| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.1313 % | 2,153.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1313 % | 3,950.8 |
| Floater | 5.44 % | 5.70 % | 41,793 | 14.37 | 3 | 0.1313 % | 2,276.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2190 % | 3,281.6 |
| SplitShare | 4.88 % | 4.69 % | 78,738 | 3.82 | 8 | 0.2190 % | 3,919.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2190 % | 3,057.7 |
| Perpetual-Premium | 5.57 % | -16.68 % | 85,051 | 0.09 | 10 | -0.0196 % | 2,961.7 |
| Perpetual-Discount | 5.39 % | 5.47 % | 75,937 | 14.69 | 23 | -0.0469 % | 3,110.7 |
| FixedReset Disc | 5.22 % | 5.42 % | 184,858 | 14.87 | 61 | -0.0393 % | 2,201.7 |
| Deemed-Retractible | 5.20 % | 5.72 % | 92,650 | 8.14 | 27 | -0.1178 % | 3,084.3 |
| FloatingReset | 4.22 % | 4.29 % | 54,767 | 2.68 | 5 | -0.0646 % | 2,419.4 |
| FixedReset Prem | 5.06 % | 3.63 % | 304,767 | 2.20 | 22 | -0.0053 % | 2,587.7 |
| FixedReset Bank Non | 1.98 % | 3.95 % | 136,763 | 2.70 | 3 | 0.1393 % | 2,641.2 |
| FixedReset Ins Non | 4.97 % | 6.68 % | 111,951 | 8.26 | 22 | -0.0883 % | 2,268.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.L | FixedReset Ins Non | -2.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.64 Bid-YTW : 8.00 % |
| EMA.PR.F | FixedReset Disc | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.72 % |
| BAM.PR.Z | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.76 % |
| NA.PR.W | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 5.55 % |
| MFC.PR.M | FixedReset Ins Non | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 7.45 % |
| TD.PF.J | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 5.10 % |
| BAM.PF.C | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.83 % |
| BMO.PR.W | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.40 % |
| PWF.PR.S | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 21.91 Evaluated at bid price : 21.91 Bid-YTW : 5.50 % |
| CU.PR.D | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 22.25 Evaluated at bid price : 22.60 Bid-YTW : 5.48 % |
| BAM.PF.A | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.54 % |
| GWO.PR.R | Deemed-Retractible | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 5.81 % |
| NA.PR.G | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 21.61 Evaluated at bid price : 21.94 Bid-YTW : 5.16 % |
| HSE.PR.E | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 6.50 % |
| HSE.PR.A | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 6.41 % |
| GWO.PR.N | FixedReset Ins Non | 1.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.89 Bid-YTW : 8.67 % |
| HSE.PR.C | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.42 % |
| MFC.PR.F | FixedReset Ins Non | 2.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.10 Bid-YTW : 8.57 % |
| HSE.PR.G | FixedReset Disc | 3.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.52 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.Z | FixedReset Bank Non | 93,550 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 3.95 % |
| RY.PR.J | FixedReset Disc | 68,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 5.35 % |
| RY.PR.M | FixedReset Disc | 49,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.28 % |
| BMO.PR.E | FixedReset Disc | 39,913 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 21.96 Evaluated at bid price : 22.45 Bid-YTW : 5.01 % |
| MFC.PR.Q | FixedReset Ins Non | 36,400 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 6.75 % |
| HSE.PR.C | FixedReset Disc | 34,740 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-15 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.42 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.Z | FixedReset Disc | Quote: 20.25 – 20.90 Spot Rate : 0.6500 Average : 0.4100 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 17.64 – 18.20 Spot Rate : 0.5600 Average : 0.3951 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.15 – 23.60 Spot Rate : 0.4500 Average : 0.3178 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 22.60 – 23.07 Spot Rate : 0.4700 Average : 0.3407 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 15.15 – 15.63 Spot Rate : 0.4800 Average : 0.3523 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 21.31 – 21.78 Spot Rate : 0.4700 Average : 0.3586 YTW SCENARIO |
HI JAMES , for the perpetual discount ,pwf.pr.s , why is the maturity price $21.91 ? thankyou .
It’s an unfortunate edge-effect.
As you probably know, on April 12 PWF.PR.S had a bid price of 22.15 and a Limit Maturity end-price of 21.86, compared to the April 15 figures, above, of 21.91 and 21.91.
How about that? The bid price went down and the end-price went up! How does that make sense?
Well, it doesn’t. It’s an edge-effect in the programming, cause by:
i) the call schedule of the issue (it’s only callable at par commencing 2022-4-30), and
ii) my calculation algorithm ignoring results of less than 5%.
On April 12, with a bid of 22.15, HIMIPref™ reports a call probability of 6.03% for a call at par 2022-4-30 and the Limit Maturity price (probability 93.97%) is reduced a little.
On April 15, with a bid of 21.91, the Limit Maturity scenario is reported to have a probability of 100.00%, and the Limit Maturity price is therefore not reduced at all.
I could make the transitions smoother by reducing the 5% requirement for scenarios to become components of future calculations … but then my calculation time will increase.
A trade-off has to be made between calculation time and calculation accuracy, (accuracy? Well, let’s say “smoothness”, instead) and, for better or worse, I’ve made mine, despite all the complicated explanations I have to make when being grilled on strange results near the edge. I can only console myself with the thought that the practical effects on the valuation calculation are minor.