January 18, 2017

PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread is now 285bp, a slight (and perhaps spurious) narrowing from the 290bp reported January 11.

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 4.07 % 4.87 % 23,455 18.02 1 0.0000 % 1,910.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1047 % 3,494.6
Floater 3.95 % 4.07 % 51,356 17.28 4 0.1047 % 2,013.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,954.2
SplitShare 4.80 % 4.32 % 52,656 4.20 6 0.0394 % 3,528.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,752.7
Perpetual-Premium 5.58 % -4.78 % 71,083 0.09 12 0.1181 % 2,703.9
Perpetual-Discount 5.22 % 5.30 % 88,331 14.89 26 0.3425 % 2,856.7
FixedReset 4.61 % 4.34 % 229,733 6.74 96 -0.4164 % 2,225.1
Deemed-Retractible 5.11 % 3.77 % 130,014 0.20 32 -0.0517 % 2,791.5
FloatingReset 2.46 % 3.34 % 43,241 4.74 11 -0.1181 % 2,423.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.96 %
MFC.PR.H FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %
MFC.PR.L FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.94
Bid-YTW : 6.90 %
CU.PR.C FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 4.20 %
MFC.PR.K FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 6.94 %
BMO.PR.Y FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 4.16 %
MFC.PR.N FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.34
Bid-YTW : 6.71 %
SLF.PR.G FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %
MFC.PR.I FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.57 %
SLF.PR.I FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
MFC.PR.M FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.82 %
BAM.PF.H FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.61 %
MFC.PR.J FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
BAM.PF.G FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.35
Bid-YTW : 4.56 %
BAM.PR.N Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.39 %
TRP.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.34 %
BAM.PR.M Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.95
Evaluated at bid price : 22.19
Bid-YTW : 5.39 %
BAM.PF.C Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.15
Evaluated at bid price : 22.41
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 211,844 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.23 %
BAM.PF.I FixedReset 159,887 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %
MFC.PR.G FixedReset 92,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 5.80 %
FTS.PR.H FixedReset 59,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.47 %
MFC.PR.C Deemed-Retractible 55,085 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.80 %
SLF.PR.I FixedReset 52,604 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Quote: 23.50 – 23.81
Spot Rate : 0.3100
Average : 0.1999

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %

SLF.PR.G FixedReset Quote: 15.82 – 16.08
Spot Rate : 0.2600
Average : 0.1702

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %

GWO.PR.G Deemed-Retractible Quote: 24.48 – 24.73
Spot Rate : 0.2500
Average : 0.1636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 5.60 %

W.PR.M FixedReset Quote: 25.96 – 26.17
Spot Rate : 0.2100
Average : 0.1394

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.34 %

RY.PR.W Perpetual-Discount Quote: 24.96 – 25.20
Spot Rate : 0.2400
Average : 0.1777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 24.68
Evaluated at bid price : 24.96
Bid-YTW : 4.97 %

CCS.PR.C Deemed-Retractible Quote: 23.52 – 23.89
Spot Rate : 0.3700
Average : 0.3106

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 6.02 %

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