February 11, 2020

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 1.0450 % 2,096.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0450 % 3,846.7
Floater 5.84 % 5.97 % 52,859 13.89 4 1.0450 % 2,216.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1744 % 3,484.3
SplitShare 4.72 % 3.96 % 41,014 3.68 6 0.1744 % 4,161.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1744 % 3,246.6
Perpetual-Premium 5.57 % -0.28 % 56,799 0.09 11 -0.0107 % 3,069.4
Perpetual-Discount 5.20 % 5.25 % 68,610 15.08 24 0.2468 % 3,363.0
FixedReset Disc 5.50 % 5.36 % 170,374 14.83 64 0.0200 % 2,181.0
Deemed-Retractible 5.10 % 5.21 % 78,840 14.91 27 0.1298 % 3,276.0
FloatingReset 6.02 % 6.08 % 61,909 13.80 3 -0.6536 % 2,543.2
FixedReset Prem 5.07 % 3.27 % 131,479 1.45 22 0.0266 % 2,662.3
FixedReset Bank Non 1.93 % 3.21 % 73,753 1.92 3 0.1085 % 2,756.5
FixedReset Ins Non 5.32 % 5.35 % 112,374 14.77 22 0.0852 % 2,204.2
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 5.30 %
PWF.PR.Q FloatingReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.08 %
TRP.PR.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 5.92 %
MFC.PR.J FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.35 %
MFC.PR.G FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.45 %
BAM.PR.T FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 5.84 %
BAM.PR.B Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 5.97 %
NA.PR.W FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 5.31 %
HSE.PR.A FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 6.54 %
BAM.PR.C Floater 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 6.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.B FixedReset Disc 40,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.67 %
RY.PR.Z FixedReset Disc 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 5.10 %
CU.PR.G Perpetual-Discount 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.13 %
BAM.PR.N Perpetual-Discount 29,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 5.37 %
BAM.PF.B FixedReset Disc 28,407 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.61 %
TD.PF.A FixedReset Disc 24,849 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 5.18 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 21.89 – 22.35
Spot Rate : 0.4600
Average : 0.3315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 21.89
Evaluated at bid price : 21.89
Bid-YTW : 5.15 %
ELF.PR.G Perpetual-Discount Quote: 22.52 – 23.00
Spot Rate : 0.4800
Average : 0.3684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.32 %
PWF.PR.T FixedReset Disc Quote: 17.87 – 18.19
Spot Rate : 0.3200
Average : 0.2089

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.38 %
TRP.PR.E FixedReset Disc Quote: 16.41 – 16.73
Spot Rate : 0.3200
Average : 0.2204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.68 %
EMA.PR.F FixedReset Disc Quote: 17.75 – 18.20
Spot Rate : 0.4500
Average : 0.3539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.60 %
SLF.PR.I FixedReset Ins Non Quote: 18.89 – 19.20
Spot Rate : 0.3100
Average : 0.2141

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-11
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.40 %

This entry was posted on Wednesday, February 12th, 2020 at 12:13 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

One Response to “February 11, 2020”

  1. dave says:
    February 12, 2020 at 10:32 am

    Anyone have a list of hard maturity preferreds?
    Many thanks

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