August 31, 2023

Sorry it’s late!

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 0.00 % 0.00 % 0 0.00 0 -0.4833 % 2,188.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4833 % 4,197.7
Floater 11.13 % 11.48 % 55,141 8.36 2 -0.4833 % 2,419.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1396 % 3,343.1
SplitShare 5.04 % 7.22 % 43,367 2.04 8 0.1396 % 3,992.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1396 % 3,115.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2242 % 2,469.6
Perpetual-Discount 6.95 % 7.13 % 48,358 12.34 31 0.2242 % 2,693.0
FixedReset Disc 6.07 % 9.18 % 100,878 10.61 56 0.1170 % 2,061.5
Insurance Straight 6.90 % 6.95 % 57,272 12.65 18 0.2074 % 2,608.8
FloatingReset 11.35 % 11.39 % 39,680 8.63 1 -1.0135 % 2,356.3
FixedReset Prem 7.17 % 7.56 % 217,506 11.88 1 -1.2097 % 2,253.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1170 % 2,107.3
FixedReset Ins Non 6.60 % 8.51 % 106,150 10.98 10 -0.0398 % 2,242.3
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.84 %
FTS.PR.H FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 10.41 %
TD.PF.D FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.43 %
RY.PR.J FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.26 %
FTS.PR.M FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 9.85 %
NA.PR.C FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 23.04
Evaluated at bid price : 24.50
Bid-YTW : 7.56 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 9.28 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 9.49 %
SLF.PR.J FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 11.39 %
TD.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.21 %
PWF.PR.S Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.08 %
PVS.PR.K SplitShare 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.76 %
BN.PF.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 11.33 %
TD.PF.L FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 8.00 %
CM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 21.99
Evaluated at bid price : 22.56
Bid-YTW : 8.16 %
BN.PF.I FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 10.02 %
SLF.PR.E Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 6.71 %
BMO.PR.F FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 22.99
Evaluated at bid price : 23.64
Bid-YTW : 7.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 86,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 9.28 %
IFC.PR.G FixedReset Ins Non 65,438 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 8.51 %
TD.PF.B FixedReset Disc 50,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.21 %
GWO.PR.N FixedReset Ins Non 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 9.84 %
RY.PR.H FixedReset Disc 38,343 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 9.19 %
CM.PR.Q FixedReset Disc 30,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 9.28 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Disc Quote: 20.05 – 21.99
Spot Rate : 1.9400
Average : 1.4635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 9.07 %
BIK.PR.A FixedReset Disc Quote: 20.92 – 21.84
Spot Rate : 0.9200
Average : 0.5319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 9.51 %
BN.PF.A FixedReset Disc Quote: 19.43 – 20.50
Spot Rate : 1.0700
Average : 0.7221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 9.23 %
POW.PR.D Perpetual-Discount Quote: 17.88 – 18.75
Spot Rate : 0.8700
Average : 0.5507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.12 %
PVS.PR.J SplitShare Quote: 21.80 – 22.85
Spot Rate : 1.0500
Average : 0.8202

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.85 %
CM.PR.T FixedReset Disc Quote: 22.56 – 23.25
Spot Rate : 0.6900
Average : 0.4679

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 21.99
Evaluated at bid price : 22.56
Bid-YTW : 8.16 %

This entry was posted on Friday, September 1st, 2023 at 11:50 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.

One Response to “August 31, 2023”

  1. MAPF Performance: August, 2023 « PrefBlog says:
    September 4, 2023 at 8:32 pm

    […] continue to yield more, in general, than PerpetualDiscounts; on August 31, I reported median YTWs of 9.18% and 7.13%, respectively, for these two indices; compare with mean […]

Leave a Reply

You must be logged in to post a comment.