March 28, 2024

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 0.1616 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1616 % 4,542.0
Floater 10.16 % 10.27 % 43,849 9.36 1 0.1616 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2332 % 3,441.0
SplitShare 4.89 % 6.99 % 35,021 1.81 7 0.2332 % 4,109.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2332 % 3,206.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4162 % 2,680.1
Perpetual-Discount 6.41 % 6.57 % 45,430 13.09 31 0.4162 % 2,922.5
FixedReset Disc 5.31 % 6.89 % 108,320 12.21 59 0.2879 % 2,490.2
Insurance Straight 6.29 % 6.45 % 49,522 13.30 22 0.5497 % 2,858.2
FloatingReset 9.91 % 10.21 % 28,675 9.40 3 0.4509 % 2,619.5
FixedReset Prem 6.88 % 6.69 % 147,309 3.16 1 0.0392 % 2,536.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2879 % 2,545.5
FixedReset Ins Non 5.40 % 7.21 % 73,833 12.60 14 -0.1502 % 2,630.9
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %
MFC.PR.I FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.86
Evaluated at bid price : 22.20
Bid-YTW : 7.17 %
IFC.PR.K Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.54 %
MFC.PR.F FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 7.63 %
CU.PR.I FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 7.89 %
GWO.PR.T Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.45 %
BN.PF.C Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 6.70 %
SLF.PR.E Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.99 %
PWF.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.60 %
BN.PR.N Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 6.66 %
PWF.PR.L Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.57 %
CM.PR.S FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.99
Evaluated at bid price : 22.99
Bid-YTW : 6.50 %
RY.PR.N Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.50 %
TD.PF.A FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.91
Evaluated at bid price : 23.62
Bid-YTW : 6.12 %
TD.PF.B FixedReset Disc 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.94
Evaluated at bid price : 23.81
Bid-YTW : 6.14 %
GWO.PR.Y Insurance Straight 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.33 %
IAF.PR.B Insurance Straight 9.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Q FixedReset Disc 55,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.56
Evaluated at bid price : 23.00
Bid-YTW : 6.56 %
BN.PF.F FixedReset Disc 51,951 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 8.43 %
PWF.PR.E Perpetual-Discount 41,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.56 %
BMO.PR.S FixedReset Disc 41,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 23.19
Evaluated at bid price : 24.29
Bid-YTW : 6.08 %
BMO.PR.E FixedReset Disc 34,856 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 23.16
Evaluated at bid price : 24.93
Bid-YTW : 6.43 %
BMO.PR.T FixedReset Disc 30,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 23.06
Evaluated at bid price : 23.89
Bid-YTW : 6.06 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.K Insurance Straight Quote: 20.21 – 21.25
Spot Rate : 1.0400
Average : 0.6221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.54 %
SLF.PR.C Insurance Straight Quote: 17.72 – 19.05
Spot Rate : 1.3300
Average : 0.9430

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %
PVS.PR.K SplitShare Quote: 22.40 – 23.20
Spot Rate : 0.8000
Average : 0.5227

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.98 %
BN.PF.E FixedReset Disc Quote: 16.58 – 17.12
Spot Rate : 0.5400
Average : 0.3407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 9.02 %
MFC.PR.I FixedReset Ins Non Quote: 22.20 – 22.82
Spot Rate : 0.6200
Average : 0.4628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.86
Evaluated at bid price : 22.20
Bid-YTW : 7.17 %
BIP.PR.F FixedReset Disc Quote: 20.90 – 21.40
Spot Rate : 0.5000
Average : 0.3649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.80 %

This entry was posted on Thursday, March 28th, 2024 at 9:29 pm 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 “March 28, 2024”

  1. MAPF Performance: March, 2024 « PrefBlog says:
    April 13, 2024 at 1:46 pm

    […] than PerpetualDiscounts although the spread has narrowed considerably in the past month; on March 28, I reported median YTWs of 6.89% and 6.57%, respectively, for these two indices; compare with mean […]

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