January 8, 2019

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 -1.7807 % 2,380.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.7807 % 4,367.6
Floater 4.91 % 5.07 % 42,266 15.42 4 -1.7807 % 2,517.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3970 % 3,175.1
SplitShare 4.64 % 5.44 % 89,830 4.53 7 0.3970 % 3,791.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3970 % 2,958.5
Perpetual-Premium 5.56 % -8.46 % 148,222 0.08 2 0.0395 % 2,878.1
Perpetual-Discount 5.64 % 5.81 % 73,537 14.17 33 0.5303 % 2,941.9
FixedReset Disc 4.97 % 5.35 % 198,937 14.92 66 0.9305 % 2,265.8
Deemed-Retractible 5.44 % 6.38 % 85,587 8.20 27 -0.6709 % 2,911.2
FloatingReset 4.05 % 3.96 % 42,918 2.93 7 0.0074 % 2,489.3
FixedReset Prem 5.16 % 4.26 % 259,050 2.22 14 -0.0614 % 2,524.0
FixedReset Bank Non 2.97 % 3.87 % 129,032 0.13 6 0.3171 % 2,580.3
FixedReset Ins Non 4.91 % 6.67 % 147,129 8.38 22 0.3659 % 2,241.7
Performance Highlights
Issue Index Change Notes
MFC.PR.C Deemed-Retractible -11.37 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 14,150 shares today in a range of 19.93-37 before being quoted at 17.37-20.39. The closing price was 20.11.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 8.71 %

BAM.PR.K Floater -7.10 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 5,061 shares today in a range of 13.73-88 before being quoted at 12.70-13.90. The closing price was 13.88

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.49 %

BAM.PF.B FixedReset Disc -5.61 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 4,171 shares today in a range of 20.86-16 before being quoted at 19.50-23.49. The closing price was 21.05

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.77 %

MFC.PR.B Deemed-Retractible -3.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.72 %
TRP.PR.H FloatingReset -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.64 %
CCS.PR.C Deemed-Retractible -2.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.60 %
SLF.PR.C Deemed-Retractible -2.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.30 %
TRP.PR.K FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 23.05
Evaluated at bid price : 24.29
Bid-YTW : 5.70 %
IAF.PR.B Deemed-Retractible -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 6.81 %
PWF.PR.S Perpetual-Discount -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.81 %
PWF.PR.P FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.52 %
SLF.PR.H FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.76
Bid-YTW : 7.61 %
SLF.PR.A Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.78 %
BAM.PF.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.57 %
SLF.PR.B Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.29
Bid-YTW : 6.78 %
CM.PR.R FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.39
Evaluated at bid price : 23.01
Bid-YTW : 5.45 %
PVS.PR.F SplitShare 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.04 %
IAF.PR.G FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.63 %
MFC.PR.L FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.63 %
RY.PR.H FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 5.16 %
PWF.PR.Q FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.09 %
NA.PR.A FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.26 %
MFC.PR.K FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.87
Bid-YTW : 7.00 %
BMO.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.22 %
GWO.PR.S Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.63
Bid-YTW : 5.99 %
BAM.PF.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.35 %
PWF.PR.Z Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.23
Evaluated at bid price : 22.55
Bid-YTW : 5.81 %
CM.PR.O FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.34 %
IFC.PR.A FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.23
Bid-YTW : 7.76 %
CM.PR.S FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 21.57
Evaluated at bid price : 21.85
Bid-YTW : 4.95 %
GWO.PR.M Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -0.75 %
BNS.PR.Z FixedReset Bank Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.49 %
RY.PR.N Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 23.47
Evaluated at bid price : 23.87
Bid-YTW : 5.18 %
TD.PF.B FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.21 %
MFC.PR.J FixedReset Ins Non 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 6.63 %
CM.PR.Q FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.47 %
TD.PF.C FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.30 %
RY.PR.Z FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.07 %
POW.PR.B Perpetual-Discount 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 23.03
Evaluated at bid price : 23.30
Bid-YTW : 5.76 %
BIP.PR.E FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.14
Evaluated at bid price : 22.70
Bid-YTW : 5.52 %
TD.PF.A FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.21 %
HSE.PR.C FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.29 %
BMO.PR.D FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.53
Evaluated at bid price : 23.27
Bid-YTW : 5.27 %
TD.PF.E FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 5.20 %
BMO.PR.T FixedReset Disc 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.18 %
NA.PR.W FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 5.43 %
RY.PR.M FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.11 %
HSE.PR.G FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.50 %
CM.PR.P FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.27 %
NA.PR.S FixedReset Disc 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.33 %
BAM.PF.C Perpetual-Discount 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 5.85 %
NA.PR.C FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.25
Evaluated at bid price : 22.82
Bid-YTW : 5.54 %
BAM.PR.X FixedReset Disc 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 5.36 %
CU.PR.C FixedReset Disc 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.61 %
BMO.PR.S FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 5.25 %
HSE.PR.E FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.48 %
MFC.PR.H FixedReset Ins Non 4.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 6.41 %
PWF.PR.F Perpetual-Discount 4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.79
Evaluated at bid price : 23.07
Bid-YTW : 5.79 %
HSE.PR.A FixedReset Disc 4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.33 %
BAM.PR.Z FixedReset Disc 5.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 21.73
Evaluated at bid price : 22.06
Bid-YTW : 5.43 %
EMA.PR.F FixedReset Disc 8.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Prem 98,274 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.21 %
CM.PR.P FixedReset Disc 73,623 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.27 %
TD.PF.H FixedReset Prem 73,013 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 4.47 %
MFC.PR.F FixedReset Ins Non 55,960 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 8.88 %
BAM.PF.G FixedReset Disc 54,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.57 %
BIP.PR.D FixedReset Disc 51,831 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 22.34
Evaluated at bid price : 22.88
Bid-YTW : 6.03 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 13.75 – 18.20
Spot Rate : 4.4500
Average : 2.5295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.07 %

BAM.PF.B FixedReset Disc Quote: 19.50 – 23.49
Spot Rate : 3.9900
Average : 2.2570

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.77 %

TRP.PR.F FloatingReset Quote: 16.65 – 23.60
Spot Rate : 6.9500
Average : 5.4913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.37 %

IFC.PR.A FixedReset Ins Non Quote: 17.23 – 20.00
Spot Rate : 2.7700
Average : 1.5978

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.23
Bid-YTW : 7.76 %

MFC.PR.C Deemed-Retractible Quote: 17.77 – 20.39
Spot Rate : 2.6200
Average : 1.4843

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 8.71 %

BAM.PR.R FixedReset Disc Quote: 18.00 – 20.00
Spot Rate : 2.0000
Average : 1.1978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.56 %

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