| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.0411 % | 3,066.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0411 % | 5,626.5 |
| Floater | 3.79 % | 4.02 % | 40,278 | 17.33 | 4 | -0.0411 % | 3,242.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1194 % | 3,221.9 |
| SplitShare | 4.47 % | 4.76 % | 52,520 | 4.16 | 6 | 0.1194 % | 3,847.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1194 % | 3,002.1 |
| Perpetual-Premium | 5.86 % | 0.37 % | 52,330 | 0.09 | 3 | 0.2245 % | 2,895.5 |
| Perpetual-Discount | 5.59 % | 5.69 % | 75,580 | 14.31 | 31 | -0.0941 % | 2,930.9 |
| FixedReset Disc | 4.52 % | 5.37 % | 163,007 | 14.90 | 58 | -0.4773 % | 2,462.7 |
| Deemed-Retractible | 5.33 % | 6.64 % | 68,792 | 5.18 | 27 | -0.1146 % | 2,911.7 |
| FloatingReset | 3.84 % | 4.30 % | 38,756 | 5.41 | 6 | -0.6087 % | 2,739.2 |
| FixedReset Prem | 5.05 % | 4.47 % | 218,600 | 2.55 | 22 | -0.0499 % | 2,533.2 |
| FixedReset Bank Non | 2.96 % | 3.74 % | 116,156 | 0.28 | 6 | 0.1028 % | 2,581.1 |
| FixedReset Ins Non | 4.56 % | 6.37 % | 127,950 | 5.28 | 22 | -0.3026 % | 2,462.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.R | FixedReset Disc | -3.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 5.88 % |
| IFC.PR.G | FixedReset Ins Non | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.58 Bid-YTW : 6.19 % |
| BAM.PF.F | FixedReset Disc | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 22.64 Evaluated at bid price : 23.21 Bid-YTW : 5.71 % |
| TRP.PR.B | FixedReset Disc | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 15.61 Evaluated at bid price : 15.61 Bid-YTW : 5.78 % |
| PWF.PR.Q | FloatingReset | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 4.06 % |
| TRP.PR.A | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 5.81 % |
| BAM.PF.B | FixedReset Disc | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 21.77 Evaluated at bid price : 22.21 Bid-YTW : 5.72 % |
| TRP.PR.H | FloatingReset | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.73 % |
| BAM.PR.N | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 6.00 % |
| BAM.PR.T | FixedReset Disc | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.73 % |
| BAM.PF.G | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 22.91 Evaluated at bid price : 23.31 Bid-YTW : 5.63 % |
| BAM.PF.H | FixedReset Prem | -1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.73 % |
| CU.PR.C | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.34 % |
| MFC.PR.F | FixedReset Ins Non | -1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.31 Bid-YTW : 9.93 % |
| VNR.PR.A | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 22.88 Evaluated at bid price : 24.03 Bid-YTW : 5.30 % |
| PWF.PR.L | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 22.05 Evaluated at bid price : 22.28 Bid-YTW : 5.76 % |
| SLF.PR.G | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 9.16 % |
| GWO.PR.T | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.78 Bid-YTW : 7.11 % |
| BAM.PF.D | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.88 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.I | FixedReset Prem | 60,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 5.42 % |
| PWF.PR.R | Perpetual-Discount | 57,096 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 24.11 Evaluated at bid price : 24.44 Bid-YTW : 5.66 % |
| RY.PR.W | Perpetual-Discount | 45,790 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 23.67 Evaluated at bid price : 23.94 Bid-YTW : 5.12 % |
| BNS.PR.E | FixedReset Prem | 45,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.90 % |
| RY.PR.Z | FixedReset Disc | 33,154 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 21.78 Evaluated at bid price : 22.23 Bid-YTW : 5.20 % |
| RY.PR.M | FixedReset Disc | 32,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-13 Maturity Price : 22.96 Evaluated at bid price : 23.29 Bid-YTW : 5.25 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.R | FixedReset Disc | Quote: 19.22 – 20.60 Spot Rate : 1.3800 Average : 0.8380 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 22.21 – 22.85 Spot Rate : 0.6400 Average : 0.4373 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 20.12 – 20.75 Spot Rate : 0.6300 Average : 0.4482 YTW SCENARIO |
| NA.PR.W | FixedReset Disc | Quote: 21.40 – 21.88 Spot Rate : 0.4800 Average : 0.3089 YTW SCENARIO |
| VNR.PR.A | FixedReset Disc | Quote: 24.03 – 24.49 Spot Rate : 0.4600 Average : 0.3057 YTW SCENARIO |
| PWF.PR.Q | FloatingReset | Quote: 20.52 – 21.24 Spot Rate : 0.7200 Average : 0.5714 YTW SCENARIO |
James –
Re: MFC.PR.F – the Hard Maturity Date in Jan 2025 seems somewhat arbitrary. Doesn’t seem to come from the issuer’s prospectus.
I’m sure there is a good reason for this – apologize if I’ve missed the explanation for the selection of these “Hard Dates” elsewhere on the site.
What’s the deal with the 9+ % YTW scenario on these.
The Jan 2025 date is completely arbitrary. I intend to extend it soon, as the regulatory process that underlies this analysis is taking longer than I thought.
In a nutshell, I believe that the NVCC rules applied to banks will be applied to insurers. Property and Casualty insurers may escape the net; most likely to be subject to new rules are the internationally active life insurers.
For links to my arguments supporting my position on this issue, see the post DeemedRetractible Review: September, 2016.
As for the 9%+ YTW … the market disagrees with my analysis. We will just have to wait and see what happens.
Thanks James – thought it was related. Much appreciated.