August 28, 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 -0.0671 % 3,106.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0671 % 5,700.0
Floater 3.48 % 3.70 % 43,780 18.01 4 -0.0671 % 3,285.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,246.9
SplitShare 4.58 % 3.72 % 49,713 2.90 5 0.1421 % 3,877.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,025.4
Perpetual-Premium 5.61 % -10.19 % 55,998 0.09 10 0.0197 % 2,916.4
Perpetual-Discount 5.39 % 5.53 % 57,270 14.54 25 0.1224 % 3,000.4
FixedReset 4.30 % 4.69 % 122,575 3.83 106 0.1484 % 2,585.5
Deemed-Retractible 5.13 % 5.81 % 61,253 5.35 26 0.0345 % 2,992.0
FloatingReset 3.51 % 3.58 % 39,947 5.72 6 -0.0226 % 2,851.2
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %
GWO.PR.T Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %
IFC.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.37 %
BAM.PR.K Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 3.70 %
BAM.PR.X FixedReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.E Deemed-Retractible 271,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.81 %
TD.PF.I FixedReset 117,049 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %
TD.PF.G FixedReset 101,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.42 %
BMO.PR.T FixedReset 68,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 22.67
Evaluated at bid price : 23.21
Bid-YTW : 4.77 %
NA.PR.E FixedReset 62,883 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 23.01
Evaluated at bid price : 24.52
Bid-YTW : 4.79 %
GWO.PR.N FixedReset 62,001 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.77 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 23.32 – 23.87
Spot Rate : 0.5500
Average : 0.3640

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %

PVS.PR.B SplitShare Quote: 25.06 – 25.35
Spot Rate : 0.2900
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.40 %

GWO.PR.T Deemed-Retractible Quote: 23.77 – 24.05
Spot Rate : 0.2800
Average : 0.1626

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %

TD.PF.J FixedReset Quote: 25.34 – 25.59
Spot Rate : 0.2500
Average : 0.1587

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.48 %

PWF.PR.Q FloatingReset Quote: 21.80 – 22.08
Spot Rate : 0.2800
Average : 0.1915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.58 %

TD.PF.I FixedReset Quote: 25.38 – 25.58
Spot Rate : 0.2000
Average : 0.1206

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %

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