Category: Market Action

Market Action

October 7, 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 -0.3493 % 2,696.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3493 % 4,947.5
Floater 3.22 % 3.21 % 48,973 19.22 3 -0.3493 % 2,851.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2599 % 3,703.2
SplitShare 4.63 % 3.75 % 47,615 3.80 6 -0.2599 % 4,422.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2599 % 3,450.5
Perpetual-Premium 5.04 % -8.95 % 54,837 0.09 34 -0.6274 % 3,298.3
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.6274 % 3,969.3
FixedReset Disc 3.86 % 3.73 % 101,509 17.62 39 0.2319 % 2,887.0
Insurance Straight 4.89 % -6.53 % 78,995 0.09 19 -0.1026 % 3,725.7
FloatingReset 2.89 % 2.91 % 29,614 19.99 1 0.6857 % 2,741.1
FixedReset Prem 4.67 % 2.86 % 131,883 2.11 33 -0.0964 % 2,761.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2319 % 2,951.1
FixedReset Ins Non 4.06 % 3.50 % 93,538 17.75 19 -0.0740 % 2,981.3
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 3.37 %
BAM.PR.K Floater -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.29 %
BIP.PR.B FixedReset Prem -2.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 5.06 %
PVS.PR.G SplitShare -1.87 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.31 %
GWO.PR.T Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : 2.98 %
IFC.PR.I Perpetual-Premium -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 3.94 %
FTS.PR.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 3.76 %
MFC.PR.F FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.41 %
FTS.PR.M FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 22.62
Evaluated at bid price : 23.34
Bid-YTW : 3.87 %
TD.PF.B FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 23.12
Evaluated at bid price : 24.27
Bid-YTW : 3.42 %
BAM.PR.B Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 3.20 %
IFC.PR.A FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.36 %
SLF.PR.H FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 22.44
Evaluated at bid price : 23.30
Bid-YTW : 3.45 %
TRP.PR.D FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 21.49
Evaluated at bid price : 21.86
Bid-YTW : 4.01 %
TD.PF.L FixedReset Prem 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 2.24 %
BAM.PF.H FixedReset Prem 2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.75
Bid-YTW : 2.30 %
TRP.PR.A FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.04 %
BAM.PR.R FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.06 %
BAM.PR.X FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.D FixedReset Prem 100,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.21 %
PWF.PR.I Perpetual-Premium 64,469 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-06
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : -0.26 %
BAM.PF.D Perpetual-Premium 58,473 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-06
Maturity Price : 25.25
Evaluated at bid price : 25.48
Bid-YTW : -5.01 %
PWF.PR.Z Perpetual-Premium 28,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : 4.18 %
MFC.PR.I FixedReset Ins Non 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 24.00
Evaluated at bid price : 25.12
Bid-YTW : 3.90 %
CM.PR.R FixedReset Prem 25,470 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 1.87 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Ins Non Quote: 17.78 – 18.50
Spot Rate : 0.7200
Average : 0.4878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 3.37 %
PWF.PR.Z Perpetual-Premium Quote: 26.00 – 26.50
Spot Rate : 0.5000
Average : 0.3431

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : 4.18 %
IFC.PR.I Perpetual-Premium Quote: 27.10 – 27.70
Spot Rate : 0.6000
Average : 0.4577

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 3.94 %
PWF.PR.P FixedReset Disc Quote: 16.66 – 18.00
Spot Rate : 1.3400
Average : 1.2117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-07
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.82 %
BAM.PF.D Perpetual-Premium Quote: 25.48 – 25.84
Spot Rate : 0.3600
Average : 0.2495

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-06
Maturity Price : 25.25
Evaluated at bid price : 25.48
Bid-YTW : -5.01 %
PWF.PR.S Perpetual-Premium Quote: 25.15 – 25.65
Spot Rate : 0.5000
Average : 0.4094

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.12 %
Market Action

October 6, 2021

Long corporates are now at 3.06%.

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 0.3505 % 2,705.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3505 % 4,964.8
Floater 3.21 % 3.21 % 49,050 19.22 3 0.3505 % 2,861.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2187 % 3,712.8
SplitShare 4.62 % 3.75 % 45,138 3.68 6 0.2187 % 4,433.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2187 % 3,459.5
Perpetual-Premium 5.00 % -15.93 % 54,976 0.09 34 -0.3144 % 3,319.2
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.3144 % 3,994.4
FixedReset Disc 3.87 % 3.59 % 102,947 17.68 39 -1.2637 % 2,880.3
Insurance Straight 4.89 % -8.51 % 82,272 0.09 19 -0.1925 % 3,729.5
FloatingReset 2.91 % 2.93 % 29,796 19.94 1 0.0000 % 2,722.4
FixedReset Prem 4.66 % 2.99 % 132,371 2.19 33 -0.3935 % 2,764.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.2637 % 2,944.3
FixedReset Ins Non 4.06 % 3.49 % 96,951 17.75 19 -0.6438 % 2,983.5
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.87 %
BAM.PR.X FixedReset Disc -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.12 %
TRP.PR.A FixedReset Disc -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.15 %
BAM.PR.R FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.18 %
CU.PR.C FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.07
Evaluated at bid price : 22.69
Bid-YTW : 3.83 %
FTS.PR.M FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 3.92 %
BIP.PR.B FixedReset Prem -2.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.47 %
PWF.PR.I Perpetual-Premium -2.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-05
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -0.69 %
SLF.PR.H FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.28
Evaluated at bid price : 23.00
Bid-YTW : 3.50 %
TRP.PR.D FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 4.08 %
BAM.PF.H FixedReset Prem -1.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 2.82 %
IFC.PR.A FixedReset Ins Non -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.41 %
RY.PR.M FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 3.59 %
MFC.PR.F FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.37 %
BAM.PF.B FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.80
Evaluated at bid price : 23.50
Bid-YTW : 4.03 %
BAM.PF.E FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 21.68
Evaluated at bid price : 21.95
Bid-YTW : 4.13 %
BAM.PR.T FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.10 %
TD.PF.B FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 23.10
Evaluated at bid price : 24.22
Bid-YTW : 3.48 %
CM.PR.P FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.97
Evaluated at bid price : 24.09
Bid-YTW : 3.47 %
TD.PF.L FixedReset Prem -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.99 %
SLF.PR.G FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.25 %
BAM.PF.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.11 %
CM.PR.Q FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.44 %
RY.PR.Z FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 23.03
Evaluated at bid price : 24.00
Bid-YTW : 3.45 %
BAM.PR.C Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.21 %
ELF.PR.G Perpetual-Premium -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 4.79 %
BIP.PR.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 23.06
Evaluated at bid price : 24.41
Bid-YTW : 4.57 %
GWO.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.39 %
BAM.PR.K Floater 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.I Perpetual-Premium 98,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-05
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -0.69 %
RY.PR.H FixedReset Disc 88,871 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 23.05
Evaluated at bid price : 24.12
Bid-YTW : 3.47 %
MFC.PR.I FixedReset Ins Non 41,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 24.01
Evaluated at bid price : 25.14
Bid-YTW : 3.89 %
FTS.PR.M FixedReset Disc 32,489 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 3.92 %
BAM.PF.B FixedReset Disc 32,124 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.80
Evaluated at bid price : 23.50
Bid-YTW : 4.03 %
SLF.PR.G FixedReset Ins Non 29,708 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.25 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 24.87 – 27.30
Spot Rate : 2.4300
Average : 1.3151

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 3.53 %
PVS.PR.G SplitShare Quote: 26.20 – 27.72
Spot Rate : 1.5200
Average : 0.9577

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-05
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : -0.10 %
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.25
Spot Rate : 1.6000
Average : 1.0710

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.87 %
BAM.PR.X FixedReset Disc Quote: 17.60 – 18.54
Spot Rate : 0.9400
Average : 0.5583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.12 %
BAM.PR.R FixedReset Disc Quote: 20.20 – 20.92
Spot Rate : 0.7200
Average : 0.4713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.18 %
FTS.PR.M FixedReset Disc Quote: 23.08 – 23.70
Spot Rate : 0.6200
Average : 0.3826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-06
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 3.92 %
Market Action

October 5, 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 -0.1750 % 2,696.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1750 % 4,947.5
Floater 3.22 % 3.21 % 50,674 19.23 3 -0.1750 % 2,851.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3429 % 3,704.7
SplitShare 4.63 % 3.75 % 44,685 3.80 6 -0.3429 % 4,424.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3429 % 3,452.0
Perpetual-Premium 4.99 % -19.83 % 50,965 0.09 34 -0.0420 % 3,329.6
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0420 % 4,007.0
FixedReset Disc 3.82 % 3.56 % 103,361 17.71 39 0.5984 % 2,917.2
Insurance Straight 4.88 % -9.13 % 82,271 0.09 19 -0.0246 % 3,736.7
FloatingReset 2.91 % 2.93 % 30,122 19.94 1 0.7484 % 2,722.4
FixedReset Prem 4.64 % 2.72 % 135,054 2.11 33 0.1243 % 2,775.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5984 % 2,981.9
FixedReset Ins Non 4.03 % 3.43 % 94,074 17.80 19 1.1743 % 3,002.8
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 3.32 %
TRP.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.00 %
NA.PR.E FixedReset Prem 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.38 %
MFC.PR.Q FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.82
Evaluated at bid price : 25.44
Bid-YTW : 3.57 %
BAM.PF.J FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 1.86 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.00
Evaluated at bid price : 23.89
Bid-YTW : 3.95 %
CU.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 22.64
Evaluated at bid price : 23.29
Bid-YTW : 3.73 %
BAM.PF.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 21.93
Evaluated at bid price : 22.30
Bid-YTW : 4.06 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.44
Evaluated at bid price : 24.98
Bid-YTW : 3.43 %
BAM.PR.C Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.18 %
TRP.PR.B FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.07 %
BIP.PR.A FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 4.41 %
NA.PR.W FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.21
Evaluated at bid price : 24.68
Bid-YTW : 3.34 %
BAM.PR.R FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.04 %
TRP.PR.G FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.02
Evaluated at bid price : 24.43
Bid-YTW : 3.93 %
BAM.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.04 %
MFC.PR.N FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.04
Evaluated at bid price : 24.28
Bid-YTW : 3.46 %
TRP.PR.C FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 3.90 %
GWO.PR.N FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.43 %
BAM.PF.H FixedReset Prem 2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.75
Bid-YTW : 2.29 %
SLF.PR.H FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 22.56
Evaluated at bid price : 23.54
Bid-YTW : 3.40 %
TRP.PR.A FixedReset Disc 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 4.01 %
SLF.PR.G FixedReset Ins Non 7.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 3.20 %
MFC.PR.F FixedReset Ins Non 8.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 3.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.D FixedReset Prem 100,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 1.88 %
SLF.PR.G FixedReset Ins Non 88,008 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 3.20 %
RY.PR.H FixedReset Disc 59,230 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.15
Evaluated at bid price : 24.35
Bid-YTW : 3.42 %
MFC.PR.M FixedReset Ins Non 55,316 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.12
Evaluated at bid price : 24.39
Bid-YTW : 3.52 %
TD.PF.D FixedReset Disc 34,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.25 %
NA.PR.S FixedReset Disc 30,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 23.44
Evaluated at bid price : 24.98
Bid-YTW : 3.43 %
There were 25 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: 23.29 – 25.00
Spot Rate : 1.7100
Average : 1.1379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 22.64
Evaluated at bid price : 23.29
Bid-YTW : 3.73 %
GWO.PR.N FixedReset Ins Non Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.6073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.43 %
RY.PR.O Perpetual-Premium Quote: 26.23 – 27.15
Spot Rate : 0.9200
Average : 0.6549

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.23
Bid-YTW : -4.73 %
TRP.PR.F FloatingReset Quote: 17.50 – 18.60
Spot Rate : 1.1000
Average : 0.8691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.93 %
BAM.PR.K Floater Quote: 12.99 – 13.78
Spot Rate : 0.7900
Average : 0.6861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 3.32 %
FTS.PR.H FixedReset Disc Quote: 16.22 – 16.54
Spot Rate : 0.3200
Average : 0.2271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-05
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 3.75 %
Market Action

October 4, 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 0.4267 % 2,701.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4267 % 4,956.2
Floater 3.21 % 3.22 % 50,563 19.21 3 0.4267 % 2,856.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1444 % 3,717.5
SplitShare 4.61 % 3.69 % 41,385 3.81 6 0.1444 % 4,439.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1444 % 3,463.8
Perpetual-Premium 4.99 % -19.55 % 51,338 0.09 34 0.1318 % 3,331.0
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.1318 % 4,008.7
FixedReset Disc 3.84 % 3.53 % 100,468 17.60 39 0.5734 % 2,899.8
Insurance Straight 4.88 % -12.00 % 83,243 0.09 19 -0.0552 % 3,737.6
FloatingReset 2.94 % 2.95 % 31,179 19.89 1 5.8501 % 2,702.2
FixedReset Prem 4.65 % 2.82 % 130,682 2.39 33 -0.0117 % 2,771.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5734 % 2,964.2
FixedReset Ins Non 4.08 % 3.50 % 89,518 17.76 19 0.0970 % 2,968.0
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.69 %
BAM.PF.F FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.97
Evaluated at bid price : 23.99
Bid-YTW : 4.08 %
TRP.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.57
Evaluated at bid price : 21.97
Bid-YTW : 3.98 %
FTS.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 3.72 %
BMO.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.30
Evaluated at bid price : 24.61
Bid-YTW : 3.46 %
BAM.PR.N Perpetual-Premium 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -20.90 %
TRP.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 4.07 %
PWF.PR.I Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : -32.24 %
BAM.PR.X FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.01 %
FTS.PR.F Perpetual-Premium 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -22.06 %
FTS.PR.H FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 3.74 %
BAM.PF.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 4.12 %
RS.PR.A SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.65
Bid-YTW : 3.62 %
BAM.PR.K Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 3.26 %
FTS.PR.M FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.76
Evaluated at bid price : 23.61
Bid-YTW : 3.81 %
FTS.PR.G FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.34
Evaluated at bid price : 22.66
Bid-YTW : 3.68 %
TRP.PR.C FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 3.97 %
BAM.PR.T FixedReset Disc 4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 2.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 143,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.08
Evaluated at bid price : 24.26
Bid-YTW : 3.44 %
BAM.PF.G FixedReset Disc 64,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.61
Evaluated at bid price : 23.45
Bid-YTW : 4.02 %
MFC.PR.F FixedReset Ins Non 64,586 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.61 %
MFC.PR.M FixedReset Ins Non 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.06
Evaluated at bid price : 24.26
Bid-YTW : 3.54 %
PWF.PR.P FixedReset Disc 33,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 3.59 %
NA.PR.W FixedReset Disc 30,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.16
Evaluated at bid price : 24.55
Bid-YTW : 3.42 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Insurance Straight Quote: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.5681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -11.49 %
SLF.PR.G FixedReset Ins Non Quote: 17.40 – 18.57
Spot Rate : 1.1700
Average : 0.8301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.44 %
PWF.PR.P FixedReset Disc Quote: 17.94 – 18.64
Spot Rate : 0.7000
Average : 0.4262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 3.59 %
BMO.PR.W FixedReset Disc Quote: 24.39 – 24.97
Spot Rate : 0.5800
Average : 0.3681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.13
Evaluated at bid price : 24.39
Bid-YTW : 3.41 %
SLF.PR.H FixedReset Ins Non Quote: 23.00 – 23.94
Spot Rate : 0.9400
Average : 0.7416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.28
Evaluated at bid price : 23.00
Bid-YTW : 3.50 %
CU.PR.C FixedReset Disc Quote: 23.00 – 23.70
Spot Rate : 0.7000
Average : 0.5106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 3.77 %
Market Action

October 1, 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 1.3740 % 2,689.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3740 % 4,935.1
Floater 3.23 % 3.24 % 50,655 19.17 3 1.3740 % 2,844.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2123 % 3,712.1
SplitShare 4.62 % 3.55 % 34,089 0.97 6 0.2123 % 4,433.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2123 % 3,458.9
Perpetual-Premium 4.99 % -15.53 % 51,927 0.09 34 -0.0341 % 3,326.6
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0341 % 4,003.4
FixedReset Disc 3.87 % 3.56 % 100,957 17.57 39 0.4771 % 2,883.3
Insurance Straight 4.87 % -11.06 % 86,349 0.09 19 -0.3629 % 3,739.7
FloatingReset 3.12 % 3.14 % 32,351 19.42 1 -3.9227 % 2,552.9
FixedReset Prem 4.65 % 2.81 % 132,065 2.43 33 0.2080 % 2,772.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4771 % 2,947.3
FixedReset Ins Non 4.08 % 3.48 % 89,942 17.80 19 0.0214 % 2,965.1
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.14 %
BAM.PR.T FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.25 %
GWO.PR.F Insurance Straight -2.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : -40.63 %
MFC.PR.N FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.84
Evaluated at bid price : 23.85
Bid-YTW : 3.53 %
SLF.PR.H FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.28
Evaluated at bid price : 23.00
Bid-YTW : 3.48 %
GWO.PR.N FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 3.50 %
GWO.PR.S Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.50
Evaluated at bid price : 26.40
Bid-YTW : -33.72 %
IFC.PR.E Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : 3.17 %
BAM.PR.X FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.03 %
PWF.PR.S Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.25
Evaluated at bid price : 25.80
Bid-YTW : -11.41 %
TRP.PR.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.09 %
IFC.PR.A FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.34 %
FTS.PR.H FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 3.76 %
BAM.PR.Z FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 24.44
Evaluated at bid price : 24.78
Bid-YTW : 4.11 %
CU.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.20
Evaluated at bid price : 22.91
Bid-YTW : 3.76 %
RS.PR.A SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.50
Bid-YTW : 3.99 %
TD.PF.B FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 23.26
Evaluated at bid price : 24.59
Bid-YTW : 3.38 %
TD.PF.L FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 2.47 %
RY.PR.M FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.35 %
BAM.PR.R FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.09 %
BAM.PF.F FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 23.09
Evaluated at bid price : 24.25
Bid-YTW : 4.00 %
CM.PR.T FixedReset Prem 1.83 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.69
Bid-YTW : 2.35 %
BAM.PF.G FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.63
Evaluated at bid price : 23.49
Bid-YTW : 3.99 %
TRP.PR.D FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.00 %
TRP.PR.B FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.10 %
BAM.PR.B Floater 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.53
Evaluated at bid price : 13.53
Bid-YTW : 3.18 %
BAM.PR.C Floater 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 3.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 123,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.24 %
PWF.PR.P FixedReset Disc 53,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.58 %
GWO.PR.H Insurance Straight 40,660 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -21.66 %
SLF.PR.E Insurance Straight 36,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -18.55 %
CM.PR.Q FixedReset Disc 36,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.69
Bid-YTW : 3.44 %
CU.PR.C FixedReset Disc 34,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.20
Evaluated at bid price : 22.91
Bid-YTW : 3.76 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 16.41 – 17.75
Spot Rate : 1.3400
Average : 0.8309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.14 %
PVS.PR.F SplitShare Quote: 26.10 – 27.03
Spot Rate : 0.9300
Average : 0.5365

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.10
Bid-YTW : 2.63 %
MFC.PR.F FixedReset Ins Non Quote: 17.20 – 18.70
Spot Rate : 1.5000
Average : 1.1757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.58 %
BIP.PR.B FixedReset Prem Quote: 27.21 – 28.21
Spot Rate : 1.0000
Average : 0.7011

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.21
Bid-YTW : 3.28 %
BAM.PR.K Floater Quote: 13.02 – 13.80
Spot Rate : 0.7800
Average : 0.4978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 3.31 %
TRP.PR.A FixedReset Disc Quote: 18.75 – 19.42
Spot Rate : 0.6700
Average : 0.3981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.12 %
Market Action

September 30, 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 1.4455 % 2,653.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4455 % 4,868.2
Floater 3.27 % 3.26 % 49,970 19.08 3 1.4455 % 2,805.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2159 % 3,704.3
SplitShare 4.63 % 3.73 % 35,281 3.70 6 0.2159 % 4,423.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2159 % 3,451.5
Perpetual-Premium 4.99 % -15.32 % 51,750 0.09 34 0.1410 % 3,327.8
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.1410 % 4,004.8
FixedReset Disc 3.94 % 3.58 % 110,248 17.63 40 0.2213 % 2,869.6
Insurance Straight 4.86 % -13.85 % 79,944 0.09 19 0.1705 % 3,753.3
FloatingReset 3.00 % 3.00 % 32,276 19.72 1 -1.0429 % 2,657.1
FixedReset Prem 4.66 % 2.99 % 132,150 2.43 33 0.0682 % 2,766.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2213 % 2,933.3
FixedReset Ins Non 4.06 % 3.49 % 93,108 17.85 20 0.1005 % 2,964.5
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.57 %
BAM.PF.H FixedReset Prem -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 2.81 %
BAM.PR.R FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.15 %
CU.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.02
Evaluated at bid price : 22.61
Bid-YTW : 3.82 %
TRP.PR.F FloatingReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 3.00 %
MFC.PR.N FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 23.00
Evaluated at bid price : 24.20
Bid-YTW : 3.46 %
PWF.PR.Z Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 2.45 %
TRP.PR.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.70
Evaluated at bid price : 23.70
Bid-YTW : 4.06 %
FTS.PR.H FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 3.80 %
FTS.PR.M FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 3.90 %
GWO.PR.N FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.46 %
BAM.PR.K Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.26 %
BAM.PR.B Floater 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 3.25 %
IFC.PR.A FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.39 %
BAM.PR.T FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 4.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 170,451 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.15 %
TD.PF.H FixedReset Prem 27,386 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.65 %
CU.PR.C FixedReset Disc 27,022 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.02
Evaluated at bid price : 22.61
Bid-YTW : 3.82 %
RS.PR.A SplitShare 26,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.36
Bid-YTW : 4.34 %
CM.PR.Q FixedReset Disc 24,264 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.43 %
RY.PR.Z FixedReset Disc 22,527 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 23.14
Evaluated at bid price : 24.23
Bid-YTW : 3.38 %
There were 19 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: 17.26 – 18.50
Spot Rate : 1.2400
Average : 0.8202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.57 %
BAM.PF.H FixedReset Prem Quote: 27.20 – 27.88
Spot Rate : 0.6800
Average : 0.4104

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 2.81 %
BAM.PF.E FixedReset Disc Quote: 21.70 – 22.26
Spot Rate : 0.5600
Average : 0.4143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.16 %
FTS.PR.M FixedReset Disc Quote: 23.05 – 23.55
Spot Rate : 0.5000
Average : 0.3638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 3.90 %
RY.PR.M FixedReset Disc Quote: 24.40 – 24.99
Spot Rate : 0.5900
Average : 0.4571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 3.57 %
BAM.PR.R FixedReset Disc Quote: 20.20 – 20.72
Spot Rate : 0.5200
Average : 0.3938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.15 %
Market Action

September 29, 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 0.5189 % 2,615.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5189 % 4,798.8
Floater 3.32 % 3.31 % 50,548 18.95 3 0.5189 % 2,765.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1288 % 3,696.3
SplitShare 4.64 % 3.93 % 34,952 3.81 6 -0.1288 % 4,414.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1288 % 3,444.1
Perpetual-Premium 5.00 % -15.53 % 52,590 0.09 34 0.1766 % 3,323.1
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.1766 % 3,999.1
FixedReset Disc 3.93 % 3.58 % 109,884 17.57 40 0.4647 % 2,863.3
Insurance Straight 4.86 % -10.19 % 81,014 0.09 21 0.1318 % 3,746.9
FloatingReset 2.97 % 2.96 % 33,575 19.80 1 2.1302 % 2,685.1
FixedReset Prem 4.66 % 3.09 % 133,730 2.43 33 0.1578 % 2,764.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4647 % 2,926.8
FixedReset Ins Non 4.02 % 3.51 % 93,449 17.82 20 0.2100 % 2,961.5
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 4.11 %
BAM.PR.T FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.25 %
W.PR.M FixedReset Prem -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.06 %
IFC.PR.A FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.47 %
BAM.PR.X FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.10 %
TD.PF.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 23.18
Evaluated at bid price : 24.59
Bid-YTW : 3.40 %
IFC.PR.I Perpetual-Premium 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.30
Bid-YTW : 3.68 %
TRP.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 4.09 %
CU.PR.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.86
Bid-YTW : 3.77 %
BAM.PF.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.15 %
BIP.PR.F FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.54 %
TRP.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.13 %
BAM.PR.R FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.11 %
FTS.PR.H FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 3.84 %
FTS.PR.G FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 21.59
Evaluated at bid price : 21.99
Bid-YTW : 3.77 %
TRP.PR.F FloatingReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 2.96 %
FTS.PR.K FixedReset Disc 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 3.80 %
SLF.PR.G FixedReset Ins Non 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 3.42 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RS.PR.A SplitShare 74,060 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.35
Bid-YTW : 4.37 %
CM.PR.O FixedReset Disc 62,636 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 23.08
Evaluated at bid price : 24.17
Bid-YTW : 3.47 %
IFC.PR.E Insurance Straight 49,869 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.56
Bid-YTW : 2.12 %
TD.PF.C FixedReset Disc 38,757 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 23.18
Evaluated at bid price : 24.59
Bid-YTW : 3.40 %
BAM.PF.E FixedReset Disc 33,970 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.15 %
SLF.PR.C Insurance Straight 31,456 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -9.97 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 20.00 – 20.79
Spot Rate : 0.7900
Average : 0.4859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.25 %
PVS.PR.G SplitShare Quote: 26.07 – 26.96
Spot Rate : 0.8900
Average : 0.5967

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.93 %
TRP.PR.G FixedReset Disc Quote: 23.45 – 24.25
Spot Rate : 0.8000
Average : 0.5257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 4.11 %
PWF.PR.R Perpetual-Premium Quote: 25.85 – 26.38
Spot Rate : 0.5300
Average : 0.3279

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-29
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -22.90 %
RY.PR.N Perpetual-Premium Quote: 26.35 – 26.87
Spot Rate : 0.5200
Average : 0.3515

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.35
Bid-YTW : -7.12 %
IFC.PR.A FixedReset Ins Non Quote: 20.51 – 21.00
Spot Rate : 0.4900
Average : 0.3276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-29
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.47 %
Market Action

September 28, 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 0.3907 % 2,601.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3907 % 4,774.1
Floater 3.34 % 3.33 % 49,650 18.90 3 0.3907 % 2,751.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0193 % 3,701.0
SplitShare 4.64 % 3.78 % 33,421 3.70 6 -0.0193 % 4,419.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0193 % 3,448.5
Perpetual-Premium 5.01 % -13.41 % 53,274 0.09 34 -0.0034 % 3,317.2
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0034 % 3,992.1
FixedReset Disc 3.95 % 3.59 % 106,146 17.42 40 0.1734 % 2,850.0
Insurance Straight 4.86 % -10.11 % 80,290 0.09 21 -0.1223 % 3,742.0
FloatingReset 3.03 % 3.03 % 31,249 19.64 1 0.0000 % 2,629.1
FixedReset Prem 4.67 % 3.02 % 132,781 2.43 33 0.0141 % 2,760.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1734 % 2,913.3
FixedReset Ins Non 4.03 % 3.53 % 92,214 17.82 20 0.1008 % 2,955.3
Performance Highlights
Issue Index Change Notes
IFC.PR.I Perpetual-Premium -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.01
Bid-YTW : 4.02 %
TRP.PR.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 22.79
Evaluated at bid price : 23.90
Bid-YTW : 4.02 %
PWF.PR.P FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.59 %
W.PR.M FixedReset Prem 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -5.87 %
CU.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 22.01
Evaluated at bid price : 22.60
Bid-YTW : 3.82 %
TRP.PR.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.14 %
TRP.PR.D FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.14 %
IFC.PR.A FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 133,835 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -5.87 %
CM.PR.R FixedReset Prem 103,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 2.29 %
CM.PR.S FixedReset Prem 89,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 23.82
Evaluated at bid price : 25.10
Bid-YTW : 3.48 %
IFC.PR.G FixedReset Ins Non 62,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 23.76
Evaluated at bid price : 25.30
Bid-YTW : 3.58 %
GWO.PR.L Insurance Straight 50,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-28
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -30.50 %
MFC.PR.B Insurance Straight 47,324 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-28
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 1.17 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Prem Quote: 25.55 – 26.55
Spot Rate : 1.0000
Average : 0.6189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-28
Maturity Price : 23.89
Evaluated at bid price : 25.55
Bid-YTW : 3.70 %
BIP.PR.B FixedReset Prem Quote: 27.00 – 27.60
Spot Rate : 0.6000
Average : 0.4083

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.48 %
CM.PR.Y FixedReset Prem Quote: 26.35 – 26.99
Spot Rate : 0.6400
Average : 0.4678

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.02 %
RY.PR.O Perpetual-Premium Quote: 26.55 – 27.00
Spot Rate : 0.4500
Average : 0.2900

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-28
Maturity Price : 26.00
Evaluated at bid price : 26.55
Bid-YTW : -14.75 %
CU.PR.F Perpetual-Premium Quote: 25.40 – 25.80
Spot Rate : 0.4000
Average : 0.2627

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-28
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : 1.23 %
MFC.PR.C Insurance Straight Quote: 25.27 – 25.98
Spot Rate : 0.7100
Average : 0.5946

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-28
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -7.11 %
Market Action

September 27, 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 0.6027 % 2,591.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6027 % 4,755.5
Floater 3.35 % 3.34 % 49,121 18.88 3 0.6027 % 2,740.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0419 % 3,701.8
SplitShare 4.63 % 3.88 % 33,565 3.71 6 0.0419 % 4,420.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0419 % 3,449.2
Perpetual-Premium 5.01 % -11.77 % 52,388 0.09 34 0.1049 % 3,317.3
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.1049 % 3,992.2
FixedReset Disc 3.96 % 3.63 % 103,852 17.35 40 0.3425 % 2,845.1
Insurance Straight 4.86 % -11.12 % 80,393 0.09 21 0.0760 % 3,746.6
FloatingReset 3.03 % 3.03 % 31,158 19.65 1 1.8072 % 2,629.1
FixedReset Prem 4.67 % 3.09 % 134,820 2.43 33 0.0283 % 2,759.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3425 % 2,908.2
FixedReset Ins Non 4.04 % 3.51 % 92,733 17.80 20 0.1891 % 2,952.3
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 3.90 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.16 %
TRP.PR.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.19 %
IFC.PR.I Perpetual-Premium 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.33
Bid-YTW : 3.64 %
TRP.PR.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 4.19 %
SLF.PR.G FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.50 %
TRP.PR.F FloatingReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.03 %
BAM.PR.T FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 4.17 %
MFC.PR.F FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.47 %
PWF.PR.P FixedReset Disc 5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.F Perpetual-Premium 398,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 2.92 %
TD.PF.H FixedReset Prem 172,987 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.51 %
TRP.PR.E FixedReset Disc 103,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.22 %
W.PR.M FixedReset Prem 77,095 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.78 %
TRP.PR.A FixedReset Disc 32,928 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.19 %
CM.PR.S FixedReset Prem 31,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 23.82
Evaluated at bid price : 25.10
Bid-YTW : 3.47 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 24.15 – 24.90
Spot Rate : 0.7500
Average : 0.5074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 22.95
Evaluated at bid price : 24.15
Bid-YTW : 4.60 %
MFC.PR.C Insurance Straight Quote: 25.33 – 25.98
Spot Rate : 0.6500
Average : 0.4681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-27
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -10.02 %
GWO.PR.F Insurance Straight Quote: 26.85 – 27.85
Spot Rate : 1.0000
Average : 0.8520

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-27
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : -67.02 %
BIP.PR.B FixedReset Prem Quote: 27.05 – 27.33
Spot Rate : 0.2800
Average : 0.1982

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 3.43 %
PWF.PR.K Perpetual-Premium Quote: 25.50 – 25.85
Spot Rate : 0.3500
Average : 0.2732

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -9.45 %
FTS.PR.K FixedReset Disc Quote: 20.66 – 21.00
Spot Rate : 0.3400
Average : 0.2654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-27
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 3.93 %
Market Action

September 24, 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 %