December 30, 2016

And that’s a wrap for another year!

2016 began with appalling performance but since then we’ve done pretty well and all in all it’s been a pretty good year. Now we’ll see what 2017 will bring!

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 0.1756 % 1,826.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1756 % 3,335.9
Floater 4.14 % 4.22 % 58,616 16.95 4 0.1756 % 1,922.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,935.0
SplitShare 4.83 % 4.73 % 58,456 4.26 6 -0.1453 % 3,505.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,734.7
Perpetual-Premium 5.43 % 5.11 % 83,482 14.51 23 0.1396 % 2,675.6
Perpetual-Discount 5.41 % 5.45 % 102,461 14.71 15 0.5371 % 2,787.7
FixedReset 4.69 % 4.54 % 242,628 6.77 96 0.1182 % 2,183.1
Deemed-Retractible 5.15 % 4.54 % 131,006 4.51 32 0.2418 % 2,769.4
FloatingReset 2.79 % 3.71 % 42,643 4.78 12 0.0629 % 2,348.2
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 10.44 %
BAM.PR.X FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.97 %
GWO.PR.R Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 6.42 %
IFC.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.51 %
FTS.PR.H FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 4.64 %
TRP.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 21.67
Evaluated at bid price : 21.97
Bid-YTW : 4.64 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
IFC.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.07 %
BNS.PR.D FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.17
Bid-YTW : 5.83 %
VNR.PR.A FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.09 %
TRP.PR.E FixedReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.N Deemed-Retractible 137,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 2.78 %
FTS.PR.J Perpetual-Discount 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 22.21
Evaluated at bid price : 22.49
Bid-YTW : 5.33 %
HSE.PR.A FixedReset 49,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
BAM.PR.Z FixedReset 29,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.06 %
MFC.PR.R FixedReset 21,996 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.86 %
NA.PR.S FixedReset 21,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.67 %
There were 8 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: 20.51 – 23.00
Spot Rate : 2.4900
Average : 1.8057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 5.96 %

BMO.PR.Z Perpetual-Premium Quote: 24.62 – 24.96
Spot Rate : 0.3400
Average : 0.2105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 24.22
Evaluated at bid price : 24.62
Bid-YTW : 5.12 %

TRP.PR.H FloatingReset Quote: 11.90 – 12.38
Spot Rate : 0.4800
Average : 0.3516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 3.68 %

NA.PR.S FixedReset Quote: 19.36 – 19.62
Spot Rate : 0.2600
Average : 0.1479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.67 %

BNS.PR.P FixedReset Quote: 24.61 – 24.90
Spot Rate : 0.2900
Average : 0.1942

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 3.54 %

HSE.PR.C FixedReset Quote: 21.73 – 22.00
Spot Rate : 0.2700
Average : 0.1786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 4.98 %

One Response to “December 30, 2016”

  1. BarleyandHops says:

    It has been a stellar year, for me. I do, however recall almost throwing in the towel in January. Complete ignorance led me to double and in some cases triple down on a number of issues. In the end luck prevailed. Cant get back those sleepless nights, altho I might now afford a better blanket.

    Thx for your thoughts in 2016. Appreciated.

    B&H

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