February 18, 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 % 3.49 % 39,018 20.06 1 0.3465 % 2,887.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0889 % 5,565.6
Floater 2.86 % 2.89 % 68,067 19.98 3 -0.0889 % 3,207.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4570 % 3,645.6
SplitShare 4.65 % 4.49 % 31,143 3.34 6 -0.4570 % 4,353.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4570 % 3,396.8
Perpetual-Premium 5.24 % 1.67 % 54,933 0.09 22 0.2254 % 3,214.2
Perpetual-Discount 4.90 % 4.96 % 59,245 15.52 11 -0.0950 % 3,759.0
FixedReset Disc 4.08 % 4.47 % 115,446 16.26 44 0.1176 % 2,754.6
Insurance Straight 5.00 % 4.74 % 84,152 15.43 18 0.3986 % 3,589.3
FloatingReset 2.72 % 2.38 % 61,093 21.36 2 0.0551 % 2,950.4
FixedReset Prem 4.79 % 3.75 % 108,495 2.07 26 0.1349 % 2,699.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1176 % 2,815.8
FixedReset Ins Non 4.15 % 4.45 % 76,610 16.31 17 -0.1958 % 2,924.9
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -42.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.40 %
PWF.PR.P FixedReset Disc -11.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.11 %
CIU.PR.A Perpetual-Discount -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.00 %
SLF.PR.H FixedReset Ins Non -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.45 %
BAM.PR.T FixedReset Disc -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.16 %
BAM.PF.B FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.09 %
TRP.PR.B FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.40 %
TRP.PR.C FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.97 %
SLF.PR.G FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
BMO.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 4.42 %
PVS.PR.J SplitShare -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.46 %
BAM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 4.94 %
FTS.PR.H FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.55 %
CU.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.18
Evaluated at bid price : 22.85
Bid-YTW : 4.58 %
GWO.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.23 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.03 %
PWF.PR.K Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 5.04 %
RY.PR.J FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.06 %
FTS.PR.J Perpetual-Premium 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.99 %
BAM.PR.Z FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 24.24
Evaluated at bid price : 24.70
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.89 %
MFC.PR.M FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.58
Evaluated at bid price : 23.20
Bid-YTW : 4.47 %
PWF.PR.L Perpetual-Premium 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-20
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.13 %
SLF.PR.E Insurance Straight 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 4.79 %
EMA.PR.L Perpetual-Discount 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.52
Evaluated at bid price : 23.85
Bid-YTW : 4.83 %
NA.PR.W FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.62
Evaluated at bid price : 23.30
Bid-YTW : 4.31 %
BAM.PF.G FixedReset Disc 6.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %
BAM.PF.F FixedReset Disc 6.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.49
Evaluated at bid price : 23.00
Bid-YTW : 5.02 %
TRP.PR.G FixedReset Disc 92.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.69
Evaluated at bid price : 23.60
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Prem 119,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.39 %
CM.PR.R FixedReset Prem 36,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.49 %
CM.PR.T FixedReset Prem 35,099 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.75 %
POW.PR.G Perpetual-Premium 19,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-20
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -16.29 %
SLF.PR.E Insurance Straight 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 4.79 %
PVS.PR.J SplitShare 13,659 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.46 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 13.88 – 24.18
Spot Rate : 10.3000
Average : 5.4696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.40 %

PWF.PR.P FixedReset Disc Quote: 15.35 – 17.28
Spot Rate : 1.9300
Average : 1.1111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.11 %

BAM.PR.T FixedReset Disc Quote: 20.32 – 22.34
Spot Rate : 2.0200
Average : 1.3839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.16 %

SLF.PR.H FixedReset Ins Non Quote: 21.30 – 22.25
Spot Rate : 0.9500
Average : 0.5708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.45 %

IAF.PR.B Insurance Straight Quote: 24.04 – 25.00
Spot Rate : 0.9600
Average : 0.6155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 4.83 %

MFC.PR.N FixedReset Ins Non Quote: 22.75 – 23.75
Spot Rate : 1.0000
Average : 0.6643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.27
Evaluated at bid price : 22.75
Bid-YTW : 4.48 %

Leave a Reply

You must be logged in to post a comment.