March 10, 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 0.3237 % 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
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.84 %

VNR.PR.A FixedReset Quote: 21.24 – 21.70
Spot Rate : 0.4600
Average : 0.3408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 4.89 %

IFC.PR.C FixedReset Quote: 22.20 – 22.59
Spot Rate : 0.3900
Average : 0.2744

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 5.45 %

BMO.PR.S FixedReset Quote: 22.43 – 22.69
Spot Rate : 0.2600
Average : 0.1774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 4.07 %

RY.PR.M FixedReset Quote: 23.00 – 23.19
Spot Rate : 0.1900
Average : 0.1189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 4.15 %

SLF.PR.B Deemed-Retractible Quote: 23.75 – 23.99
Spot Rate : 0.2400
Average : 0.1727

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.58 %

One Response to “March 10, 2017”

  1. cowboylutrell says:

    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.

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