December 29, 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 1.0834 % 1,890.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0834 % 3,469.8
Floater 4.60 % 4.60 % 77,972 16.23 2 1.0834 % 1,999.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1740 % 3,626.5
SplitShare 4.78 % 4.33 % 43,268 3.80 9 0.1740 % 4,330.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1740 % 3,379.1
Perpetual-Premium 5.34 % 0.84 % 72,044 0.09 19 0.1448 % 3,205.2
Perpetual-Discount 5.01 % 5.05 % 76,702 15.37 12 0.1068 % 3,670.6
FixedReset Disc 5.04 % 3.89 % 144,648 17.30 56 0.2235 % 2,320.2
Insurance Straight 5.06 % 4.85 % 92,006 15.40 22 -0.0037 % 3,551.4
FloatingReset 1.90 % 2.11 % 38,384 1.08 3 0.0164 % 1,853.3
FixedReset Prem 5.15 % 3.49 % 214,252 0.77 22 0.0054 % 2,679.2
FixedReset Bank Non 1.93 % 1.82 % 173,199 1.07 2 0.0000 % 2,881.5
FixedReset Ins Non 5.10 % 3.92 % 86,840 17.23 22 0.3583 % 2,399.6
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.04 %
MFC.PR.G FixedReset Ins Non -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.02 %
MFC.PR.H FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 3.97 %
SLF.PR.I FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.84 %
BAM.PF.B FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 4.96 %
BAM.PR.T FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.85 %
MFC.PR.F FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 3.96 %
IFC.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.11 %
EIT.PR.A SplitShare -1.24 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.18 %
TD.PF.K FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.80
Evaluated at bid price : 22.05
Bid-YTW : 3.73 %
TRP.PR.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 10.28
Evaluated at bid price : 10.28
Bid-YTW : 4.85 %
BAM.PF.D Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.72
Evaluated at bid price : 24.25
Bid-YTW : 5.05 %
BAM.PF.J FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.55
Evaluated at bid price : 24.90
Bid-YTW : 4.71 %
BAM.PF.C Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.49
Evaluated at bid price : 23.92
Bid-YTW : 5.07 %
BAM.PR.Z FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.88 %
MFC.PR.K FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 3.89 %
BAM.PR.X FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 4.69 %
BAM.PF.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.81 %
MFC.PR.C Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.69
Evaluated at bid price : 23.99
Bid-YTW : 4.71 %
SLF.PR.H FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.67 %
RY.PR.M FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.58 %
TRP.PR.D FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.08 %
MFC.PR.L FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.92 %
TRP.PR.A FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.02 %
BAM.PR.K Floater 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 9.32
Evaluated at bid price : 9.32
Bid-YTW : 4.61 %
CU.PR.F Perpetual-Discount 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.34
Evaluated at bid price : 23.61
Bid-YTW : 4.80 %
RY.PR.Z FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 3.41 %
MFC.PR.M FixedReset Ins Non 6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.97 %
IAF.PR.G FixedReset Ins Non 6.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.06 %
TD.PF.D FixedReset Disc 9.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 3.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 205,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 4.41 %
BIP.PR.A FixedReset Disc 73,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.23 %
TRP.PR.K FixedReset Disc 70,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.70
Evaluated at bid price : 24.85
Bid-YTW : 4.91 %
BNS.PR.H FixedReset Prem 65,560 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 3.49 %
CM.PR.Y FixedReset Prem 55,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.40
Evaluated at bid price : 25.31
Bid-YTW : 4.07 %
TRP.PR.D FixedReset Disc 34,662 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.08 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 21.35 – 25.50
Spot Rate : 4.1500
Average : 2.5894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.58 %

NA.PR.W FixedReset Disc Quote: 18.95 – 20.44
Spot Rate : 1.4900
Average : 0.8808

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.89 %

MFC.PR.G FixedReset Ins Non Quote: 20.95 – 22.34
Spot Rate : 1.3900
Average : 0.9907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.02 %

RY.PR.J FixedReset Disc Quote: 21.91 – 22.65
Spot Rate : 0.7400
Average : 0.4987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.60
Evaluated at bid price : 21.91
Bid-YTW : 3.62 %

BAM.PF.G FixedReset Disc Quote: 16.26 – 16.80
Spot Rate : 0.5400
Average : 0.3138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.04 %

BAM.PF.E FixedReset Disc Quote: 15.80 – 16.60
Spot Rate : 0.8000
Average : 0.5837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.95 %

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