November 16, 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 1 -1.0471 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0471 % 5,384.8
Floater 2.96 % 2.98 % 79,934 19.74 3 -1.0471 % 3,103.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,698.9
SplitShare 4.63 % 4.29 % 57,593 3.82 5 -0.1542 % 4,417.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,446.5
Perpetual-Premium 5.13 % -8.20 % 50,332 0.09 29 -0.0363 % 3,276.0
Perpetual-Discount 4.66 % 4.58 % 74,929 15.78 6 0.2358 % 3,884.0
FixedReset Disc 3.77 % 3.85 % 119,694 17.17 37 -0.6082 % 2,927.0
Insurance Straight 4.92 % 4.51 % 93,030 3.47 20 0.0079 % 3,691.4
FloatingReset 2.42 % 2.72 % 26,537 20.40 2 0.4361 % 2,991.0
FixedReset Prem 4.64 % 3.00 % 122,112 1.99 33 -0.0743 % 2,752.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6082 % 2,991.9
FixedReset Ins Non 4.00 % 3.73 % 92,600 16.98 19 0.1424 % 3,010.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TRP.PR.B FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 %
BAM.PF.A FixedReset Prem -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
BAM.PR.R FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.41 %
NA.PR.S FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.84 %
SLF.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.73 %
TRP.PR.D FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.40 %
BAM.PR.C Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 2.95 %
TRP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %
MFC.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.06
Evaluated at bid price : 24.29
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.H FixedReset Ins Non 315,344 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.91 %
PWF.PR.I Perpetual-Premium 141,195 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 6.05 %
BNS.PR.H FixedReset Prem 89,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.68 %
TD.PF.C FixedReset Disc 62,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.21
Evaluated at bid price : 24.63
Bid-YTW : 3.73 %
RY.PR.S FixedReset Prem 57,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.80 %
BMO.PR.S FixedReset Disc 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.36
Evaluated at bid price : 24.71
Bid-YTW : 3.77 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.70
Spot Rate : 2.0500
Average : 1.3786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %

TRP.PR.C FixedReset Disc Quote: 15.90 – 16.48
Spot Rate : 0.5800
Average : 0.3593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %

RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.3856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %

BAM.PF.A FixedReset Prem Quote: 25.20 – 25.70
Spot Rate : 0.5000
Average : 0.3010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %

FTS.PR.F Perpetual-Premium Quote: 25.25 – 25.90
Spot Rate : 0.6500
Average : 0.5131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -9.44 %

TRP.PR.A FixedReset Disc Quote: 20.00 – 20.53
Spot Rate : 0.5300
Average : 0.4040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %

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