October 8, 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 -0.4414 % 1,641.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4414 % 3,011.6
Floater 5.18 % 5.22 % 49,403 15.16 3 -0.4414 % 1,735.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0547 % 3,516.6
SplitShare 4.82 % 4.77 % 53,039 3.59 8 -0.0547 % 4,199.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0547 % 3,276.6
Perpetual-Premium 5.30 % -8.24 % 90,441 0.09 17 0.1777 % 3,193.2
Perpetual-Discount 5.08 % 5.03 % 93,406 15.32 17 -0.0701 % 3,622.8
FixedReset Disc 5.45 % 4.15 % 125,124 16.58 65 0.5611 % 2,120.6
Deemed-Retractible 5.03 % 4.75 % 105,986 15.31 22 -0.2483 % 3,531.4
FloatingReset 1.98 % 2.44 % 41,458 1.30 3 0.2018 % 1,800.6
FixedReset Prem 5.22 % 3.25 % 274,234 0.78 14 0.0639 % 2,642.1
FixedReset Bank Non 1.94 % 2.09 % 104,899 1.29 2 0.0201 % 2,857.7
FixedReset Ins Non 5.50 % 4.24 % 78,469 16.45 22 1.7816 % 2,195.7
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 11.57
Evaluated at bid price : 11.57
Bid-YTW : 5.67 %
BAM.PR.C Floater -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 8.28
Evaluated at bid price : 8.28
Bid-YTW : 5.22 %
GWO.PR.H Deemed-Retractible -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.95 %
CU.PR.E Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.53
Evaluated at bid price : 24.80
Bid-YTW : 4.99 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 4.22 %
MFC.PR.Q FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.20 %
MFC.PR.J FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 4.26 %
RY.PR.M FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.01 %
NA.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.28 %
TRP.PR.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 4.87 %
TD.PF.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 3.95 %
TD.PF.E FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 4.12 %
TD.PF.I FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 21.78
Evaluated at bid price : 22.28
Bid-YTW : 3.88 %
BIP.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 23.22
Evaluated at bid price : 23.78
Bid-YTW : 5.64 %
BMO.PR.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 22.48
Evaluated at bid price : 22.82
Bid-YTW : 3.99 %
CM.PR.P FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.01 %
MFC.PR.M FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.18 %
BAM.PF.G FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 5.23 %
SLF.PR.I FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.18 %
MFC.PR.F FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 4.11 %
CM.PR.S FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.02 %
NA.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.30 %
BAM.PR.Z FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.26 %
BAM.PR.X FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 4.93 %
PWF.PR.T FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 4.47 %
BMO.PR.W FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.97 %
SLF.PR.H FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.17 %
MFC.PR.G FixedReset Ins Non 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 4.25 %
BAM.PR.T FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.18 %
TRP.PR.F FloatingReset 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.94 %
MFC.PR.K FixedReset Ins Non 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 4.14 %
IAF.PR.G FixedReset Ins Non 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.35 %
MFC.PR.I FixedReset Ins Non 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.32 %
IFC.PR.G FixedReset Ins Non 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.49 %
SLF.PR.G FixedReset Ins Non 4.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.10 %
MFC.PR.H FixedReset Ins Non 5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset Prem 103,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.48 %
TD.PF.G FixedReset Prem 81,635 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 2.38 %
PVS.PR.I SplitShare 69,810 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.76 %
PWF.PR.Z Perpetual-Discount 63,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.51
Evaluated at bid price : 25.00
Bid-YTW : 5.13 %
SLF.PR.C Deemed-Retractible 55,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.67 %
SLF.PR.G FixedReset Ins Non 54,413 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.10 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.89 – 23.99
Spot Rate : 7.1000
Average : 4.6504

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 4.54 %

PWF.PR.R Perpetual-Premium Quote: 25.21 – 25.79
Spot Rate : 0.5800
Average : 0.3729

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-07
Maturity Price : 25.25
Evaluated at bid price : 25.21
Bid-YTW : 3.23 %

MFC.PR.F FixedReset Ins Non Quote: 10.98 – 11.59
Spot Rate : 0.6100
Average : 0.4062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 4.11 %

MFC.PR.L FixedReset Ins Non Quote: 16.49 – 18.00
Spot Rate : 1.5100
Average : 1.3305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 4.24 %

TD.PF.J FixedReset Disc Quote: 20.01 – 20.74
Spot Rate : 0.7300
Average : 0.5507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.10 %

IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.85
Spot Rate : 0.7000
Average : 0.5552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.18 %

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