May 10, 2017

Sorry, technical problems continue. I will update when I can.

Update, 2017-5-13:

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 0.8419 % 2,174.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8419 % 3,990.5
Floater 3.51 % 3.66 % 48,786 18.14 4 0.8419 % 2,299.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0860 % 3,029.3
SplitShare 4.70 % 4.41 % 64,813 1.59 5 -0.0860 % 3,617.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0860 % 2,822.6
Perpetual-Premium 5.30 % -5.07 % 73,573 0.09 22 0.2167 % 2,790.8
Perpetual-Discount 5.08 % 5.05 % 104,084 15.32 14 0.3450 % 3,013.0
FixedReset 4.43 % 4.00 % 215,347 6.55 94 0.0455 % 2,335.4
Deemed-Retractible 4.98 % 4.85 % 134,580 2.65 30 -0.0163 % 2,891.7
FloatingReset 2.46 % 2.93 % 47,650 4.47 10 0.0651 % 2,538.0
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 2.74 %
BAM.PR.C Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 3.66 %
MFC.PR.F FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.59
Bid-YTW : 9.29 %
MFC.PR.M FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.79 %
MFC.PR.K FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.22 %
BAM.PR.M Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.19 %
BAM.PF.D Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 23.48
Evaluated at bid price : 23.94
Bid-YTW : 5.16 %
PWF.PR.A Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 3.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset 150,414 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 4.83 %
MFC.PR.R FixedReset 48,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.17 %
NA.PR.W FixedReset 40,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.97 %
POW.PR.D Perpetual-Discount 38,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 24.67
Evaluated at bid price : 24.93
Bid-YTW : 5.05 %
VNR.PR.A FixedReset 30,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 21.36
Evaluated at bid price : 21.64
Bid-YTW : 4.45 %
RY.PR.B Deemed-Retractible 24,917 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-09
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -17.45 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.17 – 26.60
Spot Rate : 0.4300
Average : 0.3258

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.79 %

EIT.PR.A SplitShare Quote: 25.51 – 25.80
Spot Rate : 0.2900
Average : 0.1904

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.61 %

BAM.PR.X FixedReset Quote: 16.65 – 16.99
Spot Rate : 0.3400
Average : 0.2405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.27 %

POW.PR.D Perpetual-Discount Quote: 24.93 – 25.21
Spot Rate : 0.2800
Average : 0.1809

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-10
Maturity Price : 24.67
Evaluated at bid price : 24.93
Bid-YTW : 5.05 %

BNS.PR.Q FixedReset Quote: 24.89 – 25.16
Spot Rate : 0.2700
Average : 0.1787

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 3.09 %

MFC.PR.B Deemed-Retractible Quote: 23.60 – 23.83
Spot Rate : 0.2300
Average : 0.1516

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 5.69 %

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