February 27, 2017

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 -0.5404 % 2,058.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5404 % 3,777.6
Floater 3.67 % 3.90 % 56,412 17.57 4 -0.5404 % 2,177.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,997.2
SplitShare 4.72 % 4.11 % 58,093 0.77 4 0.0393 % 3,579.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,792.7
Perpetual-Premium 5.41 % -5.66 % 68,384 0.09 16 -0.1314 % 2,738.8
Perpetual-Discount 5.16 % 5.17 % 99,513 15.03 22 -0.2186 % 2,913.0
FixedReset 4.43 % 4.02 % 228,548 6.77 97 -0.1309 % 2,329.1
Deemed-Retractible 5.01 % 0.54 % 133,783 0.16 31 0.0920 % 2,854.3
FloatingReset 2.49 % 3.11 % 50,845 4.65 9 -0.5171 % 2,465.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 3.42 %
BNS.PR.Y FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 4.51 %
BAM.PR.B Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 3.91 %
IFC.PR.C FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.70 %
TRP.PR.B FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 4.02 %
BAM.PR.C Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.90 %
MFC.PR.F FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.33
Bid-YTW : 9.32 %
SLF.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.69 %
GWO.PR.S Deemed-Retractible 2.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 60,456 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 23.17
Evaluated at bid price : 25.05
Bid-YTW : 4.88 %
BAM.PF.I FixedReset 53,291 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.42 %
BIP.PR.B FixedReset 38,716 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.47 %
RY.PR.C Deemed-Retractible 29,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-29
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -6.48 %
BNS.PR.O Deemed-Retractible 24,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 0.30 %
TD.PF.A FixedReset 22,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 3.86 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Quote: 16.24 – 16.53
Spot Rate : 0.2900
Average : 0.1831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.69 %

ELF.PR.F Perpetual-Discount Quote: 24.31 – 24.64
Spot Rate : 0.3300
Average : 0.2304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 24.06
Evaluated at bid price : 24.31
Bid-YTW : 5.52 %

IAG.PR.G FixedReset Quote: 23.15 – 23.39
Spot Rate : 0.2400
Average : 0.1505

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 5.06 %

RY.PR.P Perpetual-Premium Quote: 25.90 – 26.15
Spot Rate : 0.2500
Average : 0.1810

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.74 %

ELF.PR.H Perpetual-Discount Quote: 25.05 – 25.25
Spot Rate : 0.2000
Average : 0.1338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 24.76
Evaluated at bid price : 25.05
Bid-YTW : 5.55 %

BMO.PR.Q FixedReset Quote: 21.57 – 21.91
Spot Rate : 0.3400
Average : 0.2746

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 5.04 %

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