| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.3237 % | 2,105.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3237 % | 3,862.7 |
| Floater | 3.59 % | 3.80 % | 47,007 | 17.77 | 4 | 0.3237 % | 2,226.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0313 % | 3,003.5 |
| SplitShare | 4.98 % | 3.82 % | 64,088 | 0.74 | 5 | -0.0313 % | 3,586.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0313 % | 2,798.6 |
| Perpetual-Premium | 5.35 % | 4.61 % | 65,302 | 2.82 | 20 | 0.0978 % | 2,743.5 |
| Perpetual-Discount | 5.15 % | 5.21 % | 97,692 | 15.06 | 18 | 0.1245 % | 2,925.0 |
| FixedReset | 4.41 % | 4.17 % | 229,614 | 6.71 | 98 | 0.6490 % | 2,338.1 |
| Deemed-Retractible | 5.05 % | 0.68 % | 139,580 | 0.21 | 31 | -0.0885 % | 2,853.7 |
| FloatingReset | 2.48 % | 3.20 % | 46,867 | 4.61 | 9 | 0.3082 % | 2,495.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BIP.PR.B | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.84 % |
| MFC.PR.K | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.21 Bid-YTW : 6.00 % |
| CM.PR.Q | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.75 Evaluated at bid price : 23.64 Bid-YTW : 4.19 % |
| TRP.PR.F | FloatingReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 3.21 % |
| RY.PR.H | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.08 Evaluated at bid price : 22.37 Bid-YTW : 4.00 % |
| MFC.PR.L | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 6.10 % |
| CU.PR.C | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 21.62 Evaluated at bid price : 21.99 Bid-YTW : 4.17 % |
| BAM.PF.F | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.92 Evaluated at bid price : 23.75 Bid-YTW : 4.42 % |
| MFC.PR.H | FixedReset | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.23 Bid-YTW : 4.89 % |
| BMO.PR.T | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 21.66 Evaluated at bid price : 22.10 Bid-YTW : 4.02 % |
| BNS.PR.Z | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.28 Bid-YTW : 4.75 % |
| 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 : 23.10 Bid-YTW : 5.04 % |
| TRP.PR.G | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.74 Evaluated at bid price : 23.70 Bid-YTW : 4.33 % |
| HSE.PR.C | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.61 Evaluated at bid price : 23.25 Bid-YTW : 4.71 % |
| GWO.PR.N | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.24 % |
| TD.PF.C | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 21.95 Evaluated at bid price : 22.25 Bid-YTW : 4.01 % |
| PWF.PR.P | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 15.73 Evaluated at bid price : 15.73 Bid-YTW : 4.43 % |
| BAM.PR.Z | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.13 Evaluated at bid price : 22.80 Bid-YTW : 4.71 % |
| SLF.PR.G | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.93 Bid-YTW : 8.10 % |
| NA.PR.S | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.50 Evaluated at bid price : 22.79 Bid-YTW : 4.09 % |
| IFC.PR.A | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.66 Bid-YTW : 6.81 % |
| BMO.PR.Q | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.82 Bid-YTW : 4.84 % |
| NA.PR.W | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 21.85 Evaluated at bid price : 22.12 Bid-YTW : 4.06 % |
| TRP.PR.C | FixedReset | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 4.18 % |
| IAG.PR.G | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 5.14 % |
| FTS.PR.M | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.52 Evaluated at bid price : 23.08 Bid-YTW : 4.10 % |
| PWF.PR.T | FixedReset | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.34 Evaluated at bid price : 22.66 Bid-YTW : 4.10 % |
| FTS.PR.K | FixedReset | 2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.18 % |
| TRP.PR.B | FixedReset | 2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 14.99 Evaluated at bid price : 14.99 Bid-YTW : 4.15 % |
| FTS.PR.G | FixedReset | 2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 4.20 % |
| TRP.PR.A | FixedReset | 3.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 4.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset | 512,464 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 4.25 % |
| GWO.PR.H | Deemed-Retractible | 82,942 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.45 Bid-YTW : 5.83 % |
| TD.PF.E | FixedReset | 77,058 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.96 Evaluated at bid price : 24.15 Bid-YTW : 4.16 % |
| RY.PR.G | Deemed-Retractible | 70,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-09 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : -1.19 % |
| BAM.PR.T | FixedReset | 62,467 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.80 % |
| TD.PF.D | FixedReset | 58,416 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-03-10 Maturity Price : 22.62 Evaluated at bid price : 23.39 Bid-YTW : 4.24 % |
| There were 42 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.B | FixedReset | Quote: 25.51 – 25.86 Spot Rate : 0.3500 Average : 0.2216 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 21.24 – 21.70 Spot Rate : 0.4600 Average : 0.3408 YTW SCENARIO |
| IFC.PR.C | FixedReset | Quote: 22.20 – 22.59 Spot Rate : 0.3900 Average : 0.2744 YTW SCENARIO |
| BMO.PR.S | FixedReset | Quote: 22.43 – 22.69 Spot Rate : 0.2600 Average : 0.1774 YTW SCENARIO |
| RY.PR.M | FixedReset | Quote: 23.00 – 23.19 Spot Rate : 0.1900 Average : 0.1189 YTW SCENARIO |
| SLF.PR.B | Deemed-Retractible | Quote: 23.75 – 23.99 Spot Rate : 0.2400 Average : 0.1727 YTW SCENARIO |
Mr. Hymas,
In the Wide Spreads Highlights section, you classify SLF.PR.B as a Deemed-Retractible with a hard maturity on January 31, 2025. I’d appreciate if you could explain what is the reasoning or rule that leads you to believe that January 31, 2025 is indeed likely to be the maturity date for this particular issue.
Thanks.
See DeemedRetractible Review: September, 2016.