December 24, 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 0.5447 % 1,870.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5447 % 3,432.6
Floater 4.65 % 4.60 % 74,996 16.23 2 0.5447 % 1,978.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3316 % 3,620.2
SplitShare 4.78 % 4.48 % 42,035 3.81 9 -0.3316 % 4,323.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3316 % 3,373.2
Perpetual-Premium 5.35 % 1.01 % 72,842 0.08 19 -0.0971 % 3,200.6
Perpetual-Discount 5.01 % 5.04 % 76,902 15.44 12 -0.1067 % 3,666.7
FixedReset Disc 5.05 % 3.92 % 142,266 17.30 56 -0.4459 % 2,315.0
Insurance Straight 5.06 % 4.83 % 85,186 15.37 22 0.0738 % 3,551.6
FloatingReset 1.93 % 1.80 % 39,960 1.09 3 0.0819 % 1,853.0
FixedReset Prem 5.15 % 3.01 % 217,665 0.78 22 0.0773 % 2,679.0
FixedReset Bank Non 1.93 % 1.82 % 178,987 1.09 2 0.0400 % 2,881.5
FixedReset Ins Non 5.12 % 3.92 % 85,853 17.15 22 -1.4472 % 2,391.0
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -9.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
IAF.PR.G FixedReset Ins Non -7.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.37 %
MFC.PR.M FixedReset Ins Non -6.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.25 %
RY.PR.Z FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 3.53 %
SLF.PR.H FixedReset Ins Non -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
MFC.PR.G FixedReset Ins Non -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.89 %
CU.PR.F Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 22.73
Evaluated at bid price : 23.00
Bid-YTW : 4.92 %
RY.PR.M FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 3.94 %
MFC.PR.H FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 22.54
Evaluated at bid price : 23.00
Bid-YTW : 3.91 %
BAM.PR.Z FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.95 %
MFC.PR.I FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 3.84 %
MFC.PR.Q FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 3.92 %
MFC.PR.N FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.89 %
MFC.PR.L FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 4.01 %
IFC.PR.C FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.95 %
BMO.PR.Y FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.76 %
CM.PR.P FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.71 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.15 %
PVS.PR.E SplitShare -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.50 %
BAM.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.79 %
BAM.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.89 %
TD.PF.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 3.52 %
BMO.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.64 %
BIP.PR.D FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 23.64
Evaluated at bid price : 24.10
Bid-YTW : 5.19 %
BMO.PR.S FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 3.63 %
BAM.PF.C Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 23.41
Evaluated at bid price : 23.67
Bid-YTW : 5.13 %
TRP.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.20 %
TRP.PR.D FixedReset Disc 8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.Q FixedReset Bank Non 51,509 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.92 %
TD.PF.B FixedReset Disc 21,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 3.59 %
CM.PR.P FixedReset Disc 20,407 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.71 %
BNS.PR.Z FixedReset Bank Non 15,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.82 %
NA.PR.E FixedReset Disc 14,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.93 %
NA.PR.X FixedReset Prem 14,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.98 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 17.50 – 19.00
Spot Rate : 1.5000
Average : 0.8328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %

TD.PF.D FixedReset Disc Quote: 20.15 – 22.10
Spot Rate : 1.9500
Average : 1.2865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %

MFC.PR.M FixedReset Ins Non Quote: 17.77 – 19.27
Spot Rate : 1.5000
Average : 0.9774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.25 %

CU.PR.C FixedReset Disc Quote: 18.40 – 20.22
Spot Rate : 1.8200
Average : 1.3565

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.95 %

IAF.PR.G FixedReset Ins Non Quote: 19.12 – 20.70
Spot Rate : 1.5800
Average : 1.2398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.37 %

IFC.PR.E Insurance Straight Quote: 25.45 – 26.30
Spot Rate : 0.8500
Average : 0.5332

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.45
Bid-YTW : 4.96 %

4 Responses to “December 24, 2020”

  1. fsabbagh says:

    Hi,

    Just wondering if preferreds will survive a high inflation environment with Yield curve control (by Fed and BOC). If they go down this path, are preferreds going to get hit?

    Happy New Year to all,
    Ferris

  2. baffled says:

    hello ,fsabbagh says: , in my opinion , and i have been wrong before , with ycc the fed is still holding rates down , and if you are a fixed income investor , you want the cash flow so the pref or div paying stocks will maybe go up, and the yield come down . the supply of prefs may go down as companies can buy them back and issue cheaper debt . the inflation environment i see as a separate issue , for that you want some hard assets that should increase with inflation , but those generally dont pay much divs .

  3. paradon says:

    Any thoughts on the impact of an increase in the capital gains inclusion rate? Would that drive more investors to fixed income?

  4. baffled says:

    paradon says: , an increase in the capital gains inclusion rate , would make stocks less valuable , as more of the gain is taxed . i think you are trying to compare apples and oranges . an increase in the amount of divs that have to be included in income , would also lower the value of stocks , and may have more of an effect on fixed income investments . i do believe that both the cap gain inclusion and div inclusion rates will be raised .

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