Archive for the ‘Market Action’ Category

September 24, 2021

Saturday, September 25th, 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 0.4475 % 2,576.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4475 % 4,727.0
Floater 3.37 % 3.36 % 50,819 18.85 3 0.4475 % 2,724.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0708 % 3,700.2
SplitShare 4.64 % 3.97 % 32,626 3.71 6 -0.0708 % 4,418.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0708 % 3,447.8
Perpetual-Premium 5.01 % -11.32 % 52,113 0.09 34 -0.1230 % 3,313.9
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.1230 % 3,988.0
FixedReset Disc 3.97 % 3.59 % 105,930 18.23 40 -0.1726 % 2,835.4
Insurance Straight 4.86 % -11.35 % 80,646 0.09 21 -0.0945 % 3,743.7
FloatingReset 3.07 % 3.07 % 30,822 19.55 1 1.8405 % 2,582.4
FixedReset Prem 4.67 % 3.21 % 135,149 2.42 33 -0.0648 % 2,758.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1726 % 2,898.3
FixedReset Ins Non 4.04 % 3.30 % 93,997 18.23 20 -0.0623 % 2,946.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -5.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.59 %
IFC.PR.I Perpetual-Premium -1.82 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 4.01 %
BAM.PR.T FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.99 %
IFC.PR.E Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : 3.14 %
PWF.PR.Z Perpetual-Premium -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.35
Bid-YTW : 4.11 %
BMO.PR.Y FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.41 %
TRP.PR.D FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.01 %
TRP.PR.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 3.85 %
TRP.PR.F FloatingReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset Disc 153,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.02 %
SLF.PR.B Insurance Straight 140,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.37 %
MFC.PR.C Insurance Straight 133,443 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-24
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -11.35 %
TD.PF.J FixedReset Prem 79,224 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 23.84
Evaluated at bid price : 25.40
Bid-YTW : 3.52 %
NA.PR.G FixedReset Prem 76,069 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 23.75
Evaluated at bid price : 25.59
Bid-YTW : 3.59 %
BMO.PR.E FixedReset Prem 56,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 23.72
Evaluated at bid price : 25.52
Bid-YTW : 3.50 %
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.I Perpetual-Premium Quote: 27.00 – 28.48
Spot Rate : 1.4800
Average : 0.9479

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 4.01 %

PWF.PR.P FixedReset Disc Quote: 16.65 – 17.74
Spot Rate : 1.0900
Average : 0.7682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.59 %

GWO.PR.F Insurance Straight Quote: 26.70 – 27.70
Spot Rate : 1.0000
Average : 0.6898

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : -62.81 %

CM.PR.Y FixedReset Prem Quote: 26.41 – 27.00
Spot Rate : 0.5900
Average : 0.3875

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 3.38 %

TRP.PR.G FixedReset Disc Quote: 23.55 – 24.06
Spot Rate : 0.5100
Average : 0.3751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 22.62
Evaluated at bid price : 23.55
Bid-YTW : 3.91 %

IFC.PR.F Insurance Straight Quote: 26.35 – 26.90
Spot Rate : 0.5500
Average : 0.4216

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : 3.69 %

September 23, 2021

Thursday, September 23rd, 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 3.2337 % 2,564.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.2337 % 4,705.9
Floater 3.39 % 3.38 % 48,151 18.79 3 3.2337 % 2,712.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2775 % 3,702.8
SplitShare 4.63 % 3.98 % 33,076 3.71 6 0.2775 % 4,422.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2775 % 3,450.2
Perpetual-Premium 5.01 % -11.93 % 51,922 0.09 34 -0.0501 % 3,317.9
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0501 % 3,992.9
FixedReset Disc 3.97 % 3.51 % 110,306 17.91 40 0.3351 % 2,840.3
Insurance Straight 4.86 % -14.19 % 78,229 0.09 21 0.2899 % 3,747.3
FloatingReset 3.13 % 3.12 % 30,113 19.41 1 -1.2121 % 2,535.8
FixedReset Prem 4.67 % 3.21 % 135,993 2.42 33 0.0730 % 2,760.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3351 % 2,903.3
FixedReset Ins Non 4.04 % 3.29 % 94,906 18.26 20 0.2519 % 2,948.6
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.12 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.05 %
IFC.PR.E Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.66
Bid-YTW : 1.57 %
RY.PR.M FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 23.07
Evaluated at bid price : 24.55
Bid-YTW : 3.36 %
TRP.PR.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 3.95 %
BAM.PR.T FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.93 %
TRP.PR.C FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.90 %
GWO.PR.N FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 3.28 %
BAM.PR.B Floater 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.37 %
BAM.PF.E FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 3.99 %
BAM.PR.C Floater 8.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 3.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.I Insurance Straight 811,516 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -14.38 %
CU.PR.G Perpetual-Premium 387,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.25
Evaluated at bid price : 25.35
Bid-YTW : 2.91 %
CIU.PR.A Perpetual-Premium 310,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : -9.24 %
MFC.PR.C Insurance Straight 236,176 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.19 %
SLF.PR.E Insurance Straight 215,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -16.59 %
SLF.PR.B Insurance Straight 99,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.20 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Premium Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.3227

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -21.53 %

TRP.PR.F FloatingReset Quote: 16.30 – 17.14
Spot Rate : 0.8400
Average : 0.7229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.12 %

MFC.PR.C Insurance Straight Quote: 25.41 – 25.98
Spot Rate : 0.5700
Average : 0.4536

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.19 %

CM.PR.T FixedReset Prem Quote: 26.26 – 26.60
Spot Rate : 0.3400
Average : 0.2360

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.50 %

PVS.PR.H SplitShare Quote: 25.75 – 26.50
Spot Rate : 0.7500
Average : 0.6590

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.15 %

BAM.PF.C Perpetual-Premium Quote: 25.45 – 26.04
Spot Rate : 0.5900
Average : 0.5081

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.25
Evaluated at bid price : 25.45
Bid-YTW : -5.84 %

September 22, 2021

Wednesday, September 22nd, 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 -1.2876 % 2,484.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2876 % 4,558.5
Floater 3.50 % 3.45 % 50,031 18.65 3 -1.2876 % 2,627.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,692.6
SplitShare 4.65 % 4.02 % 34,431 3.72 6 0.0129 % 4,409.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,440.6
Perpetual-Premium 5.00 % -11.20 % 52,692 0.09 34 0.0387 % 3,319.6
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.0387 % 3,994.9
FixedReset Disc 3.98 % 3.51 % 111,274 17.85 40 0.3385 % 2,830.8
Insurance Straight 4.87 % -9.12 % 78,877 0.08 21 0.0428 % 3,736.4
FloatingReset 3.09 % 3.09 % 30,601 19.51 1 1.2270 % 2,566.9
FixedReset Prem 4.67 % 3.25 % 133,722 2.42 33 0.1759 % 2,758.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3385 % 2,893.6
FixedReset Ins Non 4.05 % 3.33 % 94,879 18.20 20 0.1574 % 2,941.2
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -6.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 3.66 %
BAM.PF.E FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.11 %
TRP.PR.D FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.10 %
BAM.PR.B Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 3.45 %
TD.PF.D FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 23.20
Evaluated at bid price : 24.82
Bid-YTW : 3.51 %
TRP.PR.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.00 %
BAM.PR.X FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.91 %
TD.PF.K FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 23.70
Evaluated at bid price : 25.40
Bid-YTW : 3.44 %
TRP.PR.F FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.09 %
FTS.PR.H FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.69 %
TRP.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 22.57
Evaluated at bid price : 23.45
Bid-YTW : 3.93 %
CU.PR.C FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 22.01
Evaluated at bid price : 22.60
Bid-YTW : 3.59 %
FTS.PR.K FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.67 %
BAM.PR.R FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.97 %
BAM.PR.K Floater 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 3.38 %
PWF.PR.P FixedReset Disc 5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.R FixedReset Disc 215,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.97 %
CU.PR.G Perpetual-Premium 78,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.51 %
BMO.PR.Y FixedReset Disc 75,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.30 %
MFC.PR.C Insurance Straight 55,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : -8.90 %
BMO.PR.E FixedReset Prem 45,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 23.68
Evaluated at bid price : 25.41
Bid-YTW : 3.52 %
MFC.PR.B Insurance Straight 41,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -9.20 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 11.70 – 12.70
Spot Rate : 1.0000
Average : 0.5605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 3.66 %

GWO.PR.F Insurance Straight Quote: 26.55 – 27.55
Spot Rate : 1.0000
Average : 0.6454

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : -58.30 %

BAM.PF.C Perpetual-Premium Quote: 25.34 – 26.04
Spot Rate : 0.7000
Average : 0.4182

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.25
Evaluated at bid price : 25.34
Bid-YTW : -0.81 %

BAM.PF.E FixedReset Disc Quote: 21.00 – 21.70
Spot Rate : 0.7000
Average : 0.4934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.11 %

PVS.PR.H SplitShare Quote: 25.75 – 26.50
Spot Rate : 0.7500
Average : 0.5591

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.14 %

TRP.PR.D FixedReset Disc Quote: 20.60 – 21.14
Spot Rate : 0.5400
Average : 0.3525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.10 %

September 21, 2021

Wednesday, September 22nd, 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 0.1881 % 2,516.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1881 % 4,618.0
Floater 3.45 % 3.42 % 50,310 18.71 3 0.1881 % 2,661.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1868 % 3,692.1
SplitShare 4.65 % 3.97 % 34,332 3.72 6 -0.1868 % 4,409.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1868 % 3,440.2
Perpetual-Premium 5.01 % -11.35 % 53,509 0.09 34 -0.0660 % 3,318.3
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0660 % 3,993.4
FixedReset Disc 3.99 % 3.59 % 112,821 17.84 40 0.2251 % 2,821.2
Insurance Straight 4.87 % -11.21 % 81,776 0.09 21 0.0707 % 3,734.8
FloatingReset 3.13 % 3.12 % 31,860 19.42 1 -3.5503 % 2,535.8
FixedReset Prem 4.68 % 3.26 % 138,418 2.42 33 -0.0896 % 2,753.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2251 % 2,883.9
FixedReset Ins Non 4.06 % 3.33 % 95,590 18.20 20 0.3723 % 2,936.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.12 %
TRP.PR.G FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.00 %
TRP.PR.A FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.04 %
FTS.PR.H FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.73 %
MFC.PR.B Insurance Straight 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.32 %
BAM.PR.Z FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.77
Evaluated at bid price : 24.21
Bid-YTW : 3.99 %
MFC.PR.Q FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.62
Evaluated at bid price : 24.91
Bid-YTW : 3.44 %
CU.PR.C FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 21.75
Evaluated at bid price : 22.20
Bid-YTW : 3.67 %
BAM.PF.E FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 3.99 %
FTS.PR.K FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.75 %
NA.PR.W FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 3.26 %
BAM.PR.R FixedReset Disc 4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.08 %
MFC.PR.F FixedReset Ins Non 6.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 105,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.96
Evaluated at bid price : 24.00
Bid-YTW : 3.27 %
CM.PR.R FixedReset Prem 105,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 2.73 %
MFC.PR.L FixedReset Ins Non 100,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.76
Evaluated at bid price : 23.50
Bid-YTW : 3.27 %
BIP.PR.C FixedReset Disc 75,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.91 %
TD.PF.C FixedReset Disc 68,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.04
Evaluated at bid price : 24.26
Bid-YTW : 3.27 %
BMO.PR.C FixedReset Prem 56,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.18 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 23.10 – 23.89
Spot Rate : 0.7900
Average : 0.4842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.00 %

MFC.PR.C Insurance Straight Quote: 25.31 – 25.98
Spot Rate : 0.6700
Average : 0.4204

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -9.96 %

BMO.PR.W FixedReset Disc Quote: 24.23 – 24.95
Spot Rate : 0.7200
Average : 0.4901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.05
Evaluated at bid price : 24.23
Bid-YTW : 3.23 %

FTS.PR.F Perpetual-Premium Quote: 25.35 – 25.90
Spot Rate : 0.5500
Average : 0.3658

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -8.60 %

RY.PR.P Perpetual-Premium Quote: 26.80 – 27.29
Spot Rate : 0.4900
Average : 0.3401

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : -25.41 %

RY.PR.N Perpetual-Premium Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2425

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.11
Bid-YTW : -1.12 %

September 20, 2021

Monday, September 20th, 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 -0.6939 % 2,512.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6939 % 4,609.3
Floater 3.46 % 3.43 % 51,141 18.68 3 -0.6939 % 2,656.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1126 % 3,699.0
SplitShare 4.64 % 3.86 % 34,708 3.72 6 -0.1126 % 4,417.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1126 % 3,446.6
Perpetual-Premium 5.00 % -13.28 % 54,016 0.09 34 -0.2022 % 3,320.5
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.2022 % 3,996.0
FixedReset Disc 4.00 % 3.58 % 104,752 18.23 40 -0.7799 % 2,814.9
Insurance Straight 4.88 % -9.64 % 84,962 0.09 21 -0.2079 % 3,732.2
FloatingReset 3.02 % 3.01 % 32,182 19.70 1 3.6810 % 2,629.1
FixedReset Prem 4.68 % 3.25 % 131,016 2.43 33 -0.1154 % 2,756.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7799 % 2,877.4
FixedReset Ins Non 4.07 % 3.36 % 93,977 18.16 20 -0.5361 % 2,925.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -6.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.59 %
FTS.PR.K FixedReset Disc -5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 3.85 %
NA.PR.W FixedReset Disc -4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.60
Evaluated at bid price : 23.36
Bid-YTW : 3.43 %
BAM.PR.R FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.25 %
BAM.PF.E FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.11 %
MFC.PR.Q FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.08
Evaluated at bid price : 24.40
Bid-YTW : 3.59 %
PWF.PR.P FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.58 %
MFC.PR.B Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.66 %
BAM.PR.Z FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.34
Evaluated at bid price : 23.81
Bid-YTW : 4.06 %
BAM.PR.B Floater -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 3.43 %
IFC.PR.E Insurance Straight -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.12
Bid-YTW : 4.14 %
BMO.PR.Y FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.15
Evaluated at bid price : 24.70
Bid-YTW : 3.42 %
FTS.PR.M FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 21.96
Evaluated at bid price : 22.30
Bid-YTW : 3.85 %
FTS.PR.H FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 3.69 %
TRP.PR.A FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.97 %
TRP.PR.F FloatingReset 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 95,333 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.96
Evaluated at bid price : 24.00
Bid-YTW : 3.27 %
BMO.PR.T FixedReset Disc 74,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.01
Evaluated at bid price : 24.06
Bid-YTW : 3.23 %
W.PR.M FixedReset Prem 69,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.81 %
BMO.PR.Y FixedReset Disc 55,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.15
Evaluated at bid price : 24.70
Bid-YTW : 3.42 %
IAF.PR.G FixedReset Ins Non 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.58
Evaluated at bid price : 24.98
Bid-YTW : 3.70 %
BMO.PR.C FixedReset Prem 44,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.77 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 16.00 – 17.42
Spot Rate : 1.4200
Average : 0.8909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.59 %

NA.PR.W FixedReset Disc Quote: 23.36 – 24.37
Spot Rate : 1.0100
Average : 0.5589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.60
Evaluated at bid price : 23.36
Bid-YTW : 3.43 %

ELF.PR.G Perpetual-Premium Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.5680

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %

BAM.PR.R FixedReset Disc Quote: 18.79 – 20.25
Spot Rate : 1.4600
Average : 1.0624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.25 %

FTS.PR.K FixedReset Disc Quote: 19.83 – 20.83
Spot Rate : 1.0000
Average : 0.6178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 3.85 %

PWF.PR.P FixedReset Disc Quote: 16.66 – 17.95
Spot Rate : 1.2900
Average : 1.0554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.58 %

September 17, 2021

Saturday, September 18th, 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 -0.7943 % 2,529.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7943 % 4,641.5
Floater 3.43 % 3.39 % 53,190 18.79 3 -0.7943 % 2,674.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0129 % 3,703.2
SplitShare 4.63 % 3.75 % 35,615 3.73 6 -0.0129 % 4,422.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0129 % 3,450.5
Perpetual-Premium 5.01 % -17.79 % 55,977 0.09 32 -0.0530 % 3,327.2
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0530 % 4,004.1
FixedReset Disc 4.01 % 3.48 % 102,596 17.94 42 -0.1039 % 2,837.0
Insurance Straight 4.87 % -11.65 % 83,898 0.09 21 -0.1002 % 3,740.0
FloatingReset 3.14 % 3.14 % 30,329 19.39 1 0.0000 % 2,535.8
FixedReset Prem 4.67 % 3.22 % 130,329 2.43 33 0.0672 % 2,759.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1039 % 2,900.0
FixedReset Ins Non 4.05 % 3.33 % 94,719 18.29 20 -0.0581 % 2,941.4
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.06 %
TRP.PR.A FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.01 %
BAM.PR.K Floater -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 %
CU.PR.C FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.73 %
MFC.PR.F FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 %
PWF.PR.S Perpetual-Premium -1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.17 %
TRP.PR.C FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 3.91 %
BAM.PR.X FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.87 %
RY.PR.J FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.39 %
RY.PR.M FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 23.09
Evaluated at bid price : 24.60
Bid-YTW : 3.32 %
BAM.PF.H FixedReset Prem 2.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 2.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.B FixedReset Disc 60,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 22.60
Evaluated at bid price : 23.16
Bid-YTW : 3.85 %
W.PR.M FixedReset Prem 52,242 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.56 %
BAM.PR.T FixedReset Disc 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 3.92 %
RY.PR.Z FixedReset Disc 29,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.17 %
PWF.PR.P FixedReset Disc 27,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 %
BMO.PR.Y FixedReset Disc 20,553 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.11 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.H Perpetual-Premium Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.5908

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-17
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : -30.33 %

BMO.PR.W FixedReset Disc Quote: 24.24 – 24.95
Spot Rate : 0.7100
Average : 0.4223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 23.06
Evaluated at bid price : 24.24
Bid-YTW : 3.19 %

CU.PR.C FixedReset Disc Quote: 21.70 – 22.85
Spot Rate : 1.1500
Average : 0.9523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.73 %

PWF.PR.S Perpetual-Premium Quote: 25.40 – 26.02
Spot Rate : 0.6200
Average : 0.4563

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.17 %

TRP.PR.A FixedReset Disc Quote: 18.02 – 18.58
Spot Rate : 0.5600
Average : 0.4062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.01 %

PWF.PR.P FixedReset Disc Quote: 17.00 – 17.95
Spot Rate : 0.9500
Average : 0.7981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 %

September 16, 2021

Thursday, September 16th, 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 1.1516 % 2,549.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1516 % 4,678.7
Floater 3.41 % 3.40 % 52,842 18.77 3 1.1516 % 2,696.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0161 % 3,703.7
SplitShare 4.63 % 3.62 % 35,909 1.01 6 0.0161 % 4,423.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0161 % 3,451.0
Perpetual-Premium 5.01 % -17.43 % 56,362 0.09 32 0.0024 % 3,329.0
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.0024 % 4,006.2
FixedReset Disc 4.01 % 3.48 % 102,382 18.01 42 0.0721 % 2,840.0
Insurance Straight 4.86 % -13.15 % 85,089 0.09 21 -0.0074 % 3,743.7
FloatingReset 3.14 % 3.14 % 28,089 19.39 1 0.0000 % 2,535.8
FixedReset Prem 4.67 % 3.20 % 132,236 2.44 33 -0.1424 % 2,757.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0721 % 2,903.0
FixedReset Ins Non 4.05 % 3.33 % 98,619 18.29 20 -0.0452 % 2,943.1
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset Prem -2.86 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 3.44 %
RY.PR.M FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.92
Evaluated at bid price : 24.20
Bid-YTW : 3.40 %
BAM.PF.G FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.94 %
RY.PR.J FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 23.12
Evaluated at bid price : 24.56
Bid-YTW : 3.48 %
BIP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.92
Evaluated at bid price : 24.09
Bid-YTW : 4.41 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.83 %
MFC.PR.F FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.26 %
BAM.PR.K Floater 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 3.42 %
TRP.PR.A FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 3.90 %
BAM.PF.E FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.93 %
BAM.PR.R FixedReset Disc 7.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.F Perpetual-Premium 163,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.97 %
CU.PR.C FixedReset Disc 100,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 3.64 %
W.PR.M FixedReset Prem 95,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.50 %
GWO.PR.I Insurance Straight 54,139 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-16
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.77 %
RY.PR.S FixedReset Prem 42,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 23.69
Evaluated at bid price : 25.64
Bid-YTW : 3.18 %
GWO.PR.R Insurance Straight 41,265 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-16
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : -11.51 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 26.06 – 27.06
Spot Rate : 1.0000
Average : 0.5923

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-16
Maturity Price : 26.00
Evaluated at bid price : 26.06
Bid-YTW : 3.33 %

BAM.PF.H FixedReset Prem Quote: 26.52 – 27.69
Spot Rate : 1.1700
Average : 0.7933

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 3.44 %

PWF.PR.P FixedReset Disc Quote: 17.00 – 17.80
Spot Rate : 0.8000
Average : 0.6317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 %

RY.PR.J FixedReset Disc Quote: 24.56 – 25.00
Spot Rate : 0.4400
Average : 0.3096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 23.12
Evaluated at bid price : 24.56
Bid-YTW : 3.48 %

BAM.PF.G FixedReset Disc Quote: 22.65 – 23.10
Spot Rate : 0.4500
Average : 0.3201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.94 %

IFC.PR.I Perpetual-Premium Quote: 27.36 – 28.40
Spot Rate : 1.0400
Average : 0.9440

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.36
Bid-YTW : 3.57 %

September 15, 2021

Thursday, September 16th, 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 -0.1337 % 2,520.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1337 % 4,625.4
Floater 3.44 % 3.41 % 53,637 18.74 3 -0.1337 % 2,665.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,703.1
SplitShare 4.63 % 3.74 % 33,343 3.74 6 0.0225 % 4,422.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,450.4
Perpetual-Premium 5.01 % -16.70 % 57,063 0.09 32 0.1473 % 3,328.9
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.1473 % 4,006.1
FixedReset Disc 4.01 % 3.48 % 101,862 17.99 42 -0.1737 % 2,837.9
Insurance Straight 4.86 % -12.65 % 88,028 0.09 21 0.1579 % 3,744.0
FloatingReset 3.14 % 3.14 % 29,254 19.39 1 -4.1176 % 2,535.8
FixedReset Prem 4.67 % 3.10 % 133,536 2.44 33 0.0306 % 2,761.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1737 % 2,900.9
FixedReset Ins Non 4.05 % 3.32 % 102,343 18.31 20 -0.0129 % 2,944.5
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.21 %
TRP.PR.F FloatingReset -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.14 %
BAM.PF.E FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.07 %
CU.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 3.67 %
MFC.PR.F FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 %
TRP.PR.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.01 %
BIP.PR.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 22.81
Evaluated at bid price : 23.85
Bid-YTW : 4.46 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 3.19 %
TRP.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 3.99 %
PWF.PR.S Perpetual-Premium 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.25
Evaluated at bid price : 25.82
Bid-YTW : -14.64 %
FTS.PR.K FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.57 %
PWF.PR.K Perpetual-Premium 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -26.33 %
TRP.PR.C FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.F FixedReset Prem 135,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.71 %
SLF.PR.B Insurance Straight 97,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.40 %
RY.PR.Z FixedReset Disc 38,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 23.08
Evaluated at bid price : 24.12
Bid-YTW : 3.17 %
IAF.PR.B Insurance Straight 23,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -3.50 %
TD.PF.H FixedReset Prem 21,538 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.07 %
PWF.PR.P FixedReset Disc 18,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 18.79 – 20.29
Spot Rate : 1.5000
Average : 0.8922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.21 %

FTS.PR.J FixedReset Disc Quote: 25.65 – 26.65
Spot Rate : 1.0000
Average : 0.6854

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : -11.89 %

BAM.PF.E FixedReset Disc Quote: 21.02 – 22.00
Spot Rate : 0.9800
Average : 0.6699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.07 %

TRP.PR.F FloatingReset Quote: 16.30 – 17.14
Spot Rate : 0.8400
Average : 0.5519

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.14 %

IFC.PR.I Perpetual-Premium Quote: 27.33 – 28.40
Spot Rate : 1.0700
Average : 0.8388

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.33
Bid-YTW : 3.60 %

BAM.PR.Z FixedReset Disc Quote: 24.31 – 24.90
Spot Rate : 0.5900
Average : 0.4385

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 23.89
Evaluated at bid price : 24.31
Bid-YTW : 3.94 %

September 14, 2021

Wednesday, September 15th, 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 -1.6311 % 2,524.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6311 % 4,631.6
Floater 3.44 % 3.40 % 55,539 18.78 3 -1.6311 % 2,669.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1644 % 3,702.2
SplitShare 4.63 % 3.74 % 34,714 3.74 6 0.1644 % 4,421.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1644 % 3,449.6
Perpetual-Premium 5.03 % -13.44 % 56,637 0.09 31 -0.1691 % 3,324.0
Perpetual-Discount 4.67 % -16.84 % 71,363 0.09 1 -0.9743 % 4,000.3
FixedReset Disc 4.00 % 3.43 % 103,252 17.94 42 -0.0296 % 2,842.9
Insurance Straight 4.87 % -11.62 % 84,367 0.09 21 -0.3000 % 3,738.1
FloatingReset 3.01 % 3.01 % 28,648 19.72 1 2.4096 % 2,644.6
FixedReset Prem 4.67 % 3.15 % 136,305 2.44 33 -0.1246 % 2,760.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0296 % 2,906.0
FixedReset Ins Non 4.05 % 3.30 % 103,401 18.35 20 0.1464 % 2,944.8
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 %
MFC.PR.C Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-14
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -3.51 %
CU.PR.I FixedReset Prem -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 3.02 %
PWF.PR.P FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 %
SLF.PR.H FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 22.42
Evaluated at bid price : 23.26
Bid-YTW : 3.16 %
BAM.PF.J FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.40 %
MFC.PR.F FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.26 %
TRP.PR.F FloatingReset 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.01 %
SLF.PR.G FixedReset Ins Non 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.25 %
CU.PR.C FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 21.85
Evaluated at bid price : 22.35
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.R FixedReset Disc 83,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.93 %
GWO.PR.N FixedReset Ins Non 72,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.35 %
MFC.PR.F FixedReset Ins Non 54,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.26 %
RY.PR.H FixedReset Disc 37,157 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.07
Evaluated at bid price : 24.18
Bid-YTW : 3.20 %
BMO.PR.S FixedReset Disc 32,614 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.18
Evaluated at bid price : 24.35
Bid-YTW : 3.26 %
SLF.PR.G FixedReset Ins Non 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.25 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 17.07 – 17.80
Spot Rate : 0.7300
Average : 0.5096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 3.87 %

TD.PF.B FixedReset Disc Quote: 24.01 – 24.45
Spot Rate : 0.4400
Average : 0.2767

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.00
Evaluated at bid price : 24.01
Bid-YTW : 3.26 %

BAM.PR.K Floater Quote: 12.19 – 12.77
Spot Rate : 0.5800
Average : 0.4369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 %

BAM.PR.M Perpetual-Premium Quote: 25.38 – 25.89
Spot Rate : 0.5100
Average : 0.3681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-14
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.52 %

BIP.PR.F FixedReset Prem Quote: 25.70 – 26.11
Spot Rate : 0.4100
Average : 0.2701

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.74 %

BAM.PR.T FixedReset Disc Quote: 20.02 – 20.80
Spot Rate : 0.7800
Average : 0.6407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 3.94 %

September 13, 2021

Monday, September 13th, 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 0.1845 % 2,566.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1845 % 4,708.4
Floater 3.38 % 3.41 % 56,471 18.63 3 0.1845 % 2,713.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0443 % 3,696.2
SplitShare 4.58 % 3.56 % 32,627 3.22 7 0.0443 % 4,414.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0443 % 3,444.0
Perpetual-Premium 5.12 % -18.62 % 53,579 0.09 25 0.0261 % 3,329.7
Perpetual-Discount 4.61 % -4.20 % 72,416 0.08 8 -0.0883 % 4,039.6
FixedReset Disc 3.95 % 3.39 % 122,207 18.22 40 0.1205 % 2,843.7
Insurance Straight 4.85 % -16.81 % 80,599 0.09 22 0.1416 % 3,749.4
FloatingReset 2.80 % 3.08 % 28,131 19.54 2 -0.0312 % 2,582.4
FixedReset Prem 4.75 % 2.95 % 137,240 2.17 30 0.0116 % 2,764.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1205 % 2,906.8
FixedReset Ins Non 4.05 % 3.31 % 103,770 18.27 20 -0.3198 % 2,940.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 %
MFC.PR.F FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 %
GWO.PR.N FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.34 %
BAM.PF.E FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.N FixedReset Ins Non 125,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.34 %
BMO.PR.W FixedReset Disc 100,235 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 23.05
Evaluated at bid price : 24.22
Bid-YTW : 3.20 %
SLF.PR.G FixedReset Ins Non 76,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 %
MFC.PR.F FixedReset Ins Non 64,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 %
BIP.PR.F FixedReset Prem 53,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.74 %
RY.PR.Z FixedReset Disc 41,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 23.09
Evaluated at bid price : 24.15
Bid-YTW : 3.17 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 21.70 – 22.95
Spot Rate : 1.2500
Average : 1.0205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.73 %

SLF.PR.H FixedReset Ins Non Quote: 23.02 – 23.45
Spot Rate : 0.4300
Average : 0.2797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 22.29
Evaluated at bid price : 23.02
Bid-YTW : 3.20 %

SLF.PR.G FixedReset Ins Non Quote: 16.30 – 16.80
Spot Rate : 0.5000
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 %

GWO.PR.Q Insurance Straight Quote: 25.52 – 25.90
Spot Rate : 0.3800
Average : 0.2630

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -12.32 %

RY.PR.P Perpetual-Premium Quote: 27.03 – 27.49
Spot Rate : 0.4600
Average : 0.3598

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-13
Maturity Price : 26.00
Evaluated at bid price : 27.03
Bid-YTW : -35.36 %

BAM.PR.T FixedReset Disc Quote: 20.23 – 20.80
Spot Rate : 0.5700
Average : 0.4879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 3.96 %