December 29, 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 0.0220 % 1,822.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0220 % 3,330.1
Floater 4.15 % 4.21 % 60,843 16.98 4 0.0220 % 1,919.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,939.3
SplitShare 4.82 % 4.68 % 82,077 4.26 6 -0.0330 % 3,510.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,738.7
Perpetual-Premium 5.44 % 5.10 % 86,207 14.50 23 0.3541 % 2,671.9
Perpetual-Discount 5.44 % 5.46 % 106,668 14.69 15 0.5748 % 2,772.8
FixedReset 4.70 % 4.56 % 252,213 6.77 96 0.0718 % 2,180.6
Deemed-Retractible 5.16 % 4.54 % 136,082 4.51 32 0.2406 % 2,762.7
FloatingReset 2.79 % 3.73 % 44,395 4.78 12 0.5695 % 2,346.7
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.45 %
MFC.PR.M FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.03
Bid-YTW : 6.98 %
EML.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.57 %
BAM.PF.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.47
Evaluated at bid price : 21.79
Bid-YTW : 5.64 %
TRP.PR.G FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 4.69 %
BAM.PF.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.97
Evaluated at bid price : 22.36
Bid-YTW : 4.58 %
BMO.PR.S FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.47 %
BAM.PF.F FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.61
Evaluated at bid price : 22.02
Bid-YTW : 4.64 %
SLF.PR.J FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.56 %
GWO.PR.N FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.31
Bid-YTW : 10.22 %
TRP.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.71 %
IAG.PR.A Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.64 %
BAM.PR.R FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.82 %
TRP.PR.A FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 4.83 %
IFC.PR.D FloatingReset 4.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.N Deemed-Retractible 652,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 2.73 %
BAM.PF.I FixedReset 112,552 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.46 %
RY.PR.A Deemed-Retractible 110,409 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.49 %
HSE.PR.A FixedReset 108,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 5.27 %
TD.PF.A FixedReset 108,154 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.46 %
TRP.PR.D FixedReset 65,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.84 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Quote: 20.59 – 21.22
Spot Rate : 0.6300
Average : 0.4420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.45 %

MFC.PR.O FixedReset Quote: 26.74 – 27.18
Spot Rate : 0.4400
Average : 0.2760

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.96 %

VNR.PR.A FixedReset Quote: 19.64 – 20.38
Spot Rate : 0.7400
Average : 0.5864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 5.18 %

TRP.PR.G FixedReset Quote: 21.73 – 22.12
Spot Rate : 0.3900
Average : 0.2675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 4.69 %

W.PR.K FixedReset Quote: 25.40 – 25.72
Spot Rate : 0.3200
Average : 0.2055

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.78 %

CU.PR.G Perpetual-Discount Quote: 21.20 – 21.50
Spot Rate : 0.3000
Average : 0.1893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.37 %

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