January 19, 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 0.1414 % 2,907.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1414 % 5,335.4
Floater 3.41 % 3.53 % 35,924 18.45 4 0.1414 % 3,074.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1628 % 3,157.5
SplitShare 4.65 % 4.03 % 66,775 3.39 5 -0.1628 % 3,770.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1628 % 2,942.1
Perpetual-Premium 5.38 % 0.68 % 65,028 0.09 18 -0.1268 % 2,853.7
Perpetual-Discount 5.33 % 5.28 % 72,777 14.94 16 -0.1532 % 2,983.8
FixedReset 4.20 % 4.42 % 142,604 4.05 99 0.0368 % 2,529.8
Deemed-Retractible 5.07 % 5.44 % 79,965 5.83 28 -0.0622 % 2,941.5
FloatingReset 3.04 % 2.92 % 41,876 3.80 10 -0.0391 % 2,765.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.00 %
TRP.PR.C FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.64 %
BNS.PR.Z FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.21 %
BAM.PF.F FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.53
Evaluated at bid price : 24.65
Bid-YTW : 4.85 %
TRP.PR.H FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.64 %
RY.PR.N Perpetual-Premium -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.67
Evaluated at bid price : 25.10
Bid-YTW : 4.93 %
PWF.PR.L Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.44
Evaluated at bid price : 23.73
Bid-YTW : 5.38 %
NA.PR.S FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.06
Evaluated at bid price : 23.53
Bid-YTW : 4.61 %
BAM.PR.R FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.91 %
SLF.PR.J FloatingReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 6.35 %
GWO.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.81
Bid-YTW : 7.40 %
BAM.PR.T FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.87 %
TRP.PR.G FixedReset 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.B FloatingReset 377,974 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.69
Bid-YTW : 3.03 %
POW.PR.G Perpetual-Premium 228,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.83
Evaluated at bid price : 25.17
Bid-YTW : 5.59 %
POW.PR.C Perpetual-Premium 226,257 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-02-18
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : -24.90 %
PWF.PR.L Perpetual-Discount 209,698 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.44
Evaluated at bid price : 23.73
Bid-YTW : 5.38 %
CM.PR.S FixedReset 191,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.15
Evaluated at bid price : 24.96
Bid-YTW : 4.36 %
BNS.PR.Q FixedReset 141,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.54 %
TD.PR.T FloatingReset 127,183 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 2.92 %
SLF.PR.J FloatingReset 125,476 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 6.35 %
BNS.PR.D FloatingReset 118,802 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 3.47 %
TRP.PR.K FixedReset 107,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.93 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Deemed-Retractible Quote: 21.91 – 22.32
Spot Rate : 0.4100
Average : 0.2596

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 6.82 %

RY.PR.N Perpetual-Premium Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.67
Evaluated at bid price : 25.10
Bid-YTW : 4.93 %

CM.PR.O FixedReset Quote: 23.71 – 24.09
Spot Rate : 0.3800
Average : 0.2421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.29
Evaluated at bid price : 23.71
Bid-YTW : 4.48 %

PWF.PR.T FixedReset Quote: 24.61 – 25.03
Spot Rate : 0.4200
Average : 0.2951

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.18
Evaluated at bid price : 24.61
Bid-YTW : 4.40 %

BAM.PF.F FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.53
Evaluated at bid price : 24.65
Bid-YTW : 4.85 %

POW.PR.G Perpetual-Premium Quote: 25.17 – 25.45
Spot Rate : 0.2800
Average : 0.1766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.83
Evaluated at bid price : 25.17
Bid-YTW : 5.59 %

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