January 11, 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 0.6003 % 1,915.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6003 % 3,514.2
Floater 4.51 % 4.52 % 48,885 16.41 3 0.6003 % 2,025.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3361 % 3,627.0
SplitShare 4.71 % 4.37 % 39,744 3.76 8 0.3361 % 4,331.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3361 % 3,379.6
Perpetual-Premium 5.35 % -2.79 % 64,285 0.09 18 0.0087 % 3,227.4
Perpetual-Discount 5.00 % 5.05 % 67,364 15.39 13 0.1776 % 3,694.1
FixedReset Disc 4.97 % 3.84 % 133,055 17.46 57 -0.1384 % 2,360.8
Insurance Straight 5.04 % 4.81 % 85,411 15.34 22 -0.0715 % 3,565.9
FloatingReset 2.53 % 0.84 % 30,643 0.14 3 0.5885 % 1,886.3
FixedReset Prem 5.14 % 3.10 % 195,397 1.01 20 -0.0335 % 2,691.1
FixedReset Bank Non 1.94 % 1.83 % 139,950 1.04 2 0.0200 % 2,882.0
FixedReset Ins Non 4.94 % 3.78 % 86,992 17.58 22 -1.3471 % 2,463.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -21.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %
MFC.PR.K FixedReset Ins Non -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.86 %
BMO.PR.Y FixedReset Disc -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.77 %
SLF.PR.H FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.56 %
NA.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.82 %
MFC.PR.N FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 3.73 %
IFC.PR.A FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.74 %
CM.PR.Q FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.78 %
BAM.PF.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %
BAM.PR.Z FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.66 %
CU.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 3.93 %
BAM.PR.B Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.61
Evaluated at bid price : 9.61
Bid-YTW : 4.49 %
BAM.PR.C Floater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.56
Evaluated at bid price : 9.56
Bid-YTW : 4.52 %
CU.PR.F Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 23.83
Evaluated at bid price : 24.10
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 3.27 %
TD.PF.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset Disc 57,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 4.67 %
BIP.PR.D FixedReset Disc 53,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.09
Evaluated at bid price : 24.50
Bid-YTW : 5.12 %
BAM.PR.Z FixedReset Disc 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.66 %
SLF.PR.B Insurance Straight 36,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.57
Evaluated at bid price : 24.82
Bid-YTW : 4.86 %
SLF.PR.H FixedReset Ins Non 33,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.56 %
BAM.PF.G FixedReset Disc 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.15 – 20.49
Spot Rate : 4.3400
Average : 2.3775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %

BMO.PR.Y FixedReset Disc Quote: 21.00 – 21.78
Spot Rate : 0.7800
Average : 0.5022

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.77 %

NA.PR.E FixedReset Disc Quote: 20.89 – 21.54
Spot Rate : 0.6500
Average : 0.4015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.82 %

BAM.PF.G FixedReset Disc Quote: 17.27 – 17.89
Spot Rate : 0.6200
Average : 0.4175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %

CU.PR.D Perpetual-Discount Quote: 24.90 – 25.50
Spot Rate : 0.6000
Average : 0.4368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.65
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %

NA.PR.W FixedReset Disc Quote: 19.42 – 19.90
Spot Rate : 0.4800
Average : 0.3170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 3.75 %

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