October 29, 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 0.2384 % 2,838.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2384 % 5,208.9
Floater 3.06 % 3.08 % 68,173 19.51 3 0.2384 % 3,001.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3598 % 3,717.9
SplitShare 4.61 % 4.19 % 54,000 3.87 5 -0.3598 % 4,439.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3598 % 3,464.2
Perpetual-Premium 5.08 % -5.44 % 56,549 0.09 32 0.0945 % 3,274.5
Perpetual-Discount 4.74 % 4.62 % 2,466,149 16.15 2 0.0000 % 3,845.7
FixedReset Disc 3.80 % 3.76 % 113,894 17.16 40 0.0534 % 2,924.2
Insurance Straight 4.94 % 4.12 % 83,962 1.59 20 -0.1009 % 3,673.5
FloatingReset 2.53 % 2.77 % 26,544 20.30 2 0.5698 % 2,865.1
FixedReset Prem 4.70 % 2.82 % 129,772 1.94 31 -0.0825 % 2,759.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0534 % 2,989.1
FixedReset Ins Non 4.03 % 3.68 % 98,538 17.29 19 0.4713 % 2,994.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.32 %
PVS.PR.J SplitShare -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.53 %
SLF.PR.D Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.57 %
BIP.PR.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.79 %
TRP.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 4.13 %
RY.PR.P Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-28
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : -17.14 %
MFC.PR.L FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 22.94
Evaluated at bid price : 23.82
Bid-YTW : 3.68 %
TD.PF.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 23.25
Evaluated at bid price : 24.54
Bid-YTW : 3.60 %
TRP.PR.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 4.17 %
TRP.PR.F FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 2.77 %
PWF.PR.H Perpetual-Premium 1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-28
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : -38.20 %
SLF.PR.G FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.62 %
MFC.PR.F FixedReset Ins Non 7.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 65,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 23.25
Evaluated at bid price : 24.56
Bid-YTW : 3.57 %
RY.PR.J FixedReset Disc 61,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.38 %
PWF.PF.A Perpetual-Discount 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 24.04
Evaluated at bid price : 24.42
Bid-YTW : 4.62 %
GWO.PR.Y Insurance Straight 32,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 24.43
Evaluated at bid price : 24.81
Bid-YTW : 4.55 %
CM.PR.R FixedReset Prem 32,235 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.29 %
TRP.PR.K FixedReset Prem 28,199 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.57 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.H Perpetual-Premium Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.5782

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-28
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : -38.20 %

BAM.PR.X FixedReset Disc Quote: 18.27 – 18.99
Spot Rate : 0.7200
Average : 0.4732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.32 %

MFC.PR.I FixedReset Ins Non Quote: 25.20 – 25.72
Spot Rate : 0.5200
Average : 0.3503

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.01 %

GWO.PR.T Insurance Straight Quote: 26.25 – 26.75
Spot Rate : 0.5000
Average : 0.3454

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.75
Evaluated at bid price : 26.25
Bid-YTW : 4.07 %

BIP.PR.F FixedReset Prem Quote: 26.00 – 26.45
Spot Rate : 0.4500
Average : 0.2955

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.39 %

BAM.PF.J FixedReset Prem Quote: 25.75 – 26.14
Spot Rate : 0.3900
Average : 0.2407

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 2.49 %

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