July 30, 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 0.0433 % 1,994.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0433 % 3,660.3
Floater 5.99 % 6.06 % 39,640 13.79 4 0.0433 % 2,109.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1071 % 3,347.8
SplitShare 4.65 % 4.59 % 76,042 4.11 7 0.1071 % 3,998.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1071 % 3,119.4
Perpetual-Premium 5.61 % -18.36 % 58,671 0.09 7 0.0842 % 2,989.8
Perpetual-Discount 5.44 % 5.58 % 57,098 14.52 25 -0.0346 % 3,129.7
FixedReset Disc 5.40 % 5.21 % 162,651 14.99 69 0.0485 % 2,132.8
Deemed-Retractible 5.22 % 5.88 % 68,803 7.94 27 -0.1875 % 3,118.2
FloatingReset 4.06 % 4.41 % 35,768 2.41 4 -0.4483 % 2,344.6
FixedReset Prem 5.13 % 3.61 % 161,839 1.88 17 0.1626 % 2,603.0
FixedReset Bank Non 1.97 % 3.95 % 90,147 2.42 3 -0.0139 % 2,659.0
FixedReset Ins Non 5.24 % 7.39 % 85,605 8.03 22 0.1968 % 2,175.1
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.18 %
MFC.PR.K FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 7.91 %
PWF.PR.F Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.65 %
HSE.PR.A FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 6.38 %
SLF.PR.J FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.27
Bid-YTW : 10.65 %
BIP.PR.F FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 5.94 %
IFC.PR.E Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.66
Bid-YTW : 5.99 %
BIP.PR.B FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 5.53 %
IFC.PR.C FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.55 %
BAM.PR.C Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
PWF.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.30 %
MFC.PR.N FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.33 %
SLF.PR.H FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.49 %
NA.PR.W FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.44 %
BMO.PR.C FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.79
Evaluated at bid price : 23.58
Bid-YTW : 5.01 %
TRP.PR.B FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 5.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 5.03 %
BMO.PR.S FixedReset Disc 43,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.21 %
PWF.PR.R Perpetual-Premium 42,401 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.45 %
NA.PR.W FixedReset Disc 32,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.44 %
SLF.PR.G FixedReset Ins Non 25,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 9.85 %
CM.PR.R FixedReset Disc 24,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.08
Evaluated at bid price : 22.45
Bid-YTW : 5.25 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.F Perpetual-Discount Quote: 23.33 – 23.76
Spot Rate : 0.4300
Average : 0.2470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.65 %

HSE.PR.E FixedReset Disc Quote: 19.38 – 19.88
Spot Rate : 0.5000
Average : 0.3281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.47 %

BNS.PR.F FloatingReset Quote: 24.17 – 24.68
Spot Rate : 0.5100
Average : 0.3549

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 4.41 %

TRP.PR.A FixedReset Disc Quote: 13.63 – 13.99
Spot Rate : 0.3600
Average : 0.2459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 6.17 %

PWF.PR.Z Perpetual-Discount Quote: 22.85 – 23.30
Spot Rate : 0.4500
Average : 0.3403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.46
Evaluated at bid price : 22.85
Bid-YTW : 5.65 %

HSE.PR.A FixedReset Disc Quote: 12.07 – 12.39
Spot Rate : 0.3200
Average : 0.2112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 6.38 %

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