August 28, 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 0.6192 % 2,361.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6192 % 4,333.2
Floater 3.67 % 3.70 % 118,063 18.01 3 0.6192 % 2,497.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,081.8
SplitShare 4.73 % 4.13 % 50,580 1.32 5 0.0158 % 3,680.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,871.6
Perpetual-Premium 5.40 % 4.77 % 55,698 5.87 17 0.0070 % 2,782.2
Perpetual-Discount 5.31 % 5.34 % 64,628 14.89 20 -0.0192 % 2,925.9
FixedReset 4.36 % 4.40 % 147,923 6.33 98 -0.1165 % 2,395.5
Deemed-Retractible 5.07 % 5.50 % 103,742 6.03 31 0.0808 % 2,870.3
FloatingReset 2.62 % 3.00 % 39,833 4.18 9 0.2182 % 2,622.3
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 22.80
Evaluated at bid price : 23.61
Bid-YTW : 5.31 %
HSE.PR.C FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 22.32
Evaluated at bid price : 22.69
Bid-YTW : 5.17 %
TRP.PR.F FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 3.38 %
IAG.PR.A Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.30 %
TRP.PR.H FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 125,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.59 %
RY.PR.Q FixedReset 94,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.49 %
RY.PR.I FixedReset 78,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 3.77 %
CM.PR.R FixedReset 76,532 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.55 %
IFC.PR.F Deemed-Retractible 54,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 5.55 %
TD.PF.A FixedReset 37,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.33 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Discount Quote: 23.90 – 24.40
Spot Rate : 0.5000
Average : 0.3454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.29 %

W.PR.H Perpetual-Discount Quote: 24.56 – 24.94
Spot Rate : 0.3800
Average : 0.2315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.67 %

RY.PR.L FixedReset Quote: 25.25 – 25.59
Spot Rate : 0.3400
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.61 %

SLF.PR.I FixedReset Quote: 23.18 – 23.53
Spot Rate : 0.3500
Average : 0.2066

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 5.13 %

MFC.PR.C Deemed-Retractible Quote: 21.46 – 21.89
Spot Rate : 0.4300
Average : 0.2903

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 6.97 %

GWO.PR.L Deemed-Retractible Quote: 25.72 – 26.18
Spot Rate : 0.4600
Average : 0.3304

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 2.76 %

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