October 27, 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 0.2361 % 2,429.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2361 % 4,458.6
Floater 3.77 % 3.94 % 32,496 17.55 4 0.2361 % 2,569.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0461 % 3,077.2
SplitShare 4.74 % 4.66 % 68,229 4.34 6 -0.0461 % 3,674.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0461 % 2,867.3
Perpetual-Premium 5.36 % -3.44 % 68,713 0.18 17 0.0139 % 2,828.1
Perpetual-Discount 5.27 % 5.28 % 68,478 14.99 19 0.3059 % 2,986.6
FixedReset 4.25 % 4.24 % 149,267 6.17 99 -0.2430 % 2,474.0
Deemed-Retractible 5.06 % 5.48 % 99,140 5.98 30 0.1379 % 2,917.1
FloatingReset 2.75 % 2.83 % 48,752 4.02 8 -0.1466 % 2,673.8
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 22.78
Evaluated at bid price : 24.02
Bid-YTW : 4.82 %
CU.PR.C FixedReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 21.47
Evaluated at bid price : 21.75
Bid-YTW : 4.55 %
TRP.PR.B FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.47 %
MFC.PR.F FixedReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.78 %
MFC.PR.G FixedReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.76 %
MFC.PR.N FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.22 %
MFC.PR.M FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 5.12 %
SLF.PR.H FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.54 %
IFC.PR.C FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.18 %
PWF.PR.P FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.53 %
CM.PR.O FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 23.14
Evaluated at bid price : 23.52
Bid-YTW : 4.24 %
TRP.PR.F FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 3.60 %
GWO.PR.R Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.92 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 204,720 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.80 %
BMO.PR.B FixedReset 114,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.71 %
RY.PR.R FixedReset 105,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.44 %
BNS.PR.H FixedReset 84,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.65 %
TRP.PR.C FixedReset 84,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 4.47 %
CM.PR.O FixedReset 63,749 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 23.14
Evaluated at bid price : 23.52
Bid-YTW : 4.24 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Quote: 24.02 – 24.84
Spot Rate : 0.8200
Average : 0.4777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 22.78
Evaluated at bid price : 24.02
Bid-YTW : 4.82 %

TRP.PR.A FixedReset Quote: 20.03 – 20.40
Spot Rate : 0.3700
Average : 0.2443

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.49 %

SLF.PR.H FixedReset Quote: 21.75 – 22.15
Spot Rate : 0.4000
Average : 0.2790

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.54 %

CU.PR.C FixedReset Quote: 21.75 – 22.09
Spot Rate : 0.3400
Average : 0.2242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-27
Maturity Price : 21.47
Evaluated at bid price : 21.75
Bid-YTW : 4.55 %

MFC.PR.K FixedReset Quote: 22.85 – 23.32
Spot Rate : 0.4700
Average : 0.3559

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.44 %

CU.PR.H Perpetual-Discount Quote: 25.45 – 25.85
Spot Rate : 0.4000
Average : 0.2983

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.11 %

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