January 31, 2022

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 3.03 % 3.50 % 42,009 20.08 1 0.0000 % 2,877.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4703 % 5,556.9
Floater 2.87 % 2.88 % 51,568 20.03 3 0.4703 % 3,202.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1531 % 3,665.9
SplitShare 4.68 % 4.44 % 32,065 3.54 6 0.1531 % 4,377.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1531 % 3,415.7
Perpetual-Premium 5.18 % -7.07 % 56,184 0.09 24 0.0016 % 3,242.1
Perpetual-Discount 4.75 % 4.81 % 55,248 15.74 7 -1.0630 % 3,830.4
FixedReset Disc 3.93 % 4.19 % 111,020 16.58 45 -0.3983 % 2,875.9
Insurance Straight 4.90 % 4.57 % 83,756 15.74 17 0.0329 % 3,653.7
FloatingReset 2.73 % 3.10 % 48,641 19.47 2 -0.3322 % 2,922.0
FixedReset Prem 4.75 % 3.20 % 103,088 1.74 25 -0.2915 % 2,720.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3983 % 2,939.7
FixedReset Ins Non 4.10 % 4.09 % 70,479 16.67 17 -0.2086 % 2,961.8
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 4.83 %
BAM.PR.X FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.87 %
TRP.PR.G FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 22.52
Evaluated at bid price : 23.30
Bid-YTW : 4.66 %
MFC.PR.L FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 22.12
Evaluated at bid price : 22.41
Bid-YTW : 4.27 %
TRP.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 4.50 %
PWF.PR.P FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.59 %
CU.PR.F Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 24.09
Evaluated at bid price : 24.38
Bid-YTW : 4.67 %
FTS.PR.H FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.25 %
BAM.PR.Z FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 24.32
Evaluated at bid price : 24.75
Bid-YTW : 4.68 %
TD.PF.J FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 3.82 %
BAM.PR.M Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 4.94 %
CM.PR.Y FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.51 %
BAM.PR.C Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 2.88 %
SLF.PR.H FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 22.38
Evaluated at bid price : 23.15
Bid-YTW : 3.88 %
BAM.PF.B FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 23.39
Evaluated at bid price : 23.70
Bid-YTW : 4.55 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 104,135 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.20 %
TD.PF.A FixedReset Disc 73,147 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 22.99
Evaluated at bid price : 23.95
Bid-YTW : 3.97 %
TD.PF.K FixedReset Prem 57,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 23.67
Evaluated at bid price : 25.05
Bid-YTW : 4.20 %
TD.PF.C FixedReset Disc 43,248 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 23.02
Evaluated at bid price : 24.10
Bid-YTW : 3.97 %
FTS.PR.M FixedReset Disc 41,190 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 22.81
Evaluated at bid price : 23.61
Bid-YTW : 4.34 %
FTS.PR.K FixedReset Disc 29,681 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 21.64
Evaluated at bid price : 22.06
Bid-YTW : 4.25 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 23.60 – 24.88
Spot Rate : 1.2800
Average : 0.8833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 4.83 %
BAM.PR.X FixedReset Disc Quote: 17.80 – 19.24
Spot Rate : 1.4400
Average : 1.0490

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.87 %
MFC.PR.M FixedReset Ins Non Quote: 23.36 – 24.40
Spot Rate : 1.0400
Average : 0.6859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 22.66
Evaluated at bid price : 23.36
Bid-YTW : 4.25 %
BAM.PR.B Floater Quote: 15.01 – 15.75
Spot Rate : 0.7400
Average : 0.4616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 2.87 %
TRP.PR.G FixedReset Disc Quote: 23.30 – 24.37
Spot Rate : 1.0700
Average : 0.8017

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 22.52
Evaluated at bid price : 23.30
Bid-YTW : 4.66 %
TRP.PR.C FixedReset Disc Quote: 16.32 – 17.00
Spot Rate : 0.6800
Average : 0.4685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-31
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 4.50 %

This entry was posted on Tuesday, February 1st, 2022 at 10:07 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

2 Responses to “January 31, 2022”

  1. jiHymas says:
    February 1, 2022 at 4:10 pm

    Hey, looky looky! Commenting works!

  2. baffled says:
    February 1, 2022 at 7:29 pm

    welcome back

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