January 16, 2018

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 -1.9225 % 2,848.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.9225 % 5,226.9
Floater 3.23 % 3.35 % 35,483 18.88 4 -1.9225 % 3,012.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2177 % 3,146.0
SplitShare 4.67 % 4.02 % 60,296 3.40 5 -0.2177 % 3,757.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2177 % 2,931.4
Perpetual-Premium 5.38 % 3.37 % 61,690 0.09 18 -0.0438 % 2,851.3
Perpetual-Discount 5.34 % 5.31 % 73,693 14.91 16 -0.0647 % 2,978.8
FixedReset 4.21 % 4.47 % 140,615 4.19 98 -0.2594 % 2,520.7
Deemed-Retractible 5.08 % 5.42 % 81,505 5.84 28 -0.0757 % 2,935.1
FloatingReset 3.04 % 2.61 % 41,930 0.78 10 -0.0087 % 2,760.1
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 3.38 %
BAM.PR.C Floater -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 3.39 %
NA.PR.W FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 4.61 %
PWF.PR.A Floater -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 2.93 %
MFC.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 5.19 %
PVS.PR.E SplitShare -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-02-15
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -3.96 %
BAM.PR.B Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.35 %
BMO.PR.Y FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.26
Evaluated at bid price : 24.51
Bid-YTW : 4.64 %
BMO.PR.S FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.56
Evaluated at bid price : 24.00
Bid-YTW : 4.50 %
RY.PR.H FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.34
Evaluated at bid price : 23.74
Bid-YTW : 4.47 %
MFC.PR.N FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.09 %
HSE.PR.A FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.T FloatingReset 205,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 2.21 %
RY.PR.H FixedReset 155,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.34
Evaluated at bid price : 23.74
Bid-YTW : 4.47 %
TD.PF.A FixedReset 140,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.21
Evaluated at bid price : 23.58
Bid-YTW : 4.43 %
RY.PR.I FixedReset 140,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.38 %
BAM.PF.A FixedReset 78,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 24.14
Evaluated at bid price : 24.67
Bid-YTW : 4.95 %
MFC.PR.R FixedReset 72,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.06 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Quote: 22.65 – 23.08
Spot Rate : 0.4300
Average : 0.2613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 4.61 %

BMO.PR.Y FixedReset Quote: 24.51 – 24.92
Spot Rate : 0.4100
Average : 0.2516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.26
Evaluated at bid price : 24.51
Bid-YTW : 4.64 %

BAM.PF.G FixedReset Quote: 24.41 – 24.83
Spot Rate : 0.4200
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.25
Evaluated at bid price : 24.41
Bid-YTW : 4.86 %

IFC.PR.F Deemed-Retractible Quote: 25.00 – 25.30
Spot Rate : 0.3000
Average : 0.2062

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.38 %

IFC.PR.E Deemed-Retractible Quote: 24.85 – 25.20
Spot Rate : 0.3500
Average : 0.2621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.38 %

CU.PR.F Perpetual-Discount Quote: 21.80 – 22.05
Spot Rate : 0.2500
Average : 0.1632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 21.52
Evaluated at bid price : 21.80
Bid-YTW : 5.22 %

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