August 23, 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 0.2410 % 3,123.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2410 % 5,732.2
Floater 3.46 % 3.68 % 44,152 18.05 4 0.2410 % 3,303.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,241.3
SplitShare 4.59 % 4.11 % 51,352 4.87 5 0.0158 % 3,870.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,020.1
Perpetual-Premium 5.61 % -11.08 % 60,439 0.09 10 0.0590 % 2,915.0
Perpetual-Discount 5.40 % 5.54 % 55,960 14.56 25 0.0673 % 2,993.8
FixedReset 4.31 % 4.71 % 120,615 4.10 107 0.0128 % 2,575.7
Deemed-Retractible 5.13 % 5.87 % 63,533 5.37 26 -0.1353 % 2,984.2
FloatingReset 3.42 % 3.57 % 39,620 5.68 7 0.2410 % 2,848.1
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.97 %
PWF.PR.Q FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.57 %
PWF.PR.P FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.64 %
GWO.PR.N FixedReset 3.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 283,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.01
Evaluated at bid price : 22.62
Bid-YTW : 5.00 %
PWF.PR.K Perpetual-Discount 128,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.14
Evaluated at bid price : 22.42
Bid-YTW : 5.56 %
TRP.PR.A FixedReset 102,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.01 %
MFC.PR.J FixedReset 68,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.71 %
RY.PR.W Perpetual-Discount 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
RY.PR.Z FixedReset 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.86
Evaluated at bid price : 23.50
Bid-YTW : 4.64 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 19.05 – 19.60
Spot Rate : 0.5500
Average : 0.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.94 %

MFC.PR.N FixedReset Quote: 23.37 – 23.79
Spot Rate : 0.4200
Average : 0.2707

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.37
Bid-YTW : 5.50 %

HSE.PR.G FixedReset Quote: 25.18 – 25.63
Spot Rate : 0.4500
Average : 0.3096

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.60 %

TD.PF.A FixedReset Quote: 23.41 – 23.78
Spot Rate : 0.3700
Average : 0.2500

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.91
Evaluated at bid price : 23.41
Bid-YTW : 4.70 %

HSE.PR.E FixedReset Quote: 25.30 – 25.57
Spot Rate : 0.2700
Average : 0.1554

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.18 %

MFC.PR.I FixedReset Quote: 24.80 – 25.05
Spot Rate : 0.2500
Average : 0.1581

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.51 %

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