April 10, 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 0.0742 % 2,170.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0742 % 3,982.9
Floater 3.50 % 3.62 % 40,645 18.26 4 0.0742 % 2,295.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1371 % 3,027.8
SplitShare 4.93 % 4.23 % 59,495 0.65 6 0.1371 % 3,615.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1371 % 2,821.2
Perpetual-Premium 5.27 % -7.40 % 73,056 0.09 23 0.3206 % 2,792.9
Perpetual-Discount 5.05 % 5.04 % 116,048 15.35 13 0.8140 % 3,013.4
FixedReset 4.33 % 3.93 % 250,649 6.66 94 0.2841 % 2,388.2
Deemed-Retractible 4.96 % 3.83 % 148,827 0.12 31 0.5189 % 2,905.5
FloatingReset 2.53 % 3.08 % 54,582 4.54 9 0.0576 % 2,538.3
Performance Highlights
Issue Index Change Notes
BNS.PR.D FloatingReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 4.59 %
MFC.PR.B Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.42 %
SLF.PR.C Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.89 %
CU.PR.F Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.47
Evaluated at bid price : 22.79
Bid-YTW : 4.98 %
CU.PR.E Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 24.25
Evaluated at bid price : 24.54
Bid-YTW : 5.04 %
TRP.PR.G FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.95
Evaluated at bid price : 24.12
Bid-YTW : 4.12 %
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 : 22.95
Bid-YTW : 5.87 %
SLF.PR.D Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.86 %
CU.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.53
Evaluated at bid price : 22.85
Bid-YTW : 4.97 %
CU.PR.C FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.15
Evaluated at bid price : 22.80
Bid-YTW : 3.83 %
PWF.PR.S Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 23.76
Evaluated at bid price : 24.22
Bid-YTW : 4.94 %
RY.PR.J FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.90
Evaluated at bid price : 23.88
Bid-YTW : 3.96 %
SLF.PR.B Deemed-Retractible 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 5.09 %
CU.PR.H Perpetual-Premium 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 4.67 %
EML.PR.A FixedReset 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 3.74 %
SLF.PR.A Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.21 %
PWF.PR.A Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.23 %
POW.PR.D Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-10
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.21 %
CU.PR.D Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 24.45
Evaluated at bid price : 24.74
Bid-YTW : 5.00 %
TRP.PR.B FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 3.96 %
TRP.PR.C FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 3.93 %
SLF.PR.G FixedReset 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.95
Bid-YTW : 8.07 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.C FixedReset 134,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.09
Bid-YTW : 5.38 %
BMO.PR.T FixedReset 116,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.12
Evaluated at bid price : 22.42
Bid-YTW : 3.82 %
BAM.PR.X FixedReset 106,979 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.17 %
RY.PR.Z FixedReset 90,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.37
Evaluated at bid price : 22.66
Bid-YTW : 3.75 %
BMO.PR.C FixedReset 80,111 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.99 %
TD.PF.B FixedReset 58,545 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.23
Evaluated at bid price : 22.56
Bid-YTW : 3.77 %
There were 58 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.J FixedReset Quote: 27.09 – 27.40
Spot Rate : 0.3100
Average : 0.1780

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 27.09
Bid-YTW : 3.51 %
NA.PR.Q FixedReset Quote: 24.55 – 24.90
Spot Rate : 0.3500
Average : 0.2489

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.91 %
CCS.PR.C Deemed-Retractible Quote: 24.21 – 24.55
Spot Rate : 0.3400
Average : 0.2452

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.56 %
TD.PF.F Perpetual-Premium Quote: 25.46 – 25.73
Spot Rate : 0.2700
Average : 0.1869

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.59 %
BMO.PR.Y FixedReset Quote: 24.00 – 24.29
Spot Rate : 0.2900
Average : 0.2096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-10
Maturity Price : 22.92
Evaluated at bid price : 24.00
Bid-YTW : 3.94 %
PVS.PR.E SplitShare Quote: 26.60 – 26.85
Spot Rate : 0.2500
Average : 0.1702

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-10
Maturity Price : 26.00
Evaluated at bid price : 26.60
Bid-YTW : -15.88 %

This entry was posted on Monday, April 10th, 2017 at 6:38 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 “April 10, 2017”

  1. Prefhound says:
    April 11, 2017 at 1:56 am

    Hi James:
    With recent strength in the Pref market, some Fixed Resets are priced north of $27 with YTW of 2-4%. What is your take on how sustainable that is and how far up they could go – north of $28?? Negative YTW??.

    Two Examples are:
    BPO.PR.C $27.35 YTW (first call) of 3.73% when the other BPO fixed resets average 4.86% (including BPO.PR.E, which is also likely to be called).
    MFC.PR.O $27.61 YTW (first call) of 2.4% when the other MFC fixed resets average 3.99% (including MFC.PR.R, which is also likely to be called).

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