July 5, 2017

PerpetualDiscounts now yield 5.16%, equivalent to 6.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, unchanged from the June 28 report.

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 3.1330 % 2,244.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.1330 % 4,118.9
Floater 3.53 % 3.55 % 76,565 18.45 3 3.1330 % 2,373.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0234 % 3,069.7
SplitShare 4.69 % 4.25 % 56,731 1.46 5 0.0234 % 3,665.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0234 % 2,860.3
Perpetual-Premium 5.32 % 3.48 % 71,239 0.09 21 -0.2068 % 2,786.2
Perpetual-Discount 5.15 % 5.16 % 87,953 15.07 15 -0.1407 % 2,991.3
FixedReset 4.34 % 4.30 % 188,260 6.44 97 0.2874 % 2,386.4
Deemed-Retractible 5.00 % 5.13 % 119,465 6.19 30 -0.0437 % 2,892.2
FloatingReset 2.65 % 3.07 % 49,789 4.30 10 0.0046 % 2,589.7
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 6.21 %
TD.PF.C FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.28 %
MFC.PR.F FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.82
Bid-YTW : 8.44 %
MFC.PR.L FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.18 %
SLF.PR.H FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.47
Bid-YTW : 6.22 %
PWF.PR.P FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.41 %
VNR.PR.A FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 21.79
Evaluated at bid price : 22.23
Bid-YTW : 4.85 %
HSE.PR.C FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 22.85
Evaluated at bid price : 23.60
Bid-YTW : 4.81 %
HSE.PR.G FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 23.19
Evaluated at bid price : 24.50
Bid-YTW : 4.96 %
MFC.PR.M FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 5.75 %
BAM.PR.R FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.50 %
BAM.PR.K Floater 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 3.55 %
BAM.PR.B Floater 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 3.54 %
BAM.PR.C Floater 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 3.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 400,779 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.46 %
BMO.PR.D FixedReset 332,505 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.46 %
BAM.PR.C Floater 111,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 3.55 %
RY.PR.M FixedReset 81,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 22.55
Evaluated at bid price : 23.27
Bid-YTW : 4.27 %
NA.PR.C FixedReset 68,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.54 %
TD.PF.H FixedReset 66,237 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.70 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.J FixedReset Quote: 26.90 – 27.40
Spot Rate : 0.5000
Average : 0.2988

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.56 %

BAM.PR.T FixedReset Quote: 20.00 – 20.35
Spot Rate : 0.3500
Average : 0.2467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.63 %

NA.PR.W FixedReset Quote: 21.80 – 22.00
Spot Rate : 0.2000
Average : 0.1303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.30 %

MFC.PR.H FixedReset Quote: 24.78 – 25.00
Spot Rate : 0.2200
Average : 0.1573

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 4.77 %

PWF.PR.P FixedReset Quote: 16.70 – 17.02
Spot Rate : 0.3200
Average : 0.2577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.41 %

TRP.PR.H FloatingReset Quote: 14.34 – 14.85
Spot Rate : 0.5100
Average : 0.4505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 14.34
Evaluated at bid price : 14.34
Bid-YTW : 3.47 %

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