June 28, 2021

Getting back into the swing of things! It’s been a while!

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 1.8238 % 2,676.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8238 % 4,910.3
Floater 3.24 % 3.23 % 99,894 19.14 3 1.8238 % 2,829.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0967 % 3,691.6
SplitShare 4.63 % 3.93 % 45,054 3.91 6 0.0967 % 4,408.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0967 % 3,439.7
Perpetual-Premium 5.12 % -3.57 % 67,159 0.09 30 0.0883 % 3,301.3
Perpetual-Discount 4.62 % 4.68 % 50,176 16.04 4 0.0706 % 3,942.7
FixedReset Disc 4.05 % 3.73 % 147,638 17.87 40 -0.0651 % 2,770.7
Insurance Straight 4.91 % -2.84 % 88,692 0.10 22 0.0644 % 3,709.5
FloatingReset 2.82 % 3.07 % 40,654 19.55 2 -0.2172 % 2,590.5
FixedReset Prem 4.81 % 3.01 % 199,254 1.46 33 0.1718 % 2,764.0
FixedReset Bank Non 1.80 % 2.27 % 103,593 0.59 1 -0.0799 % 2,893.1
FixedReset Ins Non 4.08 % 3.54 % 125,622 17.90 20 0.4021 % 2,924.8
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -6.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.41 %
BAM.PF.F FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 4.35 %
CM.PR.S FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.01
Bid-YTW : 3.61 %
SLF.PR.J FloatingReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 2.54 %
GWO.PR.N FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 3.41 %
BAM.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.23 %
BMO.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.96
Evaluated at bid price : 23.95
Bid-YTW : 3.47 %
BAM.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.36
Evaluated at bid price : 23.78
Bid-YTW : 4.18 %
BAM.PR.C Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 3.23 %
SLF.PR.H FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.52
Evaluated at bid price : 23.49
Bid-YTW : 3.26 %
TRP.PR.E FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.09 %
IFC.PR.A FixedReset Ins Non 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 3.38 %
BAM.PR.K Floater 5.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.H Insurance Straight 183,827 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-28
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.07 %
SLF.PR.I FixedReset Ins Non 91,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 2.73 %
RY.PR.H FixedReset Disc 49,243 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.80
Evaluated at bid price : 23.68
Bid-YTW : 3.43 %
CM.PR.S FixedReset Disc 28,803 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.01
Bid-YTW : 3.61 %
TRP.PR.E FixedReset Disc 20,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.09 %
BMO.PR.S FixedReset Disc 11,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.96
Evaluated at bid price : 23.95
Bid-YTW : 3.47 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 21.01 – 22.91
Spot Rate : 1.9000
Average : 1.1147

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.41 %

BAM.PF.F FixedReset Disc Quote: 22.15 – 23.78
Spot Rate : 1.6300
Average : 1.1659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 4.35 %

EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.5550

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.65 %

CM.PR.S FixedReset Disc Quote: 24.01 – 24.79
Spot Rate : 0.7800
Average : 0.4627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.01
Bid-YTW : 3.61 %

BIP.PR.B FixedReset Prem Quote: 26.55 – 27.45
Spot Rate : 0.9000
Average : 0.6150

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.00 %

IFC.PR.E Insurance Straight Quote: 25.95 – 26.71
Spot Rate : 0.7600
Average : 0.5164

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.95
Bid-YTW : 4.41 %

3 Responses to “June 28, 2021”

  1. adrian2 says:

    Welcome back, James, you’ve been missed!

  2. prefQC says:

    Ditto! (from Quebec City)

  3. gsp says:

    Good to see you back James.

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