October 27, 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 1.2518 % 2,839.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2518 % 5,210.1
Floater 3.06 % 3.10 % 61,562 19.46 3 1.2518 % 3,002.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0843 % 3,728.4
SplitShare 4.60 % 4.22 % 54,931 3.88 5 0.0843 % 4,452.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0843 % 3,474.1
Perpetual-Premium 5.08 % -2.88 % 54,390 0.09 32 -0.1347 % 3,272.2
Perpetual-Discount 4.75 % 4.61 % 2,540,201 16.17 2 -0.8357 % 3,837.8
FixedReset Disc 3.80 % 3.77 % 110,840 17.16 40 0.2888 % 2,919.4
Insurance Straight 4.92 % 4.26 % 76,922 3.53 20 -0.1850 % 3,689.9
FloatingReset 2.53 % 2.77 % 25,629 20.31 2 1.1748 % 2,866.0
FixedReset Prem 4.69 % 2.94 % 127,371 1.49 31 0.0662 % 2,765.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2888 % 2,984.2
FixedReset Ins Non 4.03 % 3.67 % 91,464 17.19 19 -0.0536 % 2,991.8
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.12 %
ELF.PR.G Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.93
Evaluated at bid price : 24.17
Bid-YTW : 4.94 %
GWO.PR.N FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 3.69 %
RY.PR.P Perpetual-Premium -1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 25.90
Bid-YTW : 2.13 %
BAM.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.31 %
BIP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.03 %
TRP.PR.A FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.21 %
MFC.PR.F FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 3.60 %
FTS.PR.H FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.99 %
RY.PR.M FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.38 %
SLF.PR.J FloatingReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.29 %
FTS.PR.K FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 21.70
Evaluated at bid price : 22.16
Bid-YTW : 3.92 %
TRP.PR.B FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 14.49
Evaluated at bid price : 14.49
Bid-YTW : 4.25 %
TRP.PR.E FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 21.98
Evaluated at bid price : 22.31
Bid-YTW : 4.14 %
BAM.PR.R FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.31 %
BAM.PR.B Floater 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 3.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Y Insurance Straight 145,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.56 %
RY.PR.J FixedReset Disc 88,806 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.20 %
PWF.PF.A Perpetual-Discount 77,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 24.10
Evaluated at bid price : 24.48
Bid-YTW : 4.61 %
RY.PR.H FixedReset Disc 64,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.19
Evaluated at bid price : 24.43
Bid-YTW : 3.60 %
RY.PR.P Perpetual-Premium 50,702 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 25.90
Bid-YTW : 2.13 %
TD.PF.I FixedReset Prem 46,992 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.01 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.10
Spot Rate : 1.4500
Average : 0.9926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.12 %

BAM.PR.K Floater Quote: 13.90 – 14.57
Spot Rate : 0.6700
Average : 0.4168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.10 %

BAM.PR.C Floater Quote: 13.90 – 14.39
Spot Rate : 0.4900
Average : 0.3050

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.10 %

ELF.PR.G Perpetual-Discount Quote: 24.17 – 24.65
Spot Rate : 0.4800
Average : 0.3113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.93
Evaluated at bid price : 24.17
Bid-YTW : 4.94 %

PWF.PR.T FixedReset Disc Quote: 24.51 – 24.80
Spot Rate : 0.2900
Average : 0.1815

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.33
Evaluated at bid price : 24.51
Bid-YTW : 3.77 %

SLF.PR.H FixedReset Ins Non Quote: 22.90 – 23.35
Spot Rate : 0.4500
Average : 0.3450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 22.22
Evaluated at bid price : 22.90
Bid-YTW : 3.67 %

One Response to “October 27, 2021”

  1. jimmy says:

    Hi,

    Looking at BOP.PR.C. Like the min RR. It is a 6% min, spread 518, recall 6/30/2026 YTR 5.18% P3M. One of the better ytr of the group.

    I know P3 is in the adequate range for risk but it is a Brookfield co.

    Most of the RR I want are over par but this has a decent ytr Is this ok?

    Pls advise. Thx

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