August 13, 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 0.1270 % 2,660.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1270 % 4,881.8
Floater 3.26 % 3.29 % 77,481 18.97 3 0.1270 % 2,813.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,707.4
SplitShare 4.57 % 3.96 % 26,555 3.78 7 0.0386 % 4,427.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,454.5
Perpetual-Premium 5.15 % -14.82 % 55,531 0.09 25 0.0773 % 3,307.9
Perpetual-Discount 4.67 % 3.52 % 84,635 1.03 8 0.0199 % 3,988.4
FixedReset Disc 4.00 % 3.50 % 120,112 18.18 40 0.1165 % 2,808.5
Insurance Straight 4.87 % -1.77 % 73,109 0.09 22 0.1704 % 3,741.1
FloatingReset 2.83 % 3.11 % 34,106 19.42 2 -0.1548 % 2,598.5
FixedReset Prem 4.82 % 2.92 % 135,788 2.22 32 0.0109 % 2,751.7
FixedReset Bank Non 1.81 % 1.64 % 114,991 0.11 1 0.0000 % 2,890.8
FixedReset Ins Non 4.02 % 3.30 % 119,349 18.11 20 0.1285 % 2,961.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.27 %
MIC.PR.A Perpetual-Premium -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 4.56 %
BIP.PR.B FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.97 %
BAM.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.90
Evaluated at bid price : 24.30
Bid-YTW : 4.02 %
MFC.PR.I FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 3.27 %
GWO.PR.S Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.50
Evaluated at bid price : 26.60
Bid-YTW : -35.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.J FixedReset Ins Non 29,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.79
Evaluated at bid price : 25.24
Bid-YTW : 3.47 %
NA.PR.S FixedReset Disc 19,151 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.19
Evaluated at bid price : 24.40
Bid-YTW : 3.36 %
TRP.PR.K FixedReset Prem 18,446 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.08 %
MFC.PR.N FixedReset Ins Non 18,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 3.39 %
BMO.PR.F FixedReset Prem 15,072 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.58 %
SLF.PR.C Insurance Straight 12,663 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.18 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 23.00 – 25.00
Spot Rate : 2.0000
Average : 1.0943

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 3.92 %

POW.PR.A Perpetual-Premium Quote: 25.93 – 26.93
Spot Rate : 1.0000
Average : 0.5660

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : -30.85 %

IFC.PR.A FixedReset Ins Non Quote: 20.40 – 21.24
Spot Rate : 0.8400
Average : 0.5727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.27 %

CU.PR.C FixedReset Disc Quote: 21.70 – 22.48
Spot Rate : 0.7800
Average : 0.6026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.74 %

IFC.PR.I Perpetual-Premium Quote: 26.92 – 27.40
Spot Rate : 0.4800
Average : 0.3063

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.92
Bid-YTW : 4.33 %

POW.PR.C Perpetual-Premium Quote: 26.04 – 26.50
Spot Rate : 0.4600
Average : 0.2916

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : -34.83 %

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