July 26, 2018

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 -0.3885 % 3,102.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3885 % 5,692.4
Floater 3.48 % 3.69 % 60,890 18.08 4 -0.3885 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1027 % 3,203.7
SplitShare 4.59 % 4.51 % 55,049 4.89 5 0.1027 % 3,825.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1027 % 2,985.1
Perpetual-Premium 5.63 % -14.03 % 63,768 0.09 9 0.0481 % 2,912.5
Perpetual-Discount 5.39 % 5.52 % 58,197 14.64 26 0.1021 % 2,982.9
FixedReset 4.29 % 4.59 % 130,321 4.16 106 0.2035 % 2,568.7
Deemed-Retractible 5.15 % 6.00 % 60,631 5.45 27 0.1847 % 2,973.1
FloatingReset 3.27 % 3.61 % 32,190 3.35 9 0.0940 % 2,834.6
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
MFC.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.64 %
RY.PR.N Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 24.22
Evaluated at bid price : 24.68
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 110,879 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.88 %
TRP.PR.C FixedReset 101,438 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.94 %
CU.PR.C FixedReset 74,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 4.72 %
TRP.PR.K FixedReset 73,790 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.45 %
CU.PR.I FixedReset 61,138 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.21 %
GWO.PR.F Deemed-Retractible 41,003 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : -31.64 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 22.90 – 23.32
Spot Rate : 0.4200
Average : 0.2775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %

MFC.PR.J FixedReset Quote: 24.94 – 25.30
Spot Rate : 0.3600
Average : 0.2621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.87 %

MFC.PR.K FixedReset Quote: 22.88 – 23.25
Spot Rate : 0.3700
Average : 0.2846

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.03 %

TRP.PR.B FixedReset Quote: 16.96 – 17.21
Spot Rate : 0.2500
Average : 0.1707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.85 %

IAG.PR.G FixedReset Quote: 23.87 – 24.16
Spot Rate : 0.2900
Average : 0.2122

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.13 %

PWF.PR.Q FloatingReset Quote: 21.85 – 22.04
Spot Rate : 0.1900
Average : 0.1231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.44 %

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