September 20, 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 -0.6939 % 2,512.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6939 % 4,609.3
Floater 3.46 % 3.43 % 51,141 18.68 3 -0.6939 % 2,656.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1126 % 3,699.0
SplitShare 4.64 % 3.86 % 34,708 3.72 6 -0.1126 % 4,417.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1126 % 3,446.6
Perpetual-Premium 5.00 % -13.28 % 54,016 0.09 34 -0.2022 % 3,320.5
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.2022 % 3,996.0
FixedReset Disc 4.00 % 3.58 % 104,752 18.23 40 -0.7799 % 2,814.9
Insurance Straight 4.88 % -9.64 % 84,962 0.09 21 -0.2079 % 3,732.2
FloatingReset 3.02 % 3.01 % 32,182 19.70 1 3.6810 % 2,629.1
FixedReset Prem 4.68 % 3.25 % 131,016 2.43 33 -0.1154 % 2,756.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7799 % 2,877.4
FixedReset Ins Non 4.07 % 3.36 % 93,977 18.16 20 -0.5361 % 2,925.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -6.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.59 %
FTS.PR.K FixedReset Disc -5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 3.85 %
NA.PR.W FixedReset Disc -4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.60
Evaluated at bid price : 23.36
Bid-YTW : 3.43 %
BAM.PR.R FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.25 %
BAM.PF.E FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.11 %
MFC.PR.Q FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.08
Evaluated at bid price : 24.40
Bid-YTW : 3.59 %
PWF.PR.P FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.58 %
MFC.PR.B Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.66 %
BAM.PR.Z FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.34
Evaluated at bid price : 23.81
Bid-YTW : 4.06 %
BAM.PR.B Floater -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 3.43 %
IFC.PR.E Insurance Straight -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.12
Bid-YTW : 4.14 %
BMO.PR.Y FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.15
Evaluated at bid price : 24.70
Bid-YTW : 3.42 %
FTS.PR.M FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 21.96
Evaluated at bid price : 22.30
Bid-YTW : 3.85 %
FTS.PR.H FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 3.69 %
TRP.PR.A FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.97 %
TRP.PR.F FloatingReset 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 95,333 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.96
Evaluated at bid price : 24.00
Bid-YTW : 3.27 %
BMO.PR.T FixedReset Disc 74,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.01
Evaluated at bid price : 24.06
Bid-YTW : 3.23 %
W.PR.M FixedReset Prem 69,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.81 %
BMO.PR.Y FixedReset Disc 55,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.15
Evaluated at bid price : 24.70
Bid-YTW : 3.42 %
IAF.PR.G FixedReset Ins Non 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.58
Evaluated at bid price : 24.98
Bid-YTW : 3.70 %
BMO.PR.C FixedReset Prem 44,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.77 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 16.00 – 17.42
Spot Rate : 1.4200
Average : 0.8909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.59 %

NA.PR.W FixedReset Disc Quote: 23.36 – 24.37
Spot Rate : 1.0100
Average : 0.5589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.60
Evaluated at bid price : 23.36
Bid-YTW : 3.43 %

ELF.PR.G Perpetual-Premium Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.5680

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %

BAM.PR.R FixedReset Disc Quote: 18.79 – 20.25
Spot Rate : 1.4600
Average : 1.0624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.25 %

FTS.PR.K FixedReset Disc Quote: 19.83 – 20.83
Spot Rate : 1.0000
Average : 0.6178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 3.85 %

PWF.PR.P FixedReset Disc Quote: 16.66 – 17.95
Spot Rate : 1.2900
Average : 1.0554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.58 %

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