December 3, 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 -0.5535 % 1,963.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5535 % 3,602.3
Floater 6.16 % 6.33 % 49,493 13.32 4 -0.5535 % 2,076.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0788 % 3,423.0
SplitShare 4.66 % 4.53 % 45,919 3.86 7 -0.0788 % 4,087.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0788 % 3,189.5
Perpetual-Premium 5.55 % -16.17 % 54,987 0.09 10 -0.2264 % 3,042.3
Perpetual-Discount 5.29 % 5.40 % 67,017 14.77 25 -0.2528 % 3,263.0
FixedReset Disc 5.67 % 5.76 % 185,532 14.27 66 -0.7013 % 2,078.4
Deemed-Retractible 5.19 % 5.30 % 70,052 14.97 27 -0.3112 % 3,211.6
FloatingReset 6.34 % 6.51 % 119,643 13.23 2 -0.9811 % 2,429.9
FixedReset Prem 5.12 % 3.66 % 158,504 1.56 20 -0.0839 % 2,627.1
FixedReset Bank Non 1.96 % 4.14 % 60,364 2.09 3 -0.1651 % 2,697.5
FixedReset Ins Non 5.57 % 5.84 % 125,791 14.15 22 -1.0616 % 2,103.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 5.85 %
MFC.PR.G FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.01 %
RY.PR.M FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.76 %
HSE.PR.A FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %
SLF.PR.H FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 5.85 %
SLF.PR.I FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.90 %
BAM.PF.G FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 6.34 %
BAM.PF.B FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 6.07 %
MFC.PR.I FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.93 %
BAM.PR.K Floater -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
IFC.PR.A FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.01 %
NA.PR.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 5.94 %
BAM.PR.Z FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.16 %
BAM.PF.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 6.08 %
HSE.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.44 %
SLF.PR.J FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.49
Evaluated at bid price : 12.49
Bid-YTW : 6.15 %
PWF.PR.T FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.72 %
MFC.PR.N FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.93 %
SLF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 5.80 %
EMA.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.29 %
BMO.PR.Y FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 5.78 %
TD.PF.D FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.75 %
BAM.PR.T FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.39 %
MFC.PR.J FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 5.84 %
MFC.PR.H FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.79 %
MFC.PR.F FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.96 %
RY.PR.J FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.74 %
GWO.PR.N FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.47 %
BAM.PR.M Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 5.60 %
IAF.PR.G FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.88 %
CCS.PR.C Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.25 %
NA.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 5.95 %
BAM.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.61 %
BAM.PF.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 6.42 %
TRP.PR.B FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 6.40 %
BAM.PR.B Floater -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.33 %
TD.PF.I FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.C Floater 111,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
HSE.PR.A FixedReset Disc 105,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %
BMO.PR.D FixedReset Disc 88,714 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.62 %
EMA.PR.C FixedReset Disc 66,190 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.29 %
BMO.PR.C FixedReset Disc 63,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 5.61 %
BAM.PR.T FixedReset Disc 63,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.39 %
There were 68 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.75 – 24.50
Spot Rate : 0.7500
Average : 0.5525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.25 %

HSE.PR.G FixedReset Disc Quote: 17.01 – 17.66
Spot Rate : 0.6500
Average : 0.4650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.44 %

HSE.PR.A FixedReset Disc Quote: 10.72 – 11.16
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %

TD.PF.D FixedReset Disc Quote: 18.96 – 19.29
Spot Rate : 0.3300
Average : 0.2063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.75 %

GWO.PR.T Deemed-Retractible Quote: 24.16 – 24.55
Spot Rate : 0.3900
Average : 0.2851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.76
Evaluated at bid price : 24.16
Bid-YTW : 5.31 %

GWO.PR.S Deemed-Retractible Quote: 24.35 – 24.60
Spot Rate : 0.2500
Average : 0.1630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 24.03
Evaluated at bid price : 24.35
Bid-YTW : 5.38 %

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