September 25, 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 -1.0033 % 2,393.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0033 % 4,391.1
Floater 3.96 % 3.96 % 100,641 17.51 3 -1.0033 % 2,530.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0529 % 3,063.1
SplitShare 4.76 % 4.83 % 92,284 4.42 6 -0.0529 % 3,657.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0529 % 2,854.1
Perpetual-Premium 5.43 % 4.87 % 56,380 5.99 16 0.0396 % 2,777.0
Perpetual-Discount 5.38 % 5.46 % 70,663 14.62 19 -0.1988 % 2,886.4
FixedReset 4.36 % 4.62 % 147,308 6.21 99 -0.1020 % 2,406.4
Deemed-Retractible 5.15 % 5.73 % 99,133 6.04 31 -0.2157 % 2,846.8
FloatingReset 2.84 % 3.19 % 53,979 4.08 8 -0.2291 % 2,648.0
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.95 %
PWF.PR.F Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.E FixedReset 130,566 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.15
Evaluated at bid price : 24.44
Bid-YTW : 4.58 %
BAM.PF.J FixedReset 111,796 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.65 %
TD.PF.H FixedReset 110,157 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.91 %
CU.PR.C FixedReset 89,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.92 %
BNS.PR.H FixedReset 84,843 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.87 %
TD.PR.T FloatingReset 66,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 2.85 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Quote: 23.85 – 24.30
Spot Rate : 0.4500
Average : 0.2722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 22.92
Evaluated at bid price : 23.85
Bid-YTW : 4.59 %

HSE.PR.C FixedReset Quote: 23.40 – 23.95
Spot Rate : 0.5500
Average : 0.3750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.10
Evaluated at bid price : 23.40
Bid-YTW : 5.20 %

MFC.PR.O FixedReset Quote: 26.78 – 27.30
Spot Rate : 0.5200
Average : 0.3864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.60 %

HSE.PR.E FixedReset Quote: 24.21 – 24.50
Spot Rate : 0.2900
Average : 0.1742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.15
Evaluated at bid price : 24.21
Bid-YTW : 5.36 %

TRP.PR.D FixedReset Quote: 22.20 – 22.50
Spot Rate : 0.3000
Average : 0.1887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 21.74
Evaluated at bid price : 22.20
Bid-YTW : 4.72 %

RY.PR.R FixedReset Quote: 26.66 – 26.95
Spot Rate : 0.2900
Average : 0.1838

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 3.82 %

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