June 28, 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 0.3065 % 2,998.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3065 % 5,502.7
Floater 3.35 % 3.57 % 72,772 18.34 4 0.3065 % 3,171.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0955 % 3,180.2
SplitShare 4.62 % 4.51 % 65,440 4.96 5 0.0955 % 3,797.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0955 % 2,963.2
Perpetual-Premium 5.61 % -10.00 % 61,942 0.09 9 0.1610 % 2,898.9
Perpetual-Discount 5.36 % 5.46 % 59,972 14.61 26 0.2318 % 2,984.1
FixedReset 4.32 % 4.60 % 140,060 5.66 106 0.0408 % 2,536.0
Deemed-Retractible 5.14 % 5.78 % 72,858 5.53 27 0.1452 % 2,970.6
FloatingReset 3.05 % 3.72 % 33,647 3.41 9 0.0449 % 2,798.4
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.32 %
SLF.PR.B Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.79
Bid-YTW : 6.50 %
SLF.PR.A Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.68 %
W.PR.K FixedReset 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.92 %
W.PR.H Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-28
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 2.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 135,531 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.41 %
TD.PF.C FixedReset 109,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-28
Maturity Price : 22.76
Evaluated at bid price : 23.16
Bid-YTW : 4.52 %
GWO.PR.N FixedReset 60,185 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.74 %
BAM.PF.G FixedReset 37,981 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-28
Maturity Price : 23.59
Evaluated at bid price : 23.91
Bid-YTW : 4.98 %
BAM.PF.F FixedReset 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-28
Maturity Price : 23.93
Evaluated at bid price : 24.35
Bid-YTW : 4.92 %
NA.PR.G FixedReset 23,605 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-28
Maturity Price : 23.13
Evaluated at bid price : 24.99
Bid-YTW : 4.71 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.F SplitShare Quote: 25.49 – 25.99
Spot Rate : 0.5000
Average : 0.2874

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 4.51 %

MFC.PR.K FixedReset Quote: 22.20 – 22.54
Spot Rate : 0.3400
Average : 0.2239

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.32 %

SLF.PR.I FixedReset Quote: 24.10 – 24.40
Spot Rate : 0.3000
Average : 0.1912

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.84 %

IGM.PR.B Perpetual-Premium Quote: 25.33 – 25.57
Spot Rate : 0.2400
Average : 0.1573

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-28
Maturity Price : 25.25
Evaluated at bid price : 25.33
Bid-YTW : -4.58 %

CU.PR.D Perpetual-Discount Quote: 23.02 – 23.27
Spot Rate : 0.2500
Average : 0.1780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-28
Maturity Price : 22.64
Evaluated at bid price : 23.02
Bid-YTW : 5.36 %

BIP.PR.A FixedReset Quote: 23.75 – 23.95
Spot Rate : 0.2000
Average : 0.1331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-28
Maturity Price : 23.42
Evaluated at bid price : 23.75
Bid-YTW : 5.69 %

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