July 29, 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 1.1394 % 1,993.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1394 % 3,658.7
Floater 5.99 % 6.11 % 40,112 13.71 4 1.1394 % 2,108.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,344.2
SplitShare 4.66 % 4.63 % 75,790 4.11 7 0.1694 % 3,993.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,116.0
Perpetual-Premium 5.61 % -17.66 % 58,999 0.09 7 0.0281 % 2,987.3
Perpetual-Discount 5.44 % 5.56 % 56,934 14.53 25 -0.0138 % 3,130.8
FixedReset Disc 5.40 % 5.18 % 163,790 14.98 69 -0.1080 % 2,131.8
Deemed-Retractible 5.21 % 5.84 % 67,891 7.94 27 -0.0047 % 3,124.1
FloatingReset 4.04 % 4.27 % 35,999 2.41 4 -0.1711 % 2,355.2
FixedReset Prem 5.13 % 3.82 % 162,734 1.89 17 0.0481 % 2,598.8
FixedReset Bank Non 1.97 % 3.99 % 91,449 2.42 3 0.0556 % 2,659.4
FixedReset Ins Non 5.25 % 7.39 % 85,899 8.03 22 -0.1701 % 2,170.8
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.01 %
IFC.PR.A FixedReset Ins Non -2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.83
Bid-YTW : 9.53 %
SLF.PR.H FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.11
Bid-YTW : 8.67 %
NA.PR.W FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.53 %
TRP.PR.G FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.08 %
BMO.PR.Y FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.20 %
BIP.PR.D FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.89 %
CM.PR.Q FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.47 %
MFC.PR.L FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.21 %
CU.PR.F Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.40 %
BAM.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 6.15 %
CM.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.38 %
BAM.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 6.22 %
HSE.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.44 %
BAM.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.96 %
RY.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.82 %
CCS.PR.C Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.31 %
MFC.PR.K FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.70 %
TD.PF.D FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.04 %
BAM.PR.K Floater 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 72,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.10 %
NA.PR.S FixedReset Disc 55,091 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.38 %
BMO.PR.D FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.99
Evaluated at bid price : 22.33
Bid-YTW : 5.15 %
BMO.PR.W FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.18 %
TD.PF.M FixedReset Disc 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 23.18
Evaluated at bid price : 25.05
Bid-YTW : 4.96 %
NA.PR.W FixedReset Disc 27,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.53 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 14.83 – 15.49
Spot Rate : 0.6600
Average : 0.4322

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.83
Bid-YTW : 9.53 %

BAM.PR.X FixedReset Disc Quote: 12.90 – 13.35
Spot Rate : 0.4500
Average : 0.2956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 6.11 %

TRP.PR.B FixedReset Disc Quote: 11.17 – 11.63
Spot Rate : 0.4600
Average : 0.3076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.01 %

IAF.PR.I FixedReset Ins Non Quote: 21.10 – 21.61
Spot Rate : 0.5100
Average : 0.3608

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.60 %

TD.PF.K FixedReset Disc Quote: 20.30 – 20.65
Spot Rate : 0.3500
Average : 0.2218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.17 %

BAM.PF.H FixedReset Prem Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2235

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.70 %

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