August 14, 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 -0.4962 % 3,095.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4962 % 5,680.9
Floater 3.49 % 3.71 % 50,904 18.01 4 -0.4962 % 3,273.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0551 % 3,211.6
SplitShare 4.57 % 4.69 % 49,250 4.84 5 -0.0551 % 3,835.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0551 % 2,992.4
Perpetual-Premium 5.62 % -10.91 % 57,447 0.09 10 0.0157 % 2,912.5
Perpetual-Discount 5.41 % 5.53 % 58,450 14.58 25 -0.0536 % 2,989.1
FixedReset 4.30 % 4.78 % 127,361 3.91 107 -0.0288 % 2,574.4
Deemed-Retractible 5.13 % 5.96 % 58,739 5.39 26 -0.1016 % 2,980.5
FloatingReset 3.43 % 3.65 % 32,230 5.71 7 0.0195 % 2,844.4
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 112,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.83 %
TD.PF.B FixedReset 104,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.08
Evaluated at bid price : 23.65
Bid-YTW : 4.79 %
GWO.PR.G Deemed-Retractible 104,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 6.09 %
GWO.PR.Q Deemed-Retractible 53,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 6.13 %
MFC.PR.R FixedReset 52,632 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.81 %
RY.PR.R FixedReset 52,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.44 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Quote: 24.15 – 25.00
Spot Rate : 0.8500
Average : 0.5210

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.04 %

MFC.PR.N FixedReset Quote: 23.75 – 24.37
Spot Rate : 0.6200
Average : 0.4599

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.45 %

CM.PR.O FixedReset Quote: 23.44 – 23.88
Spot Rate : 0.4400
Average : 0.2921

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 22.88
Evaluated at bid price : 23.44
Bid-YTW : 4.88 %

CM.PR.Q FixedReset Quote: 24.45 – 24.75
Spot Rate : 0.3000
Average : 0.1869

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 4.89 %

MFC.PR.G FixedReset Quote: 24.50 – 24.95
Spot Rate : 0.4500
Average : 0.3462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.76 %

RY.PR.H FixedReset Quote: 23.57 – 23.88
Spot Rate : 0.3100
Average : 0.2064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.02
Evaluated at bid price : 23.57
Bid-YTW : 4.78 %

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