July 9, 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 0.3029 % 2,682.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3029 % 4,922.7
Floater 3.24 % 3.25 % 102,081 19.12 3 0.3029 % 2,837.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1223 % 3,700.1
SplitShare 4.62 % 3.74 % 40,796 3.36 6 0.1223 % 4,418.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1223 % 3,447.7
Perpetual-Premium 5.14 % -6.21 % 63,372 0.09 30 0.0508 % 3,288.4
Perpetual-Discount 4.66 % 4.67 % 44,967 16.04 4 -0.4848 % 3,914.8
FixedReset Disc 4.05 % 3.68 % 130,347 18.02 40 0.1832 % 2,773.3
Insurance Straight 4.90 % 0.94 % 78,345 0.09 22 -0.0410 % 3,716.3
FloatingReset 2.77 % 3.05 % 36,376 19.63 2 0.5275 % 2,609.8
FixedReset Prem 4.83 % 2.98 % 178,961 1.43 33 0.0803 % 2,751.6
FixedReset Bank Non 1.80 % 1.98 % 86,490 0.13 1 0.0799 % 2,897.8
FixedReset Ins Non 4.07 % 3.55 % 116,696 17.95 20 0.0325 % 2,925.4
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.65 %
GWO.PR.N FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 3.42 %
RY.PR.P Perpetual-Premium -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 26.00
Evaluated at bid price : 26.51
Bid-YTW : -10.64 %
TRP.PR.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 4.02 %
TD.PF.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 22.91
Evaluated at bid price : 24.20
Bid-YTW : 3.71 %
BAM.PR.X FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.02 %
IFC.PR.C FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 23.87
Evaluated at bid price : 24.75
Bid-YTW : 3.58 %
BIP.PR.B FixedReset Prem 1.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.61 %
TRP.PR.G FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 22.68
Evaluated at bid price : 23.70
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset Prem 196,820 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.19 %
BMO.PR.S FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 22.93
Evaluated at bid price : 23.86
Bid-YTW : 3.47 %
PWF.PR.K Perpetual-Premium 86,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 1.32 %
IFC.PR.A FixedReset Ins Non 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.22 %
BIP.PR.D FixedReset Prem 28,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.96 %
TD.PF.H FixedReset Prem 22,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.34 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Prem Quote: 26.51 – 27.22
Spot Rate : 0.7100
Average : 0.5447

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 3.15 %

CU.PR.F Perpetual-Discount Quote: 24.40 – 24.99
Spot Rate : 0.5900
Average : 0.4288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.65 %

TRP.PR.F FloatingReset Quote: 16.90 – 17.70
Spot Rate : 0.8000
Average : 0.6487

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.05 %

IAF.PR.B Insurance Straight Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2660

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 1.11 %

RY.PR.P Perpetual-Premium Quote: 26.51 – 26.80
Spot Rate : 0.2900
Average : 0.1805

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 26.00
Evaluated at bid price : 26.51
Bid-YTW : -10.64 %

IFC.PR.F Insurance Straight Quote: 26.17 – 26.50
Spot Rate : 0.3300
Average : 0.2328

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.17
Bid-YTW : 4.36 %

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