September 18, 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 -0.5580 % 2,412.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5580 % 4,426.3
Floater 3.93 % 3.92 % 106,931 17.59 3 -0.5580 % 2,550.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1899 % 3,061.4
SplitShare 4.76 % 4.81 % 86,270 4.45 6 -0.1899 % 3,656.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1899 % 2,852.6
Perpetual-Premium 5.43 % 4.93 % 55,052 6.11 16 -0.0074 % 2,770.4
Perpetual-Discount 5.38 % 5.43 % 63,852 14.63 19 -0.0251 % 2,885.6
FixedReset 4.36 % 4.63 % 146,072 6.22 99 0.0316 % 2,402.8
Deemed-Retractible 5.15 % 5.72 % 97,412 6.06 31 -0.0937 % 2,848.8
FloatingReset 2.86 % 2.97 % 48,441 4.10 8 0.2690 % 2,644.9
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.99
Bid-YTW : 6.08 %
BMO.PR.S FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 22.17
Evaluated at bid price : 22.51
Bid-YTW : 4.62 %
TRP.PR.B FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
PVS.PR.F SplitShare 234,295 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.86 %
BMO.PR.D FixedReset 209,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.63 %
BMO.PR.C FixedReset 102,720 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.35 %
TD.PR.T FloatingReset 100,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 2.84 %
TD.PF.I FixedReset 88,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.43 %
BAM.PF.J FixedReset 75,039 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.70 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 17.27 – 17.70
Spot Rate : 0.4300
Average : 0.2814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.93 %

IAG.PR.G FixedReset Quote: 22.65 – 23.05
Spot Rate : 0.4000
Average : 0.2841

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 5.66 %

IFC.PR.C FixedReset Quote: 22.15 – 22.50
Spot Rate : 0.3500
Average : 0.2418

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.75 %

PWF.PR.L Perpetual-Discount Quote: 23.37 – 23.70
Spot Rate : 0.3300
Average : 0.2257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 23.11
Evaluated at bid price : 23.37
Bid-YTW : 5.53 %

GWO.PR.G Deemed-Retractible Quote: 24.10 – 24.41
Spot Rate : 0.3100
Average : 0.2108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.82 %

CU.PR.H Perpetual-Discount Quote: 24.60 – 25.00
Spot Rate : 0.4000
Average : 0.3152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 24.19
Evaluated at bid price : 24.60
Bid-YTW : 5.36 %

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