June 19, 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 -0.1923 % 3,025.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1923 % 5,552.4
Floater 3.32 % 3.53 % 71,685 18.47 4 -0.1923 % 3,199.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0399 % 3,166.6
SplitShare 4.64 % 4.80 % 76,775 4.99 5 0.0399 % 3,781.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0399 % 2,950.5
Perpetual-Premium 5.62 % -5.27 % 58,447 0.08 9 0.0523 % 2,879.4
Perpetual-Discount 5.38 % 5.55 % 63,816 14.50 26 0.1726 % 2,963.7
FixedReset 4.32 % 4.66 % 160,192 5.69 106 -0.1931 % 2,538.4
Deemed-Retractible 5.19 % 5.80 % 70,757 5.55 27 -0.0330 % 2,943.0
FloatingReset 3.06 % 3.72 % 35,328 3.44 9 -0.2344 % 2,792.3
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.97 %
TRP.PR.B FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.78 %
BAM.PR.R FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.11 %
HSE.PR.A FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.E FixedReset 102,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.72
Evaluated at bid price : 23.86
Bid-YTW : 4.84 %
BNS.PR.E FixedReset 64,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.46
Bid-YTW : 3.64 %
MFC.PR.N FixedReset 63,067 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 5.51 %
NA.PR.W FixedReset 54,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.83
Evaluated at bid price : 23.22
Bid-YTW : 4.63 %
MFC.PR.Q FixedReset 53,975 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.05 %
BMO.PR.S FixedReset 53,552 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.89
Evaluated at bid price : 23.46
Bid-YTW : 4.67 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 19.30 – 19.72
Spot Rate : 0.4200
Average : 0.2595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.97 %

BAM.PF.A FixedReset Quote: 24.60 – 24.87
Spot Rate : 0.2700
Average : 0.1722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 23.74
Evaluated at bid price : 24.60
Bid-YTW : 5.01 %

EMA.PR.H FixedReset Quote: 25.15 – 25.40
Spot Rate : 0.2500
Average : 0.1585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.80 %

HSE.PR.G FixedReset Quote: 24.80 – 25.10
Spot Rate : 0.3000
Average : 0.2099

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %

CM.PR.S FixedReset Quote: 23.95 – 24.19
Spot Rate : 0.2400
Average : 0.1613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.78
Evaluated at bid price : 23.95
Bid-YTW : 4.70 %

PWF.PR.F Perpetual-Discount Quote: 23.90 – 24.18
Spot Rate : 0.2800
Average : 0.2020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.57 %

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