October 24, 2019

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 0.7221 % 1,952.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7221 % 3,583.1
Floater 6.19 % 6.36 % 48,083 13.37 4 0.7221 % 2,064.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1855 % 3,386.2
SplitShare 4.65 % 4.63 % 50,458 3.92 7 -0.1855 % 4,043.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1855 % 3,155.2
Perpetual-Premium 5.51 % -19.17 % 59,729 0.09 8 0.0638 % 3,027.2
Perpetual-Discount 5.37 % 5.42 % 66,285 14.75 25 0.0635 % 3,229.5
FixedReset Disc 5.63 % 5.74 % 172,193 14.31 66 -0.0165 % 2,087.0
Deemed-Retractible 5.20 % 5.72 % 67,937 7.83 27 0.0519 % 3,174.4
FloatingReset 6.31 % 6.74 % 84,296 12.86 2 0.0381 % 2,402.3
FixedReset Prem 5.14 % 4.05 % 155,035 1.67 20 0.0118 % 2,605.1
FixedReset Bank Non 1.96 % 4.28 % 84,440 2.20 3 0.0967 % 2,688.1
FixedReset Ins Non 5.45 % 8.16 % 114,510 7.75 21 -0.0703 % 2,117.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.42
Bid-YTW : 10.15 %
BNS.PR.I FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 5.50 %
BAM.PR.C Floater -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 10.83
Evaluated at bid price : 10.83
Bid-YTW : 6.46 %
EMA.PR.F FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 6.53 %
TRP.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 11.54
Evaluated at bid price : 11.54
Bid-YTW : 6.68 %
HSE.PR.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.64 %
IFC.PR.G FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 8.14 %
HSE.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 7.75 %
SLF.PR.J FloatingReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.86
Bid-YTW : 11.19 %
BIP.PR.F FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 5.64 %
TRP.PR.F FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 6.74 %
TD.PF.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.73 %
NA.PR.S FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.76 %
PWF.PR.P FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 5.98 %
MFC.PR.K FixedReset Ins Non 2.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.52 %
PWF.PR.A Floater 3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.C FixedReset Disc 168,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 11.54
Evaluated at bid price : 11.54
Bid-YTW : 6.68 %
TRP.PR.B FixedReset Disc 126,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 6.43 %
RY.PR.Z FixedReset Disc 102,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 5.48 %
RY.PR.H FixedReset Disc 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 5.49 %
W.PR.K FixedReset Prem 77,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.69 %
TD.PF.K FixedReset Disc 51,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.64 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.E FixedReset Disc Quote: 22.60 – 23.21
Spot Rate : 0.6100
Average : 0.4059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 22.14
Evaluated at bid price : 22.60
Bid-YTW : 5.57 %

IFC.PR.A FixedReset Ins Non Quote: 14.42 – 14.77
Spot Rate : 0.3500
Average : 0.2358

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.42
Bid-YTW : 10.15 %

CCS.PR.C Deemed-Retractible Quote: 23.88 – 24.39
Spot Rate : 0.5100
Average : 0.4046

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 5.66 %

RY.PR.F Deemed-Retractible Quote: 25.21 – 25.49
Spot Rate : 0.2800
Average : 0.1769

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-11-23
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -10.07 %

IAF.PR.G FixedReset Ins Non Quote: 18.91 – 19.35
Spot Rate : 0.4400
Average : 0.3446

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 7.80 %

CU.PR.C FixedReset Disc Quote: 16.91 – 17.19
Spot Rate : 0.2800
Average : 0.1946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-24
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.86 %

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