November 2, 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 -0.1112 % 2,416.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1112 % 4,434.1
Floater 3.74 % 3.96 % 98,457 17.49 3 -0.1112 % 2,555.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0066 % 3,080.1
SplitShare 4.74 % 4.77 % 59,804 4.32 6 0.0066 % 3,678.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0066 % 2,869.9
Perpetual-Premium 5.36 % 1.65 % 50,945 0.09 20 0.0570 % 2,832.4
Perpetual-Discount 5.22 % 5.25 % 73,494 15.07 15 0.1249 % 2,998.0
FixedReset 4.23 % 4.14 % 145,886 4.35 99 0.1645 % 2,487.7
Deemed-Retractible 5.04 % 5.40 % 98,220 5.96 30 0.1401 % 2,928.6
FloatingReset 2.74 % 2.81 % 46,911 4.01 8 -0.0163 % 2,675.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.48 %
BAM.PR.R FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-02
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 4.64 %
BAM.PR.T FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-02
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.58 %
MFC.PR.J FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset 54,502 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-02
Maturity Price : 23.11
Evaluated at bid price : 23.53
Bid-YTW : 4.07 %
PWF.PR.Z Perpetual-Discount 46,584 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-02
Maturity Price : 24.26
Evaluated at bid price : 24.64
Bid-YTW : 5.24 %
W.PR.M FixedReset 45,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.78 %
PWF.PR.R Perpetual-Premium 45,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.42
Bid-YTW : 5.19 %
IFC.PR.F Deemed-Retractible 33,415 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.56 %
BAM.PF.G FixedReset 30,704 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-02
Maturity Price : 23.21
Evaluated at bid price : 24.40
Bid-YTW : 4.56 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 23.55 – 24.08
Spot Rate : 0.5300
Average : 0.3571

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.03 %

IFC.PR.A FixedReset Quote: 20.05 – 20.48
Spot Rate : 0.4300
Average : 0.2883

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.01 %

SLF.PR.H FixedReset Quote: 22.02 – 22.43
Spot Rate : 0.4100
Average : 0.3049

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 5.33 %

RY.PR.M FixedReset Quote: 24.28 – 24.69
Spot Rate : 0.4100
Average : 0.3063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-02
Maturity Price : 23.09
Evaluated at bid price : 24.28
Bid-YTW : 4.20 %

MFC.PR.N FixedReset Quote: 23.44 – 23.80
Spot Rate : 0.3600
Average : 0.2693

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.44
Bid-YTW : 5.02 %

IFC.PR.E Deemed-Retractible Quote: 24.70 – 24.95
Spot Rate : 0.2500
Average : 0.1656

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.52 %

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