November 22, 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 0.0910 % 1,744.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0910 % 3,186.7
Floater 4.30 % 4.47 % 48,723 16.42 4 0.0910 % 1,836.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1197 % 2,910.3
SplitShare 4.85 % 4.27 % 49,154 2.03 6 0.1197 % 3,475.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1197 % 2,711.8
Perpetual-Premium 5.44 % 5.05 % 79,810 14.37 23 0.0750 % 2,661.2
Perpetual-Discount 5.39 % 5.39 % 92,001 14.82 15 -0.3115 % 2,777.8
FixedReset 4.90 % 4.63 % 209,073 6.84 96 0.2857 % 2,079.5
Deemed-Retractible 5.13 % 5.53 % 138,702 6.48 32 -0.1763 % 2,756.4
FloatingReset 2.87 % 3.59 % 40,554 4.87 12 0.0467 % 2,307.1
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 4.49 %
MFC.PR.M FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 8.00 %
MFC.PR.N FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.86 %
PWF.PR.S Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 5.39 %
BAM.PF.A FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.15 %
BAM.PF.E FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.87 %
BAM.PF.F FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 4.87 %
BMO.PR.S FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.40 %
HSE.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.26 %
BAM.PR.T FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 16.29
Evaluated at bid price : 16.29
Bid-YTW : 5.19 %
BAM.PF.B FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.17 %
SLF.PR.H FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.73
Bid-YTW : 8.80 %
BAM.PF.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.81 %
HSE.PR.E FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.27 %
PVS.PR.E SplitShare 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 5.07 %
SLF.PR.G FixedReset 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.07 %
HSE.PR.A FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 12.48
Evaluated at bid price : 12.48
Bid-YTW : 5.36 %
HSE.PR.G FixedReset 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 21.85
Evaluated at bid price : 22.20
Bid-YTW : 5.15 %
GWO.PR.N FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.76
Bid-YTW : 10.67 %
BAM.PR.X FixedReset 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.95 %
BAM.PR.R FixedReset 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 4.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 989,738 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 4.96 %
TRP.PR.K FixedReset 762,444 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 23.07
Evaluated at bid price : 24.81
Bid-YTW : 4.86 %
BAM.PF.I FixedReset 479,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 23.12
Evaluated at bid price : 24.94
Bid-YTW : 4.75 %
TRP.PR.D FixedReset 223,212 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 4.87 %
TD.PF.H FixedReset 143,073 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.56 %
BMO.PR.B FixedReset 140,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.60 %
TRP.PR.H FloatingReset 136,441 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 4.11 %
BAM.PF.H FixedReset 128,988 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 4.37 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 19.30 – 22.50
Spot Rate : 3.2000
Average : 3.0654

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.95 %

IFC.PR.A FixedReset Quote: 15.81 – 16.32
Spot Rate : 0.5100
Average : 0.3818

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 9.75 %

IFC.PR.C FixedReset Quote: 19.30 – 19.60
Spot Rate : 0.3000
Average : 0.1902

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.30 %

IGM.PR.B Perpetual-Premium Quote: 25.31 – 25.65
Spot Rate : 0.3400
Average : 0.2439

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 5.48 %

NA.PR.X FixedReset Quote: 26.27 – 26.50
Spot Rate : 0.2300
Average : 0.1456

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 4.39 %

PVS.PR.D SplitShare Quote: 24.53 – 24.86
Spot Rate : 0.3300
Average : 0.2458

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.92 %

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