July 13, 2018

… and now it’s time for PrefLetter!

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 0.8530 % 3,151.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8530 % 5,783.2
Floater 3.42 % 3.64 % 68,786 18.23 4 0.8530 % 3,332.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2768 % 3,186.5
SplitShare 4.61 % 4.54 % 61,528 4.92 5 -0.2768 % 3,805.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2768 % 2,969.1
Perpetual-Premium 5.64 % -15.44 % 60,963 0.09 9 -0.0044 % 2,906.1
Perpetual-Discount 5.38 % 5.48 % 54,569 14.69 26 0.1035 % 2,985.8
FixedReset 4.30 % 4.58 % 132,763 4.17 106 0.0813 % 2,560.5
Deemed-Retractible 5.14 % 5.93 % 64,706 5.48 27 0.1828 % 2,970.6
FloatingReset 3.28 % 3.73 % 32,884 3.38 9 0.0691 % 2,840.3
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.47 %
BAM.PF.E FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.30
Evaluated at bid price : 23.68
Bid-YTW : 4.85 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 3.64 %
BAM.PR.C Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
IFC.PR.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 7.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.W Perpetual-Discount 222,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 5.02 %
BMO.PR.W FixedReset 50,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 22.68
Evaluated at bid price : 23.12
Bid-YTW : 4.61 %
BAM.PF.F FixedReset 28,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.54
Evaluated at bid price : 24.86
Bid-YTW : 4.93 %
RY.PR.H FixedReset 27,568 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.23
Evaluated at bid price : 23.75
Bid-YTW : 4.54 %
NA.PR.G FixedReset 21,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.21
Evaluated at bid price : 25.20
Bid-YTW : 4.75 %
EMA.PR.H FixedReset 19,036 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.48 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.I FixedReset Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.5836

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.71 %

MFC.PR.F FixedReset Quote: 19.30 – 19.97
Spot Rate : 0.6700
Average : 0.4196

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.34 %

RY.PR.N Perpetual-Discount Quote: 24.99 – 25.52
Spot Rate : 0.5300
Average : 0.3249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.52
Evaluated at bid price : 24.99
Bid-YTW : 4.95 %

BAM.PF.H FixedReset Quote: 25.89 – 26.33
Spot Rate : 0.4400
Average : 0.2641

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.57 %

TRP.PR.F FloatingReset Quote: 20.65 – 21.00
Spot Rate : 0.3500
Average : 0.2178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.12 %

PVS.PR.F SplitShare Quote: 25.50 – 26.00
Spot Rate : 0.5000
Average : 0.4037

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.54 %

Leave a Reply

You must be logged in to post a comment.