June 2, 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 1.7738 % 2,672.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7738 % 4,904.1
Floater 3.25 % 3.27 % 90,656 19.00 3 1.7738 % 2,826.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,695.9
SplitShare 4.63 % 3.39 % 39,839 2.61 6 0.0902 % 4,413.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,443.7
Perpetual-Premium 5.10 % -5.70 % 68,890 0.09 30 0.3560 % 3,319.8
Perpetual-Discount 4.67 % 4.67 % 49,646 16.09 4 0.6249 % 3,902.5
FixedReset Disc 3.95 % 3.56 % 151,754 18.10 40 0.6021 % 2,838.2
Insurance Straight 4.89 % -6.84 % 84,138 0.09 22 0.2017 % 3,721.0
FloatingReset 2.79 % 2.98 % 53,253 19.80 2 0.5057 % 2,561.5
FixedReset Prem 4.78 % 2.17 % 216,431 1.51 33 0.2386 % 2,782.4
FixedReset Bank Non 1.80 % 1.81 % 113,181 0.23 1 0.0000 % 2,893.1
FixedReset Ins Non 4.15 % 3.47 % 164,970 18.01 21 0.2061 % 2,917.9
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.65
Evaluated at bid price : 25.04
Bid-YTW : 3.67 %
TD.PF.J FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.69
Evaluated at bid price : 25.23
Bid-YTW : 3.61 %
MFC.PR.J FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.67
Evaluated at bid price : 25.09
Bid-YTW : 3.52 %
CU.PR.H Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 26.02
Bid-YTW : 0.94 %
CU.PR.F Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.98
Evaluated at bid price : 24.41
Bid-YTW : 4.61 %
MFC.PR.F FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 3.33 %
POW.PR.D Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-02
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : -25.11 %
IFC.PR.A FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.34 %
TRP.PR.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 3.74 %
TRP.PR.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 3.91 %
TRP.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 21.36
Evaluated at bid price : 21.68
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 3.90 %
BAM.PF.F FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 22.97
Evaluated at bid price : 24.09
Bid-YTW : 3.94 %
BIP.PR.B FixedReset Prem 1.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.92 %
IFC.PR.E Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.65
Bid-YTW : 3.47 %
IFC.PR.F Insurance Straight 1.89 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 2.83 %
TRP.PR.C FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 3.84 %
CU.PR.I FixedReset Prem 2.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.37
Bid-YTW : 2.28 %
PWF.PR.Z Perpetual-Premium 2.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.74
Bid-YTW : 2.86 %
IFC.PR.I Perpetual-Premium 2.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.85
Bid-YTW : 3.47 %
PWF.PR.P FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.78 %
BAM.PR.K Floater 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.32 %
BAM.PF.E FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 246,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 24.42
Evaluated at bid price : 24.92
Bid-YTW : 3.63 %
NA.PR.E FixedReset Disc 127,088 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.56
Evaluated at bid price : 24.90
Bid-YTW : 3.54 %
TRP.PR.G FixedReset Disc 90,372 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 22.65
Evaluated at bid price : 23.66
Bid-YTW : 3.92 %
BAM.PF.A FixedReset Disc 79,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.46
Evaluated at bid price : 24.87
Bid-YTW : 3.95 %
MFC.PR.G FixedReset Ins Non 77,464 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %
CM.PR.R FixedReset Prem 75,586 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 1.91 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.00 – 24.68
Spot Rate : 8.6800
Average : 4.6853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.78 %

TRP.PR.B FixedReset Disc Quote: 14.05 – 15.90
Spot Rate : 1.8500
Average : 1.0644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 3.74 %

TRP.PR.C FixedReset Disc Quote: 15.38 – 17.00
Spot Rate : 1.6200
Average : 0.9202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 3.84 %

MFC.PR.G FixedReset Ins Non Quote: 25.01 – 26.01
Spot Rate : 1.0000
Average : 0.6002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %

TD.PF.J FixedReset Prem Quote: 25.23 – 25.94
Spot Rate : 0.7100
Average : 0.4271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.69
Evaluated at bid price : 25.23
Bid-YTW : 3.61 %

PWF.PR.T FixedReset Disc Quote: 23.85 – 24.50
Spot Rate : 0.6500
Average : 0.4232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 22.95
Evaluated at bid price : 23.85
Bid-YTW : 3.55 %

Leave a Reply

You must be logged in to post a comment.