March 24, 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 0.2314 % 2,357.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2314 % 4,325.7
Floater 3.71 % 3.70 % 61,784 18.08 3 0.2314 % 2,492.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1389 % 3,677.8
SplitShare 4.77 % 4.21 % 40,644 3.61 9 0.1389 % 4,392.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1389 % 3,426.9
Perpetual-Premium 5.30 % -1.87 % 79,992 0.09 21 0.0987 % 3,255.9
Perpetual-Discount 4.93 % 4.94 % 80,864 15.51 13 0.0632 % 3,761.4
FixedReset Disc 4.36 % 3.88 % 194,063 17.18 52 -0.1827 % 2,662.2
Insurance Straight 4.98 % 4.56 % 90,605 4.02 22 0.0890 % 3,654.2
FloatingReset 2.94 % 3.25 % 50,728 19.10 2 -0.2355 % 2,388.3
FixedReset Prem 5.05 % 3.39 % 247,508 0.99 26 -0.1289 % 2,735.6
FixedReset Bank Non 1.81 % 2.26 % 218,785 0.85 1 0.0400 % 2,889.7
FixedReset Ins Non 4.41 % 3.82 % 147,109 17.45 22 0.0653 % 2,793.4
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 3.70 %
TD.PF.J FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %
TD.PF.K FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.10
Evaluated at bid price : 24.13
Bid-YTW : 3.85 %
NA.PR.E FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %
TD.PF.M FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.00 %
BAM.PR.R FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.61 %
BIP.PR.B FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.50 %
SLF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.82 %
MFC.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.07
Evaluated at bid price : 22.55
Bid-YTW : 3.71 %
CU.PR.D Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 24.64
Evaluated at bid price : 24.95
Bid-YTW : 4.94 %
TRP.PR.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.A FixedReset Disc 115,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.45 %
TRP.PR.J FixedReset Prem 107,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.24 %
CM.PR.O FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.37
Evaluated at bid price : 22.95
Bid-YTW : 3.69 %
SLF.PR.A Insurance Straight 57,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.77 %
MFC.PR.O FixedReset Ins Non 53,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.05 %
NA.PR.E FixedReset Disc 43,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.47 – 15.88
Spot Rate : 4.4100
Average : 2.9889

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 11.47
Evaluated at bid price : 11.47
Bid-YTW : 3.74 %

POW.PR.A Perpetual-Premium Quote: 25.70 – 26.70
Spot Rate : 1.0000
Average : 0.5455

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-23
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -14.71 %

TRP.PR.D FixedReset Disc Quote: 19.35 – 19.95
Spot Rate : 0.6000
Average : 0.4075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.54 %

TD.PF.J FixedReset Disc Quote: 24.27 – 24.80
Spot Rate : 0.5300
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %

NA.PR.E FixedReset Disc Quote: 23.84 – 24.25
Spot Rate : 0.4100
Average : 0.2467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %

TD.PF.C FixedReset Disc Quote: 22.75 – 23.23
Spot Rate : 0.4800
Average : 0.3211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 3.70 %

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