July 19, 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 0.5236 % 3,118.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5236 % 5,722.1
Floater 3.46 % 3.66 % 65,875 18.17 4 0.5236 % 3,297.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2448 % 3,193.4
SplitShare 4.60 % 4.49 % 57,658 4.91 5 -0.2448 % 3,813.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2448 % 2,975.5
Perpetual-Premium 5.63 % -13.78 % 61,947 0.09 9 0.0350 % 2,907.3
Perpetual-Discount 5.38 % 5.50 % 55,939 14.65 26 -0.0049 % 2,984.1
FixedReset 4.30 % 4.58 % 128,667 4.45 106 0.0279 % 2,560.4
Deemed-Retractible 5.13 % 5.87 % 67,046 5.47 27 -0.0529 % 2,975.9
FloatingReset 3.29 % 3.82 % 34,513 3.36 9 -0.0099 % 2,831.6
Performance Highlights
Issue Index Change Notes
IAG.PR.I FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.91 %
SLF.PR.I FixedReset 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.52 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.T FloatingReset 239,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.05 %
GWO.PR.S Deemed-Retractible 177,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.71 %
BMO.PR.R FloatingReset 143,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : -4.29 %
TRP.PR.E FixedReset 104,084 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 21.89
Evaluated at bid price : 22.43
Bid-YTW : 4.88 %
PWF.PR.G Perpetual-Premium 85,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-18
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -17.39 %
CM.PR.R FixedReset 60,639 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.28 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 24.95 – 25.32
Spot Rate : 0.3700
Average : 0.2369

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.91 %

MFC.PR.J FixedReset Quote: 25.05 – 25.29
Spot Rate : 0.2400
Average : 0.1463

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.70 %

TRP.PR.E FixedReset Quote: 22.43 – 22.69
Spot Rate : 0.2600
Average : 0.1699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 21.89
Evaluated at bid price : 22.43
Bid-YTW : 4.88 %

TD.PF.G FixedReset Quote: 26.27 – 26.48
Spot Rate : 0.2100
Average : 0.1347

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 3.51 %

TRP.PR.A FixedReset Quote: 20.23 – 20.72
Spot Rate : 0.4900
Average : 0.4317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 4.87 %

BAM.PR.X FixedReset Quote: 18.56 – 18.78
Spot Rate : 0.2200
Average : 0.1645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.90 %

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