September 21, 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 0.1881 % 2,516.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1881 % 4,618.0
Floater 3.45 % 3.42 % 50,310 18.71 3 0.1881 % 2,661.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1868 % 3,692.1
SplitShare 4.65 % 3.97 % 34,332 3.72 6 -0.1868 % 4,409.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1868 % 3,440.2
Perpetual-Premium 5.01 % -11.35 % 53,509 0.09 34 -0.0660 % 3,318.3
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0660 % 3,993.4
FixedReset Disc 3.99 % 3.59 % 112,821 17.84 40 0.2251 % 2,821.2
Insurance Straight 4.87 % -11.21 % 81,776 0.09 21 0.0707 % 3,734.8
FloatingReset 3.13 % 3.12 % 31,860 19.42 1 -3.5503 % 2,535.8
FixedReset Prem 4.68 % 3.26 % 138,418 2.42 33 -0.0896 % 2,753.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2251 % 2,883.9
FixedReset Ins Non 4.06 % 3.33 % 95,590 18.20 20 0.3723 % 2,936.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.12 %
TRP.PR.G FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.00 %
TRP.PR.A FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.04 %
FTS.PR.H FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.73 %
MFC.PR.B Insurance Straight 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.32 %
BAM.PR.Z FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.77
Evaluated at bid price : 24.21
Bid-YTW : 3.99 %
MFC.PR.Q FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.62
Evaluated at bid price : 24.91
Bid-YTW : 3.44 %
CU.PR.C FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 21.75
Evaluated at bid price : 22.20
Bid-YTW : 3.67 %
BAM.PF.E FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 3.99 %
FTS.PR.K FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.75 %
NA.PR.W FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 3.26 %
BAM.PR.R FixedReset Disc 4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.08 %
MFC.PR.F FixedReset Ins Non 6.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 105,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.96
Evaluated at bid price : 24.00
Bid-YTW : 3.27 %
CM.PR.R FixedReset Prem 105,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 2.73 %
MFC.PR.L FixedReset Ins Non 100,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.76
Evaluated at bid price : 23.50
Bid-YTW : 3.27 %
BIP.PR.C FixedReset Disc 75,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.91 %
TD.PF.C FixedReset Disc 68,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.04
Evaluated at bid price : 24.26
Bid-YTW : 3.27 %
BMO.PR.C FixedReset Prem 56,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.18 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 23.10 – 23.89
Spot Rate : 0.7900
Average : 0.4842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.00 %

MFC.PR.C Insurance Straight Quote: 25.31 – 25.98
Spot Rate : 0.6700
Average : 0.4204

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -9.96 %

BMO.PR.W FixedReset Disc Quote: 24.23 – 24.95
Spot Rate : 0.7200
Average : 0.4901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.05
Evaluated at bid price : 24.23
Bid-YTW : 3.23 %

FTS.PR.F Perpetual-Premium Quote: 25.35 – 25.90
Spot Rate : 0.5500
Average : 0.3658

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -8.60 %

RY.PR.P Perpetual-Premium Quote: 26.80 – 27.29
Spot Rate : 0.4900
Average : 0.3401

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : -25.41 %

RY.PR.N Perpetual-Premium Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2425

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.11
Bid-YTW : -1.12 %

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