January 28, 2021

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 -0.5966 % 2,016.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5966 % 3,699.2
Floater 4.29 % 4.32 % 44,500 16.76 3 -0.5966 % 2,131.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0440 % 3,628.4
SplitShare 4.70 % 4.40 % 37,300 4.18 8 -0.0440 % 4,333.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0440 % 3,380.8
Perpetual-Premium 5.35 % -5.98 % 73,459 0.09 18 0.3030 % 3,237.7
Perpetual-Discount 4.99 % 5.03 % 69,255 15.36 13 0.0443 % 3,700.2
FixedReset Disc 4.88 % 3.75 % 148,976 17.52 56 0.0893 % 2,405.2
Insurance Straight 5.03 % 4.81 % 85,696 15.31 22 0.0092 % 3,575.3
FloatingReset 2.48 % 0.42 % 25,122 0.10 3 0.1425 % 1,939.1
FixedReset Prem 5.13 % 3.34 % 190,677 0.97 20 0.0550 % 2,703.8
FixedReset Bank Non 1.93 % 1.93 % 192,908 0.99 2 0.0800 % 2,886.6
FixedReset Ins Non 4.89 % 3.69 % 89,277 17.64 22 -0.9163 % 2,492.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -19.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.83 %
SLF.PR.H FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.62 %
BAM.PR.T FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.58 %
BAM.PR.K Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 9.93
Evaluated at bid price : 9.93
Bid-YTW : 4.36 %
CM.PR.Q FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.69 %
MFC.PR.F FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 3.60 %
TRP.PR.B FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.36 %
CU.PR.H Perpetual-Premium 5.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.P Perpetual-Premium 94,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-26
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -5.83 %
CM.PR.R FixedReset Disc 83,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 23.61
Evaluated at bid price : 24.70
Bid-YTW : 3.84 %
BMO.PR.T FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 3.58 %
NA.PR.W FixedReset Disc 44,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 3.75 %
BMO.PR.Q FixedReset Bank Non 44,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 1.93 %
CM.PR.S FixedReset Disc 36,627 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.50 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.15 – 20.05
Spot Rate : 3.9000
Average : 2.1945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.83 %

BAM.PF.F FixedReset Disc Quote: 18.80 – 19.16
Spot Rate : 0.3600
Average : 0.2155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.61 %

RY.PR.M FixedReset Disc Quote: 21.00 – 21.83
Spot Rate : 0.8300
Average : 0.7160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %

RY.PR.P Perpetual-Premium Quote: 26.35 – 26.67
Spot Rate : 0.3200
Average : 0.2316

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-26
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -5.83 %

MFC.PR.K FixedReset Ins Non Quote: 19.99 – 20.49
Spot Rate : 0.5000
Average : 0.4130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 3.63 %

TD.PF.D FixedReset Disc Quote: 22.31 – 22.80
Spot Rate : 0.4900
Average : 0.4049

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.88
Evaluated at bid price : 22.31
Bid-YTW : 3.57 %

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