February 2, 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 0.00 % 0.00 % 0 0.00 0 -1.2767 % 1,977.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2767 % 3,628.1
Floater 3.82 % 3.94 % 47,880 17.53 4 -1.2767 % 2,090.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0295 % 2,963.5
SplitShare 4.72 % 4.54 % 63,412 4.17 4 0.0295 % 3,539.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0295 % 2,761.3
Perpetual-Premium 5.47 % -1.25 % 71,553 0.09 16 0.0931 % 2,712.1
Perpetual-Discount 5.23 % 5.24 % 93,031 15.00 22 0.0781 % 2,872.0
FixedReset 4.49 % 4.21 % 222,483 6.75 97 0.3511 % 2,290.4
Deemed-Retractible 5.08 % 1.60 % 130,353 0.23 31 0.0546 % 2,811.8
FloatingReset 2.46 % 3.09 % 43,774 4.72 9 -0.0431 % 2,447.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 11.97
Evaluated at bid price : 11.97
Bid-YTW : 3.98 %
SLF.PR.J FloatingReset -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.05
Bid-YTW : 8.97 %
BAM.PR.B Floater -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 3.94 %
BAM.PR.C Floater -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.97 %
BAM.PR.R FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 4.43 %
CCS.PR.C Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.07 %
BNS.PR.Z FixedReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 4.88 %
BAM.PR.T FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.65 %
TRP.PR.D FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 4.32 %
BAM.PF.B FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.51 %
TRP.PR.C FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 4.23 %
CU.PR.I FixedReset 1.86 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 2.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 268,396 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.30 %
MFC.PR.R FixedReset 237,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.44 %
BIP.PR.D FixedReset 139,066 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.89 %
BMO.PR.B FixedReset 63,431 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.04 %
RY.PR.Q FixedReset 57,369 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.76
Bid-YTW : 3.66 %
MFC.PR.H FixedReset 55,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 4.88 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 15.18 – 15.47
Spot Rate : 0.2900
Average : 0.1722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 4.59 %

W.PR.M FixedReset Quote: 25.96 – 26.34
Spot Rate : 0.3800
Average : 0.2703

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.38 %

GWO.PR.G Deemed-Retractible Quote: 24.90 – 25.18
Spot Rate : 0.2800
Average : 0.1734

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.37 %

TD.PF.F Perpetual-Premium Quote: 24.91 – 25.25
Spot Rate : 0.3400
Average : 0.2461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 24.50
Evaluated at bid price : 24.91
Bid-YTW : 4.93 %

CU.PR.G Perpetual-Discount Quote: 21.85 – 22.18
Spot Rate : 0.3300
Average : 0.2421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-02
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 5.13 %

GWO.PR.Q Deemed-Retractible Quote: 24.52 – 24.74
Spot Rate : 0.2200
Average : 0.1360

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.56 %

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