December 2, 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 -0.0677 % 1,755.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0677 % 3,207.7
Floater 4.27 % 4.41 % 47,884 16.51 4 -0.0677 % 1,848.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1128 % 2,920.3
SplitShare 4.84 % 4.45 % 54,093 2.00 6 0.1128 % 3,487.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1128 % 2,721.0
Perpetual-Premium 5.45 % 5.32 % 84,165 14.39 23 -0.1327 % 2,652.6
Perpetual-Discount 5.46 % 5.47 % 94,579 14.67 15 -0.5924 % 2,746.6
FixedReset 4.85 % 4.58 % 208,363 6.85 96 -0.0140 % 2,107.0
Deemed-Retractible 5.18 % 5.26 % 137,154 4.58 32 -0.0971 % 2,745.4
FloatingReset 2.88 % 3.84 % 44,176 4.84 12 -0.0510 % 2,306.3
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.46
Bid-YTW : 6.61 %
TD.PF.E FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 4.49 %
CU.PR.G Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.47 %
IAG.PR.A Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 6.66 %
BAM.PR.T FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.88 %
SLF.PR.G FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.51
Bid-YTW : 9.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset 512,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.57
Bid-YTW : 4.16 %
NA.PR.X FixedReset 501,882 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.30 %
MFC.PR.R FixedReset 501,331 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 4.95 %
TD.PF.G FixedReset 398,870 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.14 %
TRP.PR.K FixedReset 380,185 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 23.10
Evaluated at bid price : 24.91
Bid-YTW : 4.85 %
RY.PR.Q FixedReset 342,387 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.46
Bid-YTW : 4.11 %
TD.PF.H FixedReset 282,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.52 %
FTS.PR.M FixedReset 155,671 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.61 %
BMO.PR.B FixedReset 139,265 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.56 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 22.46 – 23.10
Spot Rate : 0.6400
Average : 0.5035

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.46
Bid-YTW : 6.61 %

ELF.PR.H Perpetual-Premium Quote: 24.59 – 24.90
Spot Rate : 0.3100
Average : 0.1995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 24.30
Evaluated at bid price : 24.59
Bid-YTW : 5.66 %

TD.PR.Z FloatingReset Quote: 23.06 – 23.36
Spot Rate : 0.3000
Average : 0.2125

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 3.81 %

TD.PF.F Perpetual-Premium Quote: 24.68 – 24.97
Spot Rate : 0.2900
Average : 0.2059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 24.28
Evaluated at bid price : 24.68
Bid-YTW : 5.00 %

CU.PR.H Perpetual-Premium Quote: 24.50 – 24.91
Spot Rate : 0.4100
Average : 0.3267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-02
Maturity Price : 24.11
Evaluated at bid price : 24.50
Bid-YTW : 5.37 %

MFC.PR.F FixedReset Quote: 13.60 – 13.86
Spot Rate : 0.2600
Average : 0.1867

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.60
Bid-YTW : 10.81 %

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