Category: Market Action

Market Action

August 25, 2021

PerpetualDiscounts now yield 4.04%, equivalent to 5.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.97%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 230bp, a dramatic narrowing from the 250bp reported August 18.

The dramatic change in the PerpetualDiscount reported yield is due to a few of the remaining elements of the PerpetualDiscount subindex going to sufficient premia to trigger a change in the YTW scenario with significant effects on the calculated YTW.

Ticker Bid
8/18		 YTW
8/18		 Bid
8/25		 YTW
8/25
BAM.PF.C 25.23 4.45% 25.31 4.04%
BAM.PF.D 25.35 4.24% 25.36 4.28%
BAM.PR.M 25.25 0.33% 25.00 4.80%
BAM.PR.N 25.15 4.78% 25.18 4.77%
CIU.PR.A 25.00 2.46% 25.00 3.55%
CU.PR.F 25.20 3.28% 25.15 3.63%
CU.PR.G 25.20 3.57% 25.20 3.64%
ELF.PR.G 25.00 4.78% 24.87 4.82%

With so few constituents in the sub-index (and all of them near-par), small changes can have disproportionate effects! This measure can no longer be considered reliable, but I’ll keep reporting it … who knows, maybe we’ll get a batch of new issues!

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 -0.3102 % 2,603.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3102 % 4,777.8
Floater 3.33 % 3.38 % 68,977 18.74 3 -0.3102 % 2,753.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0334 % 3,676.3
SplitShare 4.61 % 3.73 % 26,521 3.27 7 -0.0334 % 4,390.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0334 % 3,425.5
Perpetual-Premium 5.14 % -22.65 % 56,160 0.09 25 -0.0077 % 3,316.5
Perpetual-Discount 4.67 % 4.04 % 81,171 0.99 8 -0.1391 % 3,987.1
FixedReset Disc 3.97 % 3.39 % 120,148 18.08 40 -0.2470 % 2,828.0
Insurance Straight 4.86 % -6.43 % 70,544 0.09 22 0.1579 % 3,742.5
FloatingReset 2.90 % 3.23 % 33,180 19.10 2 -1.1484 % 2,565.5
FixedReset Prem 4.74 % 2.67 % 139,119 2.19 30 -0.0206 % 2,769.3
FixedReset Bank Non 1.98 % 2.00 % 98,218 0.43 1 0.0000 % 2,890.8
FixedReset Ins Non 4.04 % 3.29 % 104,131 18.33 20 -0.2482 % 2,952.1
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.38 %
TRP.PR.A FixedReset Disc -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.06 %
TRP.PR.G FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.23 %
MFC.PR.F FixedReset Ins Non -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.29 %
CM.PR.P FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 22.97
Evaluated at bid price : 24.11
Bid-YTW : 3.27 %
CU.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 3.68 %
BAM.PR.M Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.80 %
IFC.PR.A FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.18 %
TRP.PR.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.D Insurance Straight 739,631 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -8.01 %
SLF.PR.A Insurance Straight 733,164 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 0.51 %
GWO.PR.I Insurance Straight 254,831 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 24.87
Evaluated at bid price : 25.16
Bid-YTW : 4.52 %
GWO.PR.R Insurance Straight 254,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : -3.19 %
MFC.PR.B Insurance Straight 190,253 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -8.73 %
SLF.PR.E Insurance Straight 144,409 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : -6.15 %
There were 22 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 – 24.12
Spot Rate : 1.0200
Average : 0.6436

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.96 %
TRP.PR.A FixedReset Disc Quote: 18.02 – 18.90
Spot Rate : 0.8800
Average : 0.5250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.06 %
GWO.PR.G Insurance Straight Quote: 25.90 – 26.90
Spot Rate : 1.0000
Average : 0.6495

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : -26.34 %
TRP.PR.F FloatingReset Quote: 16.40 – 17.45
Spot Rate : 1.0500
Average : 0.7732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.23 %
BMO.PR.E FixedReset Prem Quote: 25.21 – 25.99
Spot Rate : 0.7800
Average : 0.5107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 23.60
Evaluated at bid price : 25.21
Bid-YTW : 3.52 %
SLF.PR.G FixedReset Ins Non Quote: 16.00 – 17.00
Spot Rate : 1.0000
Average : 0.7372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.38 %
Market Action

August 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 0.5980 % 2,611.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5980 % 4,792.6
Floater 3.32 % 3.36 % 69,429 18.80 3 0.5980 % 2,762.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1615 % 3,677.6
SplitShare 4.61 % 3.77 % 26,851 3.27 7 0.1615 % 4,391.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1615 % 3,426.6
Perpetual-Premium 5.14 % -17.35 % 56,333 0.09 25 0.0524 % 3,316.8
Perpetual-Discount 4.67 % 3.79 % 80,775 0.58 8 -0.0050 % 3,992.6
FixedReset Disc 3.96 % 3.40 % 118,662 18.24 40 0.4244 % 2,835.0
Insurance Straight 4.87 % -3.92 % 71,047 0.09 22 -0.1276 % 3,736.6
FloatingReset 2.86 % 3.15 % 32,824 19.30 2 1.4803 % 2,595.3
FixedReset Prem 4.74 % 2.65 % 135,448 2.19 30 0.2509 % 2,769.9
FixedReset Bank Non 1.81 % 1.98 % 101,650 0.43 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.24 % 105,870 18.31 20 0.0771 % 2,959.4
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -9.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.83 %
BIP.PR.A FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.28
Bid-YTW : 4.41 %
IFC.PR.A FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 3.22 %
BAM.PR.B Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 12.98
Evaluated at bid price : 12.98
Bid-YTW : 3.33 %
MFC.PR.M FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.33 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.13
Evaluated at bid price : 24.64
Bid-YTW : 3.49 %
BMO.PR.W FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.98
Evaluated at bid price : 24.09
Bid-YTW : 3.21 %
BIK.PR.A FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.11 %
CM.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.83
Evaluated at bid price : 25.21
Bid-YTW : 3.26 %
BAM.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.96 %
PVS.PR.J SplitShare 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.04 %
TRP.PR.A FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.92 %
TRP.PR.D FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 3.99 %
NA.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.71
Evaluated at bid price : 25.12
Bid-YTW : 3.40 %
CM.PR.O FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.02
Bid-YTW : 3.31 %
SLF.PR.G FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.24 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 2.57 %
CU.PR.C FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 21.75
Evaluated at bid price : 22.19
Bid-YTW : 3.62 %
MFC.PR.N FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.87
Evaluated at bid price : 23.94
Bid-YTW : 3.28 %
TRP.PR.E FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.00 %
TRP.PR.F FloatingReset 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.S Insurance Straight 129,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.50
Evaluated at bid price : 26.45
Bid-YTW : -27.89 %
TRP.PR.K FixedReset Prem 113,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 1.64 %
CIU.PR.A Perpetual-Discount 105,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.40 %
TRP.PR.C FixedReset Disc 103,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 3.90 %
SLF.PR.A Insurance Straight 101,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 0.35 %
CM.PR.O FixedReset Disc 69,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.02
Bid-YTW : 3.31 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.33
Spot Rate : 1.9800
Average : 1.4931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.83 %
CU.PR.C FixedReset Disc Quote: 22.19 – 23.19
Spot Rate : 1.0000
Average : 0.6874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 21.75
Evaluated at bid price : 22.19
Bid-YTW : 3.62 %
BIP.PR.F FixedReset Prem Quote: 25.75 – 26.45
Spot Rate : 0.7000
Average : 0.4162

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.12 %
IFC.PR.I Perpetual-Premium Quote: 27.30 – 28.00
Spot Rate : 0.7000
Average : 0.4871

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.30
Bid-YTW : 3.95 %
MFC.PR.Q FixedReset Ins Non Quote: 25.08 – 25.60
Spot Rate : 0.5200
Average : 0.3600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.66
Evaluated at bid price : 25.08
Bid-YTW : 3.37 %
BIP.PR.A FixedReset Disc Quote: 24.28 – 24.84
Spot Rate : 0.5600
Average : 0.4131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.28
Bid-YTW : 4.41 %
Market Action

August 23, 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 0.1302 % 2,596.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1302 % 4,764.2
Floater 3.34 % 3.38 % 72,170 18.75 3 0.1302 % 2,745.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2887 % 3,671.6
SplitShare 4.61 % 3.86 % 26,714 3.28 7 -0.2887 % 4,384.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2887 % 3,421.1
Perpetual-Premium 5.14 % -18.86 % 55,079 0.09 25 0.0139 % 3,315.1
Perpetual-Discount 4.67 % 3.54 % 79,117 0.76 8 -0.1438 % 3,992.8
FixedReset Disc 3.98 % 3.43 % 111,183 18.28 40 0.9908 % 2,823.0
Insurance Straight 4.87 % -1.70 % 70,869 0.09 22 -0.0390 % 3,741.3
FloatingReset 2.91 % 3.23 % 32,739 19.11 2 -0.4702 % 2,557.5
FixedReset Prem 4.78 % 2.86 % 141,500 2.20 31 0.1776 % 2,762.9
FixedReset Bank Non 1.81 % 1.97 % 105,841 0.44 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.29 % 105,868 18.30 20 0.8378 % 2,957.1
Performance Highlights
Issue Index Change Notes
BIK.PR.A FixedReset Prem -2.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.59 %
PVS.PR.I SplitShare -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.19 %
IFC.PR.E Insurance Straight -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.45
Bid-YTW : 3.84 %
RY.PR.P Perpetual-Premium -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-22
Maturity Price : 26.00
Evaluated at bid price : 26.47
Bid-YTW : -16.24 %
SLF.PR.G FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 3.30 %
TRP.PR.D FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.05 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 3.19 %
NA.PR.S FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 23.25
Evaluated at bid price : 24.54
Bid-YTW : 3.31 %
BMO.PR.T FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.87
Evaluated at bid price : 23.78
Bid-YTW : 3.25 %
BAM.PR.T FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.96 %
TRP.PR.C FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 3.91 %
BAM.PF.G FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.46
Evaluated at bid price : 23.18
Bid-YTW : 3.86 %
TRP.PR.G FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.63
Evaluated at bid price : 23.57
Bid-YTW : 3.86 %
IFC.PR.A FixedReset Ins Non 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 3.17 %
SLF.PR.H FixedReset Ins Non 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 3.17 %
BAM.PR.R FixedReset Disc 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.00 %
BAM.PF.F FixedReset Disc 3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 23.00
Evaluated at bid price : 24.08
Bid-YTW : 3.86 %
MFC.PR.F FixedReset Ins Non 8.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 3.19 %
PWF.PR.P FixedReset Disc 11.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 3.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Prem 216,734 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 1.45 %
MFC.PR.R FixedReset Ins Non 141,939 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 1.26 %
BIP.PR.D FixedReset Prem 73,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.99 %
MFC.PR.L FixedReset Ins Non 64,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.74
Evaluated at bid price : 23.48
Bid-YTW : 3.23 %
MFC.PR.N FixedReset Ins Non 57,224 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.67
Evaluated at bid price : 23.53
Bid-YTW : 3.35 %
BAM.PF.D Perpetual-Discount 53,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.29 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.80 – 13.80
Spot Rate : 1.0000
Average : 0.6609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
MFC.PR.B Insurance Straight Quote: 25.15 – 26.00
Spot Rate : 0.8500
Average : 0.5166

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-22
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -6.70 %
TRP.PR.F FloatingReset Quote: 16.40 – 17.45
Spot Rate : 1.0500
Average : 0.7545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.23 %
BIK.PR.A FixedReset Prem Quote: 26.00 – 26.73
Spot Rate : 0.7300
Average : 0.4441

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.59 %
BAM.PF.G FixedReset Disc Quote: 23.18 – 23.95
Spot Rate : 0.7700
Average : 0.5855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-23
Maturity Price : 22.46
Evaluated at bid price : 23.18
Bid-YTW : 3.86 %
PVS.PR.F SplitShare Quote: 25.65 – 26.15
Spot Rate : 0.5000
Average : 0.3431

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.86 %
Market Action

August 20, 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 -0.0780 % 2,593.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0780 % 4,758.0
Floater 3.35 % 3.38 % 72,840 18.74 3 -0.0780 % 2,742.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1446 % 3,682.3
SplitShare 4.60 % 3.68 % 27,784 3.29 7 0.1446 % 4,397.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1446 % 3,431.0
Perpetual-Premium 5.14 % -19.30 % 53,569 0.09 25 0.0432 % 3,314.6
Perpetual-Discount 4.66 % 2.77 % 79,445 0.11 8 0.1490 % 3,998.6
FixedReset Disc 4.01 % 3.50 % 110,367 18.20 40 -0.0245 % 2,795.4
Insurance Straight 4.86 % -1.68 % 70,000 0.09 22 -0.0637 % 3,742.8
FloatingReset 2.86 % 3.20 % 32,240 19.19 2 -0.4059 % 2,569.5
FixedReset Prem 4.79 % 2.95 % 136,304 1.53 31 -0.0013 % 2,758.0
FixedReset Bank Non 1.81 % 1.95 % 106,878 0.45 1 0.0000 % 2,890.8
FixedReset Ins Non 4.06 % 3.34 % 106,317 18.24 20 -0.1595 % 2,932.6
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.37 %
SLF.PR.H FixedReset Ins Non -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 22.04
Evaluated at bid price : 22.61
Bid-YTW : 3.34 %
BAM.PF.F FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 22.54
Evaluated at bid price : 23.20
Bid-YTW : 4.07 %
TRP.PR.F FloatingReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.20 %
PVS.PR.J SplitShare 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.25 %
SLF.PR.J FloatingReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 2.55 %
PVS.PR.G SplitShare 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-19
Maturity Price : 26.00
Evaluated at bid price : 26.00
Bid-YTW : 1.89 %
PVS.PR.F SplitShare 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : 3.07 %
PVS.PR.H SplitShare 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.23 %
PVS.PR.I SplitShare 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.82 %
BAM.PF.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 23.39
Evaluated at bid price : 24.56
Bid-YTW : 3.94 %
BIP.PR.A FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 23.10
Evaluated at bid price : 24.55
Bid-YTW : 4.37 %
GWO.PR.N FixedReset Ins Non 4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 102,415 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.13 %
MFC.PR.H FixedReset Ins Non 52,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.96 %
BMO.PR.F FixedReset Prem 36,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.59 %
BIP.PR.D FixedReset Prem 30,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.93 %
W.PR.M FixedReset Prem 30,195 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.79 %
PWF.PR.Z Perpetual-Premium 25,470 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.30
Bid-YTW : 4.01 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 22.61 – 23.61
Spot Rate : 1.0000
Average : 0.6070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 22.04
Evaluated at bid price : 22.61
Bid-YTW : 3.34 %
BAM.PF.F FixedReset Disc Quote: 23.20 – 24.15
Spot Rate : 0.9500
Average : 0.5600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 22.54
Evaluated at bid price : 23.20
Bid-YTW : 4.07 %
SLF.PR.G FixedReset Ins Non Quote: 16.40 – 17.11
Spot Rate : 0.7100
Average : 0.4730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.37 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.30
Spot Rate : 1.9500
Average : 1.7261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc Quote: 19.31 – 20.33
Spot Rate : 1.0200
Average : 0.8041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-20
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.17 %
BAM.PF.C Perpetual-Discount Quote: 25.26 – 25.80
Spot Rate : 0.5400
Average : 0.3869

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.28 %
Market Action

August 19, 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 -1.7885 % 2,595.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.7885 % 4,761.7
Floater 3.35 % 3.38 % 73,579 18.76 3 -1.7885 % 2,744.2
OpRet 0.00 % 0.00 % 0 0.00 0 -1.0018 % 3,676.9
SplitShare 4.61 % 4.18 % 27,722 3.76 7 -1.0018 % 4,391.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.0018 % 3,426.1
Perpetual-Premium 5.15 % -21.58 % 55,767 0.09 25 -0.0740 % 3,313.2
Perpetual-Discount 4.67 % 3.24 % 79,469 0.77 8 -0.0149 % 3,992.6
FixedReset Disc 4.01 % 3.50 % 114,283 18.20 40 -0.5930 % 2,796.0
Insurance Straight 4.86 % -3.04 % 68,861 0.09 22 -0.0124 % 3,745.2
FloatingReset 2.85 % 3.14 % 32,266 19.34 2 0.9137 % 2,580.0
FixedReset Prem 4.79 % 2.93 % 141,244 1.53 31 -0.1099 % 2,758.1
FixedReset Bank Non 1.81 % 1.92 % 103,245 0.10 1 0.0000 % 2,890.8
FixedReset Ins Non 4.06 % 3.32 % 110,624 18.24 20 -0.4571 % 2,937.2
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.17 %
GWO.PR.N FixedReset Ins Non -3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.39 %
BAM.PR.B Floater -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
BIP.PR.A FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 22.91
Evaluated at bid price : 24.10
Bid-YTW : 4.47 %
TRP.PR.E FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 4.14 %
BAM.PF.A FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 23.21
Evaluated at bid price : 24.17
Bid-YTW : 4.02 %
BAM.PR.K Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 3.38 %
IFC.PR.A FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.28 %
BMO.PR.Y FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 22.97
Evaluated at bid price : 24.26
Bid-YTW : 3.49 %
TD.PF.J FixedReset Prem -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 23.71
Evaluated at bid price : 25.10
Bid-YTW : 3.56 %
MFC.PR.N FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 22.68
Evaluated at bid price : 23.55
Bid-YTW : 3.37 %
BAM.PR.X FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.93 %
PVS.PR.H SplitShare -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.51 %
CM.PR.P FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 22.90
Evaluated at bid price : 23.96
Bid-YTW : 3.32 %
PVS.PR.J SplitShare -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.44 %
PVS.PR.I SplitShare -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.23 %
BAM.PR.C Floater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.37 %
TRP.PR.F FloatingReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 110,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 23.01
Evaluated at bid price : 24.31
Bid-YTW : 3.54 %
SLF.PR.I FixedReset Ins Non 60,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.04 %
RY.PR.H FixedReset Disc 52,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 22.90
Evaluated at bid price : 23.85
Bid-YTW : 3.28 %
MFC.PR.G FixedReset Ins Non 37,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 2.55 %
TRP.PR.D FixedReset Disc 32,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.11 %
BIP.PR.C FixedReset Prem 26,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 1.27 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 26.78 – 29.33
Spot Rate : 2.5500
Average : 2.0761

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.78
Bid-YTW : 2.30 %
CU.PR.C FixedReset Disc Quote: 21.86 – 22.86
Spot Rate : 1.0000
Average : 0.5747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 21.52
Evaluated at bid price : 21.86
Bid-YTW : 3.71 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.19
Spot Rate : 1.8400
Average : 1.4806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc Quote: 19.31 – 20.20
Spot Rate : 0.8900
Average : 0.5675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.17 %
MFC.PR.F FixedReset Ins Non Quote: 16.30 – 17.77
Spot Rate : 1.4700
Average : 1.1843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.51 %
BAM.PF.A FixedReset Disc Quote: 24.17 – 24.62
Spot Rate : 0.4500
Average : 0.2536

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-19
Maturity Price : 23.21
Evaluated at bid price : 24.17
Bid-YTW : 4.02 %
Market Action

August 18, 2021

PerpetualDiscounts now yield 4.24%, equivalent to 5.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 250bp, a dramatic narrowing from the 300bp reported August 11.

The dramatic change in the PerpetualDiscount reported yield is due to a few of the remaining elements of the PerpetualDiscount subindex going to sufficient premia to trigger a change in the YTW scenario with significant effects on the calculated YTW.

Ticker Bid
8/11		 YTW
8/11		 Bid
8/18		 YTW
8/18
BAM.PF.C 25.15 4.83% 25.23 4.45%
BAM.PF.D 25.22 4.64% 25.35 4.24%
BAM.PR.M 25.00 4.79% 25.25 0.33%
BAM.PR.N 25.09 4.78 25.15 4.78%
CIU.PR.A 24.75 4.64% 25.00 2.46%
CU.PR.F 25.25 1.34% 25.20 3.28%
CU.PR.G 25.28 1.77% 25.20 3.57%
ELF.PR.G 24.90 4.80% 25.00 4.78%

With so few constituents in the sub-index (and all of them near-par), small changes can have disproportionate effects!

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 0.4105 % 2,642.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4105 % 4,848.4
Floater 3.29 % 3.33 % 74,714 18.88 3 0.4105 % 2,794.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1654 % 3,714.2
SplitShare 4.56 % 3.92 % 27,527 3.77 7 0.1654 % 4,435.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1654 % 3,460.7
Perpetual-Premium 5.14 % -21.73 % 55,157 0.09 25 0.1003 % 3,315.6
Perpetual-Discount 4.67 % 4.24 % 81,206 1.01 8 0.1891 % 3,993.2
FixedReset Disc 3.99 % 3.46 % 118,060 18.22 40 -0.1778 % 2,812.7
Insurance Straight 4.86 % -2.93 % 69,900 0.09 22 0.0797 % 3,745.6
FloatingReset 2.87 % 3.20 % 33,583 19.20 2 -0.3454 % 2,556.6
FixedReset Prem 4.78 % 2.92 % 140,825 1.54 31 0.1313 % 2,761.1
FixedReset Bank Non 1.81 % 1.87 % 107,501 0.10 1 0.0000 % 2,890.8
FixedReset Ins Non 4.04 % 3.27 % 109,442 18.28 20 -0.1457 % 2,950.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -11.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.87 %
MFC.PR.F FixedReset Ins Non -8.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.51 %
TRP.PR.G FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.98 %
NA.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.15
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
MFC.PR.N FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 22.82
Evaluated at bid price : 23.84
Bid-YTW : 3.32 %
IFC.PR.I Perpetual-Premium 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.41
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.95 %
IFC.PR.F Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 3.10 %
BIP.PR.A FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.10
Evaluated at bid price : 24.55
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 66,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.08
Evaluated at bid price : 24.48
Bid-YTW : 3.51 %
TD.PF.D FixedReset Disc 56,229 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.05
Evaluated at bid price : 24.45
Bid-YTW : 3.56 %
PVS.PR.J SplitShare 46,760 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.22 %
IFC.PR.E Insurance Straight 38,467 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.65
Bid-YTW : 2.88 %
RY.PR.R FixedReset Prem 28,938 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.04 %
SLF.PR.B Insurance Straight 27,330 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-17
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -0.02 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.20
Spot Rate : 1.8500
Average : 1.0866

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.87 %
MFC.PR.F FixedReset Ins Non Quote: 16.30 – 17.85
Spot Rate : 1.5500
Average : 0.8711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.51 %
BAM.PR.N Perpetual-Discount Quote: 25.15 – 25.52
Spot Rate : 0.3700
Average : 0.2512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 24.92
Evaluated at bid price : 25.15
Bid-YTW : 4.78 %
RY.PR.J FixedReset Disc Quote: 24.48 – 24.79
Spot Rate : 0.3100
Average : 0.2121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.08
Evaluated at bid price : 24.48
Bid-YTW : 3.51 %
NA.PR.S FixedReset Disc Quote: 24.30 – 24.58
Spot Rate : 0.2800
Average : 0.1881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-18
Maturity Price : 23.15
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
CU.PR.I FixedReset Prem Quote: 26.80 – 27.16
Spot Rate : 0.3600
Average : 0.2681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.68 %
Market Action

August 17, 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 -0.8899 % 2,631.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8899 % 4,828.6
Floater 3.30 % 3.33 % 74,399 18.88 3 -0.8899 % 2,782.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0220 % 3,708.0
SplitShare 4.57 % 3.97 % 28,660 3.77 7 -0.0220 % 4,428.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0220 % 3,455.0
Perpetual-Premium 5.15 % -18.42 % 52,858 0.09 25 -0.0216 % 3,312.3
Perpetual-Discount 4.68 % 4.56 % 81,401 1.08 8 -0.0547 % 3,985.7
FixedReset Disc 3.98 % 3.47 % 116,006 18.20 40 -0.0397 % 2,817.7
Insurance Straight 4.86 % -2.08 % 69,612 0.08 22 0.0248 % 3,742.7
FloatingReset 2.86 % 3.20 % 34,972 19.20 2 0.4732 % 2,565.5
FixedReset Prem 4.79 % 2.93 % 137,407 1.54 31 0.0461 % 2,757.5
FixedReset Bank Non 1.81 % 1.82 % 109,081 0.10 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.28 % 113,134 18.24 20 0.0300 % 2,955.0
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 22.92
Evaluated at bid price : 24.12
Bid-YTW : 4.46 %
SLF.PR.J FloatingReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 2.56 %
BAM.PR.C Floater -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 3.33 %
BAM.PF.G FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 22.49
Evaluated at bid price : 23.25
Bid-YTW : 3.87 %
TRP.PR.F FloatingReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.20 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 67,702 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.26 %
NA.PR.E FixedReset Disc 34,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 23.61
Evaluated at bid price : 24.88
Bid-YTW : 3.47 %
RY.PR.S FixedReset Prem 28,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 23.62
Evaluated at bid price : 25.45
Bid-YTW : 3.23 %
BMO.PR.F FixedReset Prem 23,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.59 %
PVS.PR.J SplitShare 22,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.28 %
BIP.PR.E FixedReset Prem 19,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.17 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 26.56 – 29.36
Spot Rate : 2.8000
Average : 2.1996

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.56
Bid-YTW : 3.27 %
BIP.PR.A FixedReset Disc Quote: 24.12 – 24.74
Spot Rate : 0.6200
Average : 0.3920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 22.92
Evaluated at bid price : 24.12
Bid-YTW : 4.46 %
TRP.PR.B FixedReset Disc Quote: 12.99 – 13.44
Spot Rate : 0.4500
Average : 0.3022

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 4.00 %
IFC.PR.I Perpetual-Premium Quote: 27.10 – 28.00
Spot Rate : 0.9000
Average : 0.7649

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.15 %
CIU.PR.A Perpetual-Discount Quote: 24.88 – 25.20
Spot Rate : 0.3200
Average : 0.2001

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-17
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 4.62 %
CU.PR.D Perpetual-Premium Quote: 25.50 – 26.00
Spot Rate : 0.5000
Average : 0.3837

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -12.41 %
Market Action

August 16, 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 -0.2030 % 2,655.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2030 % 4,871.9
Floater 3.27 % 3.29 % 75,049 18.97 3 -0.2030 % 2,807.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,708.8
SplitShare 4.57 % 3.96 % 28,679 3.78 7 0.0386 % 4,429.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,455.8
Perpetual-Premium 5.15 % -16.90 % 53,576 0.09 25 0.1530 % 3,313.0
Perpetual-Discount 4.67 % 4.22 % 84,224 1.02 8 -0.0149 % 3,987.9
FixedReset Disc 3.98 % 3.49 % 116,276 18.21 40 0.3679 % 2,818.8
Insurance Straight 4.86 % -3.70 % 70,321 0.09 22 0.0159 % 3,741.7
FloatingReset 2.88 % 3.27 % 36,418 19.03 2 -1.7359 % 2,553.4
FixedReset Prem 4.81 % 2.92 % 134,982 2.21 32 0.1641 % 2,756.2
FixedReset Bank Non 1.81 % 1.77 % 110,439 0.11 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.29 % 114,786 18.25 20 -0.2502 % 2,954.2
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.27 %
SLF.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 3.25 %
BAM.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.38
Evaluated at bid price : 24.55
Bid-YTW : 3.94 %
BAM.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 3.95 %
MFC.PR.J FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.78
Evaluated at bid price : 25.22
Bid-YTW : 3.41 %
TRP.PR.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 22.54
Evaluated at bid price : 23.40
Bid-YTW : 3.91 %
IFC.PR.A FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 3.23 %
SLF.PR.J FloatingReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 2.52 %
BAM.PR.X FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.85 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.T Insurance Straight 369,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.52
Bid-YTW : 3.38 %
BMO.PR.C FixedReset Prem 111,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.24 %
CM.PR.R FixedReset Prem 101,425 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 1.90 %
TD.PF.K FixedReset Disc 38,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.64
Evaluated at bid price : 25.30
Bid-YTW : 3.44 %
SLF.PR.A Insurance Straight 30,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -0.47 %
CM.PR.S FixedReset Disc 28,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.71
Evaluated at bid price : 24.90
Bid-YTW : 3.35 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 26.56 – 29.07
Spot Rate : 2.5100
Average : 1.5414

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.56
Bid-YTW : 3.26 %
TRP.PR.F FloatingReset Quote: 16.05 – 17.10
Spot Rate : 1.0500
Average : 0.6514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.27 %
IFC.PR.I Perpetual-Premium Quote: 27.10 – 28.00
Spot Rate : 0.9000
Average : 0.6168

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.15 %
IFC.PR.F Insurance Straight Quote: 26.40 – 27.40
Spot Rate : 1.0000
Average : 0.7732

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.40
Bid-YTW : 4.23 %
BAM.PF.B FixedReset Disc Quote: 23.10 – 23.61
Spot Rate : 0.5100
Average : 0.3479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 22.55
Evaluated at bid price : 23.10
Bid-YTW : 3.94 %
MFC.PR.B Insurance Straight Quote: 25.10 – 25.60
Spot Rate : 0.5000
Average : 0.3482

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -5.41 %
Market Action

August 13, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1270 % 2,660.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1270 % 4,881.8
Floater 3.26 % 3.29 % 77,481 18.97 3 0.1270 % 2,813.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,707.4
SplitShare 4.57 % 3.96 % 26,555 3.78 7 0.0386 % 4,427.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,454.5
Perpetual-Premium 5.15 % -14.82 % 55,531 0.09 25 0.0773 % 3,307.9
Perpetual-Discount 4.67 % 3.52 % 84,635 1.03 8 0.0199 % 3,988.4
FixedReset Disc 4.00 % 3.50 % 120,112 18.18 40 0.1165 % 2,808.5
Insurance Straight 4.87 % -1.77 % 73,109 0.09 22 0.1704 % 3,741.1
FloatingReset 2.83 % 3.11 % 34,106 19.42 2 -0.1548 % 2,598.5
FixedReset Prem 4.82 % 2.92 % 135,788 2.22 32 0.0109 % 2,751.7
FixedReset Bank Non 1.81 % 1.64 % 114,991 0.11 1 0.0000 % 2,890.8
FixedReset Ins Non 4.02 % 3.30 % 119,349 18.11 20 0.1285 % 2,961.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.27 %
MIC.PR.A Perpetual-Premium -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 4.56 %
BIP.PR.B FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.97 %
BAM.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.90
Evaluated at bid price : 24.30
Bid-YTW : 4.02 %
MFC.PR.I FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 3.27 %
GWO.PR.S Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.50
Evaluated at bid price : 26.60
Bid-YTW : -35.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.J FixedReset Ins Non 29,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.79
Evaluated at bid price : 25.24
Bid-YTW : 3.47 %
NA.PR.S FixedReset Disc 19,151 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.19
Evaluated at bid price : 24.40
Bid-YTW : 3.36 %
TRP.PR.K FixedReset Prem 18,446 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.08 %
MFC.PR.N FixedReset Ins Non 18,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 3.39 %
BMO.PR.F FixedReset Prem 15,072 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.58 %
SLF.PR.C Insurance Straight 12,663 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.18 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 23.00 – 25.00
Spot Rate : 2.0000
Average : 1.0943

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 3.92 %
POW.PR.A Perpetual-Premium Quote: 25.93 – 26.93
Spot Rate : 1.0000
Average : 0.5660

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : -30.85 %
IFC.PR.A FixedReset Ins Non Quote: 20.40 – 21.24
Spot Rate : 0.8400
Average : 0.5727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.27 %
CU.PR.C FixedReset Disc Quote: 21.70 – 22.48
Spot Rate : 0.7800
Average : 0.6026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.74 %
IFC.PR.I Perpetual-Premium Quote: 26.92 – 27.40
Spot Rate : 0.4800
Average : 0.3063

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.92
Bid-YTW : 4.33 %
POW.PR.C Perpetual-Premium Quote: 26.04 – 26.50
Spot Rate : 0.4600
Average : 0.2916

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

August 12, 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 -0.5558 % 2,657.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5558 % 4,875.6
Floater 3.27 % 3.30 % 80,624 18.96 3 -0.5558 % 2,809.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0939 % 3,706.0
SplitShare 4.57 % 4.06 % 27,495 3.78 7 0.0939 % 4,425.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0939 % 3,453.1
Perpetual-Premium 5.16 % -14.55 % 54,860 0.09 25 0.1812 % 3,305.4
Perpetual-Discount 4.67 % 4.14 % 85,111 0.79 8 0.2293 % 3,987.7
FixedReset Disc 4.00 % 3.53 % 121,885 18.17 40 0.5241 % 2,805.2
Insurance Straight 4.87 % -1.57 % 71,434 0.09 22 0.0835 % 3,734.8
FloatingReset 2.82 % 3.11 % 35,422 19.43 2 -0.1236 % 2,602.6
FixedReset Prem 4.82 % 3.17 % 135,169 1.55 32 -0.0049 % 2,751.4
FixedReset Bank Non 1.81 % 1.60 % 116,238 0.12 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.41 % 117,065 18.03 20 0.1029 % 2,957.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.23 %
BAM.PR.B Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 3.28 %
BMO.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 22.82
Evaluated at bid price : 23.75
Bid-YTW : 3.32 %
IFC.PR.A FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.23 %
BAM.PF.F FixedReset Disc 4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 22.97
Evaluated at bid price : 24.03
Bid-YTW : 3.92 %
PWF.PR.P FixedReset Disc 11.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.H FixedReset Ins Non 175,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 22.54
Evaluated at bid price : 23.50
Bid-YTW : 3.21 %
BMO.PR.E FixedReset Prem 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.60
Evaluated at bid price : 25.25
Bid-YTW : 3.56 %
IFC.PR.G FixedReset Ins Non 43,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.79
Evaluated at bid price : 25.50
Bid-YTW : 3.41 %
IAF.PR.I FixedReset Ins Non 30,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.81
Evaluated at bid price : 25.33
Bid-YTW : 3.63 %
CM.PR.S FixedReset Disc 29,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.70
Evaluated at bid price : 24.90
Bid-YTW : 3.37 %
TRP.PR.K FixedReset Prem 29,076 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.65 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 26.15 – 26.88
Spot Rate : 0.7300
Average : 0.4746

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.15
Bid-YTW : 4.49 %
BAM.PR.T FixedReset Disc Quote: 20.17 – 21.50
Spot Rate : 1.3300
Average : 1.1356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.03 %
CU.PR.I FixedReset Prem Quote: 26.51 – 27.16
Spot Rate : 0.6500
Average : 0.5109

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 2.95 %
TRP.PR.C FixedReset Disc Quote: 14.48 – 15.00
Spot Rate : 0.5200
Average : 0.3931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 4.04 %
POW.PR.G Perpetual-Premium Quote: 25.90 – 26.24
Spot Rate : 0.3400
Average : 0.2201

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-11
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : -29.81 %
BAM.PR.X FixedReset Disc Quote: 17.15 – 18.00
Spot Rate : 0.8500
Average : 0.7340

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.97 %