September 13, 2019

And now it’s time to start preparing PrefLetter!

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 -0.4249 % 1,940.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4249 % 3,560.6
Floater 6.21 % 6.35 % 54,742 13.43 4 -0.4249 % 2,052.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0452 % 3,376.5
SplitShare 4.67 % 4.61 % 61,324 4.03 7 0.0452 % 4,032.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0452 % 3,146.1
Perpetual-Premium 5.61 % -15.70 % 64,813 0.09 6 -0.0845 % 2,982.7
Perpetual-Discount 5.44 % 5.59 % 63,576 14.46 28 0.3001 % 3,147.2
FixedReset Disc 5.51 % 5.55 % 177,548 14.32 73 0.4511 % 2,082.6
Deemed-Retractible 5.26 % 5.85 % 74,656 7.91 27 0.1918 % 3,134.2
FloatingReset 4.48 % 6.63 % 57,705 8.07 3 0.6868 % 2,373.4
FixedReset Prem 5.25 % 4.04 % 136,446 1.61 14 0.0614 % 2,581.2
FixedReset Bank Non 1.98 % 4.42 % 87,952 2.30 3 -0.5126 % 2,655.8
FixedReset Ins Non 5.42 % 7.87 % 112,245 7.92 21 0.6016 % 2,130.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 5.85 %
PWF.PR.R Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 24.76
Evaluated at bid price : 25.00
Bid-YTW : 5.57 %
CM.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 23.06
Evaluated at bid price : 24.70
Bid-YTW : 5.23 %
IAF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.54 %
IAF.PR.B Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.13 %
GWO.PR.R Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.04 %
POW.PR.G Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 24.92
Evaluated at bid price : 25.16
Bid-YTW : 5.65 %
TD.PF.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.53 %
MFC.PR.H FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.82 %
MFC.PR.M FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.34
Bid-YTW : 9.13 %
TRP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.41 %
TD.PF.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.55 %
BAM.PF.J FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 22.94
Evaluated at bid price : 24.02
Bid-YTW : 4.89 %
HSE.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.01 %
MFC.PR.Q FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.91 %
BMO.PR.Y FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.63 %
SLF.PR.I FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.57
Bid-YTW : 7.77 %
SLF.PR.J FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 10.47 %
BAM.PF.F FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.24 %
CM.PR.Q FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.80 %
GWO.PR.N FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.52
Bid-YTW : 8.99 %
TD.PF.E FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.55 %
IFC.PR.A FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.76 %
EMA.PR.F FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.21 %
BAM.PF.E FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.30 %
HSE.PR.C FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 7.04 %
TD.PF.A FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.D Perpetual-Discount 133,858 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 22.11
Evaluated at bid price : 22.39
Bid-YTW : 5.67 %
CU.PR.C FixedReset Disc 119,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.65 %
CM.PR.R FixedReset Disc 54,269 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.72 %
BAM.PR.X FixedReset Disc 52,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.20 %
TRP.PR.K FixedReset Disc 52,259 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.76 %
MFC.PR.R FixedReset Ins Non 45,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 5.67 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.E FixedReset Disc Quote: 19.78 – 20.23
Spot Rate : 0.4500
Average : 0.2870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.55 %

HSE.PR.G FixedReset Disc Quote: 17.67 – 18.19
Spot Rate : 0.5200
Average : 0.3871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.11 %

BAM.PF.G FixedReset Disc Quote: 17.40 – 17.83
Spot Rate : 0.4300
Average : 0.2976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.27 %

IFC.PR.E Deemed-Retractible Quote: 23.77 – 24.20
Spot Rate : 0.4300
Average : 0.3009

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 5.85 %

IAF.PR.G FixedReset Ins Non Quote: 19.02 – 19.37
Spot Rate : 0.3500
Average : 0.2227

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.02
Bid-YTW : 7.54 %

RY.PR.J FixedReset Disc Quote: 19.16 – 19.49
Spot Rate : 0.3300
Average : 0.2065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.56 %

Leave a Reply

You must be logged in to post a comment.