Archive for the ‘Uncategorized’ Category

April 5, 2016

Tuesday, April 5th, 2016

Just bare bones again, I’m afraid!

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 5.05 % 6.13 % 10,731 16.52 1 -0.8876 % 1,559.1
FixedFloater 6.79 % 5.97 % 22,151 16.33 1 -0.0714 % 2,929.8
Floater 4.60 % 4.76 % 60,824 15.97 4 -0.8450 % 1,682.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,803.2
SplitShare 4.73 % 5.28 % 90,368 1.60 6 0.0000 % 3,280.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,559.4
Perpetual-Premium 5.77 % -2.44 % 86,435 0.08 6 -0.0263 % 2,568.9
Perpetual-Discount 5.56 % 5.61 % 96,991 14.42 33 -0.0627 % 2,615.0
FixedReset 5.25 % 4.66 % 183,586 13.81 87 -0.0299 % 1,934.5
Deemed-Retractible 5.20 % 5.29 % 123,752 5.11 34 -0.1492 % 2,624.2
FloatingReset 3.13 % 5.00 % 36,295 5.39 17 -0.0905 % 2,019.5
Performance Highlights
Issue Index Change Notes
HSE.PR.B FloatingReset -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.76 %
TRP.PR.B FixedReset -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 4.56 %
GWO.PR.N FixedReset -2.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.17
Bid-YTW : 10.49 %
TD.PF.D FixedReset -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.50 %
TRP.PR.C FixedReset -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.47
Evaluated at bid price : 11.47
Bid-YTW : 4.89 %
FTS.PR.H FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %
BAM.PR.K Floater -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 9.93
Evaluated at bid price : 9.93
Bid-YTW : 4.79 %
HSE.PR.G FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.97 %
IFC.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.42
Bid-YTW : 10.30 %
BMO.PR.Y FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.28 %
MFC.PR.G FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.85 %
RY.PR.K FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.75 %
BMO.PR.M FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 4.41 %
BAM.PR.C Floater -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.80 %
MFC.PR.L FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.78
Bid-YTW : 7.98 %
TD.PR.S FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 4.24 %
TRP.PR.A FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.67 %
BNS.PR.Z FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.42 %
FTS.PR.F Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.42 %
TRP.PR.F FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 4.82 %
PWF.PR.Q FloatingReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.43 %
BNS.PR.Y FixedReset 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.20 %
MFC.PR.K FixedReset 2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 218,289 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 4.62 %
BNS.PR.G FixedReset 214,613 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 4.59 %
RY.PR.H FixedReset 52,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 4.26 %
RY.PR.Q FixedReset 36,355 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 4.72 %
BMO.PR.Q FixedReset 30,664 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.88 %
MFC.PR.O FixedReset 24,327 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.72 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.50 – 15.00
Spot Rate : 3.5000
Average : 2.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.43 %

GWO.PR.O FloatingReset Quote: 12.02 – 13.50
Spot Rate : 1.4800
Average : 1.0756

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.02
Bid-YTW : 11.16 %

BAM.PR.E Ratchet Quote: 13.40 – 14.40
Spot Rate : 1.0000
Average : 0.7945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 6.13 %

BNS.PR.A FloatingReset Quote: 22.82 – 23.44
Spot Rate : 0.6200
Average : 0.4438

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 4.17 %

TD.PF.D FixedReset Quote: 19.84 – 20.40
Spot Rate : 0.5600
Average : 0.3848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.50 %

RY.PR.K FloatingReset Quote: 22.00 – 22.85
Spot Rate : 0.8500
Average : 0.6999

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.75 %