October 13, 2021

Long corporates are now at 3.53%.

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 0.5736 % 2,722.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5736 % 4,995.8
Floater 3.19 % 3.20 % 48,991 19.25 3 0.5736 % 2,879.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2690 % 3,726.3
SplitShare 4.60 % 4.04 % 48,771 3.92 5 0.2690 % 4,450.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2690 % 3,472.1
Perpetual-Premium 5.06 % -10.80 % 57,483 0.09 32 -0.0488 % 3,290.2
Perpetual-Discount 0.00 % 0.00 % 0 0.00 1 -0.0488 % 3,959.5
FixedReset Disc 3.88 % 3.83 % 97,166 17.32 41 -0.5985 % 2,887.5
Insurance Straight 4.88 % -0.35 % 84,372 0.09 20 0.0137 % 3,719.0
FloatingReset 2.55 % 2.85 % 28,498 20.13 2 0.8696 % 2,824.6
FixedReset Prem 4.70 % 2.85 % 129,759 1.53 31 -0.1112 % 2,760.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5985 % 2,951.6
FixedReset Ins Non 4.05 % 3.55 % 94,995 17.56 19 -0.4828 % 2,978.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.96 %
MFC.PR.F FixedReset Ins Non -5.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 %
BAM.PR.T FixedReset Disc -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.35 %
NA.PR.W FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.04
Evaluated at bid price : 24.25
Bid-YTW : 3.52 %
CU.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.91
Evaluated at bid price : 22.44
Bid-YTW : 4.01 %
BAM.PR.B Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 3.23 %
FTS.PR.K FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.92 %
IFC.PR.I Perpetual-Premium -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.50
Evaluated at bid price : 26.75
Bid-YTW : 4.35 %
FTS.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 3.91 %
SLF.PR.H FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 22.39
Evaluated at bid price : 23.20
Bid-YTW : 3.48 %
RY.PR.M FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.02
Evaluated at bid price : 24.41
Bid-YTW : 3.68 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.16 %
BAM.PF.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 22.45
Evaluated at bid price : 23.15
Bid-YTW : 4.18 %
GWO.PR.N FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.50 %
BAM.PF.A FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.63
Evaluated at bid price : 25.11
Bid-YTW : 4.10 %
BAM.PF.H FixedReset Prem -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 2.55 %
BAM.PR.Z FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 24.27
Evaluated at bid price : 24.65
Bid-YTW : 4.26 %
SLF.PR.J FloatingReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 2.26 %
BAM.PR.K Floater 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 58,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 1.55 %
BMO.PR.S FixedReset Disc 54,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.31
Evaluated at bid price : 24.62
Bid-YTW : 3.57 %
IFC.PR.F Insurance Straight 51,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : 3.85 %
TRP.PR.D FixedReset Disc 47,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.07 %
GWO.PR.N FixedReset Ins Non 46,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.50 %
GWO.PR.Y Insurance Straight 41,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 24.54
Evaluated at bid price : 24.93
Bid-YTW : 4.52 %
There were 18 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: 16.65 – 18.23
Spot Rate : 1.5800
Average : 1.0569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.96 %

MFC.PR.F FixedReset Ins Non Quote: 17.20 – 18.50
Spot Rate : 1.3000
Average : 0.9722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 %

BAM.PR.T FixedReset Disc Quote: 20.30 – 21.20
Spot Rate : 0.9000
Average : 0.6117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.35 %

NA.PR.W FixedReset Disc Quote: 24.25 – 24.68
Spot Rate : 0.4300
Average : 0.2544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.04
Evaluated at bid price : 24.25
Bid-YTW : 3.52 %

FTS.PR.K FixedReset Disc Quote: 21.50 – 22.00
Spot Rate : 0.5000
Average : 0.3286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.92 %

BAM.PF.H FixedReset Prem Quote: 27.50 – 27.94
Spot Rate : 0.4400
Average : 0.2801

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 2.55 %

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