October 24, 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 0.3045 % 2,435.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3045 % 4,469.1
Floater 3.76 % 3.90 % 33,819 17.62 4 0.3045 % 2,575.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0066 % 3,074.4
SplitShare 4.74 % 4.79 % 69,166 4.35 6 -0.0066 % 3,671.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0066 % 2,864.6
Perpetual-Premium 5.34 % 4.15 % 61,823 0.19 17 0.0415 % 2,826.5
Perpetual-Discount 5.28 % 5.19 % 62,723 14.92 19 0.3828 % 2,981.4
FixedReset 4.23 % 4.20 % 150,636 4.38 99 0.0458 % 2,487.5
Deemed-Retractible 5.05 % 5.48 % 101,141 5.99 30 0.0991 % 2,913.3
FloatingReset 2.74 % 2.80 % 46,587 4.03 8 -0.0651 % 2,676.9
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-24
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.90 %
SLF.PR.H FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.03
Bid-YTW : 5.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 120,994 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.10 %
TRP.PR.J FixedReset 95,430 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.76 %
W.PR.K FixedReset 81,432 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.40 %
BIP.PR.D FixedReset 72,870 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.76 %
BMO.PR.C FixedReset 68,478 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 4.10 %
IAG.PR.A Deemed-Retractible 68,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.99 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.22 – 26.52
Spot Rate : 0.3000
Average : 0.1893

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.50 %

CU.PR.F Perpetual-Discount Quote: 22.00 – 22.32
Spot Rate : 0.3200
Average : 0.2107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-24
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 5.17 %

PWF.PR.R Perpetual-Premium Quote: 25.43 – 25.70
Spot Rate : 0.2700
Average : 0.1713

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.43
Bid-YTW : 5.12 %

MFC.PR.M FixedReset Quote: 23.79 – 24.12
Spot Rate : 0.3300
Average : 0.2393

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 4.89 %

SLF.PR.I FixedReset Quote: 24.29 – 24.68
Spot Rate : 0.3900
Average : 0.3008

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 4.56 %

GWO.PR.N FixedReset Quote: 18.20 – 18.48
Spot Rate : 0.2800
Average : 0.1992

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.20
Bid-YTW : 7.55 %

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