October 4, 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 -0.2136 % 1,831.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2136 % 3,361.5
Floater 6.58 % 6.81 % 43,737 12.81 4 -0.2136 % 1,937.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,387.5
SplitShare 4.65 % 4.54 % 53,861 3.98 7 -0.0787 % 4,045.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,156.4
Perpetual-Premium 5.58 % -20.28 % 58,469 0.09 6 0.0583 % 3,005.7
Perpetual-Discount 5.41 % 5.49 % 68,512 14.51 28 0.1651 % 3,176.2
FixedReset Disc 5.63 % 5.59 % 178,416 14.36 72 0.1843 % 2,050.0
Deemed-Retractible 5.23 % 5.77 % 63,773 7.88 27 0.2298 % 3,148.4
FloatingReset 4.69 % 7.03 % 63,906 7.84 3 0.5676 % 2,299.0
FixedReset Prem 5.26 % 3.89 % 124,184 1.55 14 0.1474 % 2,591.7
FixedReset Bank Non 1.97 % 4.21 % 84,989 2.25 3 0.2367 % 2,671.8
FixedReset Ins Non 5.58 % 8.21 % 99,969 7.82 21 0.2190 % 2,069.2
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.64 %
EMA.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 5.95 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.06 %
BMO.PR.E FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.36 %
MFC.PR.J FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.24
Bid-YTW : 8.34 %
RY.PR.J FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.56 %
BAM.PF.F FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.21 %
SLF.PR.I FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.87 %
IAF.PR.B Deemed-Retractible 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.24 %
BMO.PR.Z Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 24.22
Evaluated at bid price : 24.70
Bid-YTW : 5.10 %
TRP.PR.B FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 10.43
Evaluated at bid price : 10.43
Bid-YTW : 6.46 %
TRP.PR.F FloatingReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 7.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
PVS.PR.E SplitShare 57,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.08 %
MFC.PR.H FixedReset Ins Non 51,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.96 %
NA.PR.S FixedReset Disc 30,853 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.71 %
BAM.PF.F FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.21 %
TD.PF.I FixedReset Disc 24,579 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.36 %
TD.PF.K FixedReset Disc 20,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.46 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 18.13 – 18.47
Spot Rate : 0.3400
Average : 0.2061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 6.17 %

PWF.PR.P FixedReset Disc Quote: 12.16 – 12.51
Spot Rate : 0.3500
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 6.18 %

HSE.PR.G FixedReset Disc Quote: 17.20 – 17.69
Spot Rate : 0.4900
Average : 0.3787

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.22 %

CU.PR.G Perpetual-Discount Quote: 21.11 – 21.49
Spot Rate : 0.3800
Average : 0.2694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.40 %

EIT.PR.A SplitShare Quote: 25.46 – 25.88
Spot Rate : 0.4200
Average : 0.3133

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.43 %

PVS.PR.G SplitShare Quote: 25.50 – 25.75
Spot Rate : 0.2500
Average : 0.1473

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.63 %

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