| 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 | -1.6604 % | 1,413.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.6604 % | 2,593.3 |
| Floater | 5.46 % | 5.76 % | 31,609 | 14.20 | 4 | -1.6604 % | 1,494.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2861 % | 3,353.3 |
| SplitShare | 4.95 % | 5.61 % | 80,618 | 3.88 | 7 | 0.2861 % | 4,004.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2861 % | 3,124.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1979 % | 2,870.3 |
| Perpetual-Discount | 5.86 % | 6.11 % | 83,399 | 13.75 | 35 | 0.1979 % | 3,078.7 |
| FixedReset Disc | 6.54 % | 5.38 % | 201,585 | 14.65 | 83 | 0.2374 % | 1,740.1 |
| Deemed-Retractible | 5.57 % | 5.87 % | 92,059 | 13.76 | 27 | 0.2008 % | 3,041.8 |
| FloatingReset | 5.08 % | 5.01 % | 55,559 | 15.43 | 3 | 0.3891 % | 1,709.4 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2374 % | 2,406.5 |
| FixedReset Bank Non | 2.02 % | 4.10 % | 172,256 | 1.67 | 2 | 0.1880 % | 2,733.7 |
| FixedReset Ins Non | 6.88 % | 5.60 % | 125,095 | 14.03 | 22 | -0.1321 % | 1,728.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset Disc | -8.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 13.16 Evaluated at bid price : 13.16 Bid-YTW : 6.35 % |
| TD.PF.I | FixedReset Disc | -6.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 16.23 Evaluated at bid price : 16.23 Bid-YTW : 5.52 % |
| BAM.PR.B | Floater | -2.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 7.54 Evaluated at bid price : 7.54 Bid-YTW : 5.77 % |
| MFC.PR.M | FixedReset Ins Non | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 13.39 Evaluated at bid price : 13.39 Bid-YTW : 5.74 % |
| MFC.PR.K | FixedReset Ins Non | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 5.52 % |
| BAM.PR.K | Floater | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 7.42 Evaluated at bid price : 7.42 Bid-YTW : 5.86 % |
| MFC.PR.C | Deemed-Retractible | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 19.64 Evaluated at bid price : 19.64 Bid-YTW : 5.83 % |
| PVS.PR.H | SplitShare | -2.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.61 % |
| MFC.PR.I | FixedReset Ins Non | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 5.71 % |
| TD.PF.M | FixedReset Disc | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.11 % |
| BAM.PR.C | Floater | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 7.55 Evaluated at bid price : 7.55 Bid-YTW : 5.76 % |
| MFC.PR.B | Deemed-Retractible | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 5.87 % |
| IFC.PR.A | FixedReset Ins Non | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 10.45 Evaluated at bid price : 10.45 Bid-YTW : 5.56 % |
| MFC.PR.Q | FixedReset Ins Non | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 14.89 Evaluated at bid price : 14.89 Bid-YTW : 5.55 % |
| MFC.PR.R | FixedReset Ins Non | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.70 % |
| RY.PR.M | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 5.36 % |
| SLF.PR.G | FixedReset Ins Non | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 8.47 Evaluated at bid price : 8.47 Bid-YTW : 5.30 % |
| TRP.PR.A | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.92 % |
| MFC.PR.L | FixedReset Ins Non | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.54 % |
| EIT.PR.B | SplitShare | 1.03 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2025-03-14 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 5.40 % |
| TRP.PR.F | FloatingReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 9.60 Evaluated at bid price : 9.60 Bid-YTW : 5.62 % |
| PWF.PR.T | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 5.69 % |
| PWF.PR.K | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.04 % |
| TRP.PR.E | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 6.00 % |
| GWO.PR.S | Deemed-Retractible | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 21.74 Evaluated at bid price : 22.00 Bid-YTW : 6.05 % |
| TRP.PR.D | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 5.76 % |
| POW.PR.B | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 21.61 Evaluated at bid price : 21.86 Bid-YTW : 6.19 % |
| BAM.PF.J | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.61 % |
| TRP.PR.J | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 24.42 Evaluated at bid price : 24.80 Bid-YTW : 5.54 % |
| TD.PF.J | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.09 % |
| IFC.PR.I | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 22.87 Evaluated at bid price : 23.26 Bid-YTW : 5.92 % |
| IAF.PR.I | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.47 % |
| GWO.PR.G | Deemed-Retractible | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 6.07 % |
| IAF.PR.G | FixedReset Ins Non | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 5.65 % |
| BMO.PR.D | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 5.35 % |
| PVS.PR.D | SplitShare | 1.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 5.46 % |
| IAF.PR.B | Deemed-Retractible | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 5.87 % |
| HSE.PR.C | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 9.53 % |
| HSE.PR.A | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 5.86 Evaluated at bid price : 5.86 Bid-YTW : 9.22 % |
| BNS.PR.H | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 22.50 Evaluated at bid price : 22.87 Bid-YTW : 5.03 % |
| BAM.PF.H | FixedReset Disc | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 23.05 Evaluated at bid price : 23.75 Bid-YTW : 5.30 % |
| BAM.PF.F | FixedReset Disc | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 6.25 % |
| BAM.PF.I | FixedReset Disc | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 22.19 Evaluated at bid price : 22.50 Bid-YTW : 5.39 % |
| TRP.PR.B | FixedReset Disc | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 7.49 Evaluated at bid price : 7.49 Bid-YTW : 5.56 % |
| TD.PF.E | FixedReset Disc | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 5.35 % |
| BAM.PF.A | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.05 % |
| GWO.PR.N | FixedReset Ins Non | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.72 % |
| RY.PR.S | FixedReset Disc | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 4.72 % |
| IFC.PR.E | Deemed-Retractible | 2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 22.60 Evaluated at bid price : 22.90 Bid-YTW : 5.75 % |
| TD.PF.D | FixedReset Disc | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 5.36 % |
| HSE.PR.E | FixedReset Disc | 2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 10.90 Evaluated at bid price : 10.90 Bid-YTW : 9.87 % |
| BAM.PF.B | FixedReset Disc | 2.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 13.78 Evaluated at bid price : 13.78 Bid-YTW : 6.17 % |
| SLF.PR.H | FixedReset Ins Non | 3.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 11.89 Evaluated at bid price : 11.89 Bid-YTW : 5.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.R | FixedReset Disc | 62,151 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 24.41 Evaluated at bid price : 24.75 Bid-YTW : 5.24 % |
| TD.PF.A | FixedReset Disc | 60,460 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 14.32 Evaluated at bid price : 14.32 Bid-YTW : 5.07 % |
| BNS.PR.G | FixedReset Disc | 48,212 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 24.33 Evaluated at bid price : 24.70 Bid-YTW : 5.20 % |
| TD.PF.J | FixedReset Disc | 43,515 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.09 % |
| CM.PR.R | FixedReset Disc | 38,968 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.72 % |
| RY.PR.S | FixedReset Disc | 28,935 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-15 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 4.72 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.M | FixedReset Ins Non | Quote: 13.39 – 16.00 Spot Rate : 2.6100 Average : 1.5602 YTW SCENARIO |
| MFC.PR.G | FixedReset Ins Non | Quote: 14.60 – 16.05 Spot Rate : 1.4500 Average : 0.9066 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 14.10 – 15.27 Spot Rate : 1.1700 Average : 0.7054 YTW SCENARIO |
| TD.PF.I | FixedReset Disc | Quote: 16.23 – 17.70 Spot Rate : 1.4700 Average : 1.0284 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 15.30 – 16.74 Spot Rate : 1.4400 Average : 1.0209 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 10.45 – 11.75 Spot Rate : 1.3000 Average : 0.8955 YTW SCENARIO |
Hi James – I am interested in the relationship between Perpetual Discounts and Fixed Reset Discounts over time. Especially as related to current yield, YTW and index value.
Would you be willing to share a chart or time series for any of these?
Stusclues, a propos that relationship, are you thinking of something like the chart and commentary James last posted on April 6 2020 [“MAPF Performance March 2020”]? Maybe not the same sort of granularity you’re looking for, but then again, it’s free 🙂
peet – that post is very good and does touch on many aspects of interest. Thanks!
I am interested in the relationship between Perpetual Discounts and Fixed Reset Discounts over time. Especially as related to current yield, YTW and index value.
The yield spread between PerpetualDiscounts and FixedReset Discounts is presented every month in Chart B-4 of PrefLetter, available for the low, low price of only $32.77 for a single issue including tax! That’s right, only $32,77! Or get an Annual Subscription, 12 issues plus the previous edition as a bonus, for only $209.05 including tax! Process your subscription now! Our dedicated server is standing by!