June 6, 2016

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 0.6080 % 1,683.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6080 % 3,075.6
Floater 4.51 % 4.57 % 64,076 16.19 3 0.6080 % 1,772.5
OpRet 4.87 % -0.61 % 44,718 0.08 1 0.0398 % 2,829.0
SplitShare 4.89 % 4.94 % 82,623 4.69 7 0.1674 % 3,330.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1674 % 2,598.4
Perpetual-Premium 5.61 % 0.21 % 78,710 0.09 9 0.0610 % 2,618.3
Perpetual-Discount 5.38 % 5.40 % 107,590 14.63 28 0.0906 % 2,721.8
FixedReset 5.09 % 4.57 % 162,543 14.48 87 0.1035 % 2,005.1
Deemed-Retractible 5.12 % 5.31 % 127,582 4.96 33 0.0404 % 2,700.6
FloatingReset 3.11 % 5.13 % 26,271 5.23 17 1.5443 % 2,112.7
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.49 %
IFC.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.14
Bid-YTW : 7.90 %
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 : 14.50
Bid-YTW : 9.24 %
CGI.PR.D SplitShare 1.17 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.75 %
BAM.PF.E FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.60 %
TRP.PR.G FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.72 %
FTS.PR.H FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 13.74
Evaluated at bid price : 13.74
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.24 %
HSE.PR.A FixedReset 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 5.00 %
TRP.PR.H FloatingReset 9.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 10.21
Evaluated at bid price : 10.21
Bid-YTW : 4.38 %
PWF.PR.Q FloatingReset 34.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.F FixedReset 93,583 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 10.00 %
MFC.PR.O FixedReset 61,885 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.51 %
TRP.PR.J FixedReset 53,930 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.89 %
BNS.PR.G FixedReset 33,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.60 %
TD.PF.B FixedReset 24,008 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 4.14 %
HSE.PR.A FixedReset 21,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 5.00 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 17.91 – 18.66
Spot Rate : 0.7500
Average : 0.5378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 5.49 %

PWF.PR.P FixedReset Quote: 13.30 – 13.75
Spot Rate : 0.4500
Average : 0.3074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 4.28 %

HSE.PR.E FixedReset Quote: 19.97 – 20.46
Spot Rate : 0.4900
Average : 0.3524

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 5.36 %

HSE.PR.A FixedReset Quote: 11.89 – 12.33
Spot Rate : 0.4400
Average : 0.3090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 5.00 %

CM.PR.O FixedReset Quote: 19.00 – 19.34
Spot Rate : 0.3400
Average : 0.2395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.15 %

SLF.PR.H FixedReset Quote: 16.50 – 16.79
Spot Rate : 0.2900
Average : 0.1993

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.50
Bid-YTW : 8.42 %

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