{"id":49686,"date":"2018-09-04T21:17:00","date_gmt":"2018-09-05T01:17:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=49686"},"modified":"2025-08-22T21:18:02","modified_gmt":"2025-08-23T01:18:02","slug":"september-4-2018","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=49686","title":{"rendered":"September 4, 2018"},"content":{"rendered":"<p>Something new today!<\/p>\n<p>The old FixedReset subindex has been divided into:<\/p>\n<ul>\n<li>FixedReset Discount\n<li>FixedReset Premium\n<li>FixedReset Bank NVCC Non-Compliant\n<li>FixedReset Insurance NVCC Non-Compliant<\/ul>\n<p>It will be noted that there are no NVCC-compliant insurance issues because the NVCC rules don&#8217;t apply to them. However, as I have been repeating until everybody&#8217;s tired of hearing it, <a href=\"https:\/\/prefblog.com\/?p=34667\">I expect insurance NVCC rules similar (if not identical) to those imposed on banks to become applicable in the future<\/a>.<\/p>\n<p>I&#8217;ve been pondering such a split in the FixedReset subindex for quite some time, but have implemented it now because I&#8217;ve (finally!) programmed Attribution Analysis into HIMIPref&trade;, which aims to provide some insight into the sources of differences between account return and index return. I&#8217;ll be publishing the MAPF Attribution Analysis for August, 2018, soon &#8230; stay tuned!<\/p>\n<p>Each of the four FixedReset subindices was set to the same value as of May 31, 2018.<\/p>\n<table border=\"1\">\n<tr>\n<td colspan=\"8\"><strong>HIMIPref&trade; Preferred Indices<br \/>These values reflect the December 2008 revision of the HIMIPref&trade; Indices<\/strong><br \/>Values are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>Current<br \/>Yield<br \/>(at bid)<\/td>\n<td>Median<br \/>YTW<\/td>\n<td>Median<br \/>Average<br \/>Trading<br \/>Value<\/td>\n<td>Median<br \/>Mod Dur<br \/>(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.1630 %<\/td>\n<td>3,075.9<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.1630 %<\/td>\n<td>5,644.1<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.51 %<\/td>\n<td>3.74 %<\/td>\n<td>42,248<\/td>\n<td>17.90<\/td>\n<td>4<\/td>\n<td>0.1630 %<\/td>\n<td>3,252.7<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.1505 %<\/td>\n<td>3,236.3<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>4.60 %<\/td>\n<td>4.43 %<\/td>\n<td>53,084<\/td>\n<td>4.84<\/td>\n<td>5<\/td>\n<td>0.1505 %<\/td>\n<td>3,864.9<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.1505 %<\/td>\n<td>3,015.5<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.54 %<\/td>\n<td>-0.46 %<\/td>\n<td>53,042<\/td>\n<td>0.09<\/td>\n<td>12<\/td>\n<td>0.0328 %<\/td>\n<td>2,922.1<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.39 %<\/td>\n<td>5.51 %<\/td>\n<td>58,525<\/td>\n<td>14.59<\/td>\n<td>22<\/td>\n<td>0.0960 %<\/td>\n<td>3,009.5<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Disc<\/td>\n<td>4.07 %<\/td>\n<td>4.73 %<\/td>\n<td>131,875<\/td>\n<td>15.81<\/td>\n<td>39<\/td>\n<td>-0.0546 %<\/td>\n<td>2,601.3<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.16 %<\/td>\n<td>5.76 %<\/td>\n<td>63,172<\/td>\n<td>5.41<\/td>\n<td>27<\/td>\n<td>-0.0344 %<\/td>\n<td>2,995.4<\/td>\n<\/tr>\n<tr>\n<td>FloatingReset<\/td>\n<td>3.39 %<\/td>\n<td>4.12 %<\/td>\n<td>41,584<\/td>\n<td>5.70<\/td>\n<td>5<\/td>\n<td>0.1262 %<\/td>\n<td>2,866.5<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Prem<\/td>\n<td>4.81 %<\/td>\n<td>3.94 %<\/td>\n<td>176,568<\/td>\n<td>2.91<\/td>\n<td>35<\/td>\n<td>-0.0621 %<\/td>\n<td>2,578.7<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Bank Non<\/td>\n<td>3.19 %<\/td>\n<td>3.32 %<\/td>\n<td>62,756<\/td>\n<td>0.47<\/td>\n<td>9<\/td>\n<td>0.0857 %<\/td>\n<td>2,576.4<\/td>\n<\/tr>\n<tr>\n<td>FixedReset Ins Non<\/td>\n<td>4.25 %<\/td>\n<td>4.81 %<\/td>\n<td>93,089<\/td>\n<td>5.39<\/td>\n<td>22<\/td>\n<td>-0.0328 %<\/td>\n<td>2,595.3<\/td>\n<\/tr>\n<\/table>\n<table border=\"1\">\n<tr>\n<td colspan=\"4\"><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.N<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>-1.60 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2025-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.32<br \/>\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.K<\/td>\n<td>Floater<\/td>\n<td>-1.53 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 17.43<br \/>\nEvaluated at bid price : 17.43<br \/>\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.C<\/td>\n<td>Deemed-Retractible<\/td>\n<td>-1.17 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2025-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 21.20<br \/>\nBid-YTW : 7.46 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.O<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.09 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 22.98<br \/>\nEvaluated at bid price : 23.57<br \/>\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.E<\/td>\n<td>FixedReset Disc<\/td>\n<td>-1.06 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 22.89<br \/>\nEvaluated at bid price : 24.22<br \/>\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PF.C<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.21 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 21.75<br \/>\nEvaluated at bid price : 21.75<br \/>\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.I<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>1.42 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2021-12-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.35<br \/>\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.X<\/td>\n<td>FixedReset Disc<\/td>\n<td>1.55 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 19.60<br \/>\nEvaluated at bid price : 19.60<br \/>\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.C<\/td>\n<td>Floater<\/td>\n<td>2.24 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 17.38<br \/>\nEvaluated at bid price : 17.38<br \/>\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.R<\/td>\n<td>FixedReset Disc<\/td>\n<td>2.28 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 21.51<br \/>\nEvaluated at bid price : 21.51<br \/>\nBid-YTW : 4.99 %<\/td>\n<\/tr>\n<\/table>\n<table border=\"1\">\n<tr>\n<td colspan=\"4\"><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>Traded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.G<\/td>\n<td>FixedReset Prem<\/td>\n<td>61,900<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2023-11-15<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.57<br \/>\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.J<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>56,500<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2023-03-19<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.01<br \/>\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.K<\/td>\n<td>Perpetual-Discount<\/td>\n<td>53,400<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 22.17<br \/>\nEvaluated at bid price : 22.45<br \/>\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n<tr>\n<td>EMA.PR.H<\/td>\n<td>FixedReset Prem<\/td>\n<td>49,050<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2023-08-15<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.36<br \/>\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.R<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>41,309<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2022-03-19<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.84<br \/>\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PF.J<\/td>\n<td>FixedReset Prem<\/td>\n<td>41,100<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2023-04-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.41<br \/>\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n<tr>\n<td colspan=\"4\">There were 12 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n<table border=\"1\">\n<tr>\n<td colspan=\"3\"><strong>Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Quote Data and Yield Notes<\/td>\n<\/tr>\n<tr>\n<td>BAM.PF.B<\/td>\n<td>FixedReset Disc<\/td>\n<td>Quote: 24.01 &#8211; 24.74<br \/>\nSpot Rate  :  0.7300<br \/>\nAverage  :  0.4613<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 23.28<br \/>\nEvaluated at bid price : 24.01<br \/>\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.N<\/td>\n<td>FixedReset Ins Non<\/td>\n<td>Quote: 23.32 &#8211; 23.96<br \/>\nSpot Rate  :  0.6400<br \/>\nAverage  :  0.4508<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2025-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.32<br \/>\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.S<\/td>\n<td>FixedReset Disc<\/td>\n<td>Quote: 23.55 &#8211; 23.98<br \/>\nSpot Rate  :  0.4300<br \/>\nAverage  :  0.2662<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 22.89<br \/>\nEvaluated at bid price : 23.55<br \/>\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 21.15 &#8211; 21.59<br \/>\nSpot Rate  :  0.4400<br \/>\nAverage  :  0.3189<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2025-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 21.15<br \/>\nBid-YTW : 7.58 %<\/td>\n<\/tr>\n<tr>\n<td>EIT.PR.B<\/td>\n<td>SplitShare<\/td>\n<td>Quote: 25.02 &#8211; 25.30<br \/>\nSpot Rate  :  0.2800<br \/>\nAverage  :  0.1839<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Soft Maturity<br \/>\nMaturity Date\t: 2025-03-14<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.02<br \/>\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.E<\/td>\n<td>FixedReset Disc<\/td>\n<td>Quote: 24.22 &#8211; 24.50<br \/>\nSpot Rate  :  0.2800<br \/>\nAverage  :  0.1870<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2048-09-04<br \/>\nMaturity Price  : 22.89<br \/>\nEvaluated at bid price : 24.22<br \/>\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>Something new today! The old FixedReset subindex has been divided into: FixedReset Discount FixedReset Premium FixedReset Bank NVCC Non-Compliant FixedReset Insurance NVCC Non-Compliant It will be noted that there are no NVCC-compliant insurance issues because &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-49686","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49686","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=49686"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49686\/revisions"}],"predecessor-version":[{"id":49687,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/49686\/revisions\/49687"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=49686"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=49686"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=49686"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}