February 24, 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 -0.3079 % 2,069.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3079 % 3,798.2
Floater 3.65 % 3.85 % 55,025 17.68 4 -0.3079 % 2,188.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1083 % 2,996.0
SplitShare 4.72 % 4.05 % 60,123 0.77 4 0.1083 % 3,577.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1083 % 2,791.6
Perpetual-Premium 5.41 % -4.95 % 70,726 0.09 16 0.1316 % 2,742.4
Perpetual-Discount 5.15 % 5.14 % 99,749 15.06 22 0.0971 % 2,919.4
FixedReset 4.42 % 4.03 % 237,065 6.77 97 -0.1541 % 2,332.1
Deemed-Retractible 5.02 % 1.01 % 133,638 0.10 31 -0.1734 % 2,851.7
FloatingReset 2.48 % 3.12 % 51,422 4.65 9 0.1171 % 2,477.8
Performance Highlights
Issue Index Change Notes
GWO.PR.S Deemed-Retractible -3.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.60 %
IFC.PR.A FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.32 %
GWO.PR.N FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.40
Bid-YTW : 9.32 %
PWF.PR.A Floater -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.22 %
BNS.PR.Z FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.34
Bid-YTW : 4.62 %
BAM.PR.X FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.56 %
TRP.PR.H FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 3.33 %
SLF.PR.G FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.41
Bid-YTW : 8.54 %
TRP.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.41 %
BIP.PR.B FixedReset 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 134,415 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.24 %
BIP.PR.C FixedReset 88,896 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.70 %
NA.PR.W FixedReset 72,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 3.92 %
BIP.PR.D FixedReset 62,857 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.89 %
TD.PF.C FixedReset 47,763 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.93 %
SLF.PR.H FixedReset 46,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.39 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 24.70 – 25.80
Spot Rate : 1.1000
Average : 0.6269

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.60 %

IFC.PR.A FixedReset Quote: 18.75 – 19.12
Spot Rate : 0.3700
Average : 0.2708

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.32 %

BMO.PR.Q FixedReset Quote: 21.76 – 22.06
Spot Rate : 0.3000
Average : 0.2030

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 4.84 %

BMO.PR.B FixedReset Quote: 25.87 – 26.10
Spot Rate : 0.2300
Average : 0.1416

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.10 %

TRP.PR.B FixedReset Quote: 14.70 – 14.98
Spot Rate : 0.2800
Average : 0.1935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.00 %

SLF.PR.D Deemed-Retractible Quote: 22.46 – 22.70
Spot Rate : 0.2400
Average : 0.1595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.46
Bid-YTW : 6.24 %

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