May 4, 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 -0.3250 % 2,922.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3250 % 5,362.9
Floater 3.42 % 3.67 % 96,057 18.13 4 -0.3250 % 3,090.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0714 % 3,152.2
SplitShare 4.61 % 4.77 % 78,972 5.05 5 0.0714 % 3,764.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0714 % 2,937.1
Perpetual-Premium 5.63 % -3.93 % 72,005 0.09 10 -0.0473 % 2,867.8
Perpetual-Discount 5.40 % 5.46 % 65,478 14.72 24 -0.0447 % 2,943.6
FixedReset 4.30 % 4.70 % 164,144 5.69 103 -0.1887 % 2,524.3
Deemed-Retractible 5.15 % 5.64 % 82,659 5.61 27 -0.1342 % 2,935.2
FloatingReset 3.09 % 3.46 % 32,427 3.57 8 0.0057 % 2,772.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.04 %
MFC.PR.L FixedReset -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.04 %
BAM.PF.G FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 23.17
Evaluated at bid price : 24.10
Bid-YTW : 5.08 %
HSE.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 24.18
Evaluated at bid price : 24.50
Bid-YTW : 5.32 %
PWF.PR.Z Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 23.24
Evaluated at bid price : 23.55
Bid-YTW : 5.49 %
IFC.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 329,982 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.66 %
TD.PF.G FixedReset 262,792 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.55 %
NA.PR.X FixedReset 251,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.90 %
TRP.PR.B FixedReset 249,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.04 %
BMO.PR.S FixedReset 211,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 22.80
Evaluated at bid price : 23.33
Bid-YTW : 4.71 %
RY.PR.R FixedReset 142,508 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.65 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 16.54 – 16.97
Spot Rate : 0.4300
Average : 0.2907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 3.78 %

TRP.PR.B FixedReset Quote: 16.24 – 16.61
Spot Rate : 0.3700
Average : 0.2757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.04 %

IFC.PR.A FixedReset Quote: 19.50 – 19.76
Spot Rate : 0.2600
Average : 0.1701

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.88 %

MFC.PR.L FixedReset Quote: 22.65 – 22.99
Spot Rate : 0.3400
Average : 0.2510

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.04 %

GWO.PR.F Deemed-Retractible Quote: 25.66 – 25.89
Spot Rate : 0.2300
Average : 0.1500

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : -18.49 %

RY.PR.E Deemed-Retractible Quote: 25.13 – 25.40
Spot Rate : 0.2700
Average : 0.1926

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : -4.76 %

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