November 17, 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 -0.2829 % 2,465.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2829 % 4,524.0
Floater 3.67 % 3.91 % 96,700 17.57 3 -0.2829 % 2,607.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0982 % 3,098.5
SplitShare 4.71 % 4.67 % 48,463 4.29 6 0.0982 % 3,700.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0982 % 2,887.1
Perpetual-Premium 5.35 % 4.68 % 55,309 2.23 20 0.0924 % 2,837.2
Perpetual-Discount 5.22 % 5.25 % 67,770 15.05 15 0.1477 % 3,006.9
FixedReset 4.23 % 4.23 % 151,459 4.31 98 0.0421 % 2,493.6
Deemed-Retractible 5.03 % 5.38 % 88,741 5.93 30 0.1178 % 2,935.6
FloatingReset 2.78 % 2.83 % 41,374 3.97 8 0.0217 % 2,684.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %
BMO.PR.T FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 22.78
Evaluated at bid price : 23.15
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 414,067 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.37 %
TD.PF.G FixedReset 194,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.46 %
HSB.PR.D Deemed-Retractible 88,869 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.82 %
BAM.PF.I FixedReset 83,876 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.80 %
RY.PR.C Deemed-Retractible 71,430 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -10.70 %
BAM.PR.R FixedReset 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.69 %
There were 21 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 – 24.11
Spot Rate : 0.5600
Average : 0.4352

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.09 %

W.PR.M FixedReset Quote: 26.40 – 26.75
Spot Rate : 0.3500
Average : 0.2269

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.80 %

MFC.PR.H FixedReset Quote: 25.36 – 25.78
Spot Rate : 0.4200
Average : 0.3002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.65 %

W.PR.K FixedReset Quote: 26.04 – 26.50
Spot Rate : 0.4600
Average : 0.3488

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.02 %

MFC.PR.F FixedReset Quote: 18.05 – 18.35
Spot Rate : 0.3000
Average : 0.1986

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %

MFC.PR.G FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2612

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.46 %

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