February 16, 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 4.3289 % 2,251.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.3289 % 4,132.1
Floater 3.84 % 3.88 % 55,442 17.63 3 4.3289 % 2,381.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,643.6
SplitShare 4.68 % 4.38 % 36,617 3.66 8 -0.0219 % 4,351.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,395.0
Perpetual-Premium 5.33 % -4.22 % 70,987 0.08 18 0.0282 % 3,250.8
Perpetual-Discount 4.93 % 4.91 % 81,083 15.48 13 -0.3887 % 3,758.8
FixedReset Disc 4.61 % 3.60 % 178,305 17.88 56 0.7740 % 2,541.6
Insurance Straight 4.95 % 4.67 % 82,673 15.30 22 -0.0324 % 3,633.7
FloatingReset 3.04 % 2.53 % 29,836 20.92 2 2.2956 % 2,271.1
FixedReset Prem 5.11 % 2.57 % 227,925 0.92 20 0.0529 % 2,715.5
FixedReset Bank Non 1.80 % 1.68 % 171,484 0.95 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.36 % 111,444 18.36 22 0.2656 % 2,765.2
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -5.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.56
Evaluated at bid price : 23.87
Bid-YTW : 3.45 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.15
Evaluated at bid price : 22.73
Bid-YTW : 3.55 %
PWF.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.60 %
IFC.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 3.55 %
BAM.PF.F FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.33 %
RY.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.70
Evaluated at bid price : 21.96
Bid-YTW : 3.23 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.27 %
TD.PF.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.89
Evaluated at bid price : 23.73
Bid-YTW : 3.42 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.10 %
TD.PF.J FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
BAM.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.14 %
TD.PF.D FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.63
Evaluated at bid price : 23.60
Bid-YTW : 3.40 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.34 %
SLF.PR.H FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.21 %
BAM.PR.X FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.03 %
RY.PR.J FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.46 %
TRP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 4.33 %
TRP.PR.F FloatingReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 3.63 %
BAM.PF.B FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.33 %
SLF.PR.J FloatingReset 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 2.53 %
BAM.PF.G FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.35 %
TD.PF.C FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.86
Evaluated at bid price : 22.24
Bid-YTW : 3.30 %
BAM.PR.T FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.16 %
BAM.PR.C Floater 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 3.89 %
PWF.PR.P FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.61 %
BAM.PF.E FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %
MFC.PR.F FixedReset Ins Non 3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.03 %
BAM.PR.K Floater 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 3.88 %
BAM.PR.R FixedReset Disc 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.11 %
BAM.PR.B Floater 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.L Perpetual-Discount 125,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-18
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 2.29 %
CM.PR.R FixedReset Disc 111,229 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.75
Evaluated at bid price : 25.00
Bid-YTW : 3.85 %
TD.PF.J FixedReset Disc 91,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
MFC.PR.C Insurance Straight 76,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.85
Evaluated at bid price : 25.06
Bid-YTW : 4.55 %
SLF.PR.D Insurance Straight 74,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.52 %
CU.PR.G Perpetual-Discount 73,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.97
Evaluated at bid price : 24.26
Bid-YTW : 4.63 %
There were 47 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: 22.24 – 24.30
Spot Rate : 2.0600
Average : 1.3763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.82
Evaluated at bid price : 22.24
Bid-YTW : 3.44 %

BAM.PF.E FixedReset Disc Quote: 18.45 – 22.24
Spot Rate : 3.7900
Average : 3.1466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %

CU.PR.F Perpetual-Discount Quote: 22.92 – 24.50
Spot Rate : 1.5800
Average : 0.9557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %

IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 0.8256

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %

CU.PR.I FixedReset Prem Quote: 25.61 – 26.40
Spot Rate : 0.7900
Average : 0.4864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.92 %

EIT.PR.B SplitShare Quote: 25.96 – 26.96
Spot Rate : 1.0000
Average : 0.7599

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.01 %

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