December 8, 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 -0.8535 % 1,750.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8535 % 3,198.3
Floater 4.28 % 4.42 % 52,179 16.48 4 -0.8535 % 1,843.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0132 % 2,925.1
SplitShare 4.83 % 4.44 % 51,924 4.32 6 0.0132 % 3,493.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0132 % 2,725.5
Perpetual-Premium 5.48 % 5.39 % 88,636 14.40 23 -0.4617 % 2,639.8
Perpetual-Discount 5.50 % 5.52 % 95,097 14.57 15 -0.3506 % 2,725.3
FixedReset 4.89 % 4.70 % 213,753 6.78 96 -0.4026 % 2,091.0
Deemed-Retractible 5.22 % 5.26 % 141,099 4.57 32 -0.3679 % 2,723.6
FloatingReset 2.84 % 3.97 % 45,583 4.83 12 -0.6825 % 2,297.7
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 3.97 %
TRP.PR.A FixedReset -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.95 %
TRP.PR.C FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 4.97 %
TRP.PR.B FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.78 %
TRP.PR.F FloatingReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.06 %
HSE.PR.G FixedReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.38 %
SLF.PR.B Deemed-Retractible -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 6.74 %
BNS.PR.B FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.19 %
TD.PF.D FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.65 %
PWF.PR.A Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.02 %
FTS.PR.J Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.53
Evaluated at bid price : 21.85
Bid-YTW : 5.46 %
SLF.PR.D Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.56
Bid-YTW : 7.38 %
IAG.PR.A Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.93 %
FTS.PR.G FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.67 %
SLF.PR.C Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.59
Bid-YTW : 7.36 %
TD.PF.F Perpetual-Premium -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.11
Evaluated at bid price : 24.50
Bid-YTW : 5.04 %
SLF.PR.E Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.72
Bid-YTW : 7.32 %
POW.PR.B Perpetual-Premium -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 5.59 %
FTS.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 22.21
Evaluated at bid price : 22.48
Bid-YTW : 5.48 %
BMO.PR.Y FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.52 %
BMO.PR.S FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.52 %
MFC.PR.F FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.51
Bid-YTW : 10.97 %
SLF.PR.J FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.71
Bid-YTW : 10.15 %
BMO.PR.T FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 4.54 %
ELF.PR.G Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 5.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 157,565 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 23.10
Evaluated at bid price : 24.90
Bid-YTW : 4.85 %
TD.PF.H FixedReset 97,945 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.49 %
NA.PR.A FixedReset 81,213 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.56 %
BAM.PF.I FixedReset 80,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.80 %
BNS.PR.C FloatingReset 75,967 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.82 %
BIP.PR.C FixedReset 60,018 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.02 %
There were 84 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 11.01 – 11.77
Spot Rate : 0.7600
Average : 0.4647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 3.97 %

TD.PF.F Perpetual-Premium Quote: 24.50 – 25.00
Spot Rate : 0.5000
Average : 0.3151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.11
Evaluated at bid price : 24.50
Bid-YTW : 5.04 %

PWF.PR.T FixedReset Quote: 19.48 – 19.93
Spot Rate : 0.4500
Average : 0.2765

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.55 %

TD.PR.S FixedReset Quote: 23.86 – 24.25
Spot Rate : 0.3900
Average : 0.2646

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 3.96 %

HSE.PR.G FixedReset Quote: 21.28 – 21.59
Spot Rate : 0.3100
Average : 0.1992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.38 %

POW.PR.B Perpetual-Premium Quote: 24.26 – 24.53
Spot Rate : 0.2700
Average : 0.1817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 5.59 %

2 Responses to “December 8, 2016”

  1. prefman says:

    Why were TRP shares down so much today?

  2. jiHymas says:

    I have no idea. The common didn’t do anything.

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