January 27, 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 3.95 % 4.69 % 19,379 18.28 1 0.9186 % 1,975.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8595 % 3,614.2
Floater 3.83 % 3.93 % 48,292 17.57 4 1.8595 % 2,082.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1638 % 2,957.9
SplitShare 4.79 % 4.45 % 65,504 4.18 6 -0.1638 % 3,532.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1638 % 2,756.1
Perpetual-Premium 5.58 % -6.47 % 70,721 0.09 12 0.1605 % 2,711.1
Perpetual-Discount 5.23 % 5.25 % 86,657 14.96 26 0.2306 % 2,856.5
FixedReset 4.51 % 4.17 % 222,634 6.75 97 0.3191 % 2,277.4
Deemed-Retractible 5.10 % 4.91 % 131,604 0.24 32 0.1723 % 2,799.2
FloatingReset 2.41 % 3.15 % 45,210 4.72 11 0.1345 % 2,448.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.20 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.41 %
BNS.PR.Y FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 4.57 %
MFC.PR.B Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 6.31 %
CM.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.57
Evaluated at bid price : 23.33
Bid-YTW : 4.05 %
NA.PR.W FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.06 %
RY.PR.J FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.35
Evaluated at bid price : 22.92
Bid-YTW : 4.08 %
BAM.PF.E FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 4.24 %
BMO.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 3.94 %
PWF.PR.K Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.32 %
TD.PF.E FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.83
Evaluated at bid price : 23.90
Bid-YTW : 4.01 %
PWF.PR.A Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.56 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 3.46 %
SLF.PR.H FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.37 %
BMO.PR.W FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.01 %
BAM.PR.B Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 12.13
Evaluated at bid price : 12.13
Bid-YTW : 3.93 %
TD.PF.A FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.05 %
BMO.PR.Y FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.97
Evaluated at bid price : 24.16
Bid-YTW : 3.88 %
BAM.PR.K Floater 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
BAM.PR.C Floater 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 3.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 483,872 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.83 %
TRP.PR.K FixedReset 467,585 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.41 %
TRP.PR.J FixedReset 215,345 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.17 %
TRP.PR.B FixedReset 208,414 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.06 %
PWF.PR.P FixedReset 108,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 4.17 %
BAM.PR.K Floater 107,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
FTS.PR.M FixedReset 101,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.16 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 22.95 – 23.32
Spot Rate : 0.3700
Average : 0.2480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.64 %

FTS.PR.M FixedReset Quote: 22.00 – 22.34
Spot Rate : 0.3400
Average : 0.2285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.16 %

FTS.PR.J Perpetual-Discount Quote: 22.94 – 23.24
Spot Rate : 0.3000
Average : 0.2021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.59
Evaluated at bid price : 22.94
Bid-YTW : 5.24 %

W.PR.K FixedReset Quote: 25.78 – 26.14
Spot Rate : 0.3600
Average : 0.2822

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.46 %

BMO.PR.M FixedReset Quote: 24.60 – 24.85
Spot Rate : 0.2500
Average : 0.1725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.42 %

TD.PF.D FixedReset Quote: 23.08 – 23.36
Spot Rate : 0.2800
Average : 0.2045

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.43
Evaluated at bid price : 23.08
Bid-YTW : 4.10 %

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