April 22, 2016

Bare bones!

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 4.66 % 5.66 % 10,698 17.06 1 0.7639 % 1,688.2
FixedFloater 6.46 % 5.59 % 21,547 17.04 1 1.3793 % 3,127.2
Floater 4.45 % 4.61 % 53,711 16.22 4 -0.5851 % 1,745.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0540 % 2,812.0
SplitShare 4.71 % 4.99 % 79,372 2.53 6 0.0540 % 3,290.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0540 % 2,567.4
Perpetual-Premium 5.78 % -10.93 % 79,886 0.09 6 0.0526 % 2,592.9
Perpetual-Discount 5.55 % 5.60 % 93,849 14.48 33 0.1495 % 2,631.5
FixedReset 5.14 % 4.72 % 180,776 14.11 88 0.0514 % 1,984.5
Deemed-Retractible 5.17 % 5.71 % 126,577 6.83 34 0.1154 % 2,642.2
FloatingReset 3.15 % 4.86 % 34,025 5.34 17 -0.1346 % 2,066.1
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset -6.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.15 %
TRP.PR.I FloatingReset -5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 10.63
Evaluated at bid price : 10.63
Bid-YTW : 4.80 %
VNR.PR.A FixedReset -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.22 %
BAM.PR.Z FixedReset -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.23 %
BNS.PR.F FloatingReset -2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.46 %
TD.PR.Y FixedReset -2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.31 %
IAG.PR.A Deemed-Retractible -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.00 %
NA.PR.Q FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.74 %
BAM.PR.C Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 10.09
Evaluated at bid price : 10.09
Bid-YTW : 4.72 %
BNS.PR.P FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 3.97 %
FTS.PR.G FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.55 %
GWO.PR.N FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.25
Bid-YTW : 10.52 %
RY.PR.Z FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 4.11 %
SLF.PR.A Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 6.12 %
IFC.PR.A FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 10.13 %
TRP.PR.G FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.01 %
SLF.PR.I FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.22
Bid-YTW : 7.23 %
TD.PF.B FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 4.16 %
TD.PF.C FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.14 %
BAM.PF.H FixedReset 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.33 %
SLF.PR.D Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.29
Bid-YTW : 6.80 %
SLF.PR.C Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.81 %
RY.PR.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 4.14 %
BAM.PR.G FixedFloater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 5.59 %
BMO.PR.T FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.23 %
SLF.PR.E Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 6.76 %
BAM.PF.C Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.87 %
PWF.PR.T FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.00 %
BMO.PR.W FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.22 %
BNS.PR.Q FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 4.45 %
HSE.PR.E FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.63 %
TD.PF.A FixedReset 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.13 %
SLF.PR.H FixedReset 2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.38
Bid-YTW : 8.75 %
GWO.PR.O FloatingReset 2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.29
Bid-YTW : 11.02 %
TRP.PR.E FixedReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 4.56 %
TRP.PR.D FixedReset 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.76 %
HSE.PR.B FloatingReset 6.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 10.26
Evaluated at bid price : 10.26
Bid-YTW : 5.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 138,415 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.98 %
RY.PR.Q FixedReset 127,205 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.60 %
BAM.PF.G FixedReset 115,887 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.78 %
VNR.PR.A FixedReset 85,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.22 %
BNS.PR.G FixedReset 69,883 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.75 %
IFC.PR.C FixedReset 62,085 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.11
Bid-YTW : 7.95 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 17.46 – 18.90
Spot Rate : 1.4400
Average : 0.9105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.15 %

TD.PR.Y FixedReset Quote: 23.30 – 23.97
Spot Rate : 0.6700
Average : 0.4063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.31 %

BNS.PR.F FloatingReset Quote: 18.51 – 19.75
Spot Rate : 1.2400
Average : 1.0357

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.46 %

NA.PR.Q FixedReset Quote: 23.25 – 23.74
Spot Rate : 0.4900
Average : 0.2890

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.74 %

TRP.PR.A FixedReset Quote: 14.65 – 15.40
Spot Rate : 0.7500
Average : 0.5580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 4.84 %

BAM.PR.Z FixedReset Quote: 18.51 – 19.00
Spot Rate : 0.4900
Average : 0.3083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.23 %

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