November 6, 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 0.5354 % 2,425.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5354 % 4,449.9
Floater 3.73 % 3.95 % 92,226 17.51 3 0.5354 % 2,564.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0263 % 3,081.5
SplitShare 4.73 % 4.78 % 58,923 4.31 6 -0.0263 % 3,680.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0263 % 2,871.3
Perpetual-Premium 5.36 % -0.03 % 48,631 0.15 20 0.0609 % 2,834.2
Perpetual-Discount 5.22 % 5.24 % 73,439 15.07 15 -0.0340 % 2,998.9
FixedReset 4.23 % 4.15 % 144,859 4.49 99 0.0480 % 2,487.4
Deemed-Retractible 5.04 % 5.41 % 95,736 5.95 30 0.0947 % 2,929.4
FloatingReset 2.75 % 2.79 % 47,497 4.00 8 -0.0381 % 2,672.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.58 %
BAM.PR.X FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.65 %
BMO.PR.Q FixedReset 2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.C Deemed-Retractible 245,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-06
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -0.78 %
TRP.PR.E FixedReset 176,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 22.79
Evaluated at bid price : 23.13
Bid-YTW : 4.33 %
CM.PR.P FixedReset 154,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.10 %
RY.PR.J FixedReset 135,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.27
Evaluated at bid price : 24.50
Bid-YTW : 4.28 %
TRP.PR.K FixedReset 80,947 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.50 %
TRP.PR.J FixedReset 78,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.24 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 24.13 – 24.78
Spot Rate : 0.6500
Average : 0.4277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.02
Evaluated at bid price : 24.13
Bid-YTW : 4.56 %

HSE.PR.C FixedReset Quote: 24.48 – 25.00
Spot Rate : 0.5200
Average : 0.3279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.34
Evaluated at bid price : 24.48
Bid-YTW : 4.81 %

CCS.PR.C Deemed-Retractible Quote: 23.83 – 24.34
Spot Rate : 0.5100
Average : 0.3569

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 5.93 %

TRP.PR.F FloatingReset Quote: 19.54 – 19.99
Spot Rate : 0.4500
Average : 0.3379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 3.64 %

PVS.PR.B SplitShare Quote: 25.20 – 25.51
Spot Rate : 0.3100
Average : 0.2095

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.30 %

MFC.PR.R FixedReset Quote: 26.17 – 26.45
Spot Rate : 0.2800
Average : 0.1896

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.86 %

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