February 8, 2021

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 1.6756 % 2,161.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6756 % 3,966.9
Floater 4.00 % 4.05 % 51,997 17.30 3 1.6756 % 2,286.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,636.8
SplitShare 4.69 % 4.41 % 36,971 3.68 8 0.0146 % 4,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,388.6
Perpetual-Premium 5.35 % -5.20 % 69,008 0.09 18 -0.2580 % 3,240.0
Perpetual-Discount 4.94 % 4.69 % 77,073 15.39 13 0.1347 % 3,750.4
FixedReset Disc 4.75 % 3.74 % 156,276 17.71 56 -0.2604 % 2,471.4
Insurance Straight 4.97 % 4.63 % 89,064 15.35 22 -0.1536 % 3,616.6
FloatingReset 3.38 % 3.85 % 30,365 17.72 2 0.9445 % 2,042.5
FixedReset Prem 5.12 % 2.76 % 196,544 0.94 20 -0.1665 % 2,710.1
FixedReset Bank Non 1.80 % 1.64 % 185,487 0.97 1 0.0400 % 2,892.0
FixedReset Ins Non 4.64 % 3.57 % 92,325 17.88 22 0.0000 % 2,627.2
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.77 %
SLF.PR.G FixedReset Ins Non -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.66 %
BMO.PR.Y FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %
CU.PR.H Perpetual-Premium -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %
CM.PR.Q FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 3.76 %
BAM.PR.R FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.62 %
RY.PR.H FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.41 %
TD.PF.J FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.97
Evaluated at bid price : 23.73
Bid-YTW : 3.48 %
TD.PF.B FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 3.45 %
SLF.PR.B Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
SLF.PR.A Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 3.72 %
RY.PR.J FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.18
Evaluated at bid price : 22.76
Bid-YTW : 3.50 %
BAM.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.54 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 3.57 %
BAM.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
SLF.PR.J FloatingReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 2.96 %
BAM.PR.C Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.02 %
BAM.PR.B Floater 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.45 %
TRP.PR.G FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.55 %
GWO.PR.N FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Disc 75,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 23.65
Evaluated at bid price : 25.00
Bid-YTW : 3.89 %
SLF.PR.B Insurance Straight 73,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
BAM.PF.G FixedReset Disc 71,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.57 %
TD.PF.G FixedReset Prem 64,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.36 %
RY.PR.R FixedReset Prem 62,585 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
BAM.PF.A FixedReset Disc 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 4.47 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Insurance Straight Quote: 25.28 – 27.30
Spot Rate : 2.0200
Average : 1.1406

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.28 %
EIT.PR.B SplitShare Quote: 25.85 – 26.85
Spot Rate : 1.0000
Average : 0.5728

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.11 %
CU.PR.H Perpetual-Premium Quote: 25.00 – 25.91
Spot Rate : 0.9100
Average : 0.6139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %
BMO.PR.Y FixedReset Disc Quote: 21.50 – 22.22
Spot Rate : 0.7200
Average : 0.4543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %
IFC.PR.E Insurance Straight Quote: 25.72 – 26.35
Spot Rate : 0.6300
Average : 0.3816

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Disc Quote: 12.90 – 13.60
Spot Rate : 0.7000
Average : 0.4562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 4.08 %

This entry was posted on Tuesday, February 9th, 2021 at 12:18 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

One Response to “February 8, 2021”

  1. mbarbon says:
    February 9, 2021 at 9:18 pm

    ….. Fixed Income portfolio management … Well said !!!

Leave a Reply

You must be logged in to post a comment.