September 29, 2020

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 0.3249 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3249 % 2,998.3
Floater 5.21 % 5.22 % 53,850 15.11 3 0.3249 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3415 % 3,500.9
SplitShare 4.86 % 4.87 % 48,980 3.61 7 -0.3415 % 4,180.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3415 % 3,262.0
Perpetual-Premium 5.33 % 4.30 % 75,962 3.52 17 0.5311 % 3,144.3
Perpetual-Discount 5.22 % 5.23 % 91,140 14.89 17 0.2363 % 3,524.0
FixedReset Disc 5.58 % 4.31 % 118,004 16.30 68 -0.5084 % 2,053.6
Deemed-Retractible 5.03 % 4.92 % 114,276 15.15 27 0.0669 % 3,449.3
FloatingReset 2.88 % 2.21 % 46,509 1.32 3 -0.0903 % 1,784.0
FixedReset Prem 5.25 % 4.43 % 264,361 0.85 11 0.1365 % 2,620.8
FixedReset Bank Non 1.95 % 2.27 % 127,884 1.31 2 0.0000 % 2,844.6
FixedReset Ins Non 5.76 % 4.42 % 81,285 16.01 22 -0.8468 % 2,097.2
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.29 %
MFC.PR.G FixedReset Ins Non -17.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.35 %
TRP.PR.G FixedReset Disc -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.88 %
IFC.PR.I Perpetual-Premium -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 24.63
Evaluated at bid price : 25.03
Bid-YTW : 5.41 %
BIP.PR.C FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 22.71
Evaluated at bid price : 23.25
Bid-YTW : 5.76 %
IFC.PR.A FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.76 %
BIP.PR.D FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 5.59 %
TD.PF.B FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 4.14 %
BAM.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.42 %
BMO.PR.F FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 23.25
Evaluated at bid price : 24.90
Bid-YTW : 4.04 %
BAM.PR.X FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 5.04 %
BIP.PR.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 21.95
Evaluated at bid price : 22.30
Bid-YTW : 5.74 %
MFC.PR.Q FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.42 %
BMO.PR.Z Perpetual-Premium 1.66 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.30 %
RY.PR.N Perpetual-Premium 1.66 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.30 %
RY.PR.O Perpetual-Premium 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.32 %
BAM.PR.Z FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 5.38 %
BAM.PR.T FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.39 %
BMO.PR.Y FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.18 %
TD.PF.F Perpetual-Premium 4.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 26.00
Evaluated at bid price : 26.23
Bid-YTW : 3.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 101,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.68 %
BMO.PR.B FixedReset Prem 99,707 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.12 %
TD.PF.M FixedReset Disc 55,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 23.21
Evaluated at bid price : 24.85
Bid-YTW : 4.12 %
BMO.PR.Y FixedReset Disc 51,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.18 %
BMO.PR.T FixedReset Disc 51,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.17 %
TD.PF.F Perpetual-Premium 46,615 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 26.00
Evaluated at bid price : 26.23
Bid-YTW : 3.44 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.85
Spot Rate : 6.8700
Average : 4.5383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.29 %

MFC.PR.G FixedReset Ins Non Quote: 15.50 – 18.87
Spot Rate : 3.3700
Average : 1.8184

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.35 %

CM.PR.R FixedReset Disc Quote: 22.74 – 23.58
Spot Rate : 0.8400
Average : 0.5941

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 22.40
Evaluated at bid price : 22.74
Bid-YTW : 4.15 %

IFC.PR.I Perpetual-Premium Quote: 25.03 – 25.70
Spot Rate : 0.6700
Average : 0.4607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 24.63
Evaluated at bid price : 25.03
Bid-YTW : 5.41 %

TRP.PR.G FixedReset Disc Quote: 14.26 – 15.40
Spot Rate : 1.1400
Average : 0.9430

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.88 %

POW.PR.B Perpetual-Discount Quote: 24.70 – 25.02
Spot Rate : 0.3200
Average : 0.2006

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-29
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.42 %

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