June 6, 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 -0.4754 % 2,084.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4754 % 3,825.5
Floater 3.76 % 3.80 % 82,415 17.77 3 -0.4754 % 2,204.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2682 % 3,048.9
SplitShare 4.72 % 4.16 % 74,092 1.53 5 0.2682 % 3,641.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2682 % 2,840.8
Perpetual-Premium 5.28 % 3.11 % 70,221 0.09 25 -0.0812 % 2,792.0
Perpetual-Discount 5.08 % 5.09 % 101,019 15.27 12 -0.0917 % 3,005.2
FixedReset 4.56 % 4.17 % 193,857 6.52 95 -0.4770 % 2,272.4
Deemed-Retractible 4.98 % 4.96 % 125,078 6.27 30 -0.1454 % 2,903.5
FloatingReset 2.52 % 3.18 % 46,702 4.39 10 -0.0563 % 2,516.3
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset -1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 6.99 %
MFC.PR.M FixedReset -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.97 %
TRP.PR.B FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.98 %
TRP.PR.E FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.25 %
IFC.PR.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.06
Bid-YTW : 8.68 %
TD.PF.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.01 %
BMO.PR.W FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.01 %
MFC.PR.J FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 6.14 %
IFC.PR.C FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.29 %
IAG.PR.G FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.25 %
RY.PR.H FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 3.98 %
MFC.PR.K FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 7.25 %
TD.PF.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.06 %
BMO.PR.Q FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.83 %
RY.PR.J FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 21.77
Evaluated at bid price : 22.02
Bid-YTW : 4.17 %
TD.PF.B FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 4.05 %
BAM.PR.T FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 4.56 %
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.54
Bid-YTW : 5.46 %
SLF.PR.G FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.84
Bid-YTW : 9.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 189,067 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 23.13
Evaluated at bid price : 24.93
Bid-YTW : 4.25 %
IAG.PR.G FixedReset 184,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.25 %
TD.PF.H FixedReset 67,430 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.98 %
TD.PF.A FixedReset 50,372 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.01 %
MFC.PR.N FixedReset 36,449 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 6.99 %
TRP.PR.D FixedReset 33,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.26 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.52 – 12.77
Spot Rate : 0.2500
Average : 0.1759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 3.82 %

CU.PR.I FixedReset Quote: 26.00 – 26.29
Spot Rate : 0.2900
Average : 0.2322

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.31 %

IAG.PR.G FixedReset Quote: 21.28 – 21.59
Spot Rate : 0.3100
Average : 0.2586

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.25 %

PWF.PR.T FixedReset Quote: 22.41 – 22.65
Spot Rate : 0.2400
Average : 0.1891

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 21.87
Evaluated at bid price : 22.41
Bid-YTW : 3.77 %

ELF.PR.F Perpetual-Premium Quote: 25.21 – 25.45
Spot Rate : 0.2400
Average : 0.1896

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-07-06
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.90 %

HSE.PR.A FixedReset Quote: 15.20 – 15.40
Spot Rate : 0.2000
Average : 0.1526

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.35 %

Leave a Reply

You must be logged in to post a comment.