May 29, 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 -0.7432 % 2,155.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7432 % 3,955.0
Floater 3.54 % 3.69 % 56,226 18.04 4 -0.7432 % 2,279.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0708 % 3,047.4
SplitShare 4.72 % 4.29 % 71,578 1.56 5 -0.0708 % 3,639.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0708 % 2,839.5
Perpetual-Premium 5.30 % 1.01 % 73,963 0.09 23 0.0953 % 2,786.4
Perpetual-Discount 5.10 % 5.09 % 98,126 15.24 14 0.1203 % 2,997.8
FixedReset 4.52 % 4.12 % 198,975 6.56 94 0.0803 % 2,298.6
Deemed-Retractible 4.97 % 5.11 % 128,780 6.24 30 0.1048 % 2,892.9
FloatingReset 2.52 % 3.18 % 47,916 4.41 10 0.1157 % 2,530.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.25 %
IFC.PR.C FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.03 %
BIP.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.29 %
VNR.PR.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 4.57 %
SLF.PR.J FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 8.99 %
TRP.PR.H FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 3.33 %
TRP.PR.B FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Z Perpetual-Premium 92,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 24.63
Evaluated at bid price : 25.02
Bid-YTW : 5.16 %
IFC.PR.E Deemed-Retractible 87,230 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 5.19 %
HSE.PR.G FixedReset 62,293 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 22.96
Evaluated at bid price : 23.99
Bid-YTW : 4.69 %
TRP.PR.B FixedReset 51,989 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.81 %
TD.PR.T FloatingReset 50,641 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 2.87 %
RY.PR.H FixedReset 44,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 3.94 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Quote: 20.80 – 21.46
Spot Rate : 0.6600
Average : 0.3955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.05 %

PWF.PR.A Floater Quote: 14.60 – 15.19
Spot Rate : 0.5900
Average : 0.4261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.25 %

BAM.PF.H FixedReset Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2767

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.92 %

IFC.PR.C FixedReset Quote: 21.24 – 21.50
Spot Rate : 0.2600
Average : 0.1719

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.03 %

BNS.PR.Y FixedReset Quote: 21.93 – 22.18
Spot Rate : 0.2500
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 4.89 %

SLF.PR.B Deemed-Retractible Quote: 23.85 – 24.10
Spot Rate : 0.2500
Average : 0.1677

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.51 %

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