October 22, 2020

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 -0.1214 % 1,633.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1214 % 2,997.1
Floater 5.21 % 5.27 % 39,645 15.04 3 -0.1214 % 1,727.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,534.9
SplitShare 4.80 % 4.68 % 51,812 3.55 8 -0.0050 % 4,221.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,293.8
Perpetual-Premium 5.29 % -1.74 % 88,220 0.09 17 0.0138 % 3,198.5
Perpetual-Discount 5.10 % 5.00 % 79,260 15.02 17 0.4329 % 3,606.9
FixedReset Disc 5.44 % 4.12 % 130,598 16.59 65 -0.3319 % 2,125.0
Deemed-Retractible 5.07 % 4.83 % 120,314 15.24 22 0.0074 % 3,501.8
FloatingReset 1.97 % 2.43 % 42,664 1.26 3 -0.0168 % 1,796.9
FixedReset Prem 5.20 % 3.27 % 266,226 0.81 14 0.1491 % 2,652.0
FixedReset Bank Non 1.94 % 2.24 % 130,322 1.25 2 0.0000 % 2,859.4
FixedReset Ins Non 5.44 % 4.15 % 80,655 16.62 22 -0.0275 % 2,220.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %
IAF.PR.G FixedReset Ins Non -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %
PWF.PR.P FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.83 %
NA.PR.W FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.26 %
BMO.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.74
Evaluated at bid price : 23.10
Bid-YTW : 3.93 %
MFC.PR.F FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.83
Evaluated at bid price : 10.83
Bid-YTW : 4.13 %
BAM.PR.R FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 5.02 %
CU.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.54
Evaluated at bid price : 24.80
Bid-YTW : 5.00 %
CU.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.21 %
CM.PR.Q FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.08 %
TD.PF.I FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 3.82 %
TD.PF.D FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.01 %
CU.PR.F Perpetual-Discount 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 511,872 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.27 %
CM.PR.R FixedReset Disc 197,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.94
Evaluated at bid price : 23.32
Bid-YTW : 4.06 %
BMO.PR.C FixedReset Disc 99,249 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
MFC.PR.M FixedReset Ins Non 66,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %
TD.PF.J FixedReset Disc 42,395 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.07 %
TRP.PR.K FixedReset Disc 29,461 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.66
Evaluated at bid price : 24.90
Bid-YTW : 4.92 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.99
Spot Rate : 7.0100
Average : 3.9201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %

IAF.PR.G FixedReset Ins Non Quote: 18.25 – 19.40
Spot Rate : 1.1500
Average : 0.7255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %

BIP.PR.B FixedReset Disc Quote: 24.43 – 24.90
Spot Rate : 0.4700
Average : 0.3124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.40
Evaluated at bid price : 24.43
Bid-YTW : 5.64 %

ELF.PR.F Perpetual-Discount Quote: 24.75 – 25.26
Spot Rate : 0.5100
Average : 0.3669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.38 %

MFC.PR.M FixedReset Ins Non Quote: 18.20 – 18.60
Spot Rate : 0.4000
Average : 0.2678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %

IFC.PR.E Deemed-Retractible Quote: 25.00 – 25.60
Spot Rate : 0.6000
Average : 0.4742

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2050-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.26 %

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