May 15, 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 0.3487 % 2,980.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3487 % 5,469.3
Floater 3.36 % 3.58 % 90,715 18.30 4 0.3487 % 3,152.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0316 % 3,163.7
SplitShare 4.59 % 4.65 % 82,062 5.02 5 0.0316 % 3,778.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0316 % 2,947.9
Perpetual-Premium 5.62 % -6.64 % 69,109 0.09 10 0.0157 % 2,873.9
Perpetual-Discount 5.41 % 5.46 % 64,241 14.70 24 0.0574 % 2,949.8
FixedReset 4.26 % 4.62 % 158,545 3.82 103 0.3473 % 2,557.2
Deemed-Retractible 5.12 % 5.58 % 81,369 5.58 27 -0.0481 % 2,955.3
FloatingReset 3.07 % 3.31 % 30,102 3.54 8 0.3296 % 2,811.2
Performance Highlights
Issue Index Change Notes
IFC.PR.F Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.40 %
TRP.PR.B FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.96 %
TRP.PR.D FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 22.95
Evaluated at bid price : 23.52
Bid-YTW : 4.85 %
TD.PF.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.69 %
BMO.PR.Z Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 24.48
Evaluated at bid price : 24.95
Bid-YTW : 5.00 %
W.PR.H Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.55 %
PWF.PR.Q FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 3.31 %
GWO.PR.N FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.44 %
HSE.PR.A FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 5.20 %
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 : 19.28
Bid-YTW : 7.25 %
NA.PR.W FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 22.97
Evaluated at bid price : 23.35
Bid-YTW : 4.72 %
MFC.PR.L FixedReset 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.49 %
BAM.PR.R FixedReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.19 %
MFC.PR.K FixedReset 3.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.42
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.A FixedReset 250,539 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.37
Evaluated at bid price : 24.52
Bid-YTW : 5.74 %
PWF.PR.I Perpetual-Premium 174,643 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : -21.93 %
GWO.PR.M Deemed-Retractible 147,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-14
Maturity Price : 25.25
Evaluated at bid price : 26.21
Bid-YTW : -29.02 %
BAM.PF.J FixedReset 106,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.10 %
TD.PF.E FixedReset 106,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %
TRP.PR.D FixedReset 105,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 22.95
Evaluated at bid price : 23.52
Bid-YTW : 4.85 %
TD.PF.A FixedReset 101,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.69 %
There were 37 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: 23.82 – 24.32
Spot Rate : 0.5000
Average : 0.3061

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 5.21 %

TRP.PR.G FixedReset Quote: 24.20 – 24.63
Spot Rate : 0.4300
Average : 0.2790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.14
Evaluated at bid price : 24.20
Bid-YTW : 5.10 %

HSE.PR.G FixedReset Quote: 25.30 – 26.08
Spot Rate : 0.7800
Average : 0.6526

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.30 %

MFC.PR.Q FixedReset Quote: 25.02 – 25.35
Spot Rate : 0.3300
Average : 0.2041

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.61 %

BAM.PF.J FixedReset Quote: 25.85 – 26.21
Spot Rate : 0.3600
Average : 0.2375

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.10 %

MFC.PR.G FixedReset Quote: 24.25 – 24.78
Spot Rate : 0.5300
Average : 0.4091

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.71 %

Leave a Reply

You must be logged in to post a comment.