May 24, 2019

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 -0.2723 % 2,075.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2723 % 3,807.9
Floater 5.66 % 6.02 % 51,383 13.78 3 -0.2723 % 2,194.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0455 % 3,308.5
SplitShare 4.70 % 4.68 % 79,633 4.29 7 0.0455 % 3,951.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0455 % 3,082.8
Perpetual-Premium 5.53 % 4.94 % 83,207 1.78 12 -0.0495 % 2,948.7
Perpetual-Discount 5.45 % 5.48 % 74,835 14.66 20 -0.1192 % 3,097.9
FixedReset Disc 5.32 % 5.49 % 148,230 14.77 63 -0.3588 % 2,161.6
Deemed-Retractible 5.23 % 5.90 % 92,968 8.01 27 0.0190 % 3,079.0
FloatingReset 3.95 % 4.37 % 43,208 2.58 4 0.0383 % 2,415.1
FixedReset Prem 5.12 % 4.00 % 229,367 2.09 21 -0.0223 % 2,584.4
FixedReset Bank Non 1.98 % 4.01 % 147,963 2.59 3 -0.0972 % 2,648.6
FixedReset Ins Non 5.08 % 6.84 % 102,358 8.20 22 -0.2037 % 2,233.6
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 6.71 %
TD.PF.J FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.20 %
BAM.PR.Z FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.08 %
IFC.PR.E Deemed-Retractible -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.92 %
MFC.PR.I FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.33
Bid-YTW : 6.94 %
BAM.PF.D Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 5.87 %
BMO.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 22.85
Evaluated at bid price : 23.75
Bid-YTW : 5.12 %
MFC.PR.N FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 7.97 %
BMO.PR.S FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 5.41 %
BMO.PR.Y FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 119,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 3.76 %
TD.PF.L FixedReset Prem 109,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 23.17
Evaluated at bid price : 25.01
Bid-YTW : 4.92 %
BMO.PR.F FixedReset Prem 108,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 23.21
Evaluated at bid price : 25.14
Bid-YTW : 5.05 %
TD.PF.H FixedReset Prem 104,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.78 %
RY.PR.Z FixedReset Disc 55,818 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.19 %
TD.PF.A FixedReset Disc 54,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 5.34 %
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.PF.D Perpetual-Discount Quote: 21.23 – 21.75
Spot Rate : 0.5200
Average : 0.3516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 5.87 %

IFC.PR.E Deemed-Retractible Quote: 23.85 – 24.43
Spot Rate : 0.5800
Average : 0.4205

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.92 %

TD.PF.J FixedReset Disc Quote: 21.45 – 21.84
Spot Rate : 0.3900
Average : 0.2561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.20 %

BAM.PR.K Floater Quote: 11.66 – 11.97
Spot Rate : 0.3100
Average : 0.2082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 6.02 %

PWF.PR.S Perpetual-Discount Quote: 22.07 – 22.35
Spot Rate : 0.2800
Average : 0.1899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 21.81
Evaluated at bid price : 22.07
Bid-YTW : 5.48 %

BAM.PF.J FixedReset Disc Quote: 23.08 – 23.32
Spot Rate : 0.2400
Average : 0.1564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-24
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 5.19 %

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