November 20, 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 1.0919 % 1,776.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0919 % 3,259.3
Floater 4.79 % 4.84 % 39,026 15.73 3 1.0919 % 1,878.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0154 % 3,579.2
SplitShare 4.84 % 4.31 % 45,607 3.90 9 0.0154 % 4,274.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0154 % 3,335.0
Perpetual-Premium 5.34 % 2.43 % 76,782 0.39 14 0.1285 % 3,186.9
Perpetual-Discount 5.15 % 5.14 % 79,033 15.16 19 0.0894 % 3,601.9
FixedReset Disc 5.30 % 4.13 % 117,312 16.51 64 0.0998 % 2,187.1
Insurance Straight 5.07 % 4.90 % 99,942 15.14 22 0.0926 % 3,508.2
FloatingReset 1.97 % 2.08 % 47,220 1.18 3 0.0500 % 1,817.3
FixedReset Prem 5.18 % 2.65 % 219,660 0.72 15 0.0681 % 2,671.9
FixedReset Bank Non 1.94 % 2.13 % 195,140 1.18 2 -0.1205 % 2,863.6
FixedReset Ins Non 5.33 % 4.15 % 74,841 16.67 22 0.1006 % 2,285.8
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.33 %
SLF.PR.G FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.19 %
CM.PR.Q FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.18 %
TRP.PR.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 5.37 %
BMO.PR.Y FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.02 %
TRP.PR.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 12.63
Evaluated at bid price : 12.63
Bid-YTW : 5.35 %
BAM.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.19 %
TRP.PR.B FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 8.67
Evaluated at bid price : 8.67
Bid-YTW : 5.06 %
BAM.PR.C Floater 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.82 %
BAM.PR.B Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 8.97
Evaluated at bid price : 8.97
Bid-YTW : 4.84 %
CIU.PR.A Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 4.96 %
TRP.PR.D FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.35 %
BAM.PF.B FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.S FixedReset Disc 58,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 3.80 %
TRP.PR.K FixedReset Disc 49,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.81 %
BNS.PR.Z FixedReset Bank Non 38,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 2.13 %
MFC.PR.Q FixedReset Ins Non 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.13 %
RS.PR.A SplitShare 25,861 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.13
Bid-YTW : 4.97 %
TRP.PR.E FixedReset Disc 18,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.42 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.F FixedReset Disc Quote: 23.10 – 23.90
Spot Rate : 0.8000
Average : 0.4663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 5.58 %

BAM.PR.B Floater Quote: 8.97 – 9.65
Spot Rate : 0.6800
Average : 0.4210

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 8.97
Evaluated at bid price : 8.97
Bid-YTW : 4.84 %

CM.PR.Q FixedReset Disc Quote: 19.42 – 20.08
Spot Rate : 0.6600
Average : 0.4653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.18 %

BAM.PR.R FixedReset Disc Quote: 13.20 – 13.75
Spot Rate : 0.5500
Average : 0.3660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.33 %

PWF.PR.E Perpetual-Discount Quote: 25.16 – 25.59
Spot Rate : 0.4300
Average : 0.2691

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-20
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 1.37 %

BAM.PF.C Perpetual-Discount Quote: 22.85 – 23.25
Spot Rate : 0.4000
Average : 0.2756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 22.59
Evaluated at bid price : 22.85
Bid-YTW : 5.38 %

2 Responses to “November 20, 2020”

  1. baffled says:

    the shrinking supply continues , my bmo , series 35 , nvcc 5% , were redeemed for $ 26

  2. jiHymas says:

    That one slipped through without being reported here! See BMO.PR.Z Redeemed.

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