January 17, 2017

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 4.07 % 4.87 % 23,380 18.03 1 -0.3003 % 1,910.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4629 % 3,490.9
Floater 3.96 % 4.09 % 53,248 17.24 4 0.4629 % 2,011.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0066 % 2,953.0
SplitShare 4.80 % 4.45 % 72,172 4.21 6 -0.0066 % 3,526.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0066 % 2,751.6
Perpetual-Premium 5.59 % -6.06 % 71,622 0.09 12 -0.0098 % 2,700.7
Perpetual-Discount 5.24 % 5.32 % 89,110 14.87 26 0.4647 % 2,847.0
FixedReset 4.59 % 4.32 % 229,138 6.75 96 0.0776 % 2,234.4
Deemed-Retractible 5.10 % 3.67 % 130,849 0.27 32 0.1774 % 2,792.9
FloatingReset 2.46 % 3.29 % 44,197 4.74 11 0.3203 % 2,425.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 4.33 %
BNS.PR.B FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 3.29 %
CU.PR.D Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 23.74
Evaluated at bid price : 24.22
Bid-YTW : 5.10 %
BMO.PR.Y FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 22.60
Evaluated at bid price : 23.40
Bid-YTW : 4.09 %
FTS.PR.J Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 22.87
Evaluated at bid price : 23.28
Bid-YTW : 5.15 %
CCS.PR.C Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.87 %
TRP.PR.F FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 3.51 %
FTS.PR.F Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 5.21 %
IAG.PR.G FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 5.34 %
CU.PR.G Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.83
Evaluated at bid price : 22.17
Bid-YTW : 5.13 %
VNR.PR.A FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.85 %
HSE.PR.A FixedReset 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.78 %
CU.PR.F Perpetual-Discount 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.85
Evaluated at bid price : 22.17
Bid-YTW : 5.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 201,943 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.44 %
BAM.PF.I FixedReset 110,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.28 %
BAM.PR.T FixedReset 93,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.84 %
MFC.PR.R FixedReset 82,891 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.55 %
BNS.PR.E FixedReset 68,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.61 %
BMO.PR.B FixedReset 52,998 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.21 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.B FixedReset Quote: 13.76 – 14.15
Spot Rate : 0.3900
Average : 0.2731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 4.33 %

BMO.PR.M FixedReset Quote: 24.60 – 24.85
Spot Rate : 0.2500
Average : 0.1648

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.44 %

IGM.PR.B Perpetual-Premium Quote: 25.50 – 25.78
Spot Rate : 0.2800
Average : 0.1994

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-16
Maturity Price : 25.50
Evaluated at bid price : 25.50
Bid-YTW : 2.91 %

RY.PR.P Perpetual-Premium Quote: 25.39 – 25.70
Spot Rate : 0.3100
Average : 0.2355

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 5.16 %

CCS.PR.C Deemed-Retractible Quote: 23.73 – 24.04
Spot Rate : 0.3100
Average : 0.2455

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.87 %

PWF.PR.T FixedReset Quote: 21.25 – 21.49
Spot Rate : 0.2400
Average : 0.1771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.22 %

Leave a Reply

You must be logged in to post a comment.