July 19, 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 -1.6085 % 2,684.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6085 % 4,925.2
Floater 3.24 % 3.26 % 121,705 19.10 3 -1.6085 % 2,838.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2254 % 3,684.9
SplitShare 4.64 % 4.04 % 38,023 3.85 6 -0.2254 % 4,400.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2254 % 3,433.5
Perpetual-Premium 5.20 % -13.38 % 63,865 0.09 25 -0.0794 % 3,279.3
Perpetual-Discount 4.74 % 4.83 % 97,350 15.79 8 -0.0454 % 3,931.1
FixedReset Disc 4.07 % 3.54 % 150,057 18.24 40 -0.8017 % 2,757.0
Insurance Straight 4.92 % 2.57 % 79,573 0.09 22 -0.1858 % 3,702.8
FloatingReset 2.88 % 3.17 % 37,006 19.30 2 -1.1772 % 2,569.5
FixedReset Prem 4.86 % 3.51 % 173,372 2.50 33 0.0130 % 2,737.1
FixedReset Bank Non 1.80 % 1.72 % 89,048 0.10 1 0.1598 % 2,900.1
FixedReset Ins Non 4.11 % 3.50 % 134,104 18.18 20 -0.4605 % 2,902.1
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -7.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.48 %
PWF.PR.P FixedReset Disc -5.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.62 %
TRP.PR.C FixedReset Disc -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
TRP.PR.B FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.88 %
BIP.PR.A FixedReset Disc -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 4.65 %
BAM.PF.F FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
SLF.PR.G FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 3.45 %
BAM.PR.X FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.98 %
TRP.PR.G FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 3.93 %
TRP.PR.E FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
TRP.PR.F FloatingReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.17 %
GWO.PR.N FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 3.26 %
TRP.PR.D FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.05 %
BAM.PR.C Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 3.26 %
BAM.PF.G FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 21.76
Evaluated at bid price : 22.10
Bid-YTW : 4.04 %
BAM.PR.B Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.22 %
BAM.PF.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.09 %
IFC.PR.C FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.24
Evaluated at bid price : 24.28
Bid-YTW : 3.51 %
IFC.PR.F Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.88
Bid-YTW : 4.69 %
BAM.PR.K Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 3.29 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 3.28 %
TD.PF.I FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.83
Evaluated at bid price : 25.05
Bid-YTW : 3.76 %
BIP.PR.E FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.69
Evaluated at bid price : 25.06
Bid-YTW : 4.95 %
TD.PF.M FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.51 %
NA.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.00
Evaluated at bid price : 24.00
Bid-YTW : 3.36 %
TD.PF.L FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.28 %
TD.PF.B FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.78
Evaluated at bid price : 23.61
Bid-YTW : 3.28 %
NA.PR.C FixedReset Prem 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.94 %
SLF.PR.H FixedReset Ins Non 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 3.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 63,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.75 %
IFC.PR.C FixedReset Ins Non 45,087 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.24
Evaluated at bid price : 24.28
Bid-YTW : 3.51 %
NA.PR.A FixedReset Prem 39,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-14
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.64 %
CM.PR.P FixedReset Disc 32,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 3.28 %
BMO.PR.C FixedReset Prem 30,221 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 2.52 %
TD.PF.L FixedReset Prem 26,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.28 %
There were 15 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 – 18.00
Spot Rate : 2.0000
Average : 1.2879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.62 %

MFC.PR.F FixedReset Ins Non Quote: 16.25 – 17.60
Spot Rate : 1.3500
Average : 0.8100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.48 %

IFC.PR.F Insurance Straight Quote: 25.88 – 27.00
Spot Rate : 1.1200
Average : 0.7705

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.88
Bid-YTW : 4.69 %

BAM.PR.T FixedReset Disc Quote: 19.20 – 19.99
Spot Rate : 0.7900
Average : 0.5233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.10 %

TRP.PR.B FixedReset Disc Quote: 13.01 – 13.95
Spot Rate : 0.9400
Average : 0.7467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.88 %

BAM.PF.F FixedReset Disc Quote: 23.05 – 23.60
Spot Rate : 0.5500
Average : 0.4121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %

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