August 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 0.2336 % 2,607.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2336 % 4,784.0
Floater 3.33 % 3.36 % 65,299 18.80 3 0.2336 % 2,757.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0222 % 3,685.7
SplitShare 4.60 % 3.73 % 27,265 3.26 7 -0.0222 % 4,401.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0222 % 3,434.3
Perpetual-Premium 5.12 % -24.01 % 54,941 0.09 25 0.3076 % 3,333.3
Perpetual-Discount 4.66 % 3.32 % 74,988 0.58 8 0.1043 % 3,998.0
FixedReset Disc 3.93 % 3.36 % 130,391 17.96 40 0.0666 % 2,853.0
Insurance Straight 4.86 % -7.50 % 74,550 0.09 22 -0.1132 % 3,741.9
FloatingReset 2.87 % 3.16 % 32,053 19.27 2 -0.4641 % 2,591.3
FixedReset Prem 4.72 % 2.36 % 139,186 1.60 30 -0.0294 % 2,784.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0666 % 2,916.3
FixedReset Ins Non 4.03 % 3.23 % 99,702 18.34 20 -0.0129 % 2,954.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -9.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.84 %
MFC.PR.F FixedReset Ins Non -7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 3.47 %
IAF.PR.B Insurance Straight -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.00 %
TRP.PR.D FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 4.07 %
BMO.PR.D FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.36 %
NA.PR.C FixedReset Prem -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.54 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.46 %
BAM.PR.C Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.36 %
CU.PR.H Perpetual-Premium 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -13.63 %
POW.PR.D Perpetual-Premium 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-26
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : -35.37 %
BAM.PF.J FixedReset Prem 1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 1.70 %
TRP.PR.A FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 3.83 %
BAM.PR.T FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.82 %
BAM.PF.E FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 3.83 %
BIP.PR.A FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.15 %
IFC.PR.A FixedReset Ins Non 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.11 %
SLF.PR.G FixedReset Ins Non 5.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.20 %
BAM.PF.F FixedReset Disc 6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.G FixedReset Ins Non 69,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 2.73 %
ELF.PR.H Perpetual-Premium 51,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -17.49 %
CM.PR.O FixedReset Disc 46,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.08
Evaluated at bid price : 24.20
Bid-YTW : 3.28 %
RY.PR.J FixedReset Disc 31,938 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.27 %
BMO.PR.F FixedReset Prem 29,882 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.03 %
RY.PR.M FixedReset Disc 29,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 3.18 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 26.21 – 28.89
Spot Rate : 2.6800
Average : 1.5212

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -13.63 %

IAF.PR.B Insurance Straight Quote: 23.90 – 25.50
Spot Rate : 1.6000
Average : 0.9139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %

TRP.PR.D FixedReset Disc Quote: 20.48 – 22.00
Spot Rate : 1.5200
Average : 0.8474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 4.07 %

MFC.PR.F FixedReset Ins Non Quote: 16.31 – 17.89
Spot Rate : 1.5800
Average : 0.9963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 3.47 %

PWF.PR.P FixedReset Disc Quote: 15.35 – 17.45
Spot Rate : 2.1000
Average : 1.5363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.84 %

TD.PF.J FixedReset Prem Quote: 25.88 – 26.88
Spot Rate : 1.0000
Average : 0.5759

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 2.75 %

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