October 5, 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 -0.1750 % 2,696.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1750 % 4,947.5
Floater 3.22 % 3.21 % 50,674 19.23 3 -0.1750 % 2,851.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3429 % 3,704.7
SplitShare 4.63 % 3.75 % 44,685 3.80 6 -0.3429 % 4,424.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3429 % 3,452.0
Perpetual-Premium 4.99 % -19.83 % 50,965 0.09 34 -0.0420 % 3,329.6
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0420 % 4,007.0
FixedReset Disc 3.82 % 3.56 % 103,361 17.71 39 0.5984 % 2,917.2
Insurance Straight 4.88 % -9.13 % 82,271 0.09 19 -0.0246 % 3,736.7
FloatingReset 2.91 % 2.93 % 30,122 19.94 1 0.7484 % 2,722.4
FixedReset Prem 4.64 % 2.72 % 135,054 2.11 33 0.1243 % 2,775.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5984 % 2,981.9
FixedReset Ins Non 4.03 % 3.43 % 94,074 17.80 19 1.1743 % 3,002.8
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 3.32 %
TRP.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.00 %
NA.PR.E FixedReset Prem 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.38 %
MFC.PR.Q FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.82
Evaluated at bid price : 25.44
Bid-YTW : 3.57 %
BAM.PF.J FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 1.86 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.00
Evaluated at bid price : 23.89
Bid-YTW : 3.95 %
CU.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 22.64
Evaluated at bid price : 23.29
Bid-YTW : 3.73 %
BAM.PF.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 21.93
Evaluated at bid price : 22.30
Bid-YTW : 4.06 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.44
Evaluated at bid price : 24.98
Bid-YTW : 3.43 %
BAM.PR.C Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.18 %
TRP.PR.B FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.07 %
BIP.PR.A FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 4.41 %
NA.PR.W FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.21
Evaluated at bid price : 24.68
Bid-YTW : 3.34 %
BAM.PR.R FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.04 %
TRP.PR.G FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.02
Evaluated at bid price : 24.43
Bid-YTW : 3.93 %
BAM.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.04 %
MFC.PR.N FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.04
Evaluated at bid price : 24.28
Bid-YTW : 3.46 %
TRP.PR.C FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 3.90 %
GWO.PR.N FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.43 %
BAM.PF.H FixedReset Prem 2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.75
Bid-YTW : 2.29 %
SLF.PR.H FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 22.56
Evaluated at bid price : 23.54
Bid-YTW : 3.40 %
TRP.PR.A FixedReset Disc 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 4.01 %
SLF.PR.G FixedReset Ins Non 7.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 3.20 %
MFC.PR.F FixedReset Ins Non 8.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 3.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.D FixedReset Prem 100,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 1.88 %
SLF.PR.G FixedReset Ins Non 88,008 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 3.20 %
RY.PR.H FixedReset Disc 59,230 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.15
Evaluated at bid price : 24.35
Bid-YTW : 3.42 %
MFC.PR.M FixedReset Ins Non 55,316 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.12
Evaluated at bid price : 24.39
Bid-YTW : 3.52 %
TD.PF.D FixedReset Disc 34,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.25 %
NA.PR.S FixedReset Disc 30,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.44
Evaluated at bid price : 24.98
Bid-YTW : 3.43 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 23.29 – 25.00
Spot Rate : 1.7100
Average : 1.1379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 22.64
Evaluated at bid price : 23.29
Bid-YTW : 3.73 %

GWO.PR.N FixedReset Ins Non Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.6073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.43 %

RY.PR.O Perpetual-Premium Quote: 26.23 – 27.15
Spot Rate : 0.9200
Average : 0.6549

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.23
Bid-YTW : -4.73 %

TRP.PR.F FloatingReset Quote: 17.50 – 18.60
Spot Rate : 1.1000
Average : 0.8691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.93 %

BAM.PR.K Floater Quote: 12.99 – 13.78
Spot Rate : 0.7900
Average : 0.6861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 3.32 %

FTS.PR.H FixedReset Disc Quote: 16.22 – 16.54
Spot Rate : 0.3200
Average : 0.2271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 3.75 %

Leave a Reply

You must be logged in to post a comment.