PrefBlog

October 26, 2021

Written by

jiHymas

in

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 0.4595 % 2,804.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4595 % 5,145.7
Floater 3.10 % 3.12 % 57,349 19.43 3 0.4595 % 2,965.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.3540 % 3,725.3
SplitShare 4.60 % 4.18 % 55,549 3.88 5 0.3540 % 4,448.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3540 % 3,471.1
Perpetual-Premium 5.08 % -10.05 % 54,043 0.09 32 0.0122 % 3,276.6
Perpetual-Discount 4.71 % 4.84 % 36,718 15.76 2 0.0204 % 3,870.2
FixedReset Disc 3.81 % 3.74 % 106,661 17.15 40 0.1677 % 2,911.0
Insurance Straight 4.91 % 3.79 % 74,148 0.66 20 -0.0728 % 3,696.8
FloatingReset 2.56 % 2.79 % 24,353 20.27 2 -0.2287 % 2,832.7
FixedReset Prem 4.69 % 2.78 % 128,601 1.50 31 0.0288 % 2,763.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1677 % 2,975.6
FixedReset Ins Non 4.03 % 3.68 % 94,818 17.25 19 0.5957 % 2,993.4
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 2.33 %
CU.PR.G Perpetual-Premium -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.58
Evaluated at bid price : 24.85
Bid-YTW : 4.58 %
FTS.PR.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.00 %
TRP.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.05 %
BAM.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.27 %
BAM.PF.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 22.76
Evaluated at bid price : 23.73
Bid-YTW : 4.19 %
BAM.PR.T FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 4.35 %
BAM.PF.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 23.18
Evaluated at bid price : 24.44
Bid-YTW : 4.22 %
TRP.PR.F FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 2.79 %
RS.PR.A SplitShare 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.94
Bid-YTW : 2.96 %
BAM.PR.K Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 3.09 %
SLF.PR.G FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
MFC.PR.F FixedReset Ins Non 7.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Prem 85,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 3.58 %
BMO.PR.T FixedReset Disc 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 23.20
Evaluated at bid price : 24.45
Bid-YTW : 3.62 %
TD.PF.C FixedReset Disc 36,086 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 23.17
Evaluated at bid price : 24.55
Bid-YTW : 3.61 %
PWF.PF.A Perpetual-Discount 34,604 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.08
Evaluated at bid price : 24.46
Bid-YTW : 4.61 %
GWO.PR.Y Insurance Straight 31,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 4.56 %
CM.PR.Q FixedReset Disc 30,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.44 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 24.80 – 26.00
Spot Rate : 1.2000
Average : 0.7137

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.32 %
SLF.PR.J FloatingReset Quote: 16.50 – 17.95
Spot Rate : 1.4500
Average : 1.0998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 2.33 %
BAM.PR.N Perpetual-Premium Quote: 24.54 – 25.27
Spot Rate : 0.7300
Average : 0.5266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.25
Evaluated at bid price : 24.54
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Premium Quote: 24.85 – 25.32
Spot Rate : 0.4700
Average : 0.3439

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.58
Evaluated at bid price : 24.85
Bid-YTW : 4.58 %
PVS.PR.I SplitShare Quote: 26.00 – 26.40
Spot Rate : 0.4000
Average : 0.2749

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.86 %
PVS.PR.J SplitShare Quote: 25.41 – 25.79
Spot Rate : 0.3800
Average : 0.2636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.23 %

Comments

2 responses to “October 26, 2021”

  1. RAV4guy

    On October 25 the split share preferred, RS.PR.A, made the Volume Highlights with 31,000 shares being traded. Why did DF.PR.A not make the Volume Highlights with 1.36 million shares traded on October 26?

  2. jiHymas

    Real Estate & E-Commerce Split Corp is rated Pfd-2(low) by DBRS and meets the minimum volume requirments, so is included in the indices.

    Dividend 15 Split Corp. II is rated Pfd-3(low) by DBRS and therefore is not included in the indices.

Leave a Reply

More posts