July 27, 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 0.4176 % 2,419.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4176 % 4,438.9
Floater 3.58 % 3.61 % 127,597 18.27 3 0.4176 % 2,558.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4689 % 3,054.9
SplitShare 4.71 % 4.49 % 52,771 3.79 5 -0.4689 % 3,648.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4689 % 2,846.4
Perpetual-Premium 5.38 % 4.68 % 64,200 5.90 21 0.0982 % 2,778.0
Perpetual-Discount 5.28 % 5.27 % 79,321 15.00 15 0.0636 % 2,924.9
FixedReset 4.32 % 4.33 % 181,584 6.38 98 -0.0981 % 2,408.7
Deemed-Retractible 5.06 % 5.38 % 119,212 6.13 30 0.0028 % 2,864.7
FloatingReset 2.53 % 2.80 % 43,243 4.27 10 0.0898 % 2,646.1
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.84
Bid-YTW : 4.98 %
BMO.PR.Q FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.64 %
PVS.PR.E SplitShare -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 4.68 %
BAM.PF.F FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 23.06
Evaluated at bid price : 23.89
Bid-YTW : 4.61 %
CU.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 21.56
Evaluated at bid price : 21.90
Bid-YTW : 5.20 %
BAM.PR.T FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 212,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 22.29
Evaluated at bid price : 22.63
Bid-YTW : 4.33 %
CM.PR.R FixedReset 92,822 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.51 %
TD.PF.B FixedReset 75,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 21.64
Evaluated at bid price : 22.06
Bid-YTW : 4.30 %
TD.PF.C FixedReset 74,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.29 %
CM.PR.O FixedReset 65,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 22.13
Evaluated at bid price : 22.37
Bid-YTW : 4.32 %
BMO.PR.Q FixedReset 57,930 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.64 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 22.59 – 23.44
Spot Rate : 0.8500
Average : 0.5420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 22.30
Evaluated at bid price : 22.59
Bid-YTW : 5.47 %

PVS.PR.D SplitShare Quote: 25.28 – 25.65
Spot Rate : 0.3700
Average : 0.2816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.39 %

MFC.PR.J FixedReset Quote: 23.84 – 24.12
Spot Rate : 0.2800
Average : 0.1926

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.84
Bid-YTW : 4.98 %

BAM.PF.F FixedReset Quote: 23.89 – 24.20
Spot Rate : 0.3100
Average : 0.2265

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 23.06
Evaluated at bid price : 23.89
Bid-YTW : 4.61 %

MFC.PR.M FixedReset Quote: 22.41 – 22.69
Spot Rate : 0.2800
Average : 0.2038

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.71 %

MFC.PR.H FixedReset Quote: 24.66 – 24.93
Spot Rate : 0.2700
Average : 0.2052

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 4.99 %

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