August 15, 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 0.2495 % 1,692.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2495 % 3,091.7
Floater 4.85 % 4.60 % 80,682 16.09 4 0.2495 % 1,781.7
OpRet 4.84 % 2.91 % 52,369 0.08 1 0.0000 % 2,847.0
SplitShare 5.04 % 4.78 % 107,591 2.25 5 0.0951 % 3,417.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0951 % 2,666.7
Perpetual-Premium 5.43 % -12.28 % 73,222 0.09 12 0.1513 % 2,709.5
Perpetual-Discount 5.08 % 4.96 % 105,386 14.95 26 0.3240 % 2,924.6
FixedReset 4.88 % 4.07 % 151,680 7.15 89 0.1493 % 2,089.0
Deemed-Retractible 4.96 % 0.49 % 120,479 0.09 32 0.0100 % 2,814.6
FloatingReset 2.88 % 4.11 % 33,298 5.10 11 -0.0669 % 2,200.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.36 %
ELF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.19 %
PWF.PR.R Perpetual-Premium 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 26.16
Bid-YTW : 4.47 %
BAM.PR.Z FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.62 %
MFC.PR.F FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 9.10 %
BAM.PR.X FixedReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 222,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 3.77 %
BIP.PR.C FixedReset 160,211 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 5.09 %
RY.PR.Z FixedReset 129,264 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 3.85 %
TD.PF.C FixedReset 69,007 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.96 %
RY.PR.H FixedReset 56,146 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 3.93 %
BNS.PR.G FixedReset 46,424 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.93
Bid-YTW : 3.86 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.M FixedReset Quote: 20.33 – 20.70
Spot Rate : 0.3700
Average : 0.2548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 4.06 %

PWF.PR.P FixedReset Quote: 13.86 – 14.35
Spot Rate : 0.4900
Average : 0.3760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 4.01 %

TRP.PR.C FixedReset Quote: 13.06 – 13.39
Spot Rate : 0.3300
Average : 0.2327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 4.15 %

BAM.PR.S FloatingReset Quote: 15.20 – 15.60
Spot Rate : 0.4000
Average : 0.3028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-15
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.68 %

BAM.PF.H FixedReset Quote: 26.53 – 26.81
Spot Rate : 0.2800
Average : 0.1997

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.53
Bid-YTW : 3.65 %

RY.PR.Q FixedReset Quote: 26.65 – 26.90
Spot Rate : 0.2500
Average : 0.1746

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.96 %

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