February 7, 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 3.02 % 3.48 % 40,838 20.09 1 -0.0984 % 2,893.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0661 % 5,628.8
Floater 2.83 % 2.85 % 57,947 20.09 3 0.0661 % 3,243.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,652.8
SplitShare 4.64 % 4.43 % 34,483 3.38 6 0.1377 % 4,362.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,403.5
Perpetual-Premium 5.19 % -14.70 % 54,633 0.09 22 -0.0749 % 3,242.4
Perpetual-Discount 4.78 % 4.87 % 58,704 15.72 11 -0.0482 % 3,855.9
FixedReset Disc 3.92 % 4.19 % 110,773 16.45 44 -0.4425 % 2,867.0
Insurance Straight 4.90 % 4.56 % 79,989 15.65 18 -0.1082 % 3,661.0
FloatingReset 2.64 % 3.00 % 55,988 19.70 2 0.7673 % 2,984.5
FixedReset Prem 4.75 % 3.11 % 101,217 1.79 26 -0.2277 % 2,721.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4425 % 2,930.6
FixedReset Ins Non 4.09 % 4.10 % 64,718 16.58 17 -0.0330 % 2,968.6
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -6.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %
CU.PR.C FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.13
Evaluated at bid price : 22.78
Bid-YTW : 4.46 %
BAM.PR.Z FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
CM.PR.P FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %
BNS.PR.I FixedReset Prem -1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
FTS.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.40
Evaluated at bid price : 22.78
Bid-YTW : 4.30 %
TRP.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.74 %
BAM.PR.R FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %
GWO.PR.S Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.06 %
FTS.PR.K FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.37 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.25 %
CM.PR.T FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.41 %
BAM.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.I FixedReset Prem 169,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
TRP.PR.B FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.75 %
TD.PF.A FixedReset Disc 36,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.79
Bid-YTW : 4.06 %
BAM.PR.T FixedReset Disc 31,681 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
MFC.PR.I FixedReset Ins Non 23,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.91 %
TRP.PR.K FixedReset Prem 18,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 2.27 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.55
Spot Rate : 1.2500
Average : 0.8069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %

BAM.PR.R FixedReset Disc Quote: 20.80 – 21.40
Spot Rate : 0.6000
Average : 0.4434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %

CM.PR.P FixedReset Disc Quote: 23.85 – 24.25
Spot Rate : 0.4000
Average : 0.2461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %

IFC.PR.A FixedReset Ins Non Quote: 21.11 – 21.75
Spot Rate : 0.6400
Average : 0.4870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.09 %

SLF.PR.G FixedReset Ins Non Quote: 18.05 – 18.50
Spot Rate : 0.4500
Average : 0.3151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.04 %

FTS.PR.H FixedReset Disc Quote: 17.30 – 18.00
Spot Rate : 0.7000
Average : 0.5741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.28 %

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