November 29, 2018

So much for the rally! The market’s back to normal …

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 0.2199 % 2,681.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2199 % 4,920.2
Floater 4.33 % 4.65 % 39,565 16.05 4 0.2199 % 2,835.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0606 % 3,179.2
SplitShare 4.63 % 5.23 % 82,441 4.65 7 0.0606 % 3,796.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0606 % 2,962.3
Perpetual-Premium 5.97 % 6.04 % 54,101 13.81 3 0.1478 % 2,844.3
Perpetual-Discount 5.73 % 5.92 % 78,392 13.94 31 0.3224 % 2,858.3
FixedReset Disc 4.88 % 5.69 % 175,032 14.52 58 -0.5188 % 2,288.3
Deemed-Retractible 5.50 % 7.32 % 87,754 5.12 26 0.1139 % 2,855.4
FloatingReset 4.12 % 4.80 % 34,517 5.38 6 -0.9463 % 2,556.9
FixedReset Prem 5.12 % 4.67 % 246,848 2.51 22 0.0015 % 2,502.5
FixedReset Bank Non 2.98 % 4.25 % 124,563 2.95 6 -0.0344 % 2,566.4
FixedReset Ins Non 4.92 % 7.85 % 125,088 5.23 22 -0.2867 % 2,293.3
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.69 %
BIP.PR.F FixedReset Disc -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 6.17 %
PWF.PR.Q FloatingReset -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.51 %
TRP.PR.G FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.27 %
TRP.PR.H FloatingReset -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 5.38 %
BIP.PR.E FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 6.30 %
HSE.PR.G FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.76 %
BMO.PR.S FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.65 %
HSE.PR.E FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.78 %
MFC.PR.N FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.47
Bid-YTW : 9.21 %
TRP.PR.F FloatingReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.35 %
NA.PR.S FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.76 %
CM.PR.Q FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 5.70 %
TRP.PR.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 6.31 %
TRP.PR.B FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 6.18 %
MFC.PR.M FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.77
Bid-YTW : 9.03 %
MFC.PR.F FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.71
Bid-YTW : 11.61 %
BMO.PR.W FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.56 %
GWO.PR.N FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.89
Bid-YTW : 11.62 %
BMO.PR.T FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.58 %
MFC.PR.Q FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.59
Bid-YTW : 8.46 %
HSE.PR.A FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 6.59 %
MFC.PR.B Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 9.33 %
TRP.PR.D FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.29 %
TRP.PR.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.18 %
IFC.PR.C FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 8.37 %
MFC.PR.J FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 7.59 %
RY.PR.M FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 5.51 %
BAM.PR.Z FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.14 %
CM.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 5.45 %
SLF.PR.H FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 8.72 %
ELF.PR.H Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 23.11
Evaluated at bid price : 23.55
Bid-YTW : 5.91 %
BAM.PR.B Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.65 %
BIP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.63
Evaluated at bid price : 23.40
Bid-YTW : 6.24 %
BAM.PR.N Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.24 %
PWF.PR.L Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 5.91 %
GWO.PR.S Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 6.76 %
TD.PF.E FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.35
Evaluated at bid price : 22.67
Bid-YTW : 5.57 %
CU.PR.H Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.78
Evaluated at bid price : 23.12
Bid-YTW : 5.70 %
GWO.PR.Q Deemed-Retractible 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 7.32 %
SLF.PR.G FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.09
Bid-YTW : 10.38 %
IAG.PR.I FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Prem 623,797 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.28 %
TD.PF.H FixedReset Prem 292,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.40 %
TD.PF.G FixedReset Prem 278,486 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %
BNS.PR.F FloatingReset 228,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 4.80 %
RY.PR.I FixedReset Bank Non 143,206 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.40 %
EMA.PR.H FixedReset Disc 122,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.88
Evaluated at bid price : 24.20
Bid-YTW : 5.03 %
TRP.PR.H FloatingReset 111,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 5.38 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Disc Quote: 20.07 – 21.09
Spot Rate : 1.0200
Average : 0.7564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.15 %

BIP.PR.D FixedReset Disc Quote: 23.40 – 23.98
Spot Rate : 0.5800
Average : 0.4075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.63
Evaluated at bid price : 23.40
Bid-YTW : 6.24 %

MFC.PR.G FixedReset Ins Non Quote: 20.91 – 21.43
Spot Rate : 0.5200
Average : 0.3683

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.91
Bid-YTW : 7.91 %

BMO.PR.W FixedReset Disc Quote: 20.35 – 20.83
Spot Rate : 0.4800
Average : 0.3297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.56 %

BAM.PF.G FixedReset Disc Quote: 20.80 – 21.42
Spot Rate : 0.6200
Average : 0.4706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.23 %

TRP.PR.G FixedReset Disc Quote: 20.42 – 20.85
Spot Rate : 0.4300
Average : 0.2941

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.27 %

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