January 7, 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 -0.2834 % 1,892.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2834 % 3,472.2
Floater 4.57 % 4.60 % 48,629 16.26 3 -0.2834 % 2,001.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,621.5
SplitShare 4.71 % 4.48 % 39,746 3.77 8 0.0392 % 4,324.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,374.4
Perpetual-Premium 5.35 % -6.01 % 64,671 0.09 18 0.2585 % 3,229.7
Perpetual-Discount 5.00 % 5.04 % 68,055 15.41 13 0.3285 % 3,696.3
FixedReset Disc 4.99 % 3.79 % 136,024 17.55 57 -0.0156 % 2,354.6
Insurance Straight 5.03 % 4.72 % 84,269 15.36 22 0.1982 % 3,574.3
FloatingReset 2.52 % 0.78 % 31,736 0.15 3 0.3359 % 1,883.6
FixedReset Prem 5.15 % 2.98 % 198,167 1.03 20 -0.1530 % 2,690.1
FixedReset Bank Non 1.94 % 1.72 % 150,620 1.05 2 -0.0400 % 2,881.4
FixedReset Ins Non 4.89 % 3.68 % 88,047 17.72 22 1.4079 % 2,492.3
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.86 %
GWO.PR.N FixedReset Ins Non -4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.49 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.07 %
CU.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 3.94 %
BAM.PF.I FixedReset Prem -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.52 %
MFC.PR.K FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 3.66 %
SLF.PR.B Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.64
Evaluated at bid price : 24.89
Bid-YTW : 4.84 %
SLF.PR.C Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 23.92
Evaluated at bid price : 24.18
Bid-YTW : 4.62 %
EIT.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.85 %
IAF.PR.I FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.73 %
NA.PR.W FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 3.73 %
BIK.PR.A FixedReset Prem 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 3.63 %
TRP.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.61 %
MFC.PR.I FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 22.52
Evaluated at bid price : 22.89
Bid-YTW : 3.64 %
PWF.PR.P FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.22 %
MFC.PR.F FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 3.66 %
BAM.PR.X FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %
MFC.PR.N FixedReset Ins Non 31.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 3.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.D FixedReset Disc 160,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.11
Evaluated at bid price : 24.44
Bid-YTW : 3.73 %
BNS.PR.E FixedReset Prem 124,330 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.44 %
TD.PF.G FixedReset Prem 87,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.94 %
BAM.PF.F FixedReset Disc 67,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.74 %
NA.PR.X FixedReset Prem 66,463 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 1.94 %
IFC.PR.A FixedReset Ins Non 55,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 3.64 %
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.X FixedReset Disc Quote: 12.70 – 14.75
Spot Rate : 2.0500
Average : 1.1906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %

SLF.PR.I FixedReset Ins Non Quote: 21.38 – 23.00
Spot Rate : 1.6200
Average : 0.9116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 3.70 %

BIP.PR.C FixedReset Disc Quote: 24.75 – 25.74
Spot Rate : 0.9900
Average : 0.5835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.25
Evaluated at bid price : 24.75
Bid-YTW : 5.42 %

BAM.PR.T FixedReset Disc Quote: 14.25 – 15.17
Spot Rate : 0.9200
Average : 0.5392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.86 %

GWO.PR.N FixedReset Ins Non Quote: 11.26 – 12.20
Spot Rate : 0.9400
Average : 0.5827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 3.81 %

TRP.PR.E FixedReset Disc Quote: 15.05 – 15.70
Spot Rate : 0.6500
Average : 0.4117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.91 %

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