November 22, 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 0.9161 % 2,215.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9161 % 4,249.4
Floater 8.59 % 9.01 % 30,634 10.31 4 0.9161 % 2,449.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2787 % 3,618.7
SplitShare 4.77 % 4.57 % 76,081 3.03 6 -0.2787 % 4,321.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2787 % 3,371.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2377 % 2,808.3
Perpetual-Discount 6.13 % 6.27 % 53,061 13.48 31 0.2377 % 3,062.3
FixedReset Disc 5.46 % 6.96 % 102,555 12.47 58 0.2591 % 2,706.3
Insurance Straight 5.97 % 6.12 % 64,491 13.68 21 0.4501 % 3,033.3
FloatingReset 6.62 % 6.72 % 41,352 12.80 2 0.8690 % 3,253.3
FixedReset Prem 6.37 % 5.55 % 164,579 3.69 7 0.2759 % 2,599.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2591 % 2,766.4
FixedReset Ins Non 5.23 % 6.49 % 74,897 13.26 14 0.3618 % 2,811.6
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.29 %
SLF.PR.D Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.74 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.89 %
IFC.PR.K Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.66
Evaluated at bid price : 21.97
Bid-YTW : 6.07 %
BN.PF.G FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 7.77 %
BN.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 9.08 %
BIP.PR.F FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.68
Evaluated at bid price : 23.65
Bid-YTW : 6.76 %
BN.PF.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.57
Evaluated at bid price : 23.38
Bid-YTW : 6.92 %
PVS.PR.J SplitShare 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.34 %
FFH.PR.G FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.96 %
TD.PF.I FixedReset Prem 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 4.96 %
BN.PF.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 7.46 %
PVS.PR.G SplitShare 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.26 %
SLF.PR.H FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.99 %
FFH.PR.F FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.76 %
MFC.PR.J FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 6.28 %
BN.PR.K Floater 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 9.01 %
MFC.PR.C Insurance Straight 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.93 %
IFC.PR.A FixedReset Ins Non 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 6.49 %
FFH.PR.K FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.99
Evaluated at bid price : 23.82
Bid-YTW : 6.95 %
BIP.PR.A FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.20
Evaluated at bid price : 22.91
Bid-YTW : 7.47 %
BN.PR.M Perpetual-Discount 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.54 %
POW.PR.A Perpetual-Discount 5.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.25 %
GWO.PR.S Insurance Straight 10.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset Ins Non 204,721 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 6.48 %
ENB.PR.T FixedReset Disc 136,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 7.54 %
TD.PF.D FixedReset Disc 107,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 23.52
Evaluated at bid price : 24.17
Bid-YTW : 6.22 %
ENB.PR.H FixedReset Disc 31,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 7.20 %
SLF.PR.E Insurance Straight 28,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.64 %
FFH.PR.C FixedReset Disc 25,242 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 24.12
Evaluated at bid price : 25.06
Bid-YTW : 6.52 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PF.E FixedReset Disc Quote: 18.10 – 19.10
Spot Rate : 1.0000
Average : 0.6298

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.18 %

BN.PF.A FixedReset Disc Quote: 23.38 – 24.25
Spot Rate : 0.8700
Average : 0.5777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.57
Evaluated at bid price : 23.38
Bid-YTW : 6.92 %

CU.PR.F Perpetual-Discount Quote: 18.01 – 18.75
Spot Rate : 0.7400
Average : 0.4789

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.29 %

MFC.PR.B Insurance Straight Quote: 19.48 – 20.23
Spot Rate : 0.7500
Average : 0.5203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.98 %

ENB.PF.C FixedReset Disc Quote: 18.45 – 19.00
Spot Rate : 0.5500
Average : 0.3706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 8.11 %

MIC.PR.A Perpetual-Discount Quote: 21.31 – 21.95
Spot Rate : 0.6400
Average : 0.4656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.46 %

One Response to “November 22, 2024”

  1. CanSiamCyp says:

    CVE.PR.C will be redeemed on 31 Dec. 2024:

    https://money.tmx.com/quote/CVE/news/6442180021669228/Cenovus_Energy_announces_redemption_of_Series_3_Preferred_Shares

    This issue has a spread of 313 b.p.

    Two more upcoming issues (E and G) have spreads of 357 and 352 b.p. with redeem/reset dates of 31 Mar and 30 June 2025, respectively.

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