February 13, 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 -0.4279 % 2,059.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4279 % 3,778.5
Floater 5.94 % 6.15 % 54,404 13.62 4 -0.4279 % 2,177.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0710 % 3,480.7
SplitShare 4.73 % 4.24 % 39,802 4.10 6 -0.0710 % 4,156.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0710 % 3,243.3
Perpetual-Premium 5.56 % 0.12 % 58,619 0.09 11 0.0179 % 3,071.7
Perpetual-Discount 5.19 % 5.23 % 68,248 14.95 24 0.1576 % 3,368.4
FixedReset Disc 5.49 % 5.34 % 166,557 14.85 64 0.0300 % 2,184.3
Deemed-Retractible 5.10 % 5.19 % 73,014 14.93 27 0.0693 % 3,281.8
FloatingReset 5.98 % 6.07 % 59,923 13.80 3 -0.0967 % 2,560.5
FixedReset Prem 5.07 % 3.41 % 139,414 1.44 22 -0.0460 % 2,662.2
FixedReset Bank Non 1.93 % 3.28 % 74,153 1.91 3 -0.0136 % 2,753.6
FixedReset Ins Non 5.31 % 5.31 % 109,147 14.76 22 -0.2883 % 2,207.4
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 5.59 %
SLF.PR.H FixedReset Ins Non -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 5.38 %
SLF.PR.G FixedReset Ins Non -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 5.25 %
BAM.PR.C Floater -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.15 %
BIP.PR.A FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.09 %
IFC.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 5.45 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 5.55 %
NA.PR.E FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.42 %
BAM.PR.K Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 6.19 %
EMA.PR.F FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.65 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 23.52
Evaluated at bid price : 23.80
Bid-YTW : 5.15 %
SLF.PR.J FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.77 %
BAM.PR.B Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 6.15 %
BAM.PF.C Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 22.42
Evaluated at bid price : 22.71
Bid-YTW : 5.40 %
BMO.PR.Y FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.29 %
TRP.PR.A FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.67 %
MFC.PR.J FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.29 %
TRP.PR.E FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.62 %
HSE.PR.G FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.50 %
PWF.PR.P FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.E FixedReset Disc 85,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.42 %
TRP.PR.E FixedReset Disc 76,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.62 %
TD.PF.H FixedReset Prem 64,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 3.35 %
SLF.PR.H FixedReset Ins Non 58,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 5.38 %
RY.PR.J FixedReset Disc 54,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.16 %
GWO.PR.T Deemed-Retractible 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 24.45
Evaluated at bid price : 24.91
Bid-YTW : 5.22 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 20.32 – 20.72
Spot Rate : 0.4000
Average : 0.2838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.09 %

W.PR.M FixedReset Prem Quote: 25.82 – 26.19
Spot Rate : 0.3700
Average : 0.2560

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.45 %

PWF.PR.Q FloatingReset Quote: 13.51 – 13.86
Spot Rate : 0.3500
Average : 0.2571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.07 %

NA.PR.E FixedReset Disc Quote: 18.72 – 19.03
Spot Rate : 0.3100
Average : 0.2215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.42 %

PWF.PR.K Perpetual-Discount Quote: 23.25 – 23.53
Spot Rate : 0.2800
Average : 0.1965

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.35 %

GWO.PR.N FixedReset Ins Non Quote: 13.29 – 13.63
Spot Rate : 0.3400
Average : 0.2572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-13
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 4.96 %

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