| 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 | -2.4918 % | 2,614.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -2.4918 % | 4,797.6 |
| Floater | 4.44 % | 4.81 % | 40,040 | 15.75 | 4 | -2.4918 % | 2,764.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3252 % | 3,168.8 |
| SplitShare | 4.65 % | 5.32 % | 82,992 | 4.64 | 7 | -0.3252 % | 3,784.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3252 % | 2,952.6 |
| Perpetual-Premium | 5.96 % | 6.01 % | 53,746 | 13.84 | 3 | 0.1878 % | 2,849.7 |
| Perpetual-Discount | 5.74 % | 5.94 % | 77,457 | 13.91 | 31 | -0.0620 % | 2,856.6 |
| FixedReset Disc | 4.90 % | 5.68 % | 172,997 | 14.50 | 58 | -0.4026 % | 2,279.1 |
| Deemed-Retractible | 5.52 % | 7.53 % | 88,956 | 5.18 | 26 | 0.0831 % | 2,857.8 |
| FloatingReset | 4.12 % | 4.81 % | 34,985 | 5.37 | 6 | -0.0351 % | 2,556.0 |
| FixedReset Prem | 5.13 % | 4.73 % | 242,852 | 2.50 | 22 | -0.1955 % | 2,497.6 |
| FixedReset Bank Non | 2.98 % | 4.26 % | 123,820 | 2.94 | 6 | 0.0413 % | 2,567.5 |
| FixedReset Ins Non | 4.93 % | 7.90 % | 126,190 | 5.22 | 22 | -0.2216 % | 2,288.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -3.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.83 % |
| CM.PR.S | FixedReset Disc | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.61 % |
| BAM.PR.C | Floater | -2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 4.81 % |
| HSE.PR.A | FixedReset Disc | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 14.14 Evaluated at bid price : 14.14 Bid-YTW : 6.74 % |
| PWF.PR.A | Floater | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 3.74 % |
| RY.PR.M | FixedReset Disc | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.64 % |
| BAM.PR.K | Floater | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 4.81 % |
| BMO.PR.E | FixedReset Prem | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 22.36 Evaluated at bid price : 23.14 Bid-YTW : 5.41 % |
| TD.PF.K | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.40 % |
| BAM.PF.B | FixedReset Disc | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 6.18 % |
| NA.PR.E | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.77 % |
| HSE.PR.E | FixedReset Disc | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 6.89 % |
| EML.PR.A | FixedReset Ins Non | -1.48 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 5.64 % |
| BNS.PR.I | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 22.56 Evaluated at bid price : 23.56 Bid-YTW : 5.09 % |
| TD.PF.E | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 22.07 Evaluated at bid price : 22.36 Bid-YTW : 5.65 % |
| VNR.PR.A | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.68 Evaluated at bid price : 21.99 Bid-YTW : 5.76 % |
| MFC.PR.F | FixedReset Ins Non | -1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.53 Bid-YTW : 11.84 % |
| BAM.PR.N | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.31 % |
| BIP.PR.A | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 6.80 % |
| TD.PF.I | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 22.67 Evaluated at bid price : 23.60 Bid-YTW : 5.45 % |
| HSE.PR.G | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 6.83 % |
| GWO.PR.Q | Deemed-Retractible | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 7.53 % |
| EIT.PR.B | SplitShare | -1.06 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2025-03-14 Maturity Price : 25.00 Evaluated at bid price : 24.16 Bid-YTW : 5.43 % |
| TRP.PR.E | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.25 % |
| HSE.PR.C | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 19.89 Evaluated at bid price : 19.89 Bid-YTW : 6.76 % |
| MFC.PR.G | FixedReset Ins Non | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 8.11 % |
| BAM.PF.G | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 6.16 % |
| NA.PR.S | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.69 % |
| GWO.PR.N | FixedReset Ins Non | 1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.96 Bid-YTW : 11.38 % |
| ELF.PR.H | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 23.55 Evaluated at bid price : 23.88 Bid-YTW : 5.83 % |
| BMO.PR.S | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 5.57 % |
| MFC.PR.K | FixedReset Ins Non | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.14 Bid-YTW : 8.65 % |
| BIP.PR.E | FixedReset Disc | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.19 % |
| BIP.PR.F | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 21.60 Evaluated at bid price : 21.95 Bid-YTW : 6.03 % |
| IFC.PR.G | FixedReset Ins Non | 2.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 7.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Q | FixedReset Prem | 192,776 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.44 % |
| TD.PF.G | FixedReset Prem | 148,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.39 % |
| TRP.PR.J | FixedReset Prem | 55,610 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.84 % |
| RY.PR.H | FixedReset Disc | 51,725 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 5.48 % |
| CM.PR.O | FixedReset Disc | 51,111 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-30 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 5.64 % |
| RY.PR.R | FixedReset Prem | 49,062 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.24 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.F | Deemed-Retractible | Quote: 23.01 – 23.96 Spot Rate : 0.9500 Average : 0.6622 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 21.35 – 22.01 Spot Rate : 0.6600 Average : 0.4343 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 17.90 – 18.43 Spot Rate : 0.5300 Average : 0.3713 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 20.51 – 21.00 Spot Rate : 0.4900 Average : 0.3353 YTW SCENARIO |
| RY.PR.W | Perpetual-Discount | Quote: 23.75 – 24.18 Spot Rate : 0.4300 Average : 0.2943 YTW SCENARIO |
| HSE.PR.C | FixedReset Disc | Quote: 19.89 – 20.43 Spot Rate : 0.5400 Average : 0.4047 YTW SCENARIO |
Quick question about YTW for FixedResets.
Do you presume the current GOC 5 year to exist till maturity date for this calculation? Or is there something else like a forecast used?
Do you presume the current GOC 5 year to exist till maturity date for this calculation?
The YTW is calculated assuming the current GOC-5 yield is constant forever.
Note that there is no maturity date for FixedResets (although I do use “Deemed Maturities” in calculations); FixedResets are just as perpetual as Straights are.