June 1, 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 -1.1663 % 2,948.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1663 % 5,410.8
Floater 3.39 % 3.64 % 68,018 18.13 4 -1.1663 % 3,118.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0715 % 3,176.9
SplitShare 4.62 % 4.63 % 79,218 5.04 5 -0.0715 % 3,793.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0715 % 2,960.2
Perpetual-Premium 5.63 % -3.49 % 65,067 0.09 9 0.0480 % 2,874.5
Perpetual-Discount 5.41 % 5.51 % 62,226 14.60 26 0.0693 % 2,942.1
FixedReset 4.32 % 4.71 % 160,863 5.69 105 0.0684 % 2,531.4
Deemed-Retractible 5.19 % 5.75 % 74,964 5.59 27 -0.0947 % 2,940.4
FloatingReset 3.18 % 3.90 % 34,571 3.48 9 0.1658 % 2,782.6
Performance Highlights
Issue Index Change Notes
IAG.PR.I FixedReset -2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.59 %
BAM.PR.C Floater -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 3.65 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.65 %
BAM.PR.K Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 3.64 %
MFC.PR.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.65 %
TRP.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.97 %
SLF.PR.G FixedReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.48
Bid-YTW : 7.37 %
TRP.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.98 %
BAM.PF.E FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 23.03
Evaluated at bid price : 23.40
Bid-YTW : 5.05 %
PWF.PR.P FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.59 %
GWO.PR.N FixedReset 3.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 7.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
EMA.PR.H FixedReset 260,654 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 23.14
Evaluated at bid price : 24.97
Bid-YTW : 4.67 %
CM.PR.O FixedReset 104,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 22.96
Evaluated at bid price : 23.47
Bid-YTW : 4.74 %
SLF.PR.G FixedReset 75,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.48
Bid-YTW : 7.37 %
HSE.PR.E FixedReset 65,766 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.96 %
TRP.PR.K FixedReset 42,132 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.24 %
IFC.PR.G FixedReset 41,143 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 5.26 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 23.90 – 24.90
Spot Rate : 1.0000
Average : 0.5533

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.59 %

TRP.PR.D FixedReset Quote: 22.81 – 23.20
Spot Rate : 0.3900
Average : 0.2615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 22.13
Evaluated at bid price : 22.81
Bid-YTW : 4.95 %

MFC.PR.G FixedReset Quote: 24.35 – 24.75
Spot Rate : 0.4000
Average : 0.2741

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.65 %

ELF.PR.H Perpetual-Discount Quote: 24.96 – 25.25
Spot Rate : 0.2900
Average : 0.1961

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-01
Maturity Price : 24.66
Evaluated at bid price : 24.96
Bid-YTW : 5.58 %

MFC.PR.L FixedReset Quote: 22.60 – 22.86
Spot Rate : 0.2600
Average : 0.1716

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 6.01 %

MFC.PR.I FixedReset Quote: 24.63 – 24.92
Spot Rate : 0.2900
Average : 0.2115

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 4.71 %

3 Responses to “June 1, 2018”

  1. broke says:

    James, I know your busy, however, any comment on the latest from NA on may 31st, or more likely did I miss it.
    https://www.nbc.ca/en/about-us/news/news-room/press-releases/2018/20180531-Banque-Nationale-annonce-emission-actions-privilegiees-FPUNV.html

  2. broke says:

    Sorry James, just now saw another request from FlectherLynd.
    In the words of Emily Litella… Never mind.

  3. jiHymas says:

    Sorry, month-end got a little busy!

    I have now commented on the issue.

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