March 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 3.22 % 3.74 % 25,763 19.67 1 0.0000 % 2,799.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4485 % 5,270.8
Floater 3.33 % 3.33 % 62,855 18.91 3 0.4485 % 3,037.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5909 % 3,612.6
SplitShare 4.71 % 4.55 % 32,074 3.41 8 -0.5909 % 4,314.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5909 % 3,366.1
Perpetual-Premium 5.35 % -6.54 % 62,947 0.09 17 0.2689 % 3,184.7
Perpetual-Discount 5.14 % 5.15 % 70,621 15.17 16 -0.0349 % 3,595.1
FixedReset Disc 4.17 % 5.12 % 121,629 15.15 46 0.3196 % 2,749.2
Insurance Straight 5.19 % 5.06 % 93,353 15.14 18 -0.0936 % 3,455.1
FloatingReset 3.12 % 3.46 % 46,623 18.61 2 0.1993 % 2,857.0
FixedReset Prem 4.79 % 3.85 % 149,544 2.03 23 0.0990 % 2,697.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3196 % 2,810.2
FixedReset Ins Non 4.17 % 5.11 % 82,651 15.40 15 0.8063 % 2,880.5
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -4.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.28 %
TRP.PR.C FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.99 %
SLF.PR.C Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.06 %
SLF.PR.E Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 5.07 %
BAM.PR.R FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.65 %
TRP.PR.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.13 %
TD.PF.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 5.06 %
GWO.PR.T Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.91 %
PWF.PR.Z Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.22 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.01 %
CU.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.61
Evaluated at bid price : 23.65
Bid-YTW : 5.11 %
MFC.PR.K FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.89
Evaluated at bid price : 23.32
Bid-YTW : 4.99 %
RY.PR.Z FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.69
Evaluated at bid price : 23.00
Bid-YTW : 4.97 %
SLF.PR.H FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.94 %
CU.PR.J Perpetual-Premium 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.13 %
TRP.PR.E FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.71 %
PWF.PR.T FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 23.29
Evaluated at bid price : 23.65
Bid-YTW : 5.08 %
IFC.PR.A FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Y Insurance Straight 225,918 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.04 %
NA.PR.C FixedReset Prem 144,897 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.42 %
TRP.PR.B FixedReset Disc 122,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.13 %
TRP.PR.A FixedReset Disc 117,396 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.93 %
CM.PR.R FixedReset Prem 100,166 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.05 %
TD.PF.C FixedReset Disc 85,548 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.24
Evaluated at bid price : 22.66
Bid-YTW : 5.08 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 14.18 – 15.50
Spot Rate : 1.3200
Average : 0.8219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 3.33 %

PVS.PR.G SplitShare Quote: 25.30 – 26.30
Spot Rate : 1.0000
Average : 0.6042

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.68 %

PVS.PR.J SplitShare Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.6155

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.28 %

CU.PR.J Perpetual-Premium Quote: 23.30 – 24.50
Spot Rate : 1.2000
Average : 0.8309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.13 %

PVS.PR.F SplitShare Quote: 25.90 – 26.97
Spot Rate : 1.0700
Average : 0.7507

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : 2.14 %

BAM.PF.G FixedReset Disc Quote: 22.41 – 23.50
Spot Rate : 1.0900
Average : 0.7968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.03
Evaluated at bid price : 22.41
Bid-YTW : 5.47 %

4 Responses to “March 31, 2022”

  1. CanSiamCyp says:

    James:

    TC Energy to redeem Cumulative Redeemable Minimum Rate Reset First Preferred Shares, Series 15 (TRP.PR.K)

    https://money.tmx.com/en/quote/TRP/news/5435004087850491/TC_Energy_to_redeem_Cumulative_Redeemable_Minimum_Rate_Reset_First_Preferred_Shares_Series_15

  2. […] closed at 644.34, down 2.61% on the day. Volume today was 2.87-million, second only to March 31 in the past 21 trading days, which shows just how anemic trade has been […]

  3. […] closed at 650.53, up 0.96% on the day. Volume today was 3.07-million, second only to March 31 in the past 21 trading days, which shows just how anemic trade has been […]

  4. PrefBlog says:

    […] ZPR closed at 10.60, down 0.28% on the day. Volume of 396,070 was third-highest of the past 21 trading days, behind April 7 (another horrible day) and March 31. […]

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