August 18, 2017

Sorry it’s late!

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 -0.4486 % 2,356.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4486 % 4,324.0
Floater 3.67 % 3.71 % 114,552 18.00 3 -0.4486 % 2,491.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1877 % 3,073.3
SplitShare 4.74 % 4.19 % 56,196 3.77 5 0.1877 % 3,670.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1877 % 2,863.6
Perpetual-Premium 5.42 % 4.91 % 61,328 5.90 17 -0.1093 % 2,773.9
Perpetual-Discount 5.33 % 5.36 % 63,977 14.86 20 -0.0128 % 2,918.0
FixedReset 4.40 % 4.44 % 148,887 6.37 98 0.1172 % 2,371.6
Deemed-Retractible 5.08 % 5.46 % 112,193 6.06 31 0.0210 % 2,863.4
FloatingReset 2.63 % 3.12 % 42,781 4.21 9 -0.2041 % 2,610.9
Performance Highlights
Issue Index Change Notes
RY.PR.O Perpetual-Premium -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 24.37
Evaluated at bid price : 24.79
Bid-YTW : 4.94 %
SLF.PR.J FloatingReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 8.34 %
BAM.PR.R FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.62 %
IFC.PR.A FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.13 %
TRP.PR.C FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.F Deemed-Retractible 259,384 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 5.46 %
CM.PR.Q FixedReset 33,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 22.53
Evaluated at bid price : 23.15
Bid-YTW : 4.47 %
TD.PF.G FixedReset 30,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.56 %
CU.PR.C FixedReset 16,981 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.54 %
MFC.PR.R FixedReset 15,834 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.18 %
PVS.PR.C SplitShare 13,860 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.77 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.P Perpetual-Premium Quote: 25.26 – 25.72
Spot Rate : 0.4600
Average : 0.2728

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 5.10 %

BAM.PR.N Perpetual-Discount Quote: 21.65 – 22.04
Spot Rate : 0.3900
Average : 0.2190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.56 %

RY.PR.L FixedReset Quote: 25.17 – 25.54
Spot Rate : 0.3700
Average : 0.2150

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.76 %

RY.PR.J FixedReset Quote: 23.00 – 23.35
Spot Rate : 0.3500
Average : 0.2351

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 22.47
Evaluated at bid price : 23.00
Bid-YTW : 4.45 %

TD.PF.F Perpetual-Premium Quote: 25.07 – 25.38
Spot Rate : 0.3100
Average : 0.1971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 24.65
Evaluated at bid price : 25.07
Bid-YTW : 4.91 %

TRP.PR.B FixedReset Quote: 15.08 – 15.43
Spot Rate : 0.3500
Average : 0.2409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 4.45 %

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