January 25, 2022

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 3.02 % 3.49 % 42,725 20.06 1 0.0000 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1595 % 5,426.9
Floater 2.94 % 2.95 % 52,541 19.84 3 -0.1595 % 3,127.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1437 % 3,657.3
SplitShare 4.70 % 4.42 % 30,142 3.55 6 0.1437 % 4,367.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1437 % 3,407.7
Perpetual-Premium 5.19 % -5.39 % 53,450 0.09 24 -0.3550 % 3,235.6
Perpetual-Discount 4.77 % 4.83 % 52,896 15.73 7 -1.1198 % 3,812.8
FixedReset Disc 3.97 % 4.17 % 114,322 16.59 46 -0.3048 % 2,861.7
Insurance Straight 4.91 % 4.58 % 88,259 15.71 17 -0.1295 % 3,642.6
FloatingReset 2.91 % 3.27 % 41,754 19.05 2 -0.8899 % 2,892.7
FixedReset Prem 4.76 % 3.49 % 104,735 2.13 25 -0.1658 % 2,713.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3048 % 2,925.3
FixedReset Ins Non 4.12 % 3.99 % 68,096 16.71 17 -0.1915 % 2,950.8
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -5.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.73 %
CU.PR.G Perpetual-Discount -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 4.83 %
TRP.PR.G FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 22.63
Evaluated at bid price : 23.51
Bid-YTW : 4.57 %
TRP.PR.B FixedReset Disc -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 4.78 %
CU.PR.E Perpetual-Premium -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.08 %
CU.PR.F Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.76 %
GWO.PR.N FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.85 %
RY.PR.O Perpetual-Premium -1.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-24
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.79 %
TD.PF.L FixedReset Prem -1.88 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.04 %
GWO.PR.H Insurance Straight -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 24.30
Evaluated at bid price : 24.61
Bid-YTW : 4.96 %
CM.PR.Q FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 22.91
Evaluated at bid price : 24.00
Bid-YTW : 4.26 %
TRP.PR.F FloatingReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 3.27 %
TRP.PR.D FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.73 %
RY.PR.J FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.17 %
PWF.PF.A Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.88
Evaluated at bid price : 24.25
Bid-YTW : 4.64 %
RY.PR.P Perpetual-Premium -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-24
Maturity Price : 25.25
Evaluated at bid price : 25.73
Bid-YTW : 4.71 %
SLF.PR.G FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.96 %
RY.PR.M FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 22.90
Evaluated at bid price : 24.06
Bid-YTW : 4.11 %
BIP.PR.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 22.96
Evaluated at bid price : 24.10
Bid-YTW : 5.10 %
NA.PR.E FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.74
Evaluated at bid price : 24.85
Bid-YTW : 4.16 %
MFC.PR.L FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 22.39
Evaluated at bid price : 22.80
Bid-YTW : 4.14 %
PVS.PR.G SplitShare 1.31 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.62 %
BAM.PF.J FixedReset Prem 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.49 %
BAM.PR.T FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 310,087 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.23
Evaluated at bid price : 24.30
Bid-YTW : 4.01 %
MFC.PR.R FixedReset Ins Non 169,147 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.88 %
BAM.PF.J FixedReset Prem 128,509 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.49 %
TD.PF.K FixedReset Prem 88,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.68
Evaluated at bid price : 25.07
Bid-YTW : 4.15 %
FTS.PR.G FixedReset Disc 56,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 22.44
Evaluated at bid price : 22.82
Bid-YTW : 4.18 %
ELF.PR.H Perpetual-Premium 53,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.74 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 23.60 – 24.85
Spot Rate : 1.2500
Average : 0.8068

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 4.83 %

TRP.PR.C FixedReset Disc Quote: 15.30 – 16.43
Spot Rate : 1.1300
Average : 0.7028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.73 %

CU.PR.E Perpetual-Premium Quote: 24.45 – 25.45
Spot Rate : 1.0000
Average : 0.6133

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.08 %

BAM.PR.C Floater Quote: 14.61 – 15.61
Spot Rate : 1.0000
Average : 0.6521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 2.95 %

CIU.PR.A Perpetual-Discount Quote: 24.00 – 25.10
Spot Rate : 1.1000
Average : 0.7580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.85 %

PWF.PF.A Perpetual-Discount Quote: 24.25 – 25.15
Spot Rate : 0.9000
Average : 0.5658

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-25
Maturity Price : 23.88
Evaluated at bid price : 24.25
Bid-YTW : 4.64 %

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