January 5, 2021

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 0.2496 % 1,889.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2496 % 3,467.3
Floater 4.58 % 4.61 % 46,516 16.24 3 0.2496 % 1,998.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0489 % 3,626.0
SplitShare 4.71 % 4.35 % 38,705 3.77 8 0.0489 % 4,330.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0489 % 3,378.7
Perpetual-Premium 5.33 % -2.69 % 65,831 0.09 18 0.1389 % 3,221.3
Perpetual-Discount 5.00 % 5.06 % 68,252 15.36 13 -0.0885 % 3,683.9
FixedReset Disc 4.99 % 3.83 % 132,738 17.50 57 0.5193 % 2,348.7
Insurance Straight 5.04 % 4.80 % 85,800 15.35 22 0.1969 % 3,563.7
FloatingReset 2.55 % 0.50 % 34,249 0.16 3 0.1272 % 1,861.9
FixedReset Prem 5.13 % 2.98 % 213,574 1.03 20 0.2671 % 2,690.6
FixedReset Bank Non 1.93 % 1.88 % 194,802 1.06 2 0.2607 % 2,884.9
FixedReset Ins Non 4.96 % 3.76 % 89,066 17.47 22 0.7675 % 2,456.5
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.88 %
MFC.PR.H FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.86
Evaluated at bid price : 23.35
Bid-YTW : 3.81 %
SLF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 11.87
Evaluated at bid price : 11.87
Bid-YTW : 3.82 %
NA.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.42
Evaluated at bid price : 22.94
Bid-YTW : 3.66 %
CU.PR.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 3.89 %
BAM.PF.I FixedReset Prem 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.46 %
IFC.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 3.94 %
RY.PR.J FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.96
Evaluated at bid price : 22.43
Bid-YTW : 3.50 %
BAM.PF.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 4.78 %
TD.PF.J FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 3.58 %
MFC.PR.M FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 3.80 %
MFC.PR.N FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 3.76 %
CM.PR.Q FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 3.70 %
SLF.PR.I FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.71 %
BAM.PF.A FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.65 %
TRP.PR.E FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 4.94 %
SLF.PR.H FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.49 %
TRP.PR.B FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 4.38 %
TRP.PR.C FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 10.53
Evaluated at bid price : 10.53
Bid-YTW : 4.59 %
MFC.PR.J FixedReset Ins Non 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.70 %
TRP.PR.D FixedReset Disc 4.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 363,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 2.87 %
TD.PF.L FixedReset Prem 306,472 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.37
Evaluated at bid price : 25.11
Bid-YTW : 3.84 %
BMO.PR.B FixedReset Prem 207,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 2.98 %
CM.PR.R FixedReset Disc 69,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.99
Evaluated at bid price : 24.35
Bid-YTW : 3.91 %
NA.PR.W FixedReset Disc 54,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 3.77 %
MFC.PR.O FixedReset Ins Non 54,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.20 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RS.PR.A SplitShare Quote: 10.32 – 11.69
Spot Rate : 1.3700
Average : 0.9067

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.32
Bid-YTW : 4.57 %

BAM.PF.J FixedReset Disc Quote: 25.01 – 26.01
Spot Rate : 1.0000
Average : 0.6012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.59
Evaluated at bid price : 25.01
Bid-YTW : 4.69 %

CU.PR.F Perpetual-Discount Quote: 23.21 – 24.07
Spot Rate : 0.8600
Average : 0.5200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.88 %

IAF.PR.B Insurance Straight Quote: 24.01 – 24.79
Spot Rate : 0.7800
Average : 0.6329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 4.80 %

MFC.PR.Q FixedReset Ins Non Quote: 20.95 – 21.50
Spot Rate : 0.5500
Average : 0.4137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 3.79 %

BNS.PR.I FixedReset Disc Quote: 22.03 – 22.41
Spot Rate : 0.3800
Average : 0.2810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.77
Evaluated at bid price : 22.03
Bid-YTW : 3.52 %

Leave a Reply

You must be logged in to post a comment.