October 27, 2020

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 0.0000 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,998.3
Floater 5.21 % 5.26 % 38,717 15.05 3 0.0000 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,531.4
SplitShare 4.80 % 4.77 % 50,876 3.54 8 -0.0347 % 4,217.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,290.5
Perpetual-Premium 5.31 % 0.98 % 89,287 0.09 17 -0.0207 % 3,191.3
Perpetual-Discount 5.12 % 5.08 % 80,366 15.29 17 -0.0660 % 3,591.1
FixedReset Disc 5.45 % 4.15 % 135,063 16.52 65 0.5772 % 2,121.3
Deemed-Retractible 5.10 % 4.91 % 117,591 15.21 22 0.2942 % 3,481.5
FloatingReset 1.97 % 2.27 % 47,299 1.25 3 0.2526 % 1,798.8
FixedReset Prem 5.20 % 3.16 % 266,003 0.78 14 0.1155 % 2,653.1
FixedReset Bank Non 1.94 % 2.09 % 145,425 1.24 2 0.0402 % 2,861.2
FixedReset Ins Non 5.45 % 4.21 % 78,816 16.48 22 0.1734 % 2,216.9
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 5.38 %
BAM.PR.X FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 10.86
Evaluated at bid price : 10.86
Bid-YTW : 5.20 %
MFC.PR.M FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.20 %
IAF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.41 %
BAM.PF.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.30 %
IAF.PR.B Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.86 %
TD.PF.I FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.13
Evaluated at bid price : 22.37
Bid-YTW : 3.91 %
MFC.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.15 %
SLF.PR.D Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.82 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.26 %
BIP.PR.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.34
Evaluated at bid price : 24.40
Bid-YTW : 5.65 %
TD.PF.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.02 %
CM.PR.Q FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.15 %
SLF.PR.B Deemed-Retractible 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.89 %
MFC.PR.F FixedReset Ins Non 5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 10.84
Evaluated at bid price : 10.84
Bid-YTW : 4.20 %
RY.PR.M FixedReset Disc 55.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 68,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.60 %
TD.PF.M FixedReset Disc 60,102 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.33
Evaluated at bid price : 25.15
Bid-YTW : 4.03 %
BMO.PR.S FixedReset Disc 52,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.12 %
RY.PR.M FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
IFC.PR.G FixedReset Ins Non 36,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.46 %
TD.PF.E FixedReset Disc 33,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.02 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.75 – 25.00
Spot Rate : 6.2500
Average : 3.6684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.41 %

MFC.PR.G FixedReset Ins Non Quote: 19.85 – 20.49
Spot Rate : 0.6400
Average : 0.4654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.22 %

BAM.PF.D Perpetual-Discount Quote: 23.25 – 23.63
Spot Rate : 0.3800
Average : 0.2205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.97
Evaluated at bid price : 23.25
Bid-YTW : 5.31 %

MFC.PR.K FixedReset Ins Non Quote: 17.42 – 17.90
Spot Rate : 0.4800
Average : 0.3330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.18 %

MFC.PR.M FixedReset Ins Non Quote: 17.89 – 18.29
Spot Rate : 0.4000
Average : 0.2562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.20 %

SLF.PR.A Deemed-Retractible Quote: 24.25 – 24.75
Spot Rate : 0.5000
Average : 0.3723

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.93 %

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