March 21, 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 0.00 % 0.00 % 0 0.00 0 -0.2692 % 2,087.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2692 % 3,830.7
Floater 3.64 % 3.80 % 51,581 17.85 4 -0.2692 % 2,207.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1374 % 3,013.2
SplitShare 4.94 % 3.98 % 60,313 0.71 6 0.1374 % 3,598.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1374 % 2,807.6
Perpetual-Premium 5.34 % 2.55 % 72,423 0.09 20 0.1171 % 2,750.0
Perpetual-Discount 5.16 % 5.18 % 95,998 15.09 16 0.1190 % 2,928.3
FixedReset 4.42 % 4.15 % 246,252 6.69 94 -0.1770 % 2,335.6
Deemed-Retractible 5.04 % 2.33 % 138,909 0.11 31 0.1018 % 2,859.3
FloatingReset 2.49 % 3.27 % 53,233 4.58 9 -0.1058 % 2,496.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.47
Bid-YTW : 8.50 %
PWF.PR.A Floater -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.23 %
HSE.PR.A FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 81,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.31 %
GWO.PR.I Deemed-Retractible 59,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.33
Bid-YTW : 6.25 %
BAM.PF.F FixedReset 56,082 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 22.98
Evaluated at bid price : 23.85
Bid-YTW : 4.26 %
TD.PF.H FixedReset 53,007 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.89 %
PVS.PR.B SplitShare 52,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.19 %
BMO.PR.R FloatingReset 51,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 3.12 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.M FixedReset Quote: 24.52 – 24.77
Spot Rate : 0.2500
Average : 0.1534

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.50 %

HSE.PR.A FixedReset Quote: 15.83 – 16.12
Spot Rate : 0.2900
Average : 0.2060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.46 %

MFC.PR.C Deemed-Retractible Quote: 22.24 – 22.51
Spot Rate : 0.2700
Average : 0.1944

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 6.34 %

BAM.PF.E FixedReset Quote: 22.09 – 22.29
Spot Rate : 0.2000
Average : 0.1288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 21.82
Evaluated at bid price : 22.09
Bid-YTW : 4.35 %

PWF.PR.A Floater Quote: 14.75 – 15.10
Spot Rate : 0.3500
Average : 0.2907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.23 %

BAM.PF.G FixedReset Quote: 23.99 – 24.23
Spot Rate : 0.2400
Average : 0.1834

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 22.93
Evaluated at bid price : 23.99
Bid-YTW : 4.22 %

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