September 15, 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 0.1796 % 1,689.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1796 % 3,086.9
Floater 4.89 % 4.62 % 89,967 16.22 4 0.1796 % 1,779.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0635 % 2,881.7
SplitShare 5.05 % 4.67 % 72,585 2.19 5 0.0635 % 3,441.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0635 % 2,685.1
Perpetual-Premium 5.51 % 4.62 % 67,607 2.12 12 0.1011 % 2,674.2
Perpetual-Discount 5.14 % 5.20 % 95,450 15.08 26 0.0667 % 2,899.2
FixedReset 5.01 % 4.47 % 153,371 6.95 91 0.1187 % 2,031.1
Deemed-Retractible 5.02 % 3.34 % 116,977 0.29 32 0.0853 % 2,798.4
FloatingReset 2.82 % 4.33 % 31,279 5.01 12 0.5358 % 2,205.2
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.37 %
BAM.PF.B FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.95 %
BAM.PF.G FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.67 %
BAM.PF.A FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.90 %
TD.PR.Y FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 3.85 %
NA.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.44 %
MFC.PR.F FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.50
Bid-YTW : 10.60 %
NA.PR.W FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.45 %
IAG.PR.A Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 5.64 %
CM.PR.Q FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.46 %
BNS.PR.D FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.57
Bid-YTW : 6.34 %
BMO.PR.A FloatingReset 6.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 332,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.22 %
TD.PF.H FixedReset 179,434 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.54 %
TD.PF.G FixedReset 136,323 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 4.03 %
CM.PR.O FixedReset 106,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.31 %
BIP.PR.C FixedReset 61,385 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.04 %
MFC.PR.K FixedReset 50,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.48 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 12.76 – 13.25
Spot Rate : 0.4900
Average : 0.3107

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 11.03 %
FTS.PR.M FixedReset Quote: 20.05 – 20.27
Spot Rate : 0.2200
Average : 0.1364

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.20 %
FTS.PR.H FixedReset Quote: 13.75 – 13.95
Spot Rate : 0.2000
Average : 0.1205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.07 %
NA.PR.Q FixedReset Quote: 23.65 – 23.90
Spot Rate : 0.2500
Average : 0.1785

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.51 %
PWF.PR.P FixedReset Quote: 13.08 – 13.29
Spot Rate : 0.2100
Average : 0.1478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 13.08
Evaluated at bid price : 13.08
Bid-YTW : 4.47 %
FTS.PR.G FixedReset Quote: 17.80 – 17.99
Spot Rate : 0.1900
Average : 0.1286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.16 %

This entry was posted on Thursday, September 15th, 2016 at 11:50 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

One Response to “September 15, 2016”

  1. prefobsessed says:
    September 16, 2016 at 10:37 am

    11:20 am and already BNS.PR.H has traded just under 3 million shares. unbelievable. a pref!!

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