June 24, 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 1.1038 % 1,934.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1038 % 3,550.3
Floater 6.12 % 6.38 % 70,349 13.37 3 1.1038 % 2,046.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1930 % 3,313.9
SplitShare 4.70 % 4.81 % 73,159 4.20 7 -0.1930 % 3,957.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1930 % 3,087.8
Perpetual-Premium 5.62 % -9.20 % 71,558 0.09 7 -0.1162 % 2,949.5
Perpetual-Discount 5.51 % 5.62 % 61,090 14.47 26 0.1211 % 3,071.7
FixedReset Disc 5.54 % 5.37 % 162,474 14.72 70 0.1656 % 2,062.9
Deemed-Retractible 5.28 % 5.97 % 75,871 8.01 27 0.2078 % 3,079.3
FloatingReset 4.08 % 4.92 % 51,144 2.49 4 -0.2515 % 2,333.8
FixedReset Prem 5.11 % 3.73 % 190,664 1.83 16 -0.0121 % 2,583.8
FixedReset Bank Non 1.98 % 4.32 % 148,000 2.51 3 0.0976 % 2,640.9
FixedReset Ins Non 5.38 % 7.64 % 94,545 8.10 22 0.0395 % 2,112.5
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 6.15 %
SLF.PR.J FloatingReset -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.45
Bid-YTW : 10.37 %
TD.PF.I FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 5.11 %
CU.PR.D Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 22.06
Evaluated at bid price : 22.31
Bid-YTW : 5.54 %
MFC.PR.I FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.81
Bid-YTW : 7.78 %
RY.PR.M FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.35 %
IAF.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.86
Bid-YTW : 7.47 %
BAM.PR.Z FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.07 %
CM.PR.Q FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.62 %
PWF.PR.L Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 22.73
Evaluated at bid price : 23.02
Bid-YTW : 5.62 %
HSE.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 6.16 %
MFC.PR.F FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 9.54 %
BAM.PR.X FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 12.69
Evaluated at bid price : 12.69
Bid-YTW : 6.07 %
GWO.PR.N FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.90
Bid-YTW : 9.21 %
BAM.PR.B Floater 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 10.88
Evaluated at bid price : 10.88
Bid-YTW : 6.38 %
BIP.PR.F FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Disc 152,046 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 22.11
Evaluated at bid price : 22.48
Bid-YTW : 5.20 %
CM.PR.S FixedReset Disc 61,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.37 %
TRP.PR.D FixedReset Disc 37,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.00 %
TD.PF.J FixedReset Disc 33,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 5.21 %
HSE.PR.A FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 6.16 %
EIT.PR.B SplitShare 29,600 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.85 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 19.09 – 20.50
Spot Rate : 1.4100
Average : 1.0158

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 6.44 %

CU.PR.D Perpetual-Discount Quote: 22.31 – 22.68
Spot Rate : 0.3700
Average : 0.2346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 22.06
Evaluated at bid price : 22.31
Bid-YTW : 5.54 %

CIU.PR.A Perpetual-Discount Quote: 20.80 – 21.47
Spot Rate : 0.6700
Average : 0.5375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.59 %

TRP.PR.G FixedReset Disc Quote: 17.65 – 18.12
Spot Rate : 0.4700
Average : 0.3454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.10 %

TD.PF.L FixedReset Disc Quote: 24.51 – 24.80
Spot Rate : 0.2900
Average : 0.1885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 23.00
Evaluated at bid price : 24.51
Bid-YTW : 4.85 %

PWF.PR.P FixedReset Disc Quote: 12.90 – 13.34
Spot Rate : 0.4400
Average : 0.3404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-24
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.65 %

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