September 30, 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 1.4455 % 2,653.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4455 % 4,868.2
Floater 3.27 % 3.26 % 49,970 19.08 3 1.4455 % 2,805.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2159 % 3,704.3
SplitShare 4.63 % 3.73 % 35,281 3.70 6 0.2159 % 4,423.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2159 % 3,451.5
Perpetual-Premium 4.99 % -15.32 % 51,750 0.09 34 0.1410 % 3,327.8
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.1410 % 4,004.8
FixedReset Disc 3.94 % 3.58 % 110,248 17.63 40 0.2213 % 2,869.6
Insurance Straight 4.86 % -13.85 % 79,944 0.09 19 0.1705 % 3,753.3
FloatingReset 3.00 % 3.00 % 32,276 19.72 1 -1.0429 % 2,657.1
FixedReset Prem 4.66 % 2.99 % 132,150 2.43 33 0.0682 % 2,766.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2213 % 2,933.3
FixedReset Ins Non 4.06 % 3.49 % 93,108 17.85 20 0.1005 % 2,964.5
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.57 %
BAM.PF.H FixedReset Prem -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 2.81 %
BAM.PR.R FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.15 %
CU.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.02
Evaluated at bid price : 22.61
Bid-YTW : 3.82 %
TRP.PR.F FloatingReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 3.00 %
MFC.PR.N FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 23.00
Evaluated at bid price : 24.20
Bid-YTW : 3.46 %
PWF.PR.Z Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 2.45 %
TRP.PR.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.70
Evaluated at bid price : 23.70
Bid-YTW : 4.06 %
FTS.PR.H FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 3.80 %
FTS.PR.M FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 3.90 %
GWO.PR.N FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.46 %
BAM.PR.K Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.26 %
BAM.PR.B Floater 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 3.25 %
IFC.PR.A FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.39 %
BAM.PR.T FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 4.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
W.PR.M FixedReset Prem 170,451 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.15 %
TD.PF.H FixedReset Prem 27,386 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.65 %
CU.PR.C FixedReset Disc 27,022 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.02
Evaluated at bid price : 22.61
Bid-YTW : 3.82 %
RS.PR.A SplitShare 26,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.36
Bid-YTW : 4.34 %
CM.PR.Q FixedReset Disc 24,264 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.43 %
RY.PR.Z FixedReset Disc 22,527 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 23.14
Evaluated at bid price : 24.23
Bid-YTW : 3.38 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 17.26 – 18.50
Spot Rate : 1.2400
Average : 0.8202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.57 %

BAM.PF.H FixedReset Prem Quote: 27.20 – 27.88
Spot Rate : 0.6800
Average : 0.4104

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 2.81 %

BAM.PF.E FixedReset Disc Quote: 21.70 – 22.26
Spot Rate : 0.5600
Average : 0.4143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.16 %

FTS.PR.M FixedReset Disc Quote: 23.05 – 23.55
Spot Rate : 0.5000
Average : 0.3638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 3.90 %

RY.PR.M FixedReset Disc Quote: 24.40 – 24.99
Spot Rate : 0.5900
Average : 0.4571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 3.57 %

BAM.PR.R FixedReset Disc Quote: 20.20 – 20.72
Spot Rate : 0.5200
Average : 0.3938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.15 %

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