February 12, 2018

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 0.7391 % 2,915.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7391 % 5,349.9
Floater 3.41 % 3.57 % 64,949 18.32 4 0.7391 % 3,083.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1247 % 3,148.7
SplitShare 4.66 % 4.35 % 65,474 4.11 5 0.1247 % 3,760.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1247 % 2,933.9
Perpetual-Premium 5.43 % 4.90 % 64,986 5.87 20 0.0617 % 2,838.6
Perpetual-Discount 5.38 % 5.36 % 73,050 14.86 14 0.1483 % 2,956.3
FixedReset 4.24 % 4.56 % 162,427 4.12 101 0.3711 % 2,515.9
Deemed-Retractible 5.14 % 5.76 % 91,698 5.75 28 0.2166 % 2,910.5
FloatingReset 3.10 % 3.02 % 40,300 3.73 10 -0.2395 % 2,753.3
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 3.80 %
BAM.PR.K Floater -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 3.70 %
BAM.PF.H FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.67 %
SLF.PR.H FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.67 %
BAM.PR.T FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 4.96 %
BAM.PR.R FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.00 %
BMO.PR.B FixedReset 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.86 %
PWF.PR.T FixedReset 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.37 %
RY.PR.M FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 23.15
Evaluated at bid price : 24.32
Bid-YTW : 4.59 %
SLF.PR.A Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.67 %
BAM.PR.C Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 3.58 %
BAM.PR.B Floater 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 3.57 %
TRP.PR.B FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.75 %
PWF.PR.A Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 2.96 %
TRP.PR.C FixedReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.K FixedReset 118,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.64 %
BAM.PF.J FixedReset 86,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.85 %
BMO.PR.T FixedReset 64,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 23.20
Evaluated at bid price : 23.62
Bid-YTW : 4.51 %
BNS.PR.E FixedReset 60,789 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.86 %
RY.PR.J FixedReset 57,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 23.17
Evaluated at bid price : 24.15
Bid-YTW : 4.78 %
BAM.PF.A FixedReset 54,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 24.02
Evaluated at bid price : 24.61
Bid-YTW : 5.06 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 16.59 – 17.40
Spot Rate : 0.8100
Average : 0.5235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 3.80 %

BAM.PR.Z FixedReset Quote: 24.48 – 24.99
Spot Rate : 0.5100
Average : 0.3129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 22.98
Evaluated at bid price : 24.48
Bid-YTW : 5.01 %

BIP.PR.C FixedReset Quote: 25.45 – 25.95
Spot Rate : 0.5000
Average : 0.3090

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.03 %

BAM.PR.K Floater Quote: 16.48 – 17.06
Spot Rate : 0.5800
Average : 0.4020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 3.70 %

CU.PR.C FixedReset Quote: 22.21 – 22.60
Spot Rate : 0.3900
Average : 0.2604

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-02-12
Maturity Price : 21.82
Evaluated at bid price : 22.21
Bid-YTW : 4.73 %

PWF.PR.O Perpetual-Premium Quote: 25.46 – 25.79
Spot Rate : 0.3300
Average : 0.2196

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-14
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : -2.25 %

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