November 15, 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 0.0885 % 1,977.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0885 % 3,628.0
Floater 6.11 % 6.30 % 44,823 13.41 4 0.0885 % 2,090.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1681 % 3,396.7
SplitShare 4.64 % 4.61 % 48,063 3.86 7 -0.1681 % 4,056.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1681 % 3,164.9
Perpetual-Premium 5.56 % -19.22 % 51,136 0.09 10 0.1060 % 3,035.3
Perpetual-Discount 5.32 % 5.43 % 68,403 14.75 25 0.1058 % 3,247.3
FixedReset Disc 5.59 % 5.73 % 174,053 14.31 66 0.1190 % 2,105.2
Deemed-Retractible 5.16 % 5.62 % 61,530 7.78 27 0.0422 % 3,196.5
FloatingReset 6.12 % 6.65 % 103,124 12.92 2 0.5523 % 2,496.5
FixedReset Prem 5.12 % 3.72 % 123,728 1.61 20 -0.0507 % 2,621.8
FixedReset Bank Non 1.96 % 4.19 % 77,126 2.14 3 0.2070 % 2,698.3
FixedReset Ins Non 5.42 % 8.23 % 110,406 7.77 22 0.0619 % 2,138.8
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 7.47 %
BIK.PR.A FixedReset Prem -1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.56 %
MFC.PR.F FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.52
Bid-YTW : 11.24 %
IAF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.78 %
MFC.PR.K FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.61
Bid-YTW : 8.63 %
TRP.PR.F FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.65 %
CM.PR.O FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 5.84 %
RY.PR.M FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 5.72 %
SLF.PR.G FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.61
Bid-YTW : 10.34 %
TRP.PR.E FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.15 %
HSE.PR.A FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 7.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.E FixedReset Disc 78,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.49 %
TD.PF.H FixedReset Prem 73,678 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.55 %
BAM.PF.A FixedReset Disc 59,511 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.92 %
MFC.PR.Q FixedReset Ins Non 59,023 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 8.46 %
BAM.PF.D Perpetual-Discount 58,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
PWF.PR.S Perpetual-Discount 44,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 22.10
Evaluated at bid price : 22.10
Bid-YTW : 5.48 %
There were 45 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: 17.26 – 18.07
Spot Rate : 0.8100
Average : 0.5554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 7.47 %

NA.PR.C FixedReset Disc Quote: 21.35 – 21.69
Spot Rate : 0.3400
Average : 0.2475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.77 %

IAF.PR.I FixedReset Ins Non Quote: 19.55 – 19.79
Spot Rate : 0.2400
Average : 0.1520

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.78 %

TRP.PR.G FixedReset Disc Quote: 17.49 – 17.85
Spot Rate : 0.3600
Average : 0.2778

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.43 %

PVS.PR.F SplitShare Quote: 25.40 – 25.65
Spot Rate : 0.2500
Average : 0.1714

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.67 %

HSE.PR.E FixedReset Disc Quote: 18.10 – 18.46
Spot Rate : 0.3600
Average : 0.2845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.19 %

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