June 27, 2017

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 0.2645 % 2,118.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2645 % 3,888.1
Floater 3.74 % 3.74 % 72,769 17.98 3 0.2645 % 2,240.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.4242 % 3,066.4
SplitShare 4.69 % 4.17 % 60,027 1.48 5 0.4242 % 3,661.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4242 % 2,857.2
Perpetual-Premium 5.31 % 4.64 % 67,536 3.42 25 0.0503 % 2,784.7
Perpetual-Discount 5.12 % 5.09 % 85,453 15.23 12 0.1104 % 3,000.2
FixedReset 4.41 % 4.05 % 200,609 6.51 96 0.4070 % 2,358.0
Deemed-Retractible 5.00 % 5.05 % 125,862 6.21 30 0.0137 % 2,893.7
FloatingReset 2.55 % 3.07 % 47,705 4.33 10 0.1942 % 2,560.5
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.04 %
MFC.PR.M FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.76 %
TRP.PR.H FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.31 %
CM.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.74
Evaluated at bid price : 23.55
Bid-YTW : 4.02 %
BAM.PF.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.70
Evaluated at bid price : 23.17
Bid-YTW : 4.34 %
TRP.PR.E FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.03
Evaluated at bid price : 22.29
Bid-YTW : 4.02 %
MFC.PR.N FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 5.73 %
MFC.PR.F FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 8.47 %
BAM.PR.Z FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.37 %
BAM.PR.X FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 4.37 %
MFC.PR.L FixedReset 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.33 %
TRP.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 4.06 %
IAG.PR.G FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.84
Bid-YTW : 5.37 %
TRP.PR.G FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.99
Evaluated at bid price : 24.16
Bid-YTW : 4.11 %
TRP.PR.D FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 697,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 23.16
Evaluated at bid price : 25.02
Bid-YTW : 4.38 %
TD.PF.C FixedReset 184,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.05 %
BMO.PR.C FixedReset 149,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.27 %
BMO.PR.B FixedReset 142,966 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.82 %
TD.PF.H FixedReset 131,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 3.82 %
TRP.PR.A FixedReset 107,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.04 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 21.85 – 22.32
Spot Rate : 0.4700
Average : 0.3194

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 5.58 %

IFC.PR.A FixedReset Quote: 18.06 – 18.40
Spot Rate : 0.3400
Average : 0.2085

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.06
Bid-YTW : 7.90 %

SLF.PR.G FixedReset Quote: 16.55 – 16.98
Spot Rate : 0.4300
Average : 0.3260

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 8.57 %

MFC.PR.H FixedReset Quote: 24.97 – 25.24
Spot Rate : 0.2700
Average : 0.1825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.29 %

TRP.PR.H FloatingReset Quote: 14.11 – 14.50
Spot Rate : 0.3900
Average : 0.3053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.31 %

GWO.PR.N FixedReset Quote: 16.51 – 16.76
Spot Rate : 0.2500
Average : 0.1706

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.51
Bid-YTW : 8.44 %

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