July 14, 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 0.5369 % 1,458.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5369 % 2,676.9
Floater 5.72 % 5.77 % 76,499 14.26 3 0.5369 % 1,542.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2453 % 3,472.7
SplitShare 4.84 % 4.77 % 56,345 3.77 7 0.2453 % 4,147.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2453 % 3,235.8
Perpetual-Premium 5.16 % 5.04 % 66,194 4.05 1 -0.0786 % 3,052.6
Perpetual-Discount 5.62 % 5.78 % 77,715 14.29 35 -0.2586 % 3,244.5
FixedReset Disc 6.15 % 5.07 % 135,554 15.03 75 0.1981 % 1,836.9
Deemed-Retractible 5.34 % 5.57 % 77,787 14.33 27 -0.1419 % 3,205.9
FloatingReset 2.42 % 2.80 % 32,382 1.52 4 1.0033 % 1,731.5
FixedReset Prem 5.50 % 5.10 % 325,797 15.30 3 0.1336 % 2,560.0
FixedReset Bank Non 1.98 % 2.84 % 125,830 1.52 2 -0.1633 % 2,795.8
FixedReset Ins Non 6.42 % 5.14 % 96,173 14.91 22 0.6631 % 1,856.0
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -5.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.89 %
GWO.PR.R Deemed-Retractible -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.77 %
PWF.PR.P FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 8.47
Evaluated at bid price : 8.47
Bid-YTW : 5.80 %
TD.PF.L FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.98 %
MFC.PR.C Deemed-Retractible -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.46 %
ELF.PR.H Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 23.23
Evaluated at bid price : 23.51
Bid-YTW : 5.87 %
RY.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 24.43
Evaluated at bid price : 24.85
Bid-YTW : 4.99 %
NA.PR.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 23.76
Evaluated at bid price : 24.25
Bid-YTW : 5.16 %
BAM.PF.E FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.76 %
BIP.PR.F FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.27 %
CU.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 4.98 %
TRP.PR.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 8.61
Evaluated at bid price : 8.61
Bid-YTW : 5.53 %
IFC.PR.I Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 23.71
Evaluated at bid price : 24.05
Bid-YTW : 5.65 %
BIP.PR.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 6.67 %
MFC.PR.F FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.13
Evaluated at bid price : 9.13
Bid-YTW : 4.92 %
GWO.PR.N FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.15
Evaluated at bid price : 9.15
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.70
Evaluated at bid price : 9.70
Bid-YTW : 5.46 %
MFC.PR.M FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 5.08 %
MFC.PR.N FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 5.07 %
BMO.PR.A FloatingReset 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 2.60 %
TRP.PR.B FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 7.75
Evaluated at bid price : 7.75
Bid-YTW : 5.36 %
IFC.PR.A FixedReset Ins Non 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 5.10 %
BAM.PR.X FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.74
Evaluated at bid price : 9.74
Bid-YTW : 5.75 %
IFC.PR.C FixedReset Ins Non 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 5.31 %
SLF.PR.G FixedReset Ins Non 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.52
Evaluated at bid price : 9.52
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.C Deemed-Retractible 76,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.30 %
MFC.PR.I FixedReset Ins Non 57,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.13 %
CU.PR.F Perpetual-Discount 44,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.28 %
TRP.PR.A FixedReset Disc 43,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 5.79 %
MFC.PR.L FixedReset Ins Non 40,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.15 %
RY.PR.Q FixedReset Disc 39,695 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 24.43
Evaluated at bid price : 24.85
Bid-YTW : 4.99 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.E FixedReset Disc Quote: 20.12 – 21.81
Spot Rate : 1.6900
Average : 1.1160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.28 %

BAM.PF.D Perpetual-Discount Quote: 21.01 – 22.27
Spot Rate : 1.2600
Average : 0.7081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.89 %

MFC.PR.K FixedReset Ins Non Quote: 14.33 – 15.21
Spot Rate : 0.8800
Average : 0.6231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 5.12 %

BMO.PR.C FixedReset Disc Quote: 19.35 – 20.00
Spot Rate : 0.6500
Average : 0.4339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.94 %

EIT.PR.B SplitShare Quote: 25.18 – 26.18
Spot Rate : 1.0000
Average : 0.7855

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.74 %

MFC.PR.R FixedReset Ins Non Quote: 20.95 – 21.65
Spot Rate : 0.7000
Average : 0.4914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.12 %

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