March 7, 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 -0.1563 % 2,167.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1563 % 3,977.4
Floater 5.41 % 5.65 % 25,508 14.33 4 -0.1563 % 2,292.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0696 % 3,269.1
SplitShare 4.89 % 4.71 % 65,648 3.93 8 -0.0696 % 3,904.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0696 % 3,046.1
Perpetual-Premium 5.81 % -6.23 % 80,457 0.08 4 0.0887 % 2,911.3
Perpetual-Discount 5.51 % 5.67 % 69,482 14.29 31 0.0666 % 3,017.7
FixedReset Disc 5.19 % 5.48 % 206,362 14.69 65 -0.6900 % 2,191.4
Deemed-Retractible 5.34 % 6.22 % 94,674 8.19 27 -0.2095 % 2,998.7
FloatingReset 4.39 % 5.71 % 51,416 8.53 6 -0.3018 % 2,420.4
FixedReset Prem 5.11 % 4.20 % 309,466 2.22 18 -0.0952 % 2,547.0
FixedReset Bank Non 1.98 % 4.24 % 157,464 2.79 3 -0.0556 % 2,633.4
FixedReset Ins Non 5.07 % 6.86 % 135,410 8.27 22 -0.8872 % 2,217.9
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -5.52 % >A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 2,900 shares today in a range of 20.67-85 before being quoted at no bid, 20.70 offered. The closing price was 20.70.

For analytical purposes, I put in a spread of $1.00 when only one side of the market is quoted. This has its faults, but is better than the no-price-at-all provided by the Exchange!

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 : 19.70
Bid-YTW : 7.44 %

VNR.PR.A FixedReset Disc -5.09 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded a whopping 300 shares today in a range of 22.25-35 before being quoted at no bid, 22.25 offered. The closing price was 22.25.

For analytical purposes, I put in a spread of $1.00 when only one side of the market is quoted. This has its faults, but is better than the no-price-at-all provided by the Exchange!

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 : 2049-03-07
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.51 %

IFC.PR.C FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.72
Bid-YTW : 7.69 %
MFC.PR.N FixedReset Ins Non -3.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.81
Bid-YTW : 8.10 %
TRP.PR.G FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.00 %
BAM.PF.J FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 22.62
Evaluated at bid price : 23.48
Bid-YTW : 5.22 %
MFC.PR.F FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.33
Bid-YTW : 9.23 %
MFC.PR.L FixedReset Ins Non -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.22 %
BAM.PR.Z FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.02 %
BMO.PR.Y FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.45 %
TD.PF.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.45 %
HSE.PR.A FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 6.58 %
TD.PF.C FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.38 %
RY.PR.S FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 21.85
Evaluated at bid price : 22.30
Bid-YTW : 4.87 %
BAM.PR.B Floater -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 5.67 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 5.97 %
BIP.PR.F FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.09 %
IFC.PR.E Deemed-Retractible -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 6.31 %
RY.PR.J FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.33 %
BNS.PR.I FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 22.22
Evaluated at bid price : 22.89
Bid-YTW : 4.82 %
TRP.PR.H FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.90 %
BMO.PR.T FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 5.45 %
MFC.PR.K FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.16
Bid-YTW : 7.38 %
BMO.PR.E FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 22.02
Evaluated at bid price : 22.55
Bid-YTW : 5.07 %
BMO.PR.D FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 22.33
Evaluated at bid price : 22.90
Bid-YTW : 5.31 %
BAM.PR.X FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.95 %
HSE.PR.C FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.54 %
TD.PF.D FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.46 %
TD.PF.K FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 21.86
Evaluated at bid price : 22.30
Bid-YTW : 5.05 %
BAM.PF.E FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.04 %
CCS.PR.C Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 6.24 %
CU.PR.H Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 24.35
Evaluated at bid price : 24.85
Bid-YTW : 5.29 %
MFC.PR.H FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 6.12 %
HSE.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.75 %
TRP.PR.A FixedReset Disc 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset Disc 262,191 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.97 %
IAF.PR.B Deemed-Retractible 119,215 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.78
Bid-YTW : 6.82 %
EMA.PR.H FixedReset Disc 99,491 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 22.43
Evaluated at bid price : 23.22
Bid-YTW : 5.28 %
BAM.PF.H FixedReset Prem 61,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.60 %
NA.PR.X FixedReset Prem 60,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.34 %
BMO.PR.Y FixedReset Disc 54,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.45 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 17.45 – 18.78
Spot Rate : 1.3300
Average : 0.9157

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.22 %

MFC.PR.J FixedReset Ins Non Quote: 19.70 – 20.70
Spot Rate : 1.0000
Average : 0.6286

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.44 %

MFC.PR.F FixedReset Ins Non Quote: 14.33 – 15.49
Spot Rate : 1.1600
Average : 0.8342

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.33
Bid-YTW : 9.23 %

IFC.PR.E Deemed-Retractible Quote: 23.15 – 24.00
Spot Rate : 0.8500
Average : 0.5830

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 6.31 %

IFC.PR.C FixedReset Ins Non Quote: 18.72 – 19.31
Spot Rate : 0.5900
Average : 0.3503

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.72
Bid-YTW : 7.69 %

TRP.PR.G FixedReset Disc Quote: 19.50 – 20.14
Spot Rate : 0.6400
Average : 0.4153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-07
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.00 %

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