August 23, 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 0.1302 % 2,596.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1302 % 4,764.2
Floater 3.34 % 3.38 % 72,170 18.75 3 0.1302 % 2,745.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2887 % 3,671.6
SplitShare 4.61 % 3.86 % 26,714 3.28 7 -0.2887 % 4,384.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2887 % 3,421.1
Perpetual-Premium 5.14 % -18.86 % 55,079 0.09 25 0.0139 % 3,315.1
Perpetual-Discount 4.67 % 3.54 % 79,117 0.76 8 -0.1438 % 3,992.8
FixedReset Disc 3.98 % 3.43 % 111,183 18.28 40 0.9908 % 2,823.0
Insurance Straight 4.87 % -1.70 % 70,869 0.09 22 -0.0390 % 3,741.3
FloatingReset 2.91 % 3.23 % 32,739 19.11 2 -0.4702 % 2,557.5
FixedReset Prem 4.78 % 2.86 % 141,500 2.20 31 0.1776 % 2,762.9
FixedReset Bank Non 1.81 % 1.97 % 105,841 0.44 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.29 % 105,868 18.30 20 0.8378 % 2,957.1
Performance Highlights
Issue Index Change Notes
BIK.PR.A FixedReset Prem -2.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.59 %
PVS.PR.I SplitShare -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.19 %
IFC.PR.E Insurance Straight -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.45
Bid-YTW : 3.84 %
RY.PR.P Perpetual-Premium -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-22
Maturity Price : 26.00
Evaluated at bid price : 26.47
Bid-YTW : -16.24 %
SLF.PR.G FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 3.30 %
TRP.PR.D FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.05 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 3.19 %
NA.PR.S FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 23.25
Evaluated at bid price : 24.54
Bid-YTW : 3.31 %
BMO.PR.T FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.87
Evaluated at bid price : 23.78
Bid-YTW : 3.25 %
BAM.PR.T FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.96 %
TRP.PR.C FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 3.91 %
BAM.PF.G FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.46
Evaluated at bid price : 23.18
Bid-YTW : 3.86 %
TRP.PR.G FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.63
Evaluated at bid price : 23.57
Bid-YTW : 3.86 %
IFC.PR.A FixedReset Ins Non 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 3.17 %
SLF.PR.H FixedReset Ins Non 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 3.17 %
BAM.PR.R FixedReset Disc 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.00 %
BAM.PF.F FixedReset Disc 3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 23.00
Evaluated at bid price : 24.08
Bid-YTW : 3.86 %
MFC.PR.F FixedReset Ins Non 8.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 3.19 %
PWF.PR.P FixedReset Disc 11.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 3.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 216,734 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 1.45 %
MFC.PR.R FixedReset Ins Non 141,939 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 1.26 %
BIP.PR.D FixedReset Prem 73,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.99 %
MFC.PR.L FixedReset Ins Non 64,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.74
Evaluated at bid price : 23.48
Bid-YTW : 3.23 %
MFC.PR.N FixedReset Ins Non 57,224 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.67
Evaluated at bid price : 23.53
Bid-YTW : 3.35 %
BAM.PF.D Perpetual-Discount 53,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.29 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.80 – 13.80
Spot Rate : 1.0000
Average : 0.6609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %

MFC.PR.B Insurance Straight Quote: 25.15 – 26.00
Spot Rate : 0.8500
Average : 0.5166

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-22
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -6.70 %

TRP.PR.F FloatingReset Quote: 16.40 – 17.45
Spot Rate : 1.0500
Average : 0.7545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.23 %

BIK.PR.A FixedReset Prem Quote: 26.00 – 26.73
Spot Rate : 0.7300
Average : 0.4441

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.59 %

BAM.PF.G FixedReset Disc Quote: 23.18 – 23.95
Spot Rate : 0.7700
Average : 0.5855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.46
Evaluated at bid price : 23.18
Bid-YTW : 3.86 %

PVS.PR.F SplitShare Quote: 25.65 – 26.15
Spot Rate : 0.5000
Average : 0.3431

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.86 %

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