May 25, 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 0.4335 % 2,975.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4335 % 5,459.4
Floater 3.36 % 3.59 % 79,497 18.26 4 0.4335 % 3,146.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0953 % 3,178.4
SplitShare 4.62 % 4.54 % 80,519 5.06 5 -0.0953 % 3,795.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0953 % 2,961.6
Perpetual-Premium 5.62 % -6.18 % 65,201 0.08 10 0.0000 % 2,873.7
Perpetual-Discount 5.42 % 5.51 % 65,460 14.62 24 0.0790 % 2,945.0
FixedReset 4.28 % 4.77 % 156,744 3.92 103 -0.2180 % 2,545.4
Deemed-Retractible 5.14 % 5.72 % 73,925 5.55 27 0.0000 % 2,940.7
FloatingReset 3.17 % 3.51 % 34,592 3.51 8 -0.2832 % 2,804.0
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.13 %
BAM.PR.X FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.22 %
PWF.PR.P FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 4.77 %
TRP.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.14 %
MFC.PR.I FixedReset -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 102,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 21.97
Evaluated at bid price : 22.55
Bid-YTW : 5.17 %
BAM.PR.R FixedReset 101,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 5.28 %
BAM.PF.A FixedReset 77,808 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 24.27
Evaluated at bid price : 24.92
Bid-YTW : 5.25 %
BNS.PR.B FloatingReset 64,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.24 %
GWO.PR.Q Deemed-Retractible 52,915 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 6.03 %
TRP.PR.J FixedReset 47,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.21 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.S FixedReset Quote: 23.60 – 24.00
Spot Rate : 0.4000
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 23.04
Evaluated at bid price : 23.60
Bid-YTW : 4.86 %

MFC.PR.N FixedReset Quote: 23.16 – 23.52
Spot Rate : 0.3600
Average : 0.2367

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.69 %

BAM.PR.X FixedReset Quote: 18.35 – 18.83
Spot Rate : 0.4800
Average : 0.3652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.22 %

TRP.PR.H FloatingReset Quote: 17.15 – 17.59
Spot Rate : 0.4400
Average : 0.3365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.80 %

SLF.PR.G FixedReset Quote: 19.58 – 19.88
Spot Rate : 0.3000
Average : 0.2010

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.58
Bid-YTW : 7.50 %

BMO.PR.T FixedReset Quote: 23.20 – 23.48
Spot Rate : 0.2800
Average : 0.1842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 22.73
Evaluated at bid price : 23.20
Bid-YTW : 4.84 %

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