June 18, 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 0.2341 % 3,031.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2341 % 5,563.1
Floater 3.32 % 3.51 % 68,957 18.50 4 0.2341 % 3,206.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1039 % 3,165.3
SplitShare 4.64 % 4.81 % 74,453 4.99 5 0.1039 % 3,780.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1039 % 2,949.3
Perpetual-Premium 5.62 % -6.83 % 59,091 0.08 9 0.0218 % 2,877.9
Perpetual-Discount 5.39 % 5.54 % 64,236 14.52 26 0.0181 % 2,958.6
FixedReset 4.31 % 4.62 % 162,255 5.66 106 0.0799 % 2,543.3
Deemed-Retractible 5.19 % 5.78 % 70,382 5.55 27 0.0063 % 2,944.0
FloatingReset 3.05 % 3.70 % 34,580 3.44 9 0.0949 % 2,798.8
Performance Highlights
Issue Index Change Notes
IFC.PR.F Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.66 %
TD.PF.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 24.39
Evaluated at bid price : 24.85
Bid-YTW : 4.98 %
IFC.PR.A FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.60 %
TRP.PR.B FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset 75,071 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 22.89
Evaluated at bid price : 23.46
Bid-YTW : 4.67 %
NA.PR.G FixedReset 62,209 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 23.13
Evaluated at bid price : 24.98
Bid-YTW : 4.79 %
IFC.PR.G FixedReset 28,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.07 %
EMA.PR.H FixedReset 23,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 23.19
Evaluated at bid price : 25.11
Bid-YTW : 4.81 %
BMO.PR.W FixedReset 22,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 4.63 %
TRP.PR.B FixedReset 15,408 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.71 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.2041

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.07 %

TRP.PR.G FixedReset Quote: 23.92 – 24.24
Spot Rate : 0.3200
Average : 0.2302

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 23.02
Evaluated at bid price : 23.92
Bid-YTW : 5.06 %

BAM.PR.B Floater Quote: 17.09 – 17.42
Spot Rate : 0.3300
Average : 0.2440

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 3.53 %

BAM.PR.C Floater Quote: 17.13 – 17.39
Spot Rate : 0.2600
Average : 0.1795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.52 %

RY.PR.O Perpetual-Discount Quote: 24.56 – 24.85
Spot Rate : 0.2900
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 24.13
Evaluated at bid price : 24.56
Bid-YTW : 5.01 %

MFC.PR.G FixedReset Quote: 24.04 – 24.38
Spot Rate : 0.3400
Average : 0.2614

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 5.09 %

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