March 29, 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 3.26 % 3.81 % 27,022 19.55 1 -1.8219 % 2,763.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0237 % 5,232.4
Floater 3.36 % 3.35 % 62,499 18.86 3 -0.0237 % 3,015.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,643.9
SplitShare 4.67 % 4.44 % 29,807 3.37 8 0.4836 % 4,351.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,395.3
Perpetual-Premium 5.36 % -3.63 % 61,873 0.09 17 0.2083 % 3,179.9
Perpetual-Discount 5.13 % 5.17 % 69,478 15.17 16 0.2503 % 3,599.7
FixedReset Disc 4.16 % 5.17 % 118,163 15.12 46 0.8037 % 2,726.3
Insurance Straight 5.18 % 5.05 % 90,577 15.19 18 -0.2545 % 3,458.9
FloatingReset 3.13 % 3.43 % 42,609 18.67 2 -0.5667 % 2,848.1
FixedReset Prem 4.78 % 4.05 % 148,367 1.99 23 0.2421 % 2,686.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8037 % 2,786.9
FixedReset Ins Non 4.22 % 5.18 % 77,318 15.34 15 0.0733 % 2,847.0
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.01 %
SLF.PR.C Insurance Straight -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
BAM.PR.E Ratchet -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 3.81 %
SLF.PR.G FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.26 %
SLF.PR.J FloatingReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 2.81 %
SLF.PR.D Insurance Straight -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
EMA.PR.L Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.09 %
PWF.PF.A Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.21
Evaluated at bid price : 22.52
Bid-YTW : 5.06 %
TRP.PR.D FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.92 %
BAM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.72 %
TRP.PR.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
BMO.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.85 %
BMO.PR.W FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.16
Evaluated at bid price : 22.51
Bid-YTW : 5.08 %
NA.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.23
Evaluated at bid price : 23.55
Bid-YTW : 5.08 %
BIP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.72
Evaluated at bid price : 23.55
Bid-YTW : 5.94 %
BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.97 %
RY.PR.M FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.29
Evaluated at bid price : 22.86
Bid-YTW : 5.09 %
CU.PR.E Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.17 %
BAM.PF.E FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.70 %
TD.PF.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 5.12 %
FTS.PR.K FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.42 %
TD.PF.D FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.10 %
PVS.PR.F SplitShare 2.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %
CU.PR.J Perpetual-Premium 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.70
Evaluated at bid price : 23.05
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.81
Evaluated at bid price : 22.15
Bid-YTW : 5.61 %
PWF.PR.P FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.Z FixedReset Disc 384,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 5.60 %
TD.PF.C FixedReset Disc 202,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.20
Evaluated at bid price : 22.60
Bid-YTW : 5.10 %
TRP.PR.B FixedReset Disc 109,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 6.21 %
TRP.PR.A FixedReset Disc 94,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
IFC.PR.K Perpetual-Premium 86,315 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.20 %
PVS.PR.K SplitShare 84,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.50 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 20.85 – 23.50
Spot Rate : 2.6500
Average : 1.8497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.06 %

BAM.PF.G FixedReset Disc Quote: 22.05 – 23.20
Spot Rate : 1.1500
Average : 0.7771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.57 %

TRP.PR.A FixedReset Disc Quote: 17.70 – 18.50
Spot Rate : 0.8000
Average : 0.5014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %

PVS.PR.F SplitShare Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7302

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %

BAM.PF.F FixedReset Disc Quote: 22.42 – 23.14
Spot Rate : 0.7200
Average : 0.5208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.11
Evaluated at bid price : 22.42
Bid-YTW : 5.72 %

IFC.PR.C FixedReset Disc Quote: 22.63 – 23.30
Spot Rate : 0.6700
Average : 0.4752

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.08
Evaluated at bid price : 22.63
Bid-YTW : 5.17 %

Leave a Reply

You must be logged in to post a comment.