The BoC has released the Bank of Canada Review – Spring 2016.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 4.66 % | 5.67 % | 12,333 | 17.07 | 1 | 0.6250 % | 1,692.5 |
| FixedFloater | 6.62 % | 5.74 % | 18,307 | 16.79 | 1 | 0.0000 % | 3,052.8 |
| Floater | 4.52 % | 4.75 % | 43,664 | 15.90 | 4 | -0.1911 % | 1,716.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1906 % | 2,819.5 |
| SplitShare | 4.93 % | 5.47 % | 82,625 | 2.46 | 7 | 0.1906 % | 3,299.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1906 % | 2,574.2 |
| Perpetual-Premium | 5.77 % | -10.51 % | 78,439 | 0.08 | 6 | 0.0394 % | 2,596.0 |
| Perpetual-Discount | 5.48 % | 5.59 % | 102,937 | 14.49 | 33 | 0.2506 % | 2,677.8 |
| FixedReset | 5.21 % | 4.74 % | 168,276 | 7.48 | 88 | -0.1845 % | 1,965.0 |
| Deemed-Retractible | 5.16 % | 5.67 % | 131,472 | 6.77 | 33 | 0.1590 % | 2,663.8 |
| FloatingReset | 3.16 % | 5.15 % | 25,182 | 5.29 | 17 | 0.1732 % | 2,083.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CM.PR.Q | FixedReset | -3.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 18.93 Evaluated at bid price : 18.93 Bid-YTW : 4.67 % |
| BIP.PR.A | FixedReset | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 5.80 % |
| IFC.PR.C | FixedReset | -2.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.90 Bid-YTW : 8.10 % |
| BMO.PR.Y | FixedReset | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.43 % |
| CU.PR.C | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.36 % |
| TD.PF.E | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 4.38 % |
| IFC.PR.A | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.31 Bid-YTW : 9.60 % |
| NA.PR.S | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 4.42 % |
| CIU.PR.A | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.43 % |
| FTS.PR.I | FloatingReset | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.21 % |
| SLF.PR.J | FloatingReset | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 10.54 % |
| HSE.PR.B | FloatingReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 5.51 % |
| FTS.PR.G | FixedReset | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 4.45 % |
| 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 : 13.85 Bid-YTW : 9.95 % |
| GWO.PR.O | FloatingReset | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 10.37 % |
| HSE.PR.A | FixedReset | 3.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 5.26 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.K | Floater | 69,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 10.06 Evaluated at bid price : 10.06 Bid-YTW : 4.75 % |
| BAM.PF.H | FixedReset | 49,818 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 4.19 % |
| NA.PR.X | FixedReset | 49,091 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 4.54 % |
| MFC.PR.O | FixedReset | 44,088 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.63 % |
| BAM.PR.R | FixedReset | 39,594 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 14.95 Evaluated at bid price : 14.95 Bid-YTW : 5.08 % |
| BAM.PF.B | FixedReset | 32,625 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-16 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 5.01 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.Q | FixedReset | Quote: 18.93 – 19.50 Spot Rate : 0.5700 Average : 0.3855 YTW SCENARIO |
| ALB.PR.C | SplitShare | Quote: 26.05 – 26.88 Spot Rate : 0.8300 Average : 0.6523 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 18.00 – 18.43 Spot Rate : 0.4300 Average : 0.2878 YTW SCENARIO |
| CU.PR.I | FixedReset | Quote: 25.45 – 25.93 Spot Rate : 0.4800 Average : 0.3824 YTW SCENARIO |
| SLF.PR.H | FixedReset | Quote: 16.12 – 16.69 Spot Rate : 0.5700 Average : 0.4754 YTW SCENARIO |
| TRP.PR.I | FloatingReset | Quote: 10.75 – 12.28 Spot Rate : 1.5300 Average : 1.4562 YTW SCENARIO |