January 22, 2018

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 -0.1694 % 2,902.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1694 % 5,326.3
Floater 3.42 % 3.55 % 35,475 18.40 4 -0.1694 % 3,069.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3339 % 3,168.1
SplitShare 4.63 % 4.15 % 66,251 3.39 5 0.3339 % 3,783.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3339 % 2,951.9
Perpetual-Premium 5.37 % -0.07 % 64,785 0.09 18 0.2101 % 2,859.7
Perpetual-Discount 5.32 % 5.26 % 72,074 14.98 16 0.2342 % 2,990.8
FixedReset 4.20 % 4.46 % 144,249 3.83 100 0.0906 % 2,532.1
Deemed-Retractible 5.06 % 5.43 % 79,434 5.83 28 0.1556 % 2,946.0
FloatingReset 3.05 % 2.92 % 40,234 3.79 10 0.0261 % 2,766.5
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 3.58 %
BNS.PR.Z FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 4.57 %
GWO.PR.N FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.28 %
PWF.PR.A Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 3.09 %
EIT.PR.A SplitShare 1.14 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.31 %
BAM.PR.X FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.94 %
PWF.PR.L Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 5.31 %
RY.PR.N Perpetual-Premium 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.77 %
PWF.PR.T FixedReset 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.E FixedReset 357,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 23.07
Evaluated at bid price : 24.78
Bid-YTW : 4.56 %
TRP.PR.K FixedReset 211,554 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 3.96 %
CM.PR.S FixedReset 136,969 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 23.14
Evaluated at bid price : 24.93
Bid-YTW : 4.41 %
POW.PR.G Perpetual-Premium 84,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-15
Maturity Price : 25.25
Evaluated at bid price : 25.42
Bid-YTW : 5.31 %
MFC.PR.I FixedReset 83,823 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 4.29 %
NA.PR.C FixedReset 80,195 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.24 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Quote: 25.24 – 25.56
Spot Rate : 0.3200
Average : 0.2149

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.33 %

PVS.PR.B SplitShare Quote: 25.31 – 25.63
Spot Rate : 0.3200
Average : 0.2370

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.64 %

BAM.PR.B Floater Quote: 16.96 – 17.25
Spot Rate : 0.2900
Average : 0.2151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 3.58 %

GWO.PR.R Deemed-Retractible Quote: 23.00 – 23.25
Spot Rate : 0.2500
Average : 0.1768

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.32 %

W.PR.M FixedReset Quote: 26.15 – 26.39
Spot Rate : 0.2400
Average : 0.1674

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.92 %

TRP.PR.E FixedReset Quote: 24.03 – 24.25
Spot Rate : 0.2200
Average : 0.1505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-22
Maturity Price : 23.68
Evaluated at bid price : 24.03
Bid-YTW : 4.54 %

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