January 6, 2022

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 3.04 % 3.52 % 40,599 20.05 1 -0.2973 % 2,866.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0932 % 5,320.3
Floater 2.99 % 3.01 % 55,203 19.72 3 0.0932 % 3,066.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1045 % 3,647.1
SplitShare 4.71 % 4.32 % 32,820 3.59 6 -0.1045 % 4,355.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1045 % 3,398.3
Perpetual-Premium 5.15 % -13.44 % 42,518 0.09 23 -0.0930 % 3,262.1
Perpetual-Discount 4.77 % 4.84 % 51,085 15.76 11 -0.4853 % 3,855.3
FixedReset Disc 3.96 % 3.93 % 102,026 16.97 42 0.0042 % 2,841.8
Insurance Straight 4.89 % 4.53 % 80,539 15.72 18 -0.1190 % 3,667.9
FloatingReset 2.63 % 2.97 % 33,268 19.82 2 0.8090 % 2,831.9
FixedReset Prem 4.69 % 2.94 % 117,688 1.31 28 -0.0735 % 2,741.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0042 % 2,904.9
FixedReset Ins Non 4.08 % 3.74 % 68,270 17.29 17 0.3840 % 2,980.1
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
BAM.PR.Z FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.62
Evaluated at bid price : 24.15
Bid-YTW : 4.51 %
FTS.PR.H FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.04 %
CIU.PR.A Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.88 %
BAM.PF.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.42
Evaluated at bid price : 22.82
Bid-YTW : 4.46 %
SLF.PR.H FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
SLF.PR.C Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 4.57 %
BMO.PR.F FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.58 %
TD.PF.D FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.57 %
CU.PR.E Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-05
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.99 %
TRP.PR.F FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 2.97 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.45 %
FTS.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.03 %
TD.PF.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.16 %
BMO.PR.W FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.15
Evaluated at bid price : 24.36
Bid-YTW : 3.69 %
FTS.PR.M FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
FTS.PR.K FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.05 %
MFC.PR.N FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.82
Evaluated at bid price : 23.74
Bid-YTW : 3.84 %
SLF.PR.G FixedReset Ins Non 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.56 %
MFC.PR.F FixedReset Ins Non 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.J FixedReset Prem 79,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.81 %
NA.PR.S FixedReset Disc 33,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.37
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
TRP.PR.A FixedReset Disc 31,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.48 %
BMO.PR.B FixedReset Prem 26,472 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.90 %
FTS.PR.M FixedReset Disc 25,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
SLF.PR.H FixedReset Ins Non 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.19
Spot Rate : 11.6900
Average : 6.5488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.25 %

TRP.PR.A FixedReset Disc Quote: 18.75 – 20.70
Spot Rate : 1.9500
Average : 1.3347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.48 %

BAM.PR.Z FixedReset Disc Quote: 24.15 – 24.94
Spot Rate : 0.7900
Average : 0.4981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.62
Evaluated at bid price : 24.15
Bid-YTW : 4.51 %

CU.PR.G Perpetual-Discount Quote: 24.00 – 24.91
Spot Rate : 0.9100
Average : 0.6629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %

IFC.PR.I Perpetual-Premium Quote: 26.37 – 27.60
Spot Rate : 1.2300
Average : 1.0240

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.55 %

BAM.PF.E FixedReset Disc Quote: 20.87 – 22.30
Spot Rate : 1.4300
Average : 1.2764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 4.68 %

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