November 8, 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 -0.5363 % 3,117.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5363 % 5,720.6
Floater 3.73 % 3.94 % 38,609 17.52 4 -0.5363 % 3,296.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1194 % 3,213.6
SplitShare 4.63 % 4.97 % 52,221 4.65 5 -0.1194 % 3,837.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1194 % 2,994.3
Perpetual-Premium 5.67 % 5.07 % 66,397 14.21 12 0.0000 % 2,893.6
Perpetual-Discount 5.61 % 5.71 % 75,328 14.32 21 0.2680 % 2,932.6
FixedReset Disc 4.37 % 5.35 % 158,278 15.11 46 -0.3388 % 2,499.7
Deemed-Retractible 5.32 % 6.89 % 71,233 5.19 27 -0.0758 % 2,915.5
FloatingReset 3.78 % 3.88 % 46,794 5.45 4 -0.0710 % 2,793.6
FixedReset Prem 4.93 % 4.52 % 235,493 3.05 34 -0.1103 % 2,545.4
FixedReset Bank Non 2.96 % 3.69 % 108,222 0.29 6 0.0274 % 2,578.3
FixedReset Ins Non 4.49 % 6.00 % 126,626 5.30 22 -0.2580 % 2,502.3
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.68 %
HSE.PR.C FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 22.54
Evaluated at bid price : 23.02
Bid-YTW : 6.01 %
BAM.PF.J FixedReset Prem -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 23.03
Evaluated at bid price : 24.45
Bid-YTW : 5.46 %
TRP.PR.E FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.64 %
SLF.PR.G FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.78
Bid-YTW : 8.76 %
TRP.PR.A FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 5.60 %
IFC.PR.A FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 8.31 %
IFC.PR.E Deemed-Retractible -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 6.92 %
BAM.PF.C Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.97 %
TRP.PR.C FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 5.61 %
PWF.PR.A Floater -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.24 %
IAG.PR.I FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.69 %
TRP.PR.F FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.65 %
TRP.PR.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 23.01
Evaluated at bid price : 23.34
Bid-YTW : 5.65 %
CU.PR.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 5.62 %
IFC.PR.C FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.73
Bid-YTW : 6.12 %
PWF.PR.K Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 5.74 %
POW.PR.B Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 23.13
Evaluated at bid price : 23.39
Bid-YTW : 5.77 %
GWO.PR.R Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 7.65 %
PWF.PR.S Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 5.62 %
PWF.PR.Q FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Prem 515,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.53 %
CM.PR.O FixedReset Disc 50,596 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.97
Evaluated at bid price : 22.53
Bid-YTW : 5.24 %
CM.PR.S FixedReset Disc 41,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 22.69
Evaluated at bid price : 23.69
Bid-YTW : 5.04 %
RY.PR.H FixedReset Disc 41,393 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.95
Evaluated at bid price : 22.51
Bid-YTW : 5.17 %
BIP.PR.B FixedReset Prem 41,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.93 %
CU.PR.C FixedReset Disc 38,893 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.47
Evaluated at bid price : 21.82
Bid-YTW : 5.21 %
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.PF.J FixedReset Prem Quote: 24.45 – 25.22
Spot Rate : 0.7700
Average : 0.4816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 23.03
Evaluated at bid price : 24.45
Bid-YTW : 5.46 %

PWF.PR.A Floater Quote: 21.28 – 22.00
Spot Rate : 0.7200
Average : 0.4739

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.24 %

CU.PR.D Perpetual-Discount Quote: 21.85 – 22.40
Spot Rate : 0.5500
Average : 0.3199

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 5.62 %

BAM.PF.C Perpetual-Discount Quote: 20.62 – 21.25
Spot Rate : 0.6300
Average : 0.4294

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.97 %

HSE.PR.C FixedReset Disc Quote: 23.02 – 23.99
Spot Rate : 0.9700
Average : 0.7827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 22.54
Evaluated at bid price : 23.02
Bid-YTW : 6.01 %

TRP.PR.B FixedReset Disc Quote: 15.91 – 16.46
Spot Rate : 0.5500
Average : 0.3782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-08
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.68 %

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