November 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 -0.1773 % 2,423.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1773 % 4,446.9
Floater 3.73 % 3.97 % 95,770 17.46 3 -0.1773 % 2,562.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0197 % 3,086.2
SplitShare 4.73 % 4.73 % 54,070 4.31 6 0.0197 % 3,685.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0197 % 2,875.6
Perpetual-Premium 5.35 % 0.34 % 46,982 0.09 20 0.0020 % 2,839.2
Perpetual-Discount 5.23 % 5.24 % 74,331 15.07 15 -0.1531 % 3,003.4
FixedReset 4.23 % 4.16 % 145,208 4.33 99 0.0093 % 2,490.3
Deemed-Retractible 5.03 % 5.33 % 96,997 5.95 30 0.0027 % 2,933.5
FloatingReset 2.75 % 2.81 % 45,633 3.99 8 -0.0054 % 2,673.5
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.25
Evaluated at bid price : 23.74
Bid-YTW : 4.22 %
CU.PR.G Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 21.55
Evaluated at bid price : 21.87
Bid-YTW : 5.14 %
HSE.PR.A FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.51 %
SLF.PR.G FixedReset 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.36 %
TRP.PR.G FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.06
Evaluated at bid price : 24.20
Bid-YTW : 4.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.T FixedReset 435,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.25
Evaluated at bid price : 23.74
Bid-YTW : 4.22 %
HSB.PR.D Deemed-Retractible 320,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-09
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -0.02 %
RY.PR.J FixedReset 266,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 4.18 %
NA.PR.Q FixedReset 200,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.60 %
MFC.PR.R FixedReset 71,509 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.69 %
GWO.PR.T Deemed-Retractible 69,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.33 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.J FixedReset Quote: 25.67 – 26.67
Spot Rate : 1.0000
Average : 0.5563

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 4.35 %

TRP.PR.G FixedReset Quote: 24.20 – 24.98
Spot Rate : 0.7800
Average : 0.5485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.06
Evaluated at bid price : 24.20
Bid-YTW : 4.61 %

MFC.PR.J FixedReset Quote: 24.62 – 24.94
Spot Rate : 0.3200
Average : 0.1956

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 4.60 %

CU.PR.G Perpetual-Discount Quote: 21.87 – 22.19
Spot Rate : 0.3200
Average : 0.2304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 21.55
Evaluated at bid price : 21.87
Bid-YTW : 5.14 %

PWF.PR.E Perpetual-Premium Quote: 25.35 – 25.60
Spot Rate : 0.2500
Average : 0.1631

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-09
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.56 %

CU.PR.D Perpetual-Discount Quote: 24.33 – 24.60
Spot Rate : 0.2700
Average : 0.1839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.86
Evaluated at bid price : 24.33
Bid-YTW : 5.02 %

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