October 2, 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 -0.5860 % 3,130.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5860 % 5,745.1
Floater 3.47 % 3.66 % 36,322 18.19 4 -0.5860 % 3,310.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,228.7
SplitShare 4.61 % 4.69 % 56,054 4.76 5 0.0873 % 3,855.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,008.4
Perpetual-Premium 5.55 % -3.81 % 49,334 0.09 12 -0.0558 % 2,926.7
Perpetual-Discount 5.44 % 5.59 % 61,958 14.46 21 -0.1321 % 3,000.7
FixedReset Disc 4.16 % 5.00 % 130,826 15.42 43 0.0050 % 2,599.8
Deemed-Retractible 5.17 % 6.09 % 58,213 5.33 27 -0.0204 % 2,990.9
FloatingReset 3.44 % 3.56 % 40,334 5.63 4 0.6822 % 2,877.3
FixedReset Prem 4.84 % 4.07 % 221,623 2.83 34 0.1879 % 2,578.8
FixedReset Bank Non 3.20 % 3.76 % 67,773 0.39 9 -0.0181 % 2,576.2
FixedReset Ins Non 4.30 % 5.02 % 83,370 4.19 22 0.0174 % 2,602.9
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.72 %
PWF.PR.Q FloatingReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 21.49
Evaluated at bid price : 21.86
Bid-YTW : 3.56 %
TD.PF.J FixedReset Prem 9.74 % Just a reversal of yesterday‘s nonsense.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.58 %

Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 209,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 22.66
Evaluated at bid price : 23.23
Bid-YTW : 4.91 %
TD.PF.K FixedReset Prem 143,182 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
RY.PR.J FixedReset Disc 142,605 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
RY.PR.Q FixedReset Prem 73,481 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.51 %
CM.PR.S FixedReset Disc 70,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 22.80
Evaluated at bid price : 23.95
Bid-YTW : 4.85 %
BAM.PF.A FixedReset Disc 60,245 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 23.13
Evaluated at bid price : 24.90
Bid-YTW : 5.14 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 20.14 – 20.67
Spot Rate : 0.5300
Average : 0.3294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 7.52 %

W.PR.K FixedReset Prem Quote: 25.60 – 26.20
Spot Rate : 0.6000
Average : 0.4288

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.08 %

SLF.PR.B Deemed-Retractible Quote: 22.60 – 22.98
Spot Rate : 0.3800
Average : 0.2507

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 6.73 %

BAM.PF.C Perpetual-Discount Quote: 21.25 – 21.53
Spot Rate : 0.2800
Average : 0.1812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.75 %

PWF.PR.P FixedReset Disc Quote: 19.77 – 20.12
Spot Rate : 0.3500
Average : 0.2554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 4.77 %

BMO.PR.T FixedReset Disc Quote: 23.23 – 23.48
Spot Rate : 0.2500
Average : 0.1555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 22.66
Evaluated at bid price : 23.23
Bid-YTW : 4.91 %

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