September 30, 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 0.1614 % 1,893.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1614 % 3,474.2
Floater 6.36 % 6.54 % 47,664 13.13 4 0.1614 % 2,002.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,385.1
SplitShare 4.65 % 4.61 % 53,950 3.99 7 0.0846 % 4,042.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,154.1
Perpetual-Premium 5.58 % -21.67 % 60,173 0.09 6 0.2010 % 3,006.1
Perpetual-Discount 5.40 % 5.46 % 68,768 14.53 28 0.1987 % 3,182.8
FixedReset Disc 5.51 % 5.47 % 166,113 14.42 73 0.2546 % 2,084.0
Deemed-Retractible 5.22 % 5.78 % 68,625 7.89 27 -0.0079 % 3,157.8
FloatingReset 4.60 % 6.76 % 56,535 7.95 3 0.0074 % 2,345.4
FixedReset Prem 5.23 % 3.44 % 127,624 1.57 14 0.2330 % 2,604.4
FixedReset Bank Non 1.97 % 3.99 % 85,985 2.27 3 0.0451 % 2,681.1
FixedReset Ins Non 5.48 % 8.02 % 100,958 7.90 21 0.2624 % 2,106.8
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 6.98 %
CM.PR.O FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 5.68 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.75 %
NA.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 5.85 %
CM.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.55 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.77 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.42 %
BAM.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.01 %
TD.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 5.28 %
SLF.PR.J FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.04
Bid-YTW : 10.94 %
MFC.PR.M FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.56
Bid-YTW : 8.89 %
EMA.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.92 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 6.17 %
CU.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.27 %
TD.PF.I FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.31 %
BAM.PF.A FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.93 %
IFC.PR.G FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 8.02 %
GWO.PR.N FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.08 %
BMO.PR.Y FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.47 %
HSE.PR.A FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 6.98 %
TD.PF.D FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.35 %
BAM.PF.F FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.04 %
RY.PR.J FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
EIT.PR.B SplitShare 80,200 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.61 %
CM.PR.Y FixedReset Disc 42,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 5.15 %
HSE.PR.A FixedReset Disc 39,083 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 6.98 %
PWF.PR.P FixedReset Disc 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 5.91 %
BMO.PR.D FixedReset Disc 30,280 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 5.29 %
CM.PR.R FixedReset Disc 30,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.55 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 17.38 – 17.88
Spot Rate : 0.5000
Average : 0.3277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.17 %

CGI.PR.D SplitShare Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2292

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.70 %

IAF.PR.B Deemed-Retractible Quote: 21.87 – 22.46
Spot Rate : 0.5900
Average : 0.4302

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 6.30 %

CM.PR.T FixedReset Disc Quote: 23.64 – 23.99
Spot Rate : 0.3500
Average : 0.2334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 22.64
Evaluated at bid price : 23.64
Bid-YTW : 5.07 %

BAM.PF.D Perpetual-Discount Quote: 21.15 – 21.53
Spot Rate : 0.3800
Average : 0.2636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.83 %

EMA.PR.C FixedReset Disc Quote: 18.10 – 18.49
Spot Rate : 0.3900
Average : 0.2785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.92 %

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