February 29, 2016

Again, just the bare bones. Sorry!

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 5.55 % 6.73 % 13,580 15.82 1 -0.4082 % 1,412.8
FixedFloater 7.91 % 6.93 % 22,338 15.23 1 0.0000 % 2,513.4
Floater 4.96 % 5.18 % 82,060 15.10 4 1.1943 % 1,546.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2247 % 2,733.6
SplitShare 4.86 % 5.66 % 80,750 2.66 7 -0.2247 % 3,198.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2247 % 2,495.9
Perpetual-Premium 5.84 % 2.80 % 80,096 0.08 6 0.1730 % 2,529.5
Perpetual-Discount 5.80 % 5.83 % 98,060 14.07 33 0.1450 % 2,493.4
FixedReset 5.83 % 5.32 % 204,410 14.09 85 0.1518 % 1,743.7
Deemed-Retractible 5.36 % 6.00 % 120,056 5.14 34 0.0163 % 2,526.3
FloatingReset 3.19 % 5.58 % 46,485 5.46 16 -0.2794 % 1,910.6
Performance Highlights
Issue Index Change Notes
GWO.PR.O FloatingReset -10.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 10.30
Bid-YTW : 13.22 %
IAG.PR.A Deemed-Retractible -3.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.78
Bid-YTW : 7.88 %
PVS.PR.D SplitShare -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.01 %
CM.PR.Q FixedReset -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 5.12 %
ELF.PR.G Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 6.14 %
TD.PF.A FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.87 %
RY.PR.M FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 5.07 %
BNS.PR.P FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 4.58 %
TD.PF.D FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 5.04 %
TD.PR.Y FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.85 %
CM.PR.O FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.85 %
TRP.PR.G FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.51 %
RY.PR.Z FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.78 %
BMO.PR.Y FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.99 %
BNS.PR.C FloatingReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.61
Bid-YTW : 5.83 %
RY.PR.I FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 5.34 %
BNS.PR.F FloatingReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.34 %
BMO.PR.T FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.81 %
RY.PR.L FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.43 %
FTS.PR.I FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.30 %
RY.PR.J FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.12 %
NA.PR.S FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 5.32 %
TRP.PR.F FloatingReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.69 %
BIP.PR.B FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 22.60
Evaluated at bid price : 23.60
Bid-YTW : 5.78 %
TRP.PR.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.78
Evaluated at bid price : 9.78
Bid-YTW : 5.09 %
FTS.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.14 %
MFC.PR.N FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 9.49 %
SLF.PR.J FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.12
Bid-YTW : 12.22 %
RY.PR.P Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 24.00
Evaluated at bid price : 24.36
Bid-YTW : 5.41 %
BAM.PR.C Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.12
Evaluated at bid price : 9.12
Bid-YTW : 5.26 %
BAM.PR.X FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 12.33
Evaluated at bid price : 12.33
Bid-YTW : 5.44 %
PVS.PR.E SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.65 %
VNR.PR.A FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 5.46 %
HSE.PR.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 8.55
Evaluated at bid price : 8.55
Bid-YTW : 7.01 %
BAM.PF.G FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.65 %
SLF.PR.I FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.32
Bid-YTW : 9.25 %
TD.PR.Z FloatingReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.26 %
TRP.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.42 %
BAM.PF.E FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.52 %
BAM.PR.K Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.21
Evaluated at bid price : 9.21
Bid-YTW : 5.21 %
BAM.PF.B FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.73 %
CU.PR.C FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.22 %
MFC.PR.I FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.64
Bid-YTW : 9.31 %
MFC.PR.G FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.45
Bid-YTW : 9.39 %
PWF.PR.Q FloatingReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.86 %
BAM.PF.A FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.64 %
BAM.PR.B Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 5.18 %
HSE.PR.C FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 7.10 %
HSE.PR.E FixedReset 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.81 %
MFC.PR.H FixedReset 2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 8.09 %
SLF.PR.H FixedReset 3.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 10.04 %
BAM.PR.R FixedReset 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 5.65 %
TRP.PR.I FloatingReset 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset 185,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.65 %
BNS.PR.E FixedReset 46,548 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 23.21
Evaluated at bid price : 25.18
Bid-YTW : 5.22 %
IAG.PR.G FixedReset 45,235 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.45
Bid-YTW : 9.37 %
PVS.PR.D SplitShare 38,379 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.01 %
BAM.PF.D Perpetual-Discount 37,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 6.39 %
TD.PF.G FixedReset 31,551 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 5.31 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.I FloatingReset Quote: 10.00 – 12.00
Spot Rate : 2.0000
Average : 1.4088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.98 %

GWO.PR.O FloatingReset Quote: 10.30 – 11.50
Spot Rate : 1.2000
Average : 0.7928

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 10.30
Bid-YTW : 13.22 %

TRP.PR.F FloatingReset Quote: 10.31 – 11.30
Spot Rate : 0.9900
Average : 0.6497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.69 %

BNS.PR.P FixedReset Quote: 23.01 – 23.90
Spot Rate : 0.8900
Average : 0.5697

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 4.58 %

IAG.PR.A Deemed-Retractible Quote: 19.78 – 20.98
Spot Rate : 1.2000
Average : 0.9420

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.78
Bid-YTW : 7.88 %

TD.PF.A FixedReset Quote: 16.10 – 16.60
Spot Rate : 0.5000
Average : 0.3690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.87 %

2 Responses to “February 29, 2016”

  1. fed says:

    I have been trying to calculate YTW for various issues myself, andIi get quite different numbes than you do. Do you have a calculator for that? Or an explanation of how you calculate it?

    Thanks

  2. jiHymas says:

    For Straight Perpetuals, see Research: Yield Ahead, with additional discussion at Research: Yield from On-Line Calculator.

    For discussion of a yield calculator for FixedResets, see What is the Yield of HSE.PR.A?

Leave a Reply

You must be logged in to post a comment.