December 28, 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 0.3227 % 2,552.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3227 % 4,684.5
Floater 3.60 % 3.74 % 34,030 17.97 4 0.3227 % 2,699.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,148.4
SplitShare 4.66 % 4.17 % 67,150 3.45 5 0.0000 % 3,759.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,933.6
Perpetual-Premium 5.37 % 4.83 % 47,213 2.15 20 0.0820 % 2,847.0
Perpetual-Discount 5.23 % 5.30 % 65,871 14.89 14 0.1689 % 3,009.2
FixedReset 4.24 % 4.36 % 142,332 4.16 98 0.0807 % 2,502.4
Deemed-Retractible 5.07 % 5.19 % 85,516 5.89 30 0.1451 % 2,940.1
FloatingReset 2.84 % 2.79 % 43,892 3.85 8 0.1515 % 2,698.7
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.94 %
RY.PR.R FixedReset -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.70 %
BAM.PR.R FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 4.96 %
BAM.PR.Z FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 23.32
Evaluated at bid price : 24.56
Bid-YTW : 4.83 %
TRP.PR.F FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
W.PR.K FixedReset 50,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.79 %
RY.PR.M FixedReset 19,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 23.21
Evaluated at bid price : 24.50
Bid-YTW : 4.37 %
PVS.PR.F SplitShare 18,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.53 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.58 – 24.99
Spot Rate : 0.4100
Average : 0.2611

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.58
Bid-YTW : 4.40 %

TRP.PR.E FixedReset Quote: 23.25 – 23.64
Spot Rate : 0.3900
Average : 0.2515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 22.89
Evaluated at bid price : 23.25
Bid-YTW : 4.55 %

VNR.PR.A FixedReset Quote: 24.95 – 25.46
Spot Rate : 0.5100
Average : 0.3777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 23.16
Evaluated at bid price : 24.95
Bid-YTW : 4.62 %

W.PR.H Perpetual-Premium Quote: 24.80 – 25.25
Spot Rate : 0.4500
Average : 0.3255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-28
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.55 %

MFC.PR.C Deemed-Retractible Quote: 21.68 – 22.00
Spot Rate : 0.3200
Average : 0.2074

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.68
Bid-YTW : 6.96 %

RY.PR.R FixedReset Quote: 26.68 – 26.97
Spot Rate : 0.2900
Average : 0.1905

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.70 %

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