July 30, 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 -0.8403 % 1,608.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8403 % 2,952.1
Floater 5.19 % 5.23 % 58,923 15.08 3 -0.8403 % 1,701.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,475.7
SplitShare 4.83 % 4.87 % 54,074 3.74 7 -0.0512 % 4,150.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,238.5
Perpetual-Premium 5.19 % 4.89 % 74,795 4.06 1 -0.0395 % 3,077.1
Perpetual-Discount 5.52 % 5.67 % 77,288 14.37 35 0.1324 % 3,308.2
FixedReset Disc 5.69 % 4.45 % 148,515 15.90 75 -0.3223 % 1,989.8
Deemed-Retractible 5.26 % 5.33 % 94,708 14.50 27 0.1482 % 3,260.3
FloatingReset 2.37 % 2.55 % 35,798 1.48 4 -0.0146 % 1,763.1
FixedReset Prem 5.44 % 4.11 % 353,903 1.04 3 -0.5249 % 2,600.7
FixedReset Bank Non 1.95 % 2.48 % 118,788 1.48 2 -0.3823 % 2,829.5
FixedReset Ins Non 5.84 % 4.63 % 96,549 15.90 22 0.9574 % 2,040.6
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.22 %
TRP.PR.D FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.62 %
PWF.PR.T FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.74 %
BAM.PR.C Floater -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.28
Evaluated at bid price : 8.28
Bid-YTW : 5.23 %
BAM.PF.B FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.55 %
BIP.PR.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.99 %
TRP.PR.A FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.53 %
TD.PF.I FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.16 %
BIK.PR.A FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.98
Evaluated at bid price : 24.21
Bid-YTW : 6.06 %
CU.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.54 %
TRP.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 5.61 %
TD.PF.G FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %
W.PR.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %
BAM.PR.X FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 5.43 %
TD.PF.L FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
ELF.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.60 %
CCS.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 5.60 %
W.PR.M FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.98
Evaluated at bid price : 24.41
Bid-YTW : 5.35 %
IAF.PR.I FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.41 %
SLF.PR.H FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.57 %
SLF.PR.I FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.53 %
MFC.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 5.29 %
SLF.PR.G FixedReset Ins Non 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.13 %
PWF.PR.Z Perpetual-Discount 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.51
Evaluated at bid price : 22.80
Bid-YTW : 5.67 %
MFC.PR.I FixedReset Ins Non 19.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 118,782 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.46 %
NA.PR.C FixedReset Disc 81,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.40 %
RY.PR.Q FixedReset Disc 78,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.28 %
TD.PF.M FixedReset Disc 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.02
Evaluated at bid price : 24.40
Bid-YTW : 4.17 %
TD.PF.K FixedReset Disc 57,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.25 %
TD.PF.L FixedReset Disc 49,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
There were 27 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: 15.32 – 18.50
Spot Rate : 3.1800
Average : 2.5467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %

W.PR.K FixedReset Disc Quote: 24.35 – 24.94
Spot Rate : 0.5900
Average : 0.4161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %

CU.PR.I FixedReset Disc Quote: 24.80 – 25.45
Spot Rate : 0.6500
Average : 0.4783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.08
Evaluated at bid price : 24.80
Bid-YTW : 4.56 %

IFC.PR.C FixedReset Ins Non Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.8285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.63 %

TD.PF.G FixedReset Prem Quote: 25.06 – 25.51
Spot Rate : 0.4500
Average : 0.2817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %

PVS.PR.G SplitShare Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.8617

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.08 %

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