December 22, 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 -0.2168 % 1,865.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2168 % 3,423.3
Floater 4.66 % 4.66 % 75,171 16.13 2 -0.2168 % 1,972.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.4493 % 3,625.8
SplitShare 4.78 % 4.46 % 42,866 3.82 9 0.4493 % 4,330.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4493 % 3,378.5
Perpetual-Premium 5.33 % 3.05 % 75,832 0.08 19 0.0412 % 3,199.6
Perpetual-Discount 5.00 % 5.01 % 77,020 15.40 12 0.1999 % 3,672.0
FixedReset Disc 5.01 % 3.90 % 150,304 17.23 56 0.2252 % 2,327.3
Insurance Straight 5.06 % 4.85 % 88,663 15.36 22 -0.0092 % 3,551.5
FloatingReset 1.93 % 1.86 % 43,308 1.10 3 0.0164 % 1,850.3
FixedReset Prem 5.16 % 3.21 % 218,211 0.66 22 0.0807 % 2,675.4
FixedReset Bank Non 1.93 % 1.81 % 169,099 1.09 2 0.0200 % 2,880.9
FixedReset Ins Non 5.07 % 3.89 % 87,209 17.25 22 0.0490 % 2,416.1
Performance Highlights
Issue Index Change Notes
IAF.PR.G FixedReset Ins Non -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.37 %
CU.PR.G Perpetual-Discount -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.91
Evaluated at bid price : 23.18
Bid-YTW : 4.88 %
RY.PR.H FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 3.48 %
CM.PR.Q FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.87 %
TRP.PR.E FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 5.23 %
BAM.PF.F FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.93 %
BAM.PR.X FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 4.76 %
SLF.PR.D Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.67 %
TRP.PR.C FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.78 %
BAM.PF.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 24.03
Evaluated at bid price : 24.45
Bid-YTW : 5.01 %
NA.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.90 %
CM.PR.P FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 3.65 %
EIT.PR.A SplitShare 1.17 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.47 %
BMO.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.22
Evaluated at bid price : 22.65
Bid-YTW : 3.72 %
BMO.PR.S FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 3.58 %
RY.PR.Z FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.39 %
MFC.PR.Q FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.83 %
PVS.PR.H SplitShare 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.46 %
BMO.PR.W FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.61 %
CU.PR.F Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.74
Evaluated at bid price : 24.02
Bid-YTW : 4.71 %
BAM.PR.N Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.03 %
GWO.PR.N FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 3.92 %
IAF.PR.B Insurance Straight 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.70 %
BAM.PR.R FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.72 %
MFC.PR.G FixedReset Ins Non 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.66
Evaluated at bid price : 22.07
Bid-YTW : 3.80 %
TD.PF.D FixedReset Disc 9.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.62
Evaluated at bid price : 21.95
Bid-YTW : 3.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.E FixedReset Disc 56,093 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.22
Evaluated at bid price : 22.65
Bid-YTW : 3.72 %
TRP.PR.C FixedReset Disc 54,611 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.78 %
PWF.PR.T FixedReset Disc 52,754 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 4.21 %
MFC.PR.Q FixedReset Ins Non 50,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.83 %
GWO.PR.G Insurance Straight 27,892 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-21
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.16 %
TRP.PR.K FixedReset Disc 23,769 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.68
Evaluated at bid price : 24.81
Bid-YTW : 4.92 %
There were 13 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: 21.11 – 25.50
Spot Rate : 4.3900
Average : 2.9242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.64 %

IAF.PR.G FixedReset Ins Non Quote: 19.10 – 21.15
Spot Rate : 2.0500
Average : 1.3894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.37 %

MFC.PR.K FixedReset Ins Non Quote: 18.60 – 20.17
Spot Rate : 1.5700
Average : 0.9501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.91 %

EIT.PR.B SplitShare Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.6364

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.71 %

BAM.PR.X FixedReset Disc Quote: 12.01 – 13.40
Spot Rate : 1.3900
Average : 1.0330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 4.76 %

CU.PR.G Perpetual-Discount Quote: 23.18 – 24.10
Spot Rate : 0.9200
Average : 0.5734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.91
Evaluated at bid price : 23.18
Bid-YTW : 4.88 %

Leave a Reply

You must be logged in to post a comment.