October 2, 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 0.8506 % 2,418.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8506 % 4,436.8
Floater 3.78 % 3.92 % 27,957 17.62 4 0.8506 % 2,557.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3435 % 3,077.2
SplitShare 4.74 % 4.43 % 86,595 1.23 6 0.3435 % 3,674.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3435 % 2,867.3
Perpetual-Premium 5.38 % 4.89 % 59,445 5.78 17 0.2520 % 2,792.4
Perpetual-Discount 5.38 % 5.40 % 61,112 14.78 19 0.2110 % 2,913.6
FixedReset 4.30 % 4.45 % 148,870 6.10 99 0.4447 % 2,438.4
Deemed-Retractible 5.13 % 5.69 % 100,003 6.04 30 0.0098 % 2,870.8
FloatingReset 2.84 % 2.88 % 49,922 4.06 8 0.0917 % 2,661.9
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.06
Evaluated at bid price : 22.29
Bid-YTW : 5.33 %
MFC.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 6.20 %
RY.PR.H FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.37
Evaluated at bid price : 22.70
Bid-YTW : 4.45 %
PWF.PR.F Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 24.43
Evaluated at bid price : 24.67
Bid-YTW : 5.40 %
TRP.PR.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.57 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.92 %
CM.PR.P FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.00
Evaluated at bid price : 22.25
Bid-YTW : 4.45 %
RY.PR.M FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.96
Evaluated at bid price : 24.02
Bid-YTW : 4.41 %
BMO.PR.Y FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 23.21
Evaluated at bid price : 24.50
Bid-YTW : 4.43 %
BAM.PR.T FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.74 %
TD.PF.A FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.43
Evaluated at bid price : 22.73
Bid-YTW : 4.44 %
NA.PR.W FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.56 %
TD.PF.C FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.33
Evaluated at bid price : 22.70
Bid-YTW : 4.43 %
GWO.PR.N FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.24 %
HSE.PR.A FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %
BNS.PR.Y FixedReset 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
VNR.PR.A FixedReset 206,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.28
Evaluated at bid price : 23.00
Bid-YTW : 5.03 %
BMO.PR.C FixedReset 160,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.20 %
NA.PR.C FixedReset 153,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.32 %
BAM.PF.J FixedReset 54,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.39 %
NA.PR.W FixedReset 52,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.56 %
BMO.PR.T FixedReset 52,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.20
Evaluated at bid price : 22.51
Bid-YTW : 4.47 %
There were 20 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: 22.52 – 22.95
Spot Rate : 0.4300
Average : 0.2888

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.50 %

RY.PR.M FixedReset Quote: 24.02 – 24.40
Spot Rate : 0.3800
Average : 0.2662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.96
Evaluated at bid price : 24.02
Bid-YTW : 4.41 %

MFC.PR.L FixedReset Quote: 21.43 – 21.74
Spot Rate : 0.3100
Average : 0.1975

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 6.45 %

IFC.PR.A FixedReset Quote: 19.50 – 19.78
Spot Rate : 0.2800
Average : 0.1777

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.52 %

MFC.PR.M FixedReset Quote: 22.35 – 22.72
Spot Rate : 0.3700
Average : 0.2875

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 5.91 %

MFC.PR.J FixedReset Quote: 23.72 – 23.98
Spot Rate : 0.2600
Average : 0.1807

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.26 %

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