Category: Market Action

Market Action

September 9, 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 -0.7703 % 2,522.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7703 % 4,627.9
Floater 3.44 % 3.46 % 59,454 18.52 3 -0.7703 % 2,667.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,696.0
SplitShare 4.58 % 3.61 % 29,785 3.23 7 0.0332 % 4,413.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,443.8
Perpetual-Premium 5.12 % -19.23 % 56,377 0.09 25 -0.0031 % 3,327.6
Perpetual-Discount 4.61 % -5.34 % 77,900 0.08 8 0.4190 % 4,039.8
FixedReset Disc 3.96 % 3.41 % 121,904 18.23 40 -0.2212 % 2,835.3
Insurance Straight 4.87 % -11.25 % 82,029 0.09 22 -0.0779 % 3,739.9
FloatingReset 2.84 % 3.13 % 29,440 19.43 2 0.3764 % 2,577.6
FixedReset Prem 4.75 % 2.87 % 139,765 2.18 30 -0.0361 % 2,763.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2212 % 2,898.3
FixedReset Ins Non 4.04 % 3.28 % 106,188 18.32 20 0.2385 % 2,953.7
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.08 %
RY.PR.M FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.92
Evaluated at bid price : 24.20
Bid-YTW : 3.38 %
BAM.PR.K Floater -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
BIP.PR.A FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.81
Evaluated at bid price : 23.85
Bid-YTW : 4.45 %
IFC.PR.E Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.59
Bid-YTW : 3.39 %
BAM.PR.R FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.96 %
TRP.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.60
Evaluated at bid price : 23.50
Bid-YTW : 3.88 %
IFC.PR.I Perpetual-Premium -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.72
Bid-YTW : 3.53 %
MFC.PR.Q FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.74
Evaluated at bid price : 25.25
Bid-YTW : 3.34 %
CIU.PR.A Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-09
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -10.36 %
MFC.PR.M FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.07
Evaluated at bid price : 24.30
Bid-YTW : 3.28 %
TRP.PR.C FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 3.90 %
PWF.PR.P FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.46 %
BMO.PR.T FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.00
Evaluated at bid price : 24.05
Bid-YTW : 3.19 %
MFC.PR.F FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CIU.PR.A Perpetual-Discount 247,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-09
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -10.36 %
TD.PF.H FixedReset Prem 167,980 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.55 %
TRP.PR.K FixedReset Prem 151,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.29 %
SLF.PR.I FixedReset Ins Non 92,664 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 2.46 %
IAF.PR.G FixedReset Ins Non 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 24.48
Evaluated at bid price : 24.90
Bid-YTW : 3.66 %
TD.PF.D FixedReset Disc 56,413 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.13
Evaluated at bid price : 24.63
Bid-YTW : 3.51 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 24.20 – 24.99
Spot Rate : 0.7900
Average : 0.4929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.92
Evaluated at bid price : 24.20
Bid-YTW : 3.38 %
IFC.PR.E Insurance Straight Quote: 26.59 – 27.35
Spot Rate : 0.7600
Average : 0.5857

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.59
Bid-YTW : 3.39 %
TRP.PR.A FixedReset Disc Quote: 18.04 – 18.65
Spot Rate : 0.6100
Average : 0.4473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.99 %
BAM.PF.E FixedReset Disc Quote: 21.25 – 21.95
Spot Rate : 0.7000
Average : 0.5455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.08 %
IFC.PR.I Perpetual-Premium Quote: 27.72 – 28.48
Spot Rate : 0.7600
Average : 0.6161

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.72
Bid-YTW : 3.53 %
PVS.PR.H SplitShare Quote: 25.68 – 26.10
Spot Rate : 0.4200
Average : 0.2815

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.17 %
Market Action

September 8, 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 -0.7905 % 2,541.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7905 % 4,663.8
Floater 3.42 % 3.45 % 61,978 18.55 3 -0.7905 % 2,687.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,694.7
SplitShare 4.59 % 3.73 % 29,662 3.23 7 0.0332 % 4,412.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,442.6
Perpetual-Premium 5.12 % -19.38 % 57,214 0.09 25 -0.1135 % 3,327.7
Perpetual-Discount 4.63 % 2.12 % 80,799 0.08 8 0.1382 % 4,023.0
FixedReset Disc 3.95 % 3.38 % 116,052 18.24 40 -0.1017 % 2,841.6
Insurance Straight 4.86 % -11.55 % 82,324 0.09 22 0.3786 % 3,742.8
FloatingReset 2.85 % 3.14 % 30,650 19.39 2 0.3778 % 2,567.9
FixedReset Prem 4.75 % 2.92 % 134,513 2.18 30 -0.1248 % 2,764.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1017 % 2,904.7
FixedReset Ins Non 4.04 % 3.30 % 105,983 18.30 20 0.1463 % 2,946.7
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset Prem -1.97 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 2.67 %
BAM.PF.E FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.94 %
BAM.PF.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.46
Evaluated at bid price : 24.70
Bid-YTW : 3.89 %
BAM.PR.C Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 3.47 %
BAM.PR.K Floater -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 3.45 %
BAM.PR.X FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.79 %
TRP.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 3.95 %
MFC.PR.M FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 22.95
Evaluated at bid price : 24.04
Bid-YTW : 3.33 %
IFC.PR.I Perpetual-Premium 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 28.00
Bid-YTW : 3.21 %
IFC.PR.F Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.97
Bid-YTW : 2.46 %
MFC.PR.I FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.41 %
MFC.PR.N FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 22.84
Evaluated at bid price : 23.85
Bid-YTW : 3.29 %
TRP.PR.G FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 22.74
Evaluated at bid price : 23.80
Bid-YTW : 3.82 %
IAF.PR.B Insurance Straight 5.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : -4.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.B Insurance Straight 222,720 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : -5.71 %
GWO.PR.M Insurance Straight 110,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -35.57 %
PWF.PR.E Perpetual-Premium 102,610 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -24.18 %
CM.PR.O FixedReset Disc 67,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.05
Evaluated at bid price : 24.13
Bid-YTW : 3.29 %
RY.PR.J FixedReset Disc 61,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.22
Evaluated at bid price : 24.82
Bid-YTW : 3.42 %
MFC.PR.I FixedReset Ins Non 54,719 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.41 %
There were 61 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: 22.50 – 23.20
Spot Rate : 0.7000
Average : 0.4389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 3.56 %
CIU.PR.A Perpetual-Discount Quote: 25.07 – 25.75
Spot Rate : 0.6800
Average : 0.4337

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.27 %
PWF.PR.G Perpetual-Premium Quote: 25.75 – 26.33
Spot Rate : 0.5800
Average : 0.3791

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : -21.28 %
BAM.PR.N Perpetual-Discount Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.2824

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -8.34 %
TD.PF.D FixedReset Disc Quote: 24.72 – 25.10
Spot Rate : 0.3800
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.16
Evaluated at bid price : 24.72
Bid-YTW : 3.49 %
BAM.PF.C Perpetual-Discount Quote: 25.45 – 26.04
Spot Rate : 0.5900
Average : 0.4610

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.30 %
Market Action

September 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 0.5032 % 2,561.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5032 % 4,701.0
Floater 3.39 % 3.43 % 62,776 18.61 3 0.5032 % 2,709.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0111 % 3,693.5
SplitShare 4.59 % 3.77 % 29,383 3.24 7 -0.0111 % 4,410.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0111 % 3,441.5
Perpetual-Premium 5.12 % -19.54 % 55,935 0.09 25 -0.0659 % 3,331.5
Perpetual-Discount 4.64 % 2.95 % 75,015 0.08 8 0.0741 % 4,017.4
FixedReset Disc 3.95 % 3.35 % 115,380 18.08 40 -0.1453 % 2,844.5
Insurance Straight 4.88 % -8.48 % 81,930 0.09 22 -0.2412 % 3,728.7
FloatingReset 2.86 % 3.17 % 31,073 19.34 2 -0.0629 % 2,558.3
FixedReset Prem 4.75 % 2.73 % 132,289 2.18 30 -0.1528 % 2,767.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,907.7
FixedReset Ins Non 4.05 % 3.29 % 102,216 18.30 20 0.0086 % 2,942.4
Performance Highlights
Issue Index Change Notes
IAF.PR.B Insurance Straight -5.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
BMO.PR.T FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.78
Evaluated at bid price : 23.60
Bid-YTW : 3.27 %
CM.PR.Y FixedReset Prem -1.86 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.26 %
BAM.PR.Z FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 24.07
Evaluated at bid price : 24.46
Bid-YTW : 3.98 %
BAM.PF.J FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 3.06 %
BAM.PR.B Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 3.44 %
CM.PR.P FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.93
Evaluated at bid price : 24.01
Bid-YTW : 3.28 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.95 %
MFC.PR.L FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.73
Evaluated at bid price : 23.45
Bid-YTW : 3.23 %
CM.PR.Q FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.17
Evaluated at bid price : 24.75
Bid-YTW : 3.47 %
BMO.PR.E FixedReset Prem 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.75
Evaluated at bid price : 25.66
Bid-YTW : 3.42 %
BIP.PR.A FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.94
Evaluated at bid price : 24.15
Bid-YTW : 4.38 %
BAM.PR.K Floater 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.41 %
MFC.PR.F FixedReset Ins Non 5.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.G Insurance Straight 32,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-07
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -18.19 %
NA.PR.G FixedReset Prem 28,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.73
Evaluated at bid price : 25.58
Bid-YTW : 3.54 %
NA.PR.S FixedReset Disc 21,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.28
Evaluated at bid price : 24.60
Bid-YTW : 3.30 %
RY.PR.J FixedReset Disc 17,940 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.19 %
CU.PR.G Perpetual-Discount 16,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-07
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 2.95 %
TD.PF.H FixedReset Prem 15,768 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.76 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.C Perpetual-Premium Quote: 26.20 – 28.91
Spot Rate : 2.7100
Average : 1.6037

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-07
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : -37.03 %
IAF.PR.B Insurance Straight Quote: 23.90 – 25.28
Spot Rate : 1.3800
Average : 1.0546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
GWO.PR.N FixedReset Ins Non Quote: 15.56 – 16.25
Spot Rate : 0.6900
Average : 0.4218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 3.28 %
CM.PR.Y FixedReset Prem Quote: 26.45 – 27.03
Spot Rate : 0.5800
Average : 0.3923

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.26 %
TRP.PR.G FixedReset Disc Quote: 23.10 – 24.10
Spot Rate : 1.0000
Average : 0.8283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.96 %
BMO.PR.T FixedReset Disc Quote: 23.60 – 24.10
Spot Rate : 0.5000
Average : 0.3332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.78
Evaluated at bid price : 23.60
Bid-YTW : 3.27 %
Market Action

September 3, 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 -1.5385 % 2,549.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5385 % 4,677.4
Floater 3.41 % 3.41 % 62,903 18.65 3 -1.5385 % 2,695.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2274 % 3,693.9
SplitShare 4.59 % 3.67 % 27,201 3.25 7 0.2274 % 4,411.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2274 % 3,441.9
Perpetual-Premium 5.11 % -20.14 % 56,342 0.09 25 0.0337 % 3,333.7
Perpetual-Discount 4.64 % 3.26 % 73,875 0.15 8 0.1038 % 4,014.4
FixedReset Disc 3.94 % 3.34 % 116,586 18.07 40 -0.0131 % 2,848.7
Insurance Straight 4.87 % -8.58 % 81,460 0.08 22 0.3506 % 3,737.7
FloatingReset 2.89 % 3.20 % 31,209 19.26 2 0.1576 % 2,559.9
FixedReset Prem 4.74 % 2.55 % 131,869 1.58 30 -0.0616 % 2,772.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,911.9
FixedReset Ins Non 4.05 % 3.28 % 102,567 18.31 20 -0.0925 % 2,942.1
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
TRP.PR.G FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.95 %
BIP.PR.A FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 %
PWF.PR.P FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.53 %
CM.PR.T FixedReset Prem -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.21 %
BMO.PR.E FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.65
Evaluated at bid price : 25.35
Bid-YTW : 3.47 %
CM.PR.O FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.93
Evaluated at bid price : 23.88
Bid-YTW : 3.32 %
MFC.PR.Q FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.62
Evaluated at bid price : 24.94
Bid-YTW : 3.38 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.24 %
TRP.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.97 %
PVS.PR.G SplitShare 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 26.00
Evaluated at bid price : 26.05
Bid-YTW : 1.75 %
TRP.PR.C FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.87 %
IFC.PR.E Insurance Straight 1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 1.39 %
BAM.PR.R FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.87 %
IAF.PR.B Insurance Straight 5.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -7.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 124,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
BMO.PR.Y FixedReset Disc 56,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.08 %
TRP.PR.A FixedReset Disc 36,204 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.89 %
TRP.PR.K FixedReset Prem 28,765 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 1.43 %
BIP.PR.E FixedReset Prem 24,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.74 %
BAM.PR.M Perpetual-Discount 17,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -6.77 %
There were 6 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 – 24.05
Spot Rate : 0.9500
Average : 0.6399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.95 %
POW.PR.C Perpetual-Premium Quote: 26.16 – 26.82
Spot Rate : 0.6600
Average : 0.3906

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : -36.13 %
MFC.PR.N FixedReset Ins Non Quote: 23.41 – 24.45
Spot Rate : 1.0400
Average : 0.8844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 %
BMO.PR.E FixedReset Prem Quote: 25.35 – 25.90
Spot Rate : 0.5500
Average : 0.3979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.65
Evaluated at bid price : 25.35
Bid-YTW : 3.47 %
BAM.PR.K Floater Quote: 12.30 – 12.99
Spot Rate : 0.6900
Average : 0.5483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
CM.PR.T FixedReset Prem Quote: 26.40 – 26.80
Spot Rate : 0.4000
Average : 0.2705

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.21 %
Market Action

September 2, 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 1.5356 % 2,588.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5356 % 4,750.5
Floater 3.35 % 3.38 % 58,308 18.72 3 1.5356 % 2,737.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2048 % 3,685.5
SplitShare 4.60 % 3.92 % 26,082 3.77 7 -0.2048 % 4,401.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2048 % 3,434.1
Perpetual-Premium 5.12 % -19.46 % 56,988 0.09 25 -0.0628 % 3,332.5
Perpetual-Discount 4.65 % 2.33 % 72,139 0.08 8 -0.1037 % 4,010.3
FixedReset Disc 3.94 % 3.35 % 116,740 18.14 40 -0.0371 % 2,849.0
Insurance Straight 4.89 % -8.26 % 80,663 0.09 22 0.0463 % 3,724.6
FloatingReset 2.89 % 3.20 % 32,503 19.26 2 -1.1834 % 2,555.8
FixedReset Prem 4.74 % 2.54 % 133,154 2.19 30 -0.1333 % 2,773.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0371 % 2,912.3
FixedReset Ins Non 4.05 % 3.28 % 103,115 18.38 20 0.0065 % 2,944.8
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 3.20 %
BAM.PR.R FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.95 %
BAM.PF.G FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.43
Evaluated at bid price : 23.13
Bid-YTW : 3.86 %
BAM.PF.F FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.03
Evaluated at bid price : 24.15
Bid-YTW : 3.83 %
PVS.PR.G SplitShare -1.15 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 %
BIP.PR.F FixedReset Prem -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.32 %
BAM.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
TD.PF.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.21 %
TRP.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 3.90 %
BIP.PR.A FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.04
Evaluated at bid price : 24.38
Bid-YTW : 4.31 %
BAM.PR.K Floater 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 204,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.35 %
TD.PF.A FixedReset Disc 201,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.96
Evaluated at bid price : 24.01
Bid-YTW : 3.21 %
SLF.PR.H FixedReset Ins Non 113,109 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 3.17 %
GWO.PR.I Insurance Straight 59,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-02
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : -6.39 %
TD.PF.C FixedReset Disc 53,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.21 %
TD.PF.M FixedReset Prem 46,740 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.91
Bid-YTW : 2.54 %
There were 16 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: 16.30 – 17.75
Spot Rate : 1.4500
Average : 1.2474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 %
BAM.PR.R FixedReset Disc Quote: 20.20 – 20.73
Spot Rate : 0.5300
Average : 0.3791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.95 %
PVS.PR.G SplitShare Quote: 25.70 – 26.20
Spot Rate : 0.5000
Average : 0.3584

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 %
IFC.PR.F Insurance Straight Quote: 26.52 – 27.20
Spot Rate : 0.6800
Average : 0.5676

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.52
Bid-YTW : 4.06 %
BAM.PF.G FixedReset Disc Quote: 23.13 – 23.55
Spot Rate : 0.4200
Average : 0.3092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.43
Evaluated at bid price : 23.13
Bid-YTW : 3.86 %
BAM.PR.X FixedReset Disc Quote: 17.83 – 18.20
Spot Rate : 0.3700
Average : 0.2632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 3.72 %
Market Action

September 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 -2.0233 % 2,549.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.0233 % 4,678.7
Floater 3.41 % 3.42 % 60,714 18.64 3 -2.0233 % 2,696.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.3388 % 3,693.1
SplitShare 4.59 % 3.80 % 26,194 3.25 7 0.3388 % 4,410.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3388 % 3,441.1
Perpetual-Premium 5.11 % -19.87 % 56,882 0.09 25 -0.0414 % 3,334.6
Perpetual-Discount 4.64 % 2.05 % 71,255 0.08 8 0.0395 % 4,014.4
FixedReset Disc 3.94 % 3.33 % 121,072 18.16 40 -0.2038 % 2,850.1
Insurance Straight 4.89 % -7.08 % 75,303 0.09 22 -0.6158 % 3,722.9
FloatingReset 2.86 % 3.13 % 33,006 19.44 2 -0.5266 % 2,586.4
FixedReset Prem 4.73 % 2.48 % 134,549 1.59 30 -0.0768 % 2,777.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2038 % 2,913.4
FixedReset Ins Non 4.05 % 3.27 % 99,917 18.34 20 -0.5709 % 2,944.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -6.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 %
BIP.PR.A FixedReset Disc -4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 %
BAM.PR.K Floater -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
TRP.PR.A FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 3.97 %
MFC.PR.N FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 %
BAM.PR.B Floater -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 3.42 %
BAM.PR.T FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 3.89 %
IFC.PR.F Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.59
Bid-YTW : 3.79 %
IAF.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 24.49
Evaluated at bid price : 24.90
Bid-YTW : 3.65 %
IFC.PR.A FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 3.18 %
GWO.PR.F Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : -61.19 %
TRP.PR.D FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 4.02 %
BAM.PF.F FixedReset Disc 6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 155,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.46 %
GWO.PR.R Insurance Straight 110,725 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : -9.68 %
SLF.PR.A Insurance Straight 46,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.63 %
RY.PR.P Perpetual-Premium 44,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 26.00
Evaluated at bid price : 27.02
Bid-YTW : -36.64 %
SLF.PR.B Insurance Straight 28,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.63 %
RY.PR.J FixedReset Disc 18,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.26 %
There were 6 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: 16.30 – 17.88
Spot Rate : 1.5800
Average : 1.0252

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 %
BIP.PR.A FixedReset Disc Quote: 23.85 – 24.90
Spot Rate : 1.0500
Average : 0.6622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 %
MFC.PR.N FixedReset Ins Non Quote: 23.41 – 24.38
Spot Rate : 0.9700
Average : 0.6304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 %
TRP.PR.C FixedReset Disc Quote: 14.53 – 15.31
Spot Rate : 0.7800
Average : 0.5371

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 3.93 %
IAF.PR.G FixedReset Ins Non Quote: 24.90 – 25.50
Spot Rate : 0.6000
Average : 0.4046

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 24.49
Evaluated at bid price : 24.90
Bid-YTW : 3.65 %
IAF.PR.B Insurance Straight Quote: 23.90 – 25.30
Spot Rate : 1.4000
Average : 1.2104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
Market Action

August 31, 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 0.7053 % 2,602.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7053 % 4,775.3
Floater 3.34 % 3.37 % 63,000 18.76 3 0.7053 % 2,752.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4038 % 3,680.6
SplitShare 4.60 % 3.95 % 27,266 3.78 7 -0.4038 % 4,395.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4038 % 3,429.5
Perpetual-Premium 5.11 % -22.56 % 53,955 0.09 25 0.2396 % 3,336.0
Perpetual-Discount 4.64 % 1.40 % 70,914 0.08 8 0.1881 % 4,012.8
FixedReset Disc 3.93 % 3.33 % 125,963 18.16 40 0.0851 % 2,855.9
Insurance Straight 4.86 % -7.89 % 75,627 0.09 22 -0.1361 % 3,746.0
FloatingReset 2.84 % 3.10 % 34,353 19.50 2 0.6862 % 2,600.1
FixedReset Prem 4.73 % 2.27 % 133,170 1.59 30 -0.0793 % 2,779.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0851 % 2,919.3
FixedReset Ins Non 4.02 % 3.22 % 99,868 18.35 20 0.0449 % 2,961.6
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.05 %
IAF.PR.B Insurance Straight -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
TRP.PR.D FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.08 %
MFC.PR.F FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 3.22 %
TRP.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 3.92 %
BAM.PF.B FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.83
Evaluated at bid price : 23.59
Bid-YTW : 3.80 %
BAM.PR.K Floater 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.37 %
IFC.PR.I Perpetual-Premium 2.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.80
Bid-YTW : 3.41 %
TRP.PR.G FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.76
Evaluated at bid price : 23.85
Bid-YTW : 3.79 %
PWF.PR.P FixedReset Disc 11.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ELF.PR.H Perpetual-Premium 108,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -18.99 %
PWF.PR.P FixedReset Disc 58,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.43 %
RY.PR.M FixedReset Disc 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.12
Evaluated at bid price : 24.70
Bid-YTW : 3.28 %
TRP.PR.A FixedReset Disc 31,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.87 %
TRP.PR.F FloatingReset 29,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 3.10 %
BAM.PF.H FixedReset Prem 24,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.70
Bid-YTW : 2.57 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 23.10 – 24.70
Spot Rate : 1.6000
Average : 1.0344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.05 %
GWO.PR.L Insurance Straight Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.5687

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : -32.29 %
IAF.PR.B Insurance Straight Quote: 23.90 – 25.30
Spot Rate : 1.4000
Average : 1.0025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
TRP.PR.D FixedReset Disc Quote: 20.37 – 21.57
Spot Rate : 1.2000
Average : 0.9975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.08 %
PVS.PR.I SplitShare Quote: 25.76 – 26.34
Spot Rate : 0.5800
Average : 0.4676

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.95 %
TRP.PR.C FixedReset Disc Quote: 14.57 – 14.95
Spot Rate : 0.3800
Average : 0.2708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 3.92 %
Market Action

August 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 -0.8804 % 2,584.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8804 % 4,741.9
Floater 3.36 % 3.38 % 65,595 18.74 3 -0.8804 % 2,732.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2662 % 3,695.5
SplitShare 4.58 % 3.56 % 26,293 2.39 7 0.2662 % 4,413.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2662 % 3,443.4
Perpetual-Premium 5.12 % -23.55 % 54,359 0.09 25 -0.1579 % 3,328.0
Perpetual-Discount 4.65 % 2.72 % 73,812 0.08 8 0.1835 % 4,005.3
FixedReset Disc 3.93 % 3.33 % 129,854 18.17 40 0.0185 % 2,853.5
Insurance Straight 4.85 % -8.84 % 75,865 0.08 22 0.2462 % 3,751.1
FloatingReset 2.86 % 3.13 % 31,787 19.44 2 -0.3419 % 2,582.4
FixedReset Prem 4.72 % 2.15 % 136,843 1.59 30 -0.1010 % 2,781.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0185 % 2,916.8
FixedReset Ins Non 4.03 % 3.22 % 99,039 18.34 20 0.1993 % 2,960.2
Performance Highlights
Issue Index Change Notes
IFC.PR.I Perpetual-Premium -2.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.20 %
IFC.PR.A FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.15 %
BAM.PF.H FixedReset Prem -1.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.55
Bid-YTW : 2.71 %
RY.PR.M FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 23.04
Evaluated at bid price : 24.50
Bid-YTW : 3.31 %
GWO.PR.N FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 3.24 %
BAM.PF.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 21.78
Evaluated at bid price : 22.10
Bid-YTW : 3.88 %
BAM.PR.K Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.43 %
TRP.PR.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 3.83 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.22 %
BMO.PR.F FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.35
Bid-YTW : 1.61 %
BAM.PR.Z FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 23.75
Evaluated at bid price : 24.91
Bid-YTW : 3.83 %
TRP.PR.D FixedReset Disc 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 3.92 %
BAM.PR.R FixedReset Disc 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.84 %
IAF.PR.B Insurance Straight 5.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -11.90 %
MFC.PR.F FixedReset Ins Non 8.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 3.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 211,090 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 0.59 %
BAM.PR.R FixedReset Disc 99,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.84 %
RY.PR.Z FixedReset Disc 55,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 23.06
Evaluated at bid price : 24.09
Bid-YTW : 3.15 %
SLF.PR.G FixedReset Ins Non 54,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.18 %
BAM.PR.B Floater 37,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.37 %
TD.PF.B FixedReset Disc 31,508 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 22.96
Evaluated at bid price : 23.95
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
CU.PR.H Perpetual-Premium Quote: 26.21 – 28.99
Spot Rate : 2.7800
Average : 2.1796

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -14.86 %
IFC.PR.I Perpetual-Premium Quote: 27.10 – 28.45
Spot Rate : 1.3500
Average : 0.9926

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.20 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.45
Spot Rate : 2.1000
Average : 1.8311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.81 %
CU.PR.C FixedReset Disc Quote: 22.10 – 22.80
Spot Rate : 0.7000
Average : 0.5085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 3.62 %
IFC.PR.A FixedReset Ins Non Quote: 20.90 – 21.59
Spot Rate : 0.6900
Average : 0.5267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.15 %
MFC.PR.L FixedReset Ins Non Quote: 23.43 – 23.96
Spot Rate : 0.5300
Average : 0.3685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 22.71
Evaluated at bid price : 23.43
Bid-YTW : 3.22 %
Market Action

August 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 0.2336 % 2,607.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2336 % 4,784.0
Floater 3.33 % 3.36 % 65,299 18.80 3 0.2336 % 2,757.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0222 % 3,685.7
SplitShare 4.60 % 3.73 % 27,265 3.26 7 -0.0222 % 4,401.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0222 % 3,434.3
Perpetual-Premium 5.12 % -24.01 % 54,941 0.09 25 0.3076 % 3,333.3
Perpetual-Discount 4.66 % 3.32 % 74,988 0.58 8 0.1043 % 3,998.0
FixedReset Disc 3.93 % 3.36 % 130,391 17.96 40 0.0666 % 2,853.0
Insurance Straight 4.86 % -7.50 % 74,550 0.09 22 -0.1132 % 3,741.9
FloatingReset 2.87 % 3.16 % 32,053 19.27 2 -0.4641 % 2,591.3
FixedReset Prem 4.72 % 2.36 % 139,186 1.60 30 -0.0294 % 2,784.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0666 % 2,916.3
FixedReset Ins Non 4.03 % 3.23 % 99,702 18.34 20 -0.0129 % 2,954.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -9.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.84 %
MFC.PR.F FixedReset Ins Non -7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 3.47 %
IAF.PR.B Insurance Straight -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.00 %
TRP.PR.D FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 4.07 %
BMO.PR.D FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.36 %
NA.PR.C FixedReset Prem -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.54 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.46 %
BAM.PR.C Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.36 %
CU.PR.H Perpetual-Premium 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -13.63 %
POW.PR.D Perpetual-Premium 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-26
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : -35.37 %
BAM.PF.J FixedReset Prem 1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 1.70 %
TRP.PR.A FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 3.83 %
BAM.PR.T FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.82 %
BAM.PF.E FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 3.83 %
BIP.PR.A FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.15 %
IFC.PR.A FixedReset Ins Non 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.11 %
SLF.PR.G FixedReset Ins Non 5.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.20 %
BAM.PF.F FixedReset Disc 6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.G FixedReset Ins Non 69,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 2.73 %
ELF.PR.H Perpetual-Premium 51,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -17.49 %
CM.PR.O FixedReset Disc 46,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.08
Evaluated at bid price : 24.20
Bid-YTW : 3.28 %
RY.PR.J FixedReset Disc 31,938 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.27 %
BMO.PR.F FixedReset Prem 29,882 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.03 %
RY.PR.M FixedReset Disc 29,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 3.18 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 26.21 – 28.89
Spot Rate : 2.6800
Average : 1.5212

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -13.63 %
IAF.PR.B Insurance Straight Quote: 23.90 – 25.50
Spot Rate : 1.6000
Average : 0.9139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
TRP.PR.D FixedReset Disc Quote: 20.48 – 22.00
Spot Rate : 1.5200
Average : 0.8474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 4.07 %
MFC.PR.F FixedReset Ins Non Quote: 16.31 – 17.89
Spot Rate : 1.5800
Average : 0.9963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 3.47 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.45
Spot Rate : 2.1000
Average : 1.5363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.84 %
TD.PF.J FixedReset Prem Quote: 25.88 – 26.88
Spot Rate : 1.0000
Average : 0.5759

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 2.75 %
Market Action

August 26, 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 -0.1037 % 2,601.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1037 % 4,772.8
Floater 3.34 % 3.39 % 66,289 18.73 3 -0.1037 % 2,750.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2780 % 3,686.6
SplitShare 4.60 % 3.74 % 26,507 3.27 7 0.2780 % 4,402.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2780 % 3,435.0
Perpetual-Premium 5.13 % -22.34 % 54,148 0.09 25 0.1972 % 3,323.1
Perpetual-Discount 4.67 % 3.65 % 78,068 0.58 8 0.1691 % 3,993.8
FixedReset Disc 3.94 % 3.32 % 129,876 17.93 40 0.8143 % 2,851.1
Insurance Straight 4.86 % -6.46 % 72,299 0.08 22 0.0974 % 3,746.1
FloatingReset 2.85 % 3.13 % 33,293 19.34 2 1.4757 % 2,603.4
FixedReset Prem 4.72 % 2.22 % 138,564 1.60 30 0.5810 % 2,785.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8143 % 2,914.4
FixedReset Ins Non 4.03 % 3.22 % 100,295 18.33 20 0.0901 % 2,954.7
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.06 %
IFC.PR.A FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.22 %
TD.PF.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.32 %
BMO.PR.W FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.04
Evaluated at bid price : 24.22
Bid-YTW : 3.19 %
TD.PF.L FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 2.25 %
BAM.PF.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.67
Evaluated at bid price : 23.58
Bid-YTW : 3.79 %
BIP.PR.B FixedReset Prem 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.02
Bid-YTW : 3.71 %
TD.PF.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.78
Evaluated at bid price : 25.74
Bid-YTW : 3.33 %
NA.PR.S FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.31
Evaluated at bid price : 24.67
Bid-YTW : 3.28 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.83
Evaluated at bid price : 25.36
Bid-YTW : 3.51 %
BMO.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.21
Evaluated at bid price : 24.45
Bid-YTW : 3.23 %
BMO.PR.D FixedReset Prem 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 1.11 %
PWF.PR.T FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.28
Evaluated at bid price : 24.48
Bid-YTW : 3.32 %
RY.PR.M FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 3.18 %
CU.PR.I FixedReset Prem 2.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.35
Bid-YTW : 2.17 %
IFC.PR.E Insurance Straight 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 1.35 %
MFC.PR.F FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 3.21 %
BAM.PR.R FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.88 %
TRP.PR.F FloatingReset 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.13 %
TRP.PR.A FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 3.91 %
PWF.PR.P FixedReset Disc 11.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.I Insurance Straight 293,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.31 %
CM.PR.R FixedReset Prem 181,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 1.61 %
RY.PR.J FixedReset Disc 116,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.27 %
TD.PF.D FixedReset Disc 115,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.32 %
CM.PR.S FixedReset Disc 96,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.84
Evaluated at bid price : 25.24
Bid-YTW : 3.26 %
SLF.PR.D Insurance Straight 73,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-25
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -6.46 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 23.10 – 24.67
Spot Rate : 1.5700
Average : 0.8967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.06 %
TD.PF.E FixedReset Disc Quote: 25.07 – 26.10
Spot Rate : 1.0300
Average : 0.5635

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 3.24 %
BIP.PR.A FixedReset Disc Quote: 24.20 – 25.12
Spot Rate : 0.9200
Average : 0.7348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.96
Evaluated at bid price : 24.20
Bid-YTW : 4.43 %
BMO.PR.D FixedReset Prem Quote: 25.82 – 26.30
Spot Rate : 0.4800
Average : 0.3039

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 1.11 %
BMO.PR.T FixedReset Disc Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.97
Evaluated at bid price : 24.00
Bid-YTW : 3.20 %
BAM.PF.J FixedReset Prem Quote: 25.75 – 26.35
Spot Rate : 0.6000
Average : 0.4400

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.04 %