July 2, 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 0.2456 % 1,933.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2456 % 3,548.5
Floater 6.16 % 6.25 % 37,274 13.58 4 0.2456 % 2,045.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1363 % 3,323.1
SplitShare 4.69 % 4.69 % 84,865 4.18 7 0.1363 % 3,968.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1363 % 3,096.4
Perpetual-Premium 5.60 % -12.21 % 67,827 0.09 7 0.0729 % 2,956.6
Perpetual-Discount 5.48 % 5.58 % 61,652 14.46 25 0.3518 % 3,090.4
FixedReset Disc 5.44 % 5.33 % 180,789 14.86 69 0.3318 % 2,105.4
Deemed-Retractible 5.26 % 6.02 % 76,210 8.00 27 -0.0302 % 3,088.7
FloatingReset 4.07 % 4.64 % 48,542 2.49 4 0.4255 % 2,345.3
FixedReset Prem 5.13 % 3.80 % 177,941 1.96 17 -0.1027 % 2,591.6
FixedReset Bank Non 1.98 % 3.96 % 127,775 2.50 3 -0.2777 % 2,651.7
FixedReset Ins Non 5.32 % 7.50 % 89,943 8.07 22 0.1512 % 2,139.6
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.33 %
SLF.PR.I FixedReset Ins Non -2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.48 %
TRP.PR.G FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.11 %
HSE.PR.C FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.26 %
BAM.PR.B Floater -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.45 %
RY.PR.W Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
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 : 22.16
Bid-YTW : 6.33 %
SLF.PR.G FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 9.77 %
NA.PR.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.23 %
HSE.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 6.31 %
TD.PF.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 5.28 %
BAM.PR.M Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.95 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 8.50 %
EMA.PR.H FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 5.01 %
NA.PR.W FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.64 %
MFC.PR.G FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.50 %
BMO.PR.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.78
Evaluated at bid price : 22.05
Bid-YTW : 5.21 %
NA.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.75
Evaluated at bid price : 22.04
Bid-YTW : 5.47 %
BMO.PR.T FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.37 %
BAM.PR.C Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.25 %
BAM.PF.J FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 22.72
Evaluated at bid price : 23.60
Bid-YTW : 5.01 %
BMO.PR.W FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 5.39 %
PWF.PR.A Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.85 %
TRP.PR.F FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.64 %
HSE.PR.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.37 %
PWF.PR.S Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.84
Evaluated at bid price : 22.10
Bid-YTW : 5.51 %
HSE.PR.A FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.03 %
NA.PR.G FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.22 %
CM.PR.P FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.46 %
TRP.PR.E FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Disc 58,739 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.28 %
BAM.PF.B FixedReset Disc 55,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.09 %
CM.PR.P FixedReset Disc 53,734 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.46 %
TD.PF.M FixedReset Disc 50,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 23.07
Evaluated at bid price : 24.75
Bid-YTW : 5.01 %
BAM.PR.Z FixedReset Disc 50,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.03 %
TRP.PR.K FixedReset Disc 49,854 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 23.36
Evaluated at bid price : 24.91
Bid-YTW : 5.19 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Disc Quote: 18.26 – 19.05
Spot Rate : 0.7900
Average : 0.5154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.26 %

BAM.PR.B Floater Quote: 10.80 – 11.39
Spot Rate : 0.5900
Average : 0.4336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.45 %

BAM.PF.A FixedReset Disc Quote: 19.11 – 19.46
Spot Rate : 0.3500
Average : 0.2266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.93 %

SLF.PR.I FixedReset Ins Non Quote: 18.85 – 19.25
Spot Rate : 0.4000
Average : 0.2825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.48 %

RY.PR.W Perpetual-Discount Quote: 24.51 – 24.81
Spot Rate : 0.3000
Average : 0.1888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %

IFC.PR.E Deemed-Retractible Quote: 23.40 – 23.99
Spot Rate : 0.5900
Average : 0.4793

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 6.07 %

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