June 14, 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 0.9577 % 3,029.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9577 % 5,559.3
Floater 3.32 % 3.53 % 68,077 18.47 4 0.9577 % 3,203.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2549 % 3,165.3
SplitShare 4.64 % 4.79 % 79,798 5.00 5 -0.2549 % 3,780.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2549 % 2,949.3
Perpetual-Premium 5.62 % -7.11 % 59,278 0.08 9 0.0872 % 2,876.9
Perpetual-Discount 5.40 % 5.56 % 64,535 14.49 26 0.2477 % 2,952.8
FixedReset 4.31 % 4.69 % 166,346 4.27 106 0.1525 % 2,544.2
Deemed-Retractible 5.19 % 5.80 % 71,312 5.56 27 0.0954 % 2,942.2
FloatingReset 3.13 % 3.83 % 34,073 3.45 9 0.0649 % 2,797.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.89 %
PVS.PR.F SplitShare -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.81 %
GWO.PR.N FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.26
Bid-YTW : 7.31 %
IFC.PR.A FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.56 %
BAM.PR.K Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 3.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.R Perpetual-Discount 145,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 24.55
Evaluated at bid price : 24.85
Bid-YTW : 5.60 %
MFC.PR.M FixedReset 58,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 5.55 %
TD.PF.I FixedReset 52,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.46 %
TRP.PR.K FixedReset 44,059 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.39 %
TD.PR.Y FixedReset 43,220 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.91 %
NA.PR.G FixedReset 41,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 23.13
Evaluated at bid price : 24.97
Bid-YTW : 4.85 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Quote: 20.70 – 21.10
Spot Rate : 0.4000
Average : 0.2578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.13 %

BAM.PF.E FixedReset Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 23.08
Evaluated at bid price : 23.45
Bid-YTW : 4.96 %

SLF.PR.H FixedReset Quote: 21.65 – 21.95
Spot Rate : 0.3000
Average : 0.2169

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.03 %

MFC.PR.L FixedReset Quote: 22.76 – 22.99
Spot Rate : 0.2300
Average : 0.1499

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 5.91 %

TRP.PR.K FixedReset Quote: 25.53 – 25.78
Spot Rate : 0.2500
Average : 0.1753

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.39 %

BAM.PR.N Perpetual-Discount Quote: 20.94 – 21.24
Spot Rate : 0.3000
Average : 0.2345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.69 %

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