July 19, 2022

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 0.5187 % 2,481.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5187 % 4,760.0
Floater 6.37 % 6.44 % 41,180 13.27 3 0.5187 % 2,743.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0309 % 3,471.7
SplitShare 4.90 % 5.64 % 45,444 3.14 8 0.0309 % 4,146.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0309 % 3,234.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0151 % 2,846.9
Perpetual-Discount 5.99 % 6.07 % 70,556 13.80 34 0.0151 % 3,104.4
FixedReset Disc 4.84 % 6.43 % 114,240 13.50 56 0.1841 % 2,433.7
Insurance Straight 5.99 % 6.07 % 83,317 13.81 18 -0.1102 % 3,003.6
FloatingReset 6.81 % 7.00 % 43,128 12.54 2 -0.1602 % 2,529.9
FixedReset Prem 5.04 % 5.15 % 121,552 1.93 10 0.0120 % 2,585.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1841 % 2,487.7
FixedReset Ins Non 4.85 % 6.86 % 55,203 13.12 14 0.1322 % 2,514.4
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 7.03 %
MFC.PR.J FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 21.58
Evaluated at bid price : 21.94
Bid-YTW : 6.58 %
TRP.PR.C FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.04 %
BMO.PR.Y FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.46 %
GWO.PR.M Insurance Straight -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 6.17 %
ELF.PR.H Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 6.13 %
CU.PR.E Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.98 %
SLF.PR.J FloatingReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 6.77 %
PVS.PR.I SplitShare -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.71 %
BMO.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 6.19 %
MFC.PR.C Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.03 %
MFC.PR.B Insurance Straight -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.04 %
TD.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.39 %
BAM.PR.Z FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 6.62 %
TRP.PR.F FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 7.00 %
PWF.PF.A Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %
IFC.PR.E Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.01 %
MFC.PR.F FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.10 %
MFC.PR.Q FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 6.57 %
IFC.PR.G FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.88 %
TRP.PR.A FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 7.88 %
POW.PR.C Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 6.05 %
CCS.PR.C Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.79 %
PVS.PR.K SplitShare 2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.64 %
TD.PF.D FixedReset Disc 6.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.47 %
BAM.PR.T FixedReset Disc 6.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.E FixedReset Disc 92,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 6.19 %
POW.PR.G Perpetual-Discount 32,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 6.03 %
PWF.PR.S Perpetual-Discount 31,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.08 %
BAM.PR.X FixedReset Disc 28,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.95 %
BAM.PR.T FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.53 %
TD.PF.I FixedReset Disc 21,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 23.74
Evaluated at bid price : 24.60
Bid-YTW : 6.24 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.K FixedReset Disc Quote: 17.21 – 17.93
Spot Rate : 0.7200
Average : 0.5473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 7.47 %

RY.PR.J FixedReset Disc Quote: 20.10 – 21.70
Spot Rate : 1.6000
Average : 1.4275

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.80 %

SLF.PR.H FixedReset Ins Non Quote: 16.78 – 17.60
Spot Rate : 0.8200
Average : 0.6499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 7.03 %

CM.PR.Y FixedReset Prem Quote: 25.25 – 25.74
Spot Rate : 0.4900
Average : 0.3296

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.59 %

BMO.PR.Y FixedReset Disc Quote: 20.80 – 21.32
Spot Rate : 0.5200
Average : 0.3788

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.46 %

BAM.PF.G FixedReset Disc Quote: 18.21 – 19.35
Spot Rate : 1.1400
Average : 1.0108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-19
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 7.54 %

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