January 20, 2022

There’s a problem with the commenting mechanics on PrefBlog right now. Sorry about this, I’ve got my server-guy looking at it. It’s something to do with the SSL certificate; I have noticed over the past few years that there is absolutely noone alive who actually knows how they work.

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 3.02 % 3.49 % 40,885 20.06 1 0.2967 % 2,889.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9424 % 5,526.0
Floater 2.88 % 2.89 % 54,177 20.00 3 1.9424 % 3,184.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3034 % 3,666.9
SplitShare 4.68 % 4.37 % 30,269 3.57 6 0.3034 % 4,379.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3034 % 3,416.7
Perpetual-Premium 5.15 % -10.35 % 51,692 0.09 24 0.0033 % 3,257.8
Perpetual-Discount 4.70 % 4.74 % 52,683 15.88 7 0.1631 % 3,867.5
FixedReset Disc 3.94 % 3.97 % 121,405 16.72 46 0.1648 % 2,882.9
Insurance Straight 4.88 % 4.54 % 78,662 15.71 17 -0.1029 % 3,668.9
FloatingReset 2.66 % 3.01 % 39,802 19.70 2 0.2770 % 2,938.2
FixedReset Prem 4.72 % 2.94 % 104,349 1.74 25 0.0778 % 2,734.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1648 % 2,946.9
FixedReset Ins Non 4.06 % 3.87 % 67,240 16.92 17 -0.3045 % 2,990.2
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.91 %
CU.PR.G Perpetual-Discount -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 4.74 %
IFC.PR.A FixedReset Ins Non -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.87 %
TD.PF.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.11
Evaluated at bid price : 24.22
Bid-YTW : 3.83 %
TRP.PR.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.45 %
BIP.PR.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.06 %
CIU.PR.A Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.74 %
BAM.PR.B Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 2.89 %
RY.PR.M FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 3.55 %
SLF.PR.J FloatingReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.33 %
RS.PR.A SplitShare 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.70
Bid-YTW : 3.39 %
BAM.PR.C Floater 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 2.91 %
BAM.PR.X FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.39 %
CU.PR.F Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 24.20
Evaluated at bid price : 24.50
Bid-YTW : 4.64 %
BAM.PR.K Floater 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 2.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Disc 157,610 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.35 %
TRP.PR.D FixedReset Disc 111,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.50 %
MFC.PR.L FixedReset Ins Non 103,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 22.51
Evaluated at bid price : 23.00
Bid-YTW : 4.06 %
BMO.PR.F FixedReset Prem 83,335 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.42
Bid-YTW : 2.94 %
BAM.PF.F FixedReset Disc 57,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.20
Evaluated at bid price : 24.40
Bid-YTW : 4.43 %
TRP.PR.C FixedReset Disc 56,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 4.27 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.58
Spot Rate : 12.0800
Average : 11.4912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %

BIP.PR.A FixedReset Disc Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.6572

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.06 %

CU.PR.G Perpetual-Discount Quote: 24.00 – 24.84
Spot Rate : 0.8400
Average : 0.5341

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 4.74 %

BAM.PR.R FixedReset Disc Quote: 21.25 – 21.99
Spot Rate : 0.7400
Average : 0.4927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.41 %

IFC.PR.A FixedReset Ins Non Quote: 21.40 – 22.20
Spot Rate : 0.8000
Average : 0.5555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.87 %

MFC.PR.F FixedReset Ins Non Quote: 18.30 – 19.15
Spot Rate : 0.8500
Average : 0.6269

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.91 %

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