December 17, 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 0.3053 % 2,029.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3053 % 3,724.5
Floater 6.01 % 6.19 % 57,013 13.65 4 0.3053 % 2,146.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1400 % 3,441.2
SplitShare 4.63 % 4.34 % 40,437 3.82 7 -0.1400 % 4,109.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1400 % 3,206.4
Perpetual-Premium 5.54 % -9.17 % 60,543 0.09 10 0.0274 % 3,043.1
Perpetual-Discount 5.27 % 5.35 % 73,896 14.89 25 -0.0497 % 3,286.2
FixedReset Disc 5.52 % 5.72 % 216,505 14.26 66 0.2922 % 2,140.6
Deemed-Retractible 5.17 % 5.28 % 72,205 14.95 27 0.1033 % 3,224.5
FloatingReset 6.13 % 6.36 % 134,531 13.40 2 -0.1106 % 2,509.5
FixedReset Prem 5.10 % 3.54 % 157,677 1.52 20 0.1090 % 2,640.4
FixedReset Bank Non 1.95 % 3.97 % 61,934 2.05 3 0.0000 % 2,716.8
FixedReset Ins Non 5.44 % 5.77 % 145,060 14.23 22 0.3137 % 2,157.6
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.01 %
BAM.PF.B FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.99 %
PWF.PR.T FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.81 %
BAM.PR.M Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.52 %
MFC.PR.Q FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 5.73 %
CCS.PR.C Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 23.06
Evaluated at bid price : 23.32
Bid-YTW : 5.37 %
BMO.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.65 %
BNS.PR.I FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.50 %
BAM.PF.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.15 %
NA.PR.W FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.91 %
SLF.PR.G FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 5.75 %
SLF.PR.I FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.72 %
BAM.PF.I FixedReset Prem 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.25 %
NA.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.88 %
BAM.PR.T FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.15 %
PWF.PR.P FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 13.66
Evaluated at bid price : 13.66
Bid-YTW : 5.87 %
PWF.PR.A Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.59 %
TRP.PR.E FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 6.11 %
MFC.PR.L FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.68 %
RY.PR.M FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 5.56 %
HSE.PR.G FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.G Perpetual-Premium 79,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-16
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -11.13 %
RY.PR.Z FixedReset Disc 73,161 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 5.57 %
BMO.PR.D FixedReset Disc 57,133 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.69 %
BMO.PR.T FixedReset Disc 48,529 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.64 %
CM.PR.Q FixedReset Disc 47,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.90 %
HSE.PR.E FixedReset Disc 43,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.24 %
There were 64 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: 18.10 – 19.60
Spot Rate : 1.5000
Average : 0.9584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.12 %

BAM.PR.Z FixedReset Disc Quote: 19.21 – 19.74
Spot Rate : 0.5300
Average : 0.3505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.01 %

BAM.PF.B FixedReset Disc Quote: 18.01 – 18.57
Spot Rate : 0.5600
Average : 0.4047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.99 %

BAM.PF.D Perpetual-Discount Quote: 22.15 – 22.58
Spot Rate : 0.4300
Average : 0.2844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 21.88
Evaluated at bid price : 22.15
Bid-YTW : 5.54 %

CCS.PR.C Deemed-Retractible Quote: 23.32 – 23.98
Spot Rate : 0.6600
Average : 0.5203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 23.06
Evaluated at bid price : 23.32
Bid-YTW : 5.37 %

IFC.PR.G FixedReset Ins Non Quote: 18.15 – 18.60
Spot Rate : 0.4500
Average : 0.3219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.99 %

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