June 27, 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 -0.8937 % 1,623.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8937 % 2,966.5
Floater 4.73 % 4.74 % 62,111 15.97 3 -0.8937 % 1,709.6
OpRet 4.87 % 1.35 % 38,638 0.08 1 -0.1191 % 2,832.4
SplitShare 4.89 % 4.99 % 86,188 4.63 7 -0.0409 % 3,334.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0409 % 2,601.8
Perpetual-Premium 5.60 % -10.42 % 78,114 0.09 9 0.0478 % 2,634.5
Perpetual-Discount 5.39 % 5.45 % 103,803 14.68 28 -0.0936 % 2,726.0
FixedReset 5.24 % 4.61 % 154,680 7.32 88 -0.7897 % 1,942.6
Deemed-Retractible 5.16 % 5.40 % 122,550 4.91 33 -0.3079 % 2,682.1
FloatingReset 3.13 % 5.09 % 28,067 5.18 18 -0.2027 % 2,090.3
Performance Highlights
Issue Index Change Notes
HSE.PR.B FloatingReset -4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 5.43 %
TRP.PR.C FixedReset -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 4.68 %
HSE.PR.E FixedReset -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.75 %
SLF.PR.H FixedReset -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.31
Bid-YTW : 9.46 %
HSE.PR.G FixedReset -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.74 %
SLF.PR.G FixedReset -2.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.88 %
MFC.PR.L FixedReset -2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.33 %
MFC.PR.K FixedReset -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.79
Bid-YTW : 8.64 %
SLF.PR.I FixedReset -2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.48
Bid-YTW : 8.39 %
MFC.PR.N FixedReset -2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.93 %
MFC.PR.M FixedReset -2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.91 %
TRP.PR.B FixedReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.35 %
MFC.PR.G FixedReset -2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.49
Bid-YTW : 7.77 %
FTS.PR.G FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 4.22 %
FTS.PR.M FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.40 %
HSE.PR.A FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 5.32 %
NA.PR.S FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 4.58 %
FTS.PR.J Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 21.93
Evaluated at bid price : 22.29
Bid-YTW : 5.37 %
TRP.PR.F FloatingReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 4.62 %
MFC.PR.F FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.46
Bid-YTW : 10.40 %
MFC.PR.J FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.37
Bid-YTW : 7.69 %
FTS.PR.K FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 4.15 %
MFC.PR.I FixedReset -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.33
Bid-YTW : 7.21 %
FTS.PR.F Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 5.39 %
CM.PR.O FixedReset -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.25 %
HSE.PR.C FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.77 %
SLF.PR.B Deemed-Retractible -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.42 %
CM.PR.Q FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.50 %
CU.PR.C FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 4.60 %
SLF.PR.C Deemed-Retractible -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 7.19 %
SLF.PR.A Deemed-Retractible -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.47 %
IAG.PR.G FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 8.07 %
SLF.PR.D Deemed-Retractible -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 7.20 %
CM.PR.P FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.24 %
BMO.PR.S FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.27 %
IFC.PR.C FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.16
Bid-YTW : 8.48 %
SLF.PR.E Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 7.07 %
IFC.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.27 %
GWO.PR.I Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.91 %
BMO.PR.T FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.22 %
BMO.PR.W FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.21 %
TD.PF.B FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.25 %
BAM.PR.T FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.03 %
SLF.PR.J FloatingReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.75
Bid-YTW : 10.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 120,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 4.44 %
BNS.PR.M Deemed-Retractible 115,308 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-27
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.87 %
TRP.PR.J FixedReset 105,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.81 %
NA.PR.A FixedReset 65,236 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.92 %
CCS.PR.C Deemed-Retractible 25,610 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 6.18 %
MFC.PR.G FixedReset 18,960 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.49
Bid-YTW : 7.77 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.I FloatingReset Quote: 11.90 – 12.89
Spot Rate : 0.9900
Average : 0.8204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.07 %

TRP.PR.F FloatingReset Quote: 12.95 – 13.50
Spot Rate : 0.5500
Average : 0.4205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 4.62 %

PWF.PR.Q FloatingReset Quote: 11.50 – 13.00
Spot Rate : 1.5000
Average : 1.3751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.56 %

IAG.PR.G FixedReset Quote: 18.10 – 18.38
Spot Rate : 0.2800
Average : 0.1774

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 8.07 %

PVS.PR.D SplitShare Quote: 23.58 – 23.98
Spot Rate : 0.4000
Average : 0.3063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 5.85 %

IFC.PR.A FixedReset Quote: 14.50 – 14.80
Spot Rate : 0.3000
Average : 0.2064

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.27 %

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