June 9, 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 0.6539 % 2,129.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6539 % 3,906.7
Floater 3.68 % 3.73 % 79,378 17.92 3 0.6539 % 2,251.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1260 % 3,050.8
SplitShare 4.72 % 4.39 % 70,146 3.92 5 0.1260 % 3,643.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1260 % 2,842.6
Perpetual-Premium 5.27 % 2.15 % 68,101 0.09 25 0.1061 % 2,798.2
Perpetual-Discount 5.07 % 5.06 % 98,993 15.30 12 0.1696 % 3,009.0
FixedReset 4.51 % 4.11 % 198,869 6.53 95 0.7440 % 2,299.8
Deemed-Retractible 4.98 % 4.99 % 119,130 6.26 30 0.0150 % 2,903.0
FloatingReset 2.50 % 3.09 % 47,989 4.39 10 0.4688 % 2,532.5
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.46 %
HSE.PR.E FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 22.90
Evaluated at bid price : 23.79
Bid-YTW : 4.71 %
TD.PF.B FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 4.02 %
BAM.PR.X FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 4.41 %
BMO.PR.T FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 4.01 %
TD.PF.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 3.98 %
HSE.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 4.28 %
TD.PF.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 4.03 %
TRP.PR.E FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.18 %
MFC.PR.I FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 5.61 %
TRP.PR.D FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.21 %
MFC.PR.F FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.62
Bid-YTW : 9.22 %
RY.PR.Z FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.91 %
SLF.PR.J FloatingReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 9.02 %
MFC.PR.G FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 5.13 %
IAG.PR.G FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.91 %
BMO.PR.W FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.98 %
BAM.PF.G FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 22.26
Evaluated at bid price : 22.72
Bid-YTW : 4.35 %
BAM.PR.T FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 4.48 %
MFC.PR.M FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.34
Bid-YTW : 6.70 %
BMO.PR.S FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.95 %
PWF.PR.P FixedReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 4.03 %
MFC.PR.N FixedReset 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.32
Bid-YTW : 6.65 %
MFC.PR.K FixedReset 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 6.83 %
BAM.PR.R FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.36 %
BAM.PF.A FixedReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 21.74
Evaluated at bid price : 22.20
Bid-YTW : 4.44 %
BAM.PF.F FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 22.33
Evaluated at bid price : 22.70
Bid-YTW : 4.35 %
MFC.PR.L FixedReset 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 6.99 %
BAM.PR.Z FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 4.58 %
TRP.PR.H FloatingReset 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 13.54
Evaluated at bid price : 13.54
Bid-YTW : 3.33 %
TRP.PR.A FixedReset 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.99 %
TRP.PR.F FloatingReset 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.32 %
MFC.PR.J FixedReset 2.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.71 %
BAM.PF.B FixedReset 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 4.37 %
TRP.PR.C FixedReset 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 3.98 %
BAM.PF.E FixedReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.41 %
TRP.PR.B FixedReset 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.90 %
IFC.PR.A FixedReset 3.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.47
Bid-YTW : 8.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 117,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 23.15
Evaluated at bid price : 24.98
Bid-YTW : 4.27 %
BMO.PR.Q FixedReset 82,810 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.18
Bid-YTW : 5.65 %
RY.PR.R FixedReset 81,954 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 3.60 %
TD.PF.H FixedReset 80,515 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.95 %
GWO.PR.N FixedReset 76,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.51
Bid-YTW : 9.25 %
SLF.PR.I FixedReset 70,156 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.51 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Quote: 25.88 – 26.30
Spot Rate : 0.4200
Average : 0.2766

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.46 %

CU.PR.C FixedReset Quote: 20.85 – 21.25
Spot Rate : 0.4000
Average : 0.2596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.05 %

GWO.PR.N FixedReset Quote: 15.51 – 15.83
Spot Rate : 0.3200
Average : 0.2055

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.51
Bid-YTW : 9.25 %

VNR.PR.A FixedReset Quote: 20.69 – 21.14
Spot Rate : 0.4500
Average : 0.3380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 4.64 %

ELF.PR.G Perpetual-Discount Quote: 23.15 – 23.53
Spot Rate : 0.3800
Average : 0.2859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 5.20 %

NA.PR.S FixedReset Quote: 21.26 – 21.49
Spot Rate : 0.2300
Average : 0.1408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-09
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.07 %

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