January 27, 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 -2.8028 % 2,028.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.8028 % 3,721.4
Floater 4.26 % 4.30 % 44,752 16.80 3 -2.8028 % 2,144.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0659 % 3,629.9
SplitShare 4.70 % 4.44 % 37,745 3.72 8 -0.0659 % 4,334.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0659 % 3,382.3
Perpetual-Premium 5.36 % -8.79 % 71,230 0.09 18 0.2010 % 3,227.9
Perpetual-Discount 4.99 % 5.02 % 69,072 15.38 13 0.0348 % 3,698.5
FixedReset Disc 4.89 % 3.73 % 148,433 17.55 56 -0.4334 % 2,403.1
Insurance Straight 5.03 % 4.80 % 83,328 15.31 22 -0.1408 % 3,574.9
FloatingReset 2.48 % 0.41 % 26,155 0.10 3 -0.0407 % 1,936.4
FixedReset Prem 5.13 % 2.99 % 192,347 0.97 20 -0.0432 % 2,702.3
FixedReset Bank Non 1.93 % 1.81 % 170,036 1.00 2 -0.0600 % 2,884.3
FixedReset Ins Non 4.84 % 3.68 % 90,565 17.66 22 0.0538 % 2,515.6
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -7.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 4.47 %
BAM.PR.B Floater -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %
BAM.PR.K Floater -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.30 %
SLF.PR.G FixedReset Ins Non -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 3.69 %
GWO.PR.N FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.63 %
BNS.PR.I FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 22.41
Evaluated at bid price : 22.95
Bid-YTW : 3.39 %
BAM.PR.C Floater -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.30 %
TRP.PR.A FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.79 %
TD.PF.K FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 3.67 %
MFC.PR.F FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 3.65 %
PWF.PR.P FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.06 %
TRP.PR.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.98 %
NA.PR.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 3.59 %
BMO.PR.Y FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 3.69 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.63 %
BIP.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 24.02
Evaluated at bid price : 24.45
Bid-YTW : 5.15 %
BAM.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.76 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.77 %
CU.PR.F Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.78 %
NA.PR.S FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.72 %
CM.PR.Q FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.55
Evaluated at bid price : 21.85
Bid-YTW : 3.65 %
CM.PR.O FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 3.72 %
SLF.PR.H FixedReset Ins Non 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 3.51 %
IAF.PR.G FixedReset Ins Non 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.86
Evaluated at bid price : 22.38
Bid-YTW : 3.68 %
RY.PR.N Perpetual-Premium 4.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-26
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : -8.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.C FixedReset Disc 84,764 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 3.91 %
RY.PR.Z FixedReset Disc 64,461 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.35 %
CM.PR.S FixedReset Disc 60,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.51 %
W.PR.M FixedReset Prem 47,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.73 %
TD.PF.H FixedReset Prem 47,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.66 %
BAM.PF.I FixedReset Prem 42,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.03 %
There were 71 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: 10.30 – 11.69
Spot Rate : 1.3900
Average : 0.7884

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.30
Bid-YTW : 4.68 %

RY.PR.M FixedReset Disc Quote: 21.00 – 21.94
Spot Rate : 0.9400
Average : 0.5910

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %

TRP.PR.G FixedReset Disc Quote: 17.20 – 18.05
Spot Rate : 0.8500
Average : 0.5342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.98 %

BAM.PF.I FixedReset Prem Quote: 25.31 – 26.10
Spot Rate : 0.7900
Average : 0.4779

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.03 %

TD.PF.K FixedReset Disc Quote: 22.05 – 22.90
Spot Rate : 0.8500
Average : 0.5735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 3.67 %

CU.PR.H Perpetual-Premium Quote: 24.40 – 25.94
Spot Rate : 1.5400
Average : 1.2654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 24.08
Evaluated at bid price : 24.40
Bid-YTW : 5.46 %

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