July 27, 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 1.1687 % 2,688.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1687 % 4,932.6
Floater 3.23 % 3.26 % 107,793 19.09 3 1.1687 % 2,842.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,696.6
SplitShare 4.62 % 3.82 % 35,443 3.31 6 0.0451 % 4,414.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,444.4
Perpetual-Premium 5.19 % -11.53 % 58,175 0.09 25 0.0592 % 3,284.9
Perpetual-Discount 4.69 % 4.54 % 96,297 15.86 8 0.4659 % 3,976.4
FixedReset Disc 4.02 % 3.48 % 131,949 18.32 40 0.5344 % 2,792.6
Insurance Straight 4.89 % 0.66 % 75,015 0.09 22 0.1964 % 3,719.1
FloatingReset 2.86 % 3.13 % 33,930 19.39 2 0.4415 % 2,565.5
FixedReset Prem 4.82 % 3.12 % 151,722 1.60 32 0.1701 % 2,752.9
FixedReset Bank Non 1.80 % 1.92 % 110,194 0.51 1 0.0000 % 2,901.2
FixedReset Ins Non 4.07 % 3.41 % 120,681 18.22 20 0.1800 % 2,925.5
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
GWO.PR.N FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 3.30 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 3.24 %
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.98
Evaluated at bid price : 24.30
Bid-YTW : 3.53 %
CM.PR.Y FixedReset Prem 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.20 %
BAM.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 23.24
Evaluated at bid price : 24.25
Bid-YTW : 3.93 %
IFC.PR.E Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.16
Bid-YTW : 4.28 %
BAM.PF.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.26
Evaluated at bid price : 22.67
Bid-YTW : 3.95 %
TRP.PR.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 3.95 %
BAM.PR.R FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.12 %
BAM.PR.X FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 3.86 %
RY.PR.M FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.38 %
BIP.PR.A FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.98
Evaluated at bid price : 24.26
Bid-YTW : 4.37 %
BAM.PF.F FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.73
Evaluated at bid price : 23.56
Bid-YTW : 3.92 %
TRP.PR.G FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.64
Evaluated at bid price : 23.60
Bid-YTW : 3.86 %
BAM.PR.K Floater 5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 81,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.38 %
RY.PR.R FixedReset Prem 52,592 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.37 %
TRP.PR.A FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.85 %
GWO.PR.H Insurance Straight 36,705 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.91 %
IFC.PR.A FixedReset Ins Non 29,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 3.13 %
PWF.PR.P FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.52 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 14.42 – 15.28
Spot Rate : 0.8600
Average : 0.5860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %

CU.PR.I FixedReset Prem Quote: 26.65 – 27.16
Spot Rate : 0.5100
Average : 0.3542

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.05 %

SLF.PR.E Insurance Straight Quote: 25.00 – 25.40
Spot Rate : 0.4000
Average : 0.2912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.53 %

PWF.PR.G Perpetual-Premium Quote: 25.57 – 25.90
Spot Rate : 0.3300
Average : 0.2261

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -21.14 %

BAM.PF.G FixedReset Disc Quote: 22.25 – 22.89
Spot Rate : 0.6400
Average : 0.5678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 21.87
Evaluated at bid price : 22.25
Bid-YTW : 4.01 %

IAF.PR.B Insurance Straight Quote: 25.15 – 25.45
Spot Rate : 0.3000
Average : 0.2301

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.43 %

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