Category: Market Action

Market Action

January 21, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.49 % 41,375 20.07 1 0.0986 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9191 % 5,475.2
Floater 2.91 % 2.95 % 55,001 19.85 3 -0.9191 % 3,155.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2309 % 3,658.5
SplitShare 4.69 % 4.41 % 30,035 3.56 6 -0.2309 % 4,369.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2309 % 3,408.9
Perpetual-Premium 5.16 % -8.36 % 51,954 0.09 24 -0.1794 % 3,252.0
Perpetual-Discount 4.74 % 4.80 % 53,335 15.77 7 -0.7385 % 3,838.9
FixedReset Disc 3.92 % 4.08 % 121,267 16.74 46 0.4917 % 2,897.0
Insurance Straight 4.89 % 4.54 % 81,568 15.77 17 -0.2621 % 3,659.2
FloatingReset 2.63 % 2.98 % 41,045 19.78 2 1.2431 % 2,974.7
FixedReset Prem 4.73 % 3.11 % 103,629 1.73 25 -0.2006 % 2,728.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4917 % 2,961.3
FixedReset Ins Non 4.07 % 3.87 % 68,442 16.91 17 -0.2247 % 2,983.4
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -5.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 22.50
Evaluated at bid price : 23.00
Bid-YTW : 4.12 %
TD.PF.E FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.30 %
BAM.PR.K Floater -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.97 %
CU.PR.F Perpetual-Discount -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.76 %
BAM.PR.M Perpetual-Discount -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 23.72
Evaluated at bid price : 24.03
Bid-YTW : 4.97 %
BAM.PR.B Floater -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.95 %
BAM.PR.X FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.47 %
SLF.PR.G FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.76 %
BIP.PR.A FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.64 %
GWO.PR.H Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 24.30
Evaluated at bid price : 24.61
Bid-YTW : 4.96 %
RY.PR.M FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 3.94 %
CIU.PR.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 23.93
Evaluated at bid price : 24.17
Bid-YTW : 4.81 %
TRP.PR.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.54 %
PWF.PR.F Perpetual-Premium -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-20
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -19.75 %
MIC.PR.A Perpetual-Premium -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 5.03 %
TRP.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.31 %
TRP.PR.F FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 2.98 %
IFC.PR.A FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 3.80 %
SLF.PR.J FloatingReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 2.30 %
FTS.PR.H FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.03 %
CU.PR.G Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 24.18
Evaluated at bid price : 24.46
Bid-YTW : 4.65 %
BAM.PR.C Floater 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 2.85 %
TRP.PR.G FixedReset Disc 88.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 22.63
Evaluated at bid price : 23.51
Bid-YTW : 4.53 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PF.A Perpetual-Discount 252,841 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 24.45
Evaluated at bid price : 24.85
Bid-YTW : 4.52 %
MFC.PR.L FixedReset Ins Non 245,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 22.40
Evaluated at bid price : 22.82
Bid-YTW : 4.10 %
PWF.PR.L Perpetual-Premium 244,146 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-20
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -2.59 %
GWO.PR.Y Insurance Straight 231,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 24.51
Evaluated at bid price : 24.90
Bid-YTW : 4.53 %
CU.PR.J Perpetual-Premium 199,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.58 %
FTS.PR.F Perpetual-Premium 144,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 24.86
Evaluated at bid price : 25.08
Bid-YTW : 4.95 %
TRP.PR.B FixedReset Disc 137,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 4.48 %
MFC.PR.R FixedReset Ins Non 137,171 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.01 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 23.00 – 24.36
Spot Rate : 1.3600
Average : 0.7580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 22.50
Evaluated at bid price : 23.00
Bid-YTW : 4.12 %
TD.PF.E FixedReset Disc Quote: 24.07 – 25.20
Spot Rate : 1.1300
Average : 0.7500

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.30 %
BAM.PR.K Floater Quote: 14.50 – 15.28
Spot Rate : 0.7800
Average : 0.5079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.97 %
BAM.PR.M Perpetual-Discount Quote: 24.03 – 24.80
Spot Rate : 0.7700
Average : 0.5036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 23.72
Evaluated at bid price : 24.03
Bid-YTW : 4.97 %
CU.PR.F Perpetual-Discount Quote: 23.90 – 25.00
Spot Rate : 1.1000
Average : 0.8767

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.76 %
BAM.PR.R FixedReset Disc Quote: 21.05 – 21.99
Spot Rate : 0.9400
Average : 0.7266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-21
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.45 %
Market Action

January 20, 2022

There’s a problem with the commenting mechanics on PrefBlog right now. Sorry about this, I’ve got my server-guy looking at it. It’s something to do with the SSL certificate; I have noticed over the past few years that there is absolutely noone alive who actually knows how they work.

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 3.02 % 3.49 % 40,885 20.06 1 0.2967 % 2,889.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9424 % 5,526.0
Floater 2.88 % 2.89 % 54,177 20.00 3 1.9424 % 3,184.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3034 % 3,666.9
SplitShare 4.68 % 4.37 % 30,269 3.57 6 0.3034 % 4,379.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3034 % 3,416.7
Perpetual-Premium 5.15 % -10.35 % 51,692 0.09 24 0.0033 % 3,257.8
Perpetual-Discount 4.70 % 4.74 % 52,683 15.88 7 0.1631 % 3,867.5
FixedReset Disc 3.94 % 3.97 % 121,405 16.72 46 0.1648 % 2,882.9
Insurance Straight 4.88 % 4.54 % 78,662 15.71 17 -0.1029 % 3,668.9
FloatingReset 2.66 % 3.01 % 39,802 19.70 2 0.2770 % 2,938.2
FixedReset Prem 4.72 % 2.94 % 104,349 1.74 25 0.0778 % 2,734.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1648 % 2,946.9
FixedReset Ins Non 4.06 % 3.87 % 67,240 16.92 17 -0.3045 % 2,990.2
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.91 %
CU.PR.G Perpetual-Discount -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 4.74 %
IFC.PR.A FixedReset Ins Non -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.87 %
TD.PF.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.11
Evaluated at bid price : 24.22
Bid-YTW : 3.83 %
TRP.PR.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.45 %
BIP.PR.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.06 %
CIU.PR.A Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.74 %
BAM.PR.B Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 2.89 %
RY.PR.M FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 3.55 %
SLF.PR.J FloatingReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.33 %
RS.PR.A SplitShare 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.70
Bid-YTW : 3.39 %
BAM.PR.C Floater 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 2.91 %
BAM.PR.X FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.39 %
CU.PR.F Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 24.20
Evaluated at bid price : 24.50
Bid-YTW : 4.64 %
BAM.PR.K Floater 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 2.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset Disc 157,610 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.35 %
TRP.PR.D FixedReset Disc 111,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.50 %
MFC.PR.L FixedReset Ins Non 103,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 22.51
Evaluated at bid price : 23.00
Bid-YTW : 4.06 %
BMO.PR.F FixedReset Prem 83,335 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.42
Bid-YTW : 2.94 %
BAM.PF.F FixedReset Disc 57,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.20
Evaluated at bid price : 24.40
Bid-YTW : 4.43 %
TRP.PR.C FixedReset Disc 56,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 4.27 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.58
Spot Rate : 12.0800
Average : 11.4912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %
BIP.PR.A FixedReset Disc Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.6572

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.06 %
CU.PR.G Perpetual-Discount Quote: 24.00 – 24.84
Spot Rate : 0.8400
Average : 0.5341

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 4.74 %
BAM.PR.R FixedReset Disc Quote: 21.25 – 21.99
Spot Rate : 0.7400
Average : 0.4927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.41 %
IFC.PR.A FixedReset Ins Non Quote: 21.40 – 22.20
Spot Rate : 0.8000
Average : 0.5555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.87 %
MFC.PR.F FixedReset Ins Non Quote: 18.30 – 19.15
Spot Rate : 0.8500
Average : 0.6269

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-20
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.91 %
Market Action

January 19, 2022

So inflation is now the highest it’s ever been during my career!:

The Consumer Price Index (CPI) rose 4.8 per cent in December from a year earlier, the quickest pace since 1991, Statistics Canada said Wednesday. The result matched the median estimate from analysts and accelerated from November’s 4.7-per-cent pace. It was the ninth consecutive month that inflation has exceeded the Bank of Canada’s target range of 1 per cent to 3 per cent.
…
Grocery prices rose 5.7 per cent in December for the highest annual inflation in that category since late 2011, which Statscan attributed to supply issues and unfavourable weather. New border controls on unvaccinated truckers could put further pressure on food prices.
…
The average of the Bank of Canada’s core measures of annual inflation – which strip out extreme price swings and give a better sense of underlying trends – rose to 2.9 per cent from 2.7 per cent, the highest since 1991.

In apparent response, the GOC-5 rate increased to 1.71%.

PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.57%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 265bp from the 295bp reported January 12.

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 3.03 % 3.50 % 41,244 20.05 1 -0.0988 % 2,880.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9924 % 5,420.7
Floater 2.94 % 2.96 % 53,939 19.83 3 0.9924 % 3,124.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0587 % 3,655.8
SplitShare 4.70 % 4.41 % 30,322 3.57 6 0.0587 % 4,365.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0587 % 3,406.4
Perpetual-Premium 5.15 % -15.81 % 50,595 0.09 24 0.0114 % 3,257.7
Perpetual-Discount 4.71 % 4.80 % 53,292 15.78 7 -0.4407 % 3,861.2
FixedReset Disc 3.95 % 3.97 % 117,216 16.52 46 0.0777 % 2,878.1
Insurance Straight 4.87 % 4.49 % 79,323 0.44 17 0.0000 % 3,672.6
FloatingReset 2.67 % 2.99 % 39,858 19.77 2 0.1109 % 2,930.1
FixedReset Prem 4.73 % 3.01 % 104,927 1.74 25 0.0233 % 2,732.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0777 % 2,942.0
FixedReset Ins Non 4.05 % 3.76 % 69,833 16.92 17 0.1942 % 2,999.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.19 %
CU.PR.F Perpetual-Discount -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.76 %
BAM.PF.G FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 22.55
Evaluated at bid price : 23.27
Bid-YTW : 4.49 %
TD.PF.A FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 22.98
Evaluated at bid price : 23.95
Bid-YTW : 3.89 %
TRP.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 4.27 %
BAM.PF.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 22.00
Evaluated at bid price : 22.36
Bid-YTW : 4.51 %
BAM.PR.C Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 2.96 %
BAM.PR.B Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 2.93 %
MFC.PR.F FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 3.76 %
SLF.PR.H FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.84 %
TD.PF.E FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.40 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 216,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 3.46 %
CM.PR.O FixedReset Disc 68,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 23.17
Evaluated at bid price : 24.25
Bid-YTW : 3.91 %
CU.PR.C FixedReset Disc 46,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 22.40
Evaluated at bid price : 23.25
Bid-YTW : 4.24 %
GWO.PR.M Insurance Straight 35,519 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-18
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -28.95 %
FTS.PR.M FixedReset Disc 33,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 22.88
Evaluated at bid price : 23.77
Bid-YTW : 4.22 %
FTS.PR.G FixedReset Disc 25,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 22.70
Evaluated at bid price : 23.10
Bid-YTW : 4.08 %
There were 12 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: 12.50 – 24.58
Spot Rate : 12.0800
Average : 10.8455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %
PWF.PR.P FixedReset Disc Quote: 17.50 – 18.45
Spot Rate : 0.9500
Average : 0.6193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.19 %
CU.PR.F Perpetual-Discount Quote: 23.90 – 25.00
Spot Rate : 1.1000
Average : 0.7763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.76 %
BAM.PR.C Floater Quote: 14.55 – 15.25
Spot Rate : 0.7000
Average : 0.4919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 2.96 %
BAM.PR.Z FixedReset Disc Quote: 25.00 – 25.40
Spot Rate : 0.4000
Average : 0.2525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-19
Maturity Price : 24.66
Evaluated at bid price : 25.00
Bid-YTW : 4.55 %
TD.PF.J FixedReset Prem Quote: 25.35 – 25.82
Spot Rate : 0.4700
Average : 0.3256

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.46 %
Market Action

January 18, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.03 % 3.50 % 40,891 20.06 1 -0.2956 % 2,883.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8613 % 5,367.4
Floater 2.97 % 2.97 % 49,880 19.80 3 0.8613 % 3,093.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0326 % 3,653.7
SplitShare 4.70 % 4.40 % 30,559 3.56 6 -0.0326 % 4,363.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0326 % 3,404.4
Perpetual-Premium 5.15 % -8.83 % 51,043 0.09 24 -0.1303 % 3,257.3
Perpetual-Discount 4.69 % 4.78 % 51,618 15.83 7 -0.1332 % 3,878.3
FixedReset Disc 3.95 % 4.03 % 114,282 16.77 46 1.1689 % 2,875.9
Insurance Straight 4.87 % 4.38 % 81,146 0.44 17 -0.0117 % 3,672.6
FloatingReset 2.67 % 2.99 % 39,191 19.75 2 0.7826 % 2,926.8
FixedReset Prem 4.73 % 2.98 % 106,107 1.75 25 0.0483 % 2,731.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1689 % 2,939.7
FixedReset Ins Non 4.06 % 3.81 % 68,666 16.92 17 0.2655 % 2,993.5
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.29 %
RY.PR.P Perpetual-Premium -1.77 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 26.06
Bid-YTW : 0.78 %
RS.PR.A SplitShare -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.45
Bid-YTW : 4.05 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.40
Evaluated at bid price : 23.25
Bid-YTW : 4.24 %
GWO.PR.S Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 3.56 %
BIP.PR.A FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.37 %
MFC.PR.F FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 3.82 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 2.99 %
BAM.PR.C Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.00 %
BAM.PR.T FixedReset Disc 6.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 21.61
Evaluated at bid price : 21.61
Bid-YTW : 4.52 %
RY.PR.M FixedReset Disc 85.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.P Perpetual-Premium 30,010 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 26.06
Bid-YTW : 0.78 %
CU.PR.C FixedReset Disc 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.40
Evaluated at bid price : 23.25
Bid-YTW : 4.24 %
BMO.PR.T FixedReset Disc 19,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 23.22
Evaluated at bid price : 24.41
Bid-YTW : 3.83 %
BMO.PR.S FixedReset Disc 19,174 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 23.35
Evaluated at bid price : 24.59
Bid-YTW : 3.91 %
GWO.PR.R Insurance Straight 15,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-17
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -0.59 %
CU.PR.J Perpetual-Premium 14,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.68 %
There were 5 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: 12.50 – 24.55
Spot Rate : 12.0500
Average : 9.4920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %
TD.PF.E FixedReset Disc Quote: 24.07 – 24.95
Spot Rate : 0.8800
Average : 0.5845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.29 %
SLF.PR.H FixedReset Ins Non Quote: 22.30 – 23.50
Spot Rate : 1.2000
Average : 1.0570

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 21.86
Evaluated at bid price : 22.30
Bid-YTW : 3.98 %
CU.PR.F Perpetual-Discount Quote: 24.49 – 25.00
Spot Rate : 0.5100
Average : 0.4215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 24.19
Evaluated at bid price : 24.49
Bid-YTW : 4.64 %
CU.PR.J Perpetual-Premium Quote: 25.31 – 25.75
Spot Rate : 0.4400
Average : 0.3561

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.68 %
MFC.PR.M FixedReset Ins Non Quote: 23.70 – 24.40
Spot Rate : 0.7000
Average : 0.6180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.84
Evaluated at bid price : 23.70
Bid-YTW : 4.09 %
Market Action

January 17, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 40,930 20.08 1 0.4453 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0594 % 5,321.6
Floater 2.99 % 2.99 % 51,889 19.75 3 -1.0594 % 3,066.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0784 % 3,654.9
SplitShare 4.70 % 4.44 % 30,243 3.57 6 0.0784 % 4,364.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0784 % 3,405.5
Perpetual-Premium 5.15 % -15.77 % 50,761 0.09 24 0.1060 % 3,261.6
Perpetual-Discount 4.68 % 4.80 % 52,129 15.78 7 0.1276 % 3,883.4
FixedReset Disc 4.00 % 4.00 % 118,790 16.79 46 -2.0273 % 2,842.6
Insurance Straight 4.87 % 4.21 % 81,216 0.44 17 0.0187 % 3,673.1
FloatingReset 2.69 % 3.03 % 37,804 19.66 2 0.0559 % 2,904.1
FixedReset Prem 4.73 % 3.03 % 107,277 1.75 25 -0.1260 % 2,730.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -2.0273 % 2,905.8
FixedReset Ins Non 4.07 % 3.86 % 70,986 16.92 17 -0.3377 % 2,985.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -48.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %
RY.PR.M FixedReset Disc -46.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 7.54 %
BAM.PR.T FixedReset Disc -5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.80 %
SLF.PR.H FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 21.87
Evaluated at bid price : 22.31
Bid-YTW : 3.97 %
MFC.PR.F FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.86 %
BAM.PR.C Floater -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.04 %
TRP.PR.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.56 %
TD.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 23.09
Evaluated at bid price : 24.19
Bid-YTW : 3.84 %
FTS.PR.K FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.16 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.57
Evaluated at bid price : 23.59
Bid-YTW : 4.17 %
BAM.PF.G FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.73
Evaluated at bid price : 23.61
Bid-YTW : 4.41 %
BAM.PF.F FixedReset Disc 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 23.09
Evaluated at bid price : 24.15
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.I Insurance Straight 44,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.61 %
TD.PF.J FixedReset Prem 19,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.96 %
BAM.PF.C Perpetual-Premium 16,538 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 24.79
Evaluated at bid price : 25.02
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 15,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 3.47 %
BAM.PR.Z FixedReset Disc 12,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.30 %
MFC.PR.Q FixedReset Ins Non 11,508 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 23.83
Evaluated at bid price : 25.19
Bid-YTW : 4.07 %
There were 0 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: 13.07 – 24.80
Spot Rate : 11.7300
Average : 6.2842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 7.54 %
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.50
Spot Rate : 12.0000
Average : 6.6873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %
FTS.PR.M FixedReset Disc Quote: 23.65 – 24.75
Spot Rate : 1.1000
Average : 0.6277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.82
Evaluated at bid price : 23.65
Bid-YTW : 4.25 %
SLF.PR.H FixedReset Ins Non Quote: 22.31 – 23.50
Spot Rate : 1.1900
Average : 0.9002

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 21.87
Evaluated at bid price : 22.31
Bid-YTW : 3.97 %
MFC.PR.L FixedReset Ins Non Quote: 22.77 – 23.49
Spot Rate : 0.7200
Average : 0.5416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.36
Evaluated at bid price : 22.77
Bid-YTW : 4.10 %
BAM.PR.T FixedReset Disc Quote: 20.35 – 21.60
Spot Rate : 1.2500
Average : 1.0742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.80 %
Market Action

January 14, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.03 % 3.51 % 42,416 20.06 1 -0.4434 % 2,879.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2540 % 5,378.6
Floater 2.96 % 2.98 % 52,156 19.79 3 0.2540 % 3,099.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8001 % 3,652.0
SplitShare 4.70 % 4.44 % 31,481 3.58 6 -0.8001 % 4,361.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8001 % 3,402.9
Perpetual-Premium 5.15 % -15.28 % 48,334 0.09 24 -0.0293 % 3,258.1
Perpetual-Discount 4.69 % 4.81 % 49,579 15.78 7 0.2441 % 3,878.5
FixedReset Disc 3.92 % 3.92 % 117,213 16.60 46 0.4444 % 2,901.5
Insurance Straight 4.87 % 4.21 % 82,189 0.45 17 -0.1191 % 3,672.4
FloatingReset 2.69 % 3.02 % 35,551 19.68 2 0.1400 % 2,902.5
FixedReset Prem 4.72 % 2.94 % 108,427 1.72 25 0.0903 % 2,733.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4444 % 2,965.9
FixedReset Ins Non 4.06 % 3.77 % 73,496 16.94 17 0.7490 % 2,995.7
Performance Highlights
Issue Index Change Notes
RS.PR.A SplitShare -3.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.61
Bid-YTW : 3.61 %
BAM.PF.G FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.55 %
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 : 25.10
Bid-YTW : 4.44 %
TD.PF.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.98
Evaluated at bid price : 23.95
Bid-YTW : 3.88 %
BAM.PR.Z FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.83 %
TRP.PR.A FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.49 %
IFC.PR.A FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 3.77 %
TD.PF.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.48 %
TRP.PR.B FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.49 %
TRP.PR.C FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.32 %
BAM.PR.T FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 4.54 %
CU.PR.G Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 24.26
Evaluated at bid price : 24.55
Bid-YTW : 4.63 %
TRP.PR.D FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.52 %
FTS.PR.H FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.11 %
GWO.PR.N FixedReset Ins Non 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.73 %
BAM.PF.B FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 23.06
Evaluated at bid price : 23.90
Bid-YTW : 4.39 %
SLF.PR.H FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.83 %
MFC.PR.F FixedReset Ins Non 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.76 %
PWF.PR.P FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset Disc 139,170 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.72 %
BAM.PF.I FixedReset Prem 39,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.83 %
TD.PF.K FixedReset Prem 35,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.91 %
BAM.PR.T FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 4.54 %
MFC.PR.M FixedReset Ins Non 23,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.84
Evaluated at bid price : 23.70
Bid-YTW : 4.09 %
TRP.PR.A FixedReset Disc 21,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.49 %
There were 10 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 – 23.95
Spot Rate : 0.9500
Average : 0.6639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.55 %
MFC.PR.M FixedReset Ins Non Quote: 23.70 – 24.50
Spot Rate : 0.8000
Average : 0.5919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.84
Evaluated at bid price : 23.70
Bid-YTW : 4.09 %
RS.PR.A SplitShare Quote: 10.61 – 11.15
Spot Rate : 0.5400
Average : 0.3779

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.61
Bid-YTW : 3.61 %
BAM.PF.F FixedReset Disc Quote: 23.40 – 24.60
Spot Rate : 1.2000
Average : 1.0463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.65 %
TD.PF.A FixedReset Disc Quote: 23.95 – 24.38
Spot Rate : 0.4300
Average : 0.3154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.98
Evaluated at bid price : 23.95
Bid-YTW : 3.88 %
CM.PR.T FixedReset Prem Quote: 26.00 – 26.40
Spot Rate : 0.4000
Average : 0.3075

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.31 %
Market Action

January 13, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 42,006 20.09 1 -0.4902 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1614 % 5,364.9
Floater 2.97 % 2.98 % 50,983 19.79 3 -0.1614 % 3,091.8
OpRet 0.00 % 0.00 % 0 0.00 0 1.0143 % 3,681.5
SplitShare 4.66 % 4.43 % 30,957 3.60 6 1.0143 % 4,396.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 1.0143 % 3,430.3
Perpetual-Premium 5.15 % -16.89 % 49,214 0.09 24 0.0750 % 3,259.1
Perpetual-Discount 4.70 % 4.79 % 50,090 15.78 7 -0.3706 % 3,869.1
FixedReset Disc 3.93 % 3.92 % 118,879 16.84 46 -0.1140 % 2,888.6
Insurance Straight 4.87 % 0.90 % 81,351 0.46 17 0.0771 % 3,676.8
FloatingReset 2.63 % 2.96 % 35,350 19.83 2 0.7050 % 2,898.4
FixedReset Prem 4.73 % 3.03 % 108,621 1.76 25 0.0016 % 2,731.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1140 % 2,952.8
FixedReset Ins Non 4.09 % 3.93 % 73,589 17.03 17 -0.4650 % 2,973.4
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
SLF.PR.H FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.86
Evaluated at bid price : 22.30
Bid-YTW : 3.94 %
BAM.PF.F FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.62 %
CU.PR.G Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
FTS.PR.H FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 4.18 %
TRP.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.35 %
BAM.PR.K Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.00 %
BAM.PR.X FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.44 %
TRP.PR.F FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 2.96 %
BAM.PF.B FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 22.89
Evaluated at bid price : 23.20
Bid-YTW : 4.52 %
RS.PR.A SplitShare 5.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.00
Bid-YTW : 2.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Prem 58,115 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 2.96 %
PWF.PF.A Perpetual-Discount 46,350 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc 44,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.35 %
CM.PR.R FixedReset Prem 42,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.41 %
IFC.PR.C FixedReset Disc 41,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.41 %
TD.PF.E FixedReset Disc 39,948 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.44 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 21.00 – 22.99
Spot Rate : 1.9900
Average : 1.3324

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.60 %
SLF.PR.H FixedReset Ins Non Quote: 22.30 – 23.45
Spot Rate : 1.1500
Average : 0.7279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.86
Evaluated at bid price : 22.30
Bid-YTW : 3.94 %
GWO.PR.N FixedReset Ins Non Quote: 17.35 – 18.35
Spot Rate : 1.0000
Average : 0.6042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 3.79 %
MFC.PR.F FixedReset Ins Non Quote: 18.30 – 19.39
Spot Rate : 1.0900
Average : 0.7701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
BAM.PF.F FixedReset Disc Quote: 23.40 – 24.59
Spot Rate : 1.1900
Average : 0.8777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.62 %
TRP.PR.D FixedReset Disc Quote: 21.18 – 22.00
Spot Rate : 0.8200
Average : 0.6129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.62 %
Market Action

January 12, 2022

PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.28%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 295bp from the 285bp reported January 5.

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 3.00 % 3.45 % 41,622 20.11 1 0.0490 % 2,906.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3470 % 5,373.6
Floater 2.97 % 2.98 % 52,622 19.79 3 0.3470 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5014 % 3,644.5
SplitShare 4.71 % 4.43 % 29,739 3.58 6 -0.5014 % 4,352.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5014 % 3,395.9
Perpetual-Premium 5.15 % -17.53 % 49,479 0.09 24 -0.0375 % 3,256.6
Perpetual-Discount 4.68 % 4.80 % 47,038 15.79 7 0.9175 % 3,883.4
FixedReset Disc 3.93 % 3.93 % 116,463 16.80 46 0.1095 % 2,891.9
Insurance Straight 4.87 % 3.39 % 82,269 0.46 17 -0.0467 % 3,673.9
FloatingReset 2.64 % 3.01 % 34,847 19.73 2 0.7100 % 2,878.1
FixedReset Prem 4.73 % 2.96 % 105,106 1.76 25 -0.0918 % 2,731.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1095 % 2,956.1
FixedReset Ins Non 4.07 % 3.77 % 70,219 17.01 17 0.2102 % 2,987.3
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.56
Evaluated at bid price : 22.85
Bid-YTW : 4.59 %
RS.PR.A SplitShare -2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.38
Bid-YTW : 4.22 %
MFC.PR.L FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 4.10 %
TD.PF.J FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.91 %
NA.PR.E FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.75
Evaluated at bid price : 24.90
Bid-YTW : 4.07 %
BMO.PR.W FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.10
Evaluated at bid price : 24.24
Bid-YTW : 3.84 %
PWF.PF.A Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.59 %
TD.PF.M FixedReset Prem 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 2.85 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.40
Evaluated at bid price : 21.71
Bid-YTW : 3.74 %
CU.PR.G Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.62 %
BAM.PR.R FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.42 %
TRP.PR.B FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.54 %
CU.PR.F Perpetual-Discount 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 24.33
Evaluated at bid price : 24.58
Bid-YTW : 4.62 %
BAM.PF.F FixedReset Disc 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.08
Evaluated at bid price : 24.13
Bid-YTW : 4.45 %
MFC.PR.F FixedReset Ins Non 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 3.70 %
TRP.PR.C FixedReset Disc 7.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.Q FixedReset Ins Non 60,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.83
Evaluated at bid price : 25.20
Bid-YTW : 4.02 %
BAM.PF.E FixedReset Disc 52,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 4.54 %
MFC.PR.K FixedReset Ins Non 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.89
Evaluated at bid price : 24.24
Bid-YTW : 3.92 %
CM.PR.P FixedReset Disc 45,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.12
Evaluated at bid price : 24.35
Bid-YTW : 3.80 %
TD.PF.C FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.15
Evaluated at bid price : 24.41
Bid-YTW : 3.79 %
RY.PR.M FixedReset Disc 28,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.76 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Premium Quote: 25.25 – 25.79
Spot Rate : 0.5400
Average : 0.3192

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.70 %
BAM.PF.B FixedReset Disc Quote: 22.85 – 23.75
Spot Rate : 0.9000
Average : 0.6816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.56
Evaluated at bid price : 22.85
Bid-YTW : 4.59 %
PWF.PR.F Perpetual-Premium Quote: 25.75 – 26.25
Spot Rate : 0.5000
Average : 0.3367

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-11
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : -31.47 %
BMO.PR.F FixedReset Prem Quote: 26.28 – 26.74
Spot Rate : 0.4600
Average : 0.3204

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.28
Bid-YTW : 3.15 %
NA.PR.E FixedReset Disc Quote: 24.90 – 25.45
Spot Rate : 0.5500
Average : 0.4107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.75
Evaluated at bid price : 24.90
Bid-YTW : 4.07 %
MFC.PR.N FixedReset Ins Non Quote: 23.52 – 23.99
Spot Rate : 0.4700
Average : 0.3523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.71
Evaluated at bid price : 23.52
Bid-YTW : 4.01 %
Market Action

January 11, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.46 % 40,825 20.11 1 0.7411 % 2,904.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1158 % 5,355.0
Floater 2.98 % 2.99 % 52,478 19.77 3 0.1158 % 3,086.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.6092 % 3,662.9
SplitShare 4.69 % 4.33 % 30,976 3.59 6 0.6092 % 4,374.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6092 % 3,413.0
Perpetual-Premium 5.15 % -14.56 % 47,960 0.09 24 0.2976 % 3,257.8
Perpetual-Discount 4.73 % 4.80 % 45,233 15.80 7 -0.0117 % 3,848.1
FixedReset Disc 3.93 % 3.90 % 117,297 16.75 46 1.2254 % 2,888.8
Insurance Straight 4.87 % 0.97 % 82,411 0.46 17 0.4811 % 3,675.6
FloatingReset 2.66 % 3.03 % 34,259 19.67 2 0.0568 % 2,857.8
FixedReset Prem 4.72 % 2.86 % 105,494 1.72 25 -0.2281 % 2,733.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2254 % 2,952.9
FixedReset Ins Non 4.08 % 3.86 % 67,211 17.00 17 -0.2803 % 2,981.0
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
BAM.PF.F FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.61 %
MFC.PR.M FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.73
Evaluated at bid price : 23.50
Bid-YTW : 4.10 %
CM.PR.Y FixedReset Prem -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.09 %
TD.PF.D FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.90 %
NA.PR.G FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.70
Evaluated at bid price : 25.21
Bid-YTW : 4.21 %
MFC.PR.Q FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.82
Evaluated at bid price : 25.17
Bid-YTW : 4.03 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.64 %
TD.PF.L FixedReset Prem -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 2.72 %
POW.PR.G Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-10
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : -23.48 %
SLF.PR.D Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 24.32
Evaluated at bid price : 24.63
Bid-YTW : 4.53 %
FTS.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.06 %
SLF.PR.C Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 4.54 %
GWO.PR.H Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -3.07 %
FTS.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.43
Evaluated at bid price : 22.80
Bid-YTW : 4.09 %
RS.PR.A SplitShare 2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.62
Bid-YTW : 3.58 %
IFC.PR.A FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.82 %
BAM.PR.X FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.39 %
BAM.PF.B FixedReset Disc 3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.98
Evaluated at bid price : 23.75
Bid-YTW : 4.38 %
TRP.PR.G FixedReset Disc 93.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.93
Evaluated at bid price : 24.15
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.D FixedReset Prem 101,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 3.01 %
BMO.PR.C FixedReset Prem 97,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 2.45 %
BAM.PF.A FixedReset Disc 74,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.75
Evaluated at bid price : 25.25
Bid-YTW : 4.37 %
MFC.PR.R FixedReset Ins Non 55,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.14 %
BMO.PR.B FixedReset Prem 53,740 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.79 %
BAM.PR.Z FixedReset Disc 40,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.97
Evaluated at bid price : 25.08
Bid-YTW : 4.44 %
There were 13 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: 18.30 – 19.36
Spot Rate : 1.0600
Average : 0.6709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.97
Spot Rate : 1.6700
Average : 1.4087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.62 %
BAM.PF.F FixedReset Disc Quote: 23.40 – 24.44
Spot Rate : 1.0400
Average : 0.7823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.61 %
TD.PF.D FixedReset Disc Quote: 24.40 – 25.20
Spot Rate : 0.8000
Average : 0.5894

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.90 %
MFC.PR.M FixedReset Ins Non Quote: 23.50 – 24.19
Spot Rate : 0.6900
Average : 0.4933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.73
Evaluated at bid price : 23.50
Bid-YTW : 4.10 %
TD.PF.L FixedReset Prem Quote: 26.31 – 26.82
Spot Rate : 0.5100
Average : 0.3262

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 2.72 %
Market Action

January 10, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.03 % 3.49 % 40,533 20.07 1 0.5464 % 2,883.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8951 % 5,348.8
Floater 2.98 % 3.00 % 52,922 19.75 3 -0.8951 % 3,082.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3980 % 3,640.7
SplitShare 4.72 % 4.37 % 31,463 3.58 6 -0.3980 % 4,347.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3980 % 3,392.3
Perpetual-Premium 5.17 % -9.93 % 48,350 0.09 24 -0.1453 % 3,248.2
Perpetual-Discount 4.73 % 4.81 % 45,422 15.78 7 -0.0701 % 3,848.6
FixedReset Disc 3.98 % 3.89 % 121,806 16.55 46 -0.8016 % 2,853.8
Insurance Straight 4.89 % 4.59 % 82,540 15.64 17 -0.1149 % 3,658.0
FloatingReset 2.66 % 3.03 % 34,589 19.66 2 0.8598 % 2,856.2
FixedReset Prem 4.71 % 2.88 % 106,827 1.77 25 0.0233 % 2,740.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.8016 % 2,917.2
FixedReset Ins Non 4.06 % 3.77 % 64,589 17.02 17 0.3192 % 2,989.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -48.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.44 %
BAM.PF.B FixedReset Disc -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.44
Evaluated at bid price : 22.84
Bid-YTW : 4.59 %
TD.PF.M FixedReset Prem -2.62 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.36 %
BAM.PR.R FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.57 %
IFC.PR.A FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.91 %
GWO.PR.H Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.91 %
POW.PR.G Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-09
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -11.45 %
PVS.PR.H SplitShare -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.65 %
BAM.PR.K Floater -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 3.00 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.29 %
BMO.PR.Y FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.42 %
TD.PF.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.20 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.59 %
CM.PR.Y FixedReset Prem 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.31 %
TD.PF.J FixedReset Prem 1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.92 %
FTS.PR.H FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.11 %
SLF.PR.J FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.32 %
GWO.PR.N FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.80 %
MFC.PR.N FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.76
Evaluated at bid price : 23.62
Bid-YTW : 3.99 %
SLF.PR.H FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.38
Evaluated at bid price : 23.15
Bid-YTW : 3.77 %
PWF.PR.P FixedReset Disc 5.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.14 %
TRP.PR.E FixedReset Disc 5.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
BAM.PF.E FixedReset Disc 6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.89
Evaluated at bid price : 22.21
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 50,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.75 %
CU.PR.J Perpetual-Premium 46,543 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.72 %
GWO.PR.Y Insurance Straight 42,995 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.46 %
PWF.PF.A Perpetual-Discount 35,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.48 %
TRP.PR.E FixedReset Disc 31,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
TRP.PR.A FixedReset Disc 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.52 %
There were 9 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: 12.50 – 24.19
Spot Rate : 11.6900
Average : 7.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.44 %
TD.PF.M FixedReset Prem Quote: 26.00 – 26.88
Spot Rate : 0.8800
Average : 0.5542

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.36 %
BAM.PF.B FixedReset Disc Quote: 22.84 – 23.79
Spot Rate : 0.9500
Average : 0.7078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.44
Evaluated at bid price : 22.84
Bid-YTW : 4.59 %
IFC.PR.A FixedReset Ins Non Quote: 20.90 – 21.96
Spot Rate : 1.0600
Average : 0.8363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.91 %
PWF.PR.E Perpetual-Premium Quote: 25.42 – 26.00
Spot Rate : 0.5800
Average : 0.3751

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-09
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -17.96 %
BAM.PR.R FixedReset Disc Quote: 20.30 – 21.40
Spot Rate : 1.1000
Average : 0.9053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.57 %