTW : 5.32 %
RY.PR.Z FixedReset 170,632 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.36 %
BMO.PR.B FixedReset 137,156 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.40 %
BNS.PR.H FixedReset 115,015 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.23 %
BAM.PF.I FixedReset 113,712 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.60 %
CM.PR.P FixedReset 109,531 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 4.36 %
BAM.PR.K Floater 105,737 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 4.23 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 12.42 – 12.87
Spot Rate : 0.4500
Average : 0.2901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 3.84 %

TRP.PR.D FixedReset Quote: 18.96 – 19.27
Spot Rate : 0.3100
Average : 0.2118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-05
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 4.73 %

MFC.PR.C Deemed-Retractible Quote: 21.56 – 21.82
Spot Rate : 0.2600
Average : 0.1669

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 6.82 %

CGI.PR.D SplitShare Quote: 25.14 – 25.50
Spot Rate : 0.3600
Average : 0.2715

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.71 %

BNS.PR.B FloatingReset Quote: 23.13 – 23.38
Spot Rate : 0.2500
Average : 0.1636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.13
Bid-YTW : 3.63 %

BAM.PF.I FixedReset Quote: 25.41 – 25.65
Spot Rate : 0.2400
Average : 0.1567

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.60 %

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