January 15, 2018

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 1.2452 % 2,904.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2452 % 5,329.3
Floater 3.17 % 3.30 % 35,401 19.01 4 1.2452 % 3,071.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0932 % 3,152.9
SplitShare 4.66 % 4.08 % 62,770 3.41 5 -0.0932 % 3,765.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0932 % 2,937.7
Perpetual-Premium 5.38 % 3.16 % 60,023 0.09 18 -0.1137 % 2,852.5
Perpetual-Discount 5.33 % 5.30 % 72,058 14.97 16 -0.2956 % 2,980.7
FixedReset 4.20 % 4.43 % 141,012 4.06 98 -0.1085 % 2,527.2
Deemed-Retractible 5.08 % 5.44 % 82,166 5.84 28 -0.1348 % 2,937.3
FloatingReset 3.04 % 2.59 % 38,816 0.78 10 0.1220 % 2,760.3
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 4.98 %
IFC.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.91 %
BIP.PR.A FixedReset -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.14 %
SLF.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.34 %
PWF.PR.Z Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 5.30 %
TRP.PR.C FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
BAM.PR.K Floater 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 3.30 %
TRP.PR.F FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 3.85 %
PWF.PR.A Floater 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 2.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 101,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.41 %
MFC.PR.R FixedReset 67,709 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.07 %
BIP.PR.A FixedReset 57,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.14 %
TD.PR.S FixedReset 51,920 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.36 %
TRP.PR.C FixedReset 45,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
BMO.PR.D FixedReset 37,140 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.29 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 22.00 – 22.49
Spot Rate : 0.4900
Average : 0.3761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 5.60 %

BAM.PR.M Perpetual-Discount Quote: 21.65 – 21.97
Spot Rate : 0.3200
Average : 0.2188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.52 %

PWF.PR.F Perpetual-Discount Quote: 24.44 – 24.67
Spot Rate : 0.2300
Average : 0.1611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 24.18
Evaluated at bid price : 24.44
Bid-YTW : 5.38 %

IFC.PR.E Deemed-Retractible Quote: 24.75 – 24.98
Spot Rate : 0.2300
Average : 0.1658

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.44 %

BAM.PF.F FixedReset Quote: 24.56 – 24.77
Spot Rate : 0.2100
Average : 0.1618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 23.49
Evaluated at bid price : 24.56
Bid-YTW : 4.87 %

BMO.PR.Q FixedReset Quote: 23.26 – 23.49
Spot Rate : 0.2300
Average : 0.1864

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 3.91 %

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