March 22, 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 -1.8262 % 3,023.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8262 % 5,547.3
Floater 3.30 % 3.46 % 101,783 18.62 4 -1.8262 % 3,196.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,167.4
SplitShare 4.69 % 4.18 % 58,301 3.26 5 0.0157 % 3,782.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,951.3
Perpetual-Premium 5.62 % 2.25 % 79,522 0.08 11 -0.0706 % 2,839.2
Perpetual-Discount 5.37 % 5.49 % 85,606 14.61 23 -0.2371 % 2,929.2
FixedReset 4.30 % 4.59 % 178,093 5.87 104 -0.1199 % 2,507.8
Deemed-Retractible 5.20 % 5.94 % 92,256 5.72 28 -0.3225 % 2,906.6
FloatingReset 2.91 % 3.01 % 36,229 3.65 10 0.0443 % 2,759.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 2.89 %
BAM.PR.B Floater -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.48 %
BAM.PR.C Floater -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 3.46 %
BAM.PR.K Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 3.47 %
BAM.PR.R FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.04 %
BAM.PF.B FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 22.49
Evaluated at bid price : 23.00
Bid-YTW : 4.98 %
BAM.PF.G FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 22.95
Evaluated at bid price : 23.71
Bid-YTW : 5.02 %
SLF.PR.A Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 7.04 %
BAM.PF.F FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 23.58
Evaluated at bid price : 23.99
Bid-YTW : 5.01 %
TRP.PR.G FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 22.80
Evaluated at bid price : 23.56
Bid-YTW : 5.05 %
BAM.PF.A FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 23.14
Evaluated at bid price : 23.90
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset 153,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.53 %
RY.PR.J FixedReset 71,564 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 23.24
Evaluated at bid price : 24.25
Bid-YTW : 4.71 %
TRP.PR.K FixedReset 56,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.43 %
RY.PR.G Deemed-Retractible 51,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-21
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : -0.85 %
TD.PF.J FixedReset 43,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 23.17
Evaluated at bid price : 25.05
Bid-YTW : 4.59 %
CM.PR.S FixedReset 35,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 23.04
Evaluated at bid price : 24.62
Bid-YTW : 4.49 %
There were 34 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: 23.56 – 23.99
Spot Rate : 0.4300
Average : 0.2636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 22.80
Evaluated at bid price : 23.56
Bid-YTW : 5.05 %

BAM.PF.B FixedReset Quote: 23.00 – 23.43
Spot Rate : 0.4300
Average : 0.2659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 22.49
Evaluated at bid price : 23.00
Bid-YTW : 4.98 %

BAM.PR.X FixedReset Quote: 17.80 – 18.10
Spot Rate : 0.3000
Average : 0.2033

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.98 %

BAM.PF.F FixedReset Quote: 23.99 – 24.26
Spot Rate : 0.2700
Average : 0.1738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 23.58
Evaluated at bid price : 23.99
Bid-YTW : 5.01 %

BAM.PR.B Floater Quote: 17.32 – 17.57
Spot Rate : 0.2500
Average : 0.1649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-03-22
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.48 %

PVS.PR.B SplitShare Quote: 25.20 – 25.62
Spot Rate : 0.4200
Average : 0.3427

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.56 %

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