May 15, 2017

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 0.6685 % 2,187.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6685 % 4,013.4
Floater 3.49 % 3.64 % 53,228 18.17 4 0.6685 % 2,313.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1253 % 3,030.0
SplitShare 4.69 % 4.49 % 66,554 3.94 5 0.1253 % 3,618.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1253 % 2,823.3
Perpetual-Premium 5.31 % -1.92 % 69,838 0.09 22 -0.0763 % 2,786.0
Perpetual-Discount 5.08 % 5.06 % 104,967 15.31 14 -0.1285 % 3,009.8
FixedReset 4.45 % 4.04 % 211,078 6.60 94 -0.1310 % 2,328.5
Deemed-Retractible 4.99 % 4.76 % 132,137 0.11 30 -0.0095 % 2,888.9
FloatingReset 2.50 % 3.11 % 48,509 4.46 10 0.0279 % 2,534.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 3.95 %
TRP.PR.G FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.27
Evaluated at bid price : 22.82
Bid-YTW : 4.28 %
ELF.PR.G Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 5.27 %
BAM.PR.B Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.64 %
BAM.PR.C Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.F FixedReset 115,960 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.20
Bid-YTW : 9.56 %
NA.PR.X FixedReset 62,604 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.67 %
RY.PR.R FixedReset 57,796 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.45 %
TRP.PR.D FixedReset 40,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 4.09 %
SLF.PR.I FixedReset 34,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.18 %
GWO.PR.H Deemed-Retractible 26,540 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.48 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.I FixedReset Quote: 26.15 – 27.15
Spot Rate : 1.0000
Average : 0.5645

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.91 %

TRP.PR.G FixedReset Quote: 22.82 – 23.25
Spot Rate : 0.4300
Average : 0.2533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.27
Evaluated at bid price : 22.82
Bid-YTW : 4.28 %

MFC.PR.N FixedReset Quote: 21.27 – 21.66
Spot Rate : 0.3900
Average : 0.2604

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.27
Bid-YTW : 5.90 %

MFC.PR.L FixedReset Quote: 20.30 – 20.62
Spot Rate : 0.3200
Average : 0.1982

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.48 %

PWF.PR.F Perpetual-Premium Quote: 25.08 – 25.49
Spot Rate : 0.4100
Average : 0.2897

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.00 %

W.PR.M FixedReset Quote: 26.25 – 26.56
Spot Rate : 0.3100
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.09 %

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