June 10, 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 1.4874 % 2,763.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4874 % 5,071.4
Floater 3.14 % 3.16 % 96,618 19.25 3 1.4874 % 2,922.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0579 % 3,697.0
SplitShare 4.62 % 3.79 % 39,034 3.44 6 0.0579 % 4,415.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0579 % 3,444.8
Perpetual-Premium 5.11 % -7.24 % 66,174 0.09 30 -0.0646 % 3,313.7
Perpetual-Discount 4.65 % 4.65 % 52,086 16.11 4 -0.0304 % 3,919.2
FixedReset Disc 4.00 % 3.59 % 147,467 18.07 40 -0.5795 % 2,802.2
Insurance Straight 4.90 % -3.22 % 85,878 0.09 22 -0.1407 % 3,715.2
FloatingReset 2.76 % 2.99 % 47,591 19.77 2 -1.3138 % 2,601.8
FixedReset Prem 4.81 % 2.98 % 207,723 2.40 33 -0.2393 % 2,761.2
FixedReset Bank Non 1.80 % 2.00 % 117,097 0.21 1 0.0000 % 2,893.1
FixedReset Ins Non 4.18 % 3.49 % 165,487 18.04 21 -0.5312 % 2,900.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.84 %
BAM.PR.C Floater -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 3.21 %
TRP.PR.B FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 3.79 %
BAM.PF.E FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.18 %
IFC.PR.A FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 3.42 %
TRP.PR.F FloatingReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 2.99 %
RY.PR.H FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.79
Evaluated at bid price : 23.68
Bid-YTW : 3.34 %
IAF.PR.G FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.92
Evaluated at bid price : 24.39
Bid-YTW : 3.79 %
IFC.PR.C FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.10
Evaluated at bid price : 24.02
Bid-YTW : 3.66 %
BMO.PR.W FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.62
Evaluated at bid price : 23.40
Bid-YTW : 3.39 %
TRP.PR.C FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 3.92 %
SLF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 3.48 %
BNS.PR.I FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.53
Evaluated at bid price : 25.25
Bid-YTW : 3.37 %
BMO.PR.T FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.40 %
BAM.PR.B Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.15 %
TD.PF.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.97
Evaluated at bid price : 24.36
Bid-YTW : 3.66 %
TRP.PR.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.95 %
BAM.PR.K Floater 8.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 3.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.C FixedReset Disc 40,555 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 3.71 %
BAM.PF.C Perpetual-Premium 40,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 24.77
Evaluated at bid price : 25.06
Bid-YTW : 4.91 %
BAM.PF.F FixedReset Disc 37,773 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.02
Evaluated at bid price : 24.20
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 3.90 %
BAM.PR.Z FixedReset Disc 27,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.83
Evaluated at bid price : 24.21
Bid-YTW : 4.08 %
TRP.PR.K FixedReset Prem 26,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.96 %
There were 27 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: 15.50 – 16.40
Spot Rate : 0.9000
Average : 0.6961

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.84 %

BAM.PF.E FixedReset Disc Quote: 21.00 – 21.75
Spot Rate : 0.7500
Average : 0.5631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.18 %

BNS.PR.I FixedReset Prem Quote: 25.25 – 25.80
Spot Rate : 0.5500
Average : 0.3897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.53
Evaluated at bid price : 25.25
Bid-YTW : 3.37 %

CU.PR.C FixedReset Disc Quote: 22.00 – 22.47
Spot Rate : 0.4700
Average : 0.3242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 3.71 %

BAM.PR.C Floater Quote: 13.49 – 14.00
Spot Rate : 0.5100
Average : 0.3853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 3.21 %

NA.PR.G FixedReset Prem Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.1865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.77
Evaluated at bid price : 25.90
Bid-YTW : 3.54 %

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