July 18, 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 -0.2632 % 1,958.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2632 % 3,594.4
Floater 6.08 % 6.26 % 37,141 13.52 4 -0.2632 % 2,071.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0563 % 3,348.7
SplitShare 4.65 % 4.64 % 78,242 4.14 7 -0.0563 % 3,999.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0563 % 3,120.3
Perpetual-Premium 5.60 % -18.72 % 53,918 0.09 7 0.2696 % 2,986.8
Perpetual-Discount 5.45 % 5.57 % 58,872 14.58 25 0.0625 % 3,119.9
FixedReset Disc 5.42 % 5.48 % 164,797 14.62 69 -0.3848 % 2,120.6
Deemed-Retractible 5.22 % 5.78 % 65,053 7.98 27 -0.0158 % 3,111.0
FloatingReset 4.05 % 4.17 % 38,085 2.44 4 -0.2099 % 2,361.4
FixedReset Prem 5.13 % 3.98 % 164,228 1.91 17 0.1421 % 2,596.8
FixedReset Bank Non 1.98 % 4.04 % 94,357 2.45 3 -0.1669 % 2,651.3
FixedReset Ins Non 5.25 % 7.38 % 88,172 8.01 22 -0.2678 % 2,172.8
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.57 %
HSE.PR.G FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.70 %
GWO.PR.N FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.38
Bid-YTW : 9.13 %
MFC.PR.F FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.32
Bid-YTW : 10.16 %
PWF.PR.T FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.57 %
TRP.PR.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 6.16 %
TRP.PR.D FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.02 %
HSE.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 6.51 %
TRP.PR.B FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 6.04 %
BIP.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.77 %
MFC.PR.Q FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.56 %
MFC.PR.N FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.13
Bid-YTW : 8.53 %
RY.PR.J FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.44 %
BAM.PR.Z FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.17 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 5.59 %
PWF.PR.S Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.57 %
TD.PF.D FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.40 %
BIP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.83 %
BAM.PF.F FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 205,562 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.34 %
TD.PF.K FixedReset Disc 169,503 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.29 %
TD.PF.I FixedReset Disc 71,919 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.22 %
CM.PR.S FixedReset Disc 69,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.54 %
BMO.PR.T FixedReset Disc 60,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.45 %
IAF.PR.G FixedReset Ins Non 52,298 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 6.62 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 19.07 – 20.00
Spot Rate : 0.9300
Average : 0.6744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.70 %

CCS.PR.C Deemed-Retractible Quote: 24.10 – 24.70
Spot Rate : 0.6000
Average : 0.4117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.52 %

BMO.PR.W FixedReset Disc Quote: 17.27 – 17.71
Spot Rate : 0.4400
Average : 0.2779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.57 %

BAM.PR.Z FixedReset Disc Quote: 18.67 – 19.10
Spot Rate : 0.4300
Average : 0.2911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.17 %

TRP.PR.B FixedReset Disc Quote: 11.73 – 12.09
Spot Rate : 0.3600
Average : 0.2693

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 6.04 %

BNS.PR.D FloatingReset Quote: 24.35 – 24.70
Spot Rate : 0.3500
Average : 0.2603

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 3.71 %

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