Category: Market Action

Market Action

April 7, 2022

TXPR closed at 644.34, down 2.61% on the day. Volume today was 2.87-million, second only to March 31 in the past 21 trading days, which shows just how anemic trade has been lately.

CPD closed at 12.84, down 1.53% on the day. Volume was 261,300, second only to March 22 in the past 21 trading days.

ZPR closed at 10.74, down 1.47% on the day. Volume of 791,770 was the highest of the past 20 trading days.

Five-year Canada yields were up 2bp to 2.54% today.

I am at a loss to explain this collapse, which is affecting FixedReset Discounts in the same mannner as PerpetualDiscounts. Rising rates have been fingered in the comments as the culprit, but we blamed declining rates for the awful period of late 2018 to early 2020. We can’t have it both ways, can we?

But Holy Smokes, you can now get about 5.50% on investment-grade FixedReset Discounts (admittedly on what seem to be very poor quality quotes). It’s true that the 5.50% figure depends on five-year bonds remaining at current levels in the 2.50% area forever, but frankly that isn’t an assumption that bothers me too much. Have people forgotten that FixedResets are so-called because they Reset?

It is interesting, however, that the Median YTW of the PerpetualDiscount and FixedReset Discount subindices remain very close to each other, a phenomenon briefly discussed in the post MAPF Performance: March 20022. It would be rational to expect that the yield on FixedReset Discounts would move in accordance with the GOC-5 yield, without prices moving too much, while the yield on PerpetualDiscounts would move in lockstep with prices moving a lot … but we haven’t actually observed this behaviour yet!

Another possibility is that investors are assuming that the BoC is so far behind the inflation curve that it will never catch up; therefore they are marking down FixedReset Discount prices in order to boost their real yield from recent levels. That seems credible in light of the recent jump in long-term real yields, but we’re not seeing much of that mindset in long-term nominal yields.

The federal budget came out today, much as expected – everything was pretty well telegraphed. The only significant new taxes were:

The planned bank tax has been altered from the initial proposal outlined in the Liberal Party’s 2021 election platform. Rather than a three percentage point surtax on earnings over $1-billion, the budget announces a 1.5 percentage point increase on taxable income over $100-million. That brings the tax rate on those earnings from 15 per cent to 16.5 per cent.

While that tax increase will be permanent, the budget also includes a temporary Canada Recovery Dividend, in the form of a one time 15 per cent tax on taxable income for the 2021 tax year, payable over five years. The two budgeted tax hikes are projected to bring in a little over $6-billion, down from the roughly $11-billion estimated in the Liberal platform.

Nice to see that the tax man is sticking it to the common shareholders and leaving us coupon-clippers alone!

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 3.37 % 3.97 % 25,497 19.36 1 -1.5633 % 2,691.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.8462 % 5,060.7
Floater 3.40 % 3.41 % 41,276 18.76 4 -2.8462 % 2,916.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1258 % 3,628.7
SplitShare 4.63 % 4.45 % 51,446 3.52 6 0.1258 % 4,333.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1258 % 3,381.1
Perpetual-Premium 5.53 % 5.28 % 60,749 14.45 16 -2.1305 % 3,088.3
Perpetual-Discount 5.54 % 5.48 % 57,912 14.71 18 -4.0787 % 3,350.5
FixedReset Disc 4.41 % 5.46 % 135,883 14.99 49 -3.1814 % 2,605.1
Insurance Straight 5.43 % 5.46 % 87,652 14.72 20 -1.2074 % 3,300.8
FloatingReset 3.40 % 3.71 % 52,202 18.08 2 -2.8201 % 2,741.0
FixedReset Prem 4.88 % 4.98 % 146,630 2.00 19 -1.3865 % 2,641.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -3.1814 % 2,663.0
FixedReset Ins Non 4.45 % 5.48 % 85,303 14.71 15 -3.3773 % 2,698.7
Performance Highlights
Issue Index Change Notes
PWF.PF.A Perpetual-Discount -32.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.53 %
MFC.PR.Q FixedReset Ins Non -7.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.75
Evaluated at bid price : 22.21
Bid-YTW : 5.66 %
BNS.PR.I FixedReset Disc -7.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 5.31 %
PWF.PR.T FixedReset Disc -6.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 5.63 %
MFC.PR.N FixedReset Ins Non -6.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.82 %
FTS.PR.H FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.94 %
PWF.PR.A Floater -5.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.33 %
IFC.PR.A FixedReset Ins Non -5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.72 %
PWF.PR.Z Perpetual-Premium -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.34
Evaluated at bid price : 22.66
Bid-YTW : 5.68 %
BMO.PR.T FixedReset Disc -5.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.50 %
BAM.PF.C Perpetual-Discount -4.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.82 %
BAM.PR.X FixedReset Disc -4.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.14 %
GWO.PR.N FixedReset Ins Non -4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.46 %
IAF.PR.I FixedReset Ins Non -4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.19
Evaluated at bid price : 23.75
Bid-YTW : 5.48 %
BAM.PF.G FixedReset Disc -4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.90 %
TRP.PR.C FixedReset Disc -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 6.35 %
MFC.PR.J FixedReset Ins Non -4.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.65
Evaluated at bid price : 23.20
Bid-YTW : 5.48 %
PWF.PR.S Perpetual-Discount -4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.48 %
TD.PF.D FixedReset Disc -4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 5.50 %
BMO.PR.Y FixedReset Disc -4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.73
Evaluated at bid price : 22.01
Bid-YTW : 5.46 %
FTS.PR.K FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.78 %
BAM.PF.E FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.14 %
MFC.PR.M FixedReset Ins Non -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.80 %
BAM.PF.I FixedReset Prem -4.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.98 %
GWO.PR.P Insurance Straight -3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.64
Evaluated at bid price : 23.91
Bid-YTW : 5.68 %
FTS.PR.J Perpetual-Discount -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 5.39 %
BAM.PR.Z FixedReset Disc -3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.99
Evaluated at bid price : 23.64
Bid-YTW : 5.73 %
PWF.PR.L Perpetual-Discount -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.58 %
BAM.PF.B FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.94 %
BAM.PF.H FixedReset Prem -3.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.80 %
FTS.PR.G FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.64 %
MFC.PR.F FixedReset Ins Non -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.41 %
BAM.PR.B Floater -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 3.50 %
RY.PR.Z FixedReset Disc -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 5.33 %
TRP.PR.E FixedReset Disc -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 6.24 %
FTS.PR.F Perpetual-Discount -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 5.35 %
GWO.PR.G Insurance Straight -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.89
Evaluated at bid price : 23.16
Bid-YTW : 5.64 %
RY.PR.S FixedReset Disc -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.44
Evaluated at bid price : 23.79
Bid-YTW : 5.14 %
TRP.PR.D FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.18 %
GWO.PR.S Insurance Straight -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.59
Evaluated at bid price : 23.85
Bid-YTW : 5.53 %
SLF.PR.J FloatingReset -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.10 %
GWO.PR.R Insurance Straight -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.83
Evaluated at bid price : 22.07
Bid-YTW : 5.47 %
TRP.PR.A FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.21 %
BAM.PF.A FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.04
Evaluated at bid price : 23.47
Bid-YTW : 5.72 %
RY.PR.J FixedReset Disc -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.95
Evaluated at bid price : 22.29
Bid-YTW : 5.48 %
GWO.PR.H Insurance Straight -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.53 %
POW.PR.D Perpetual-Discount -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.45 %
IFC.PR.F Insurance Straight -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.76
Evaluated at bid price : 24.25
Bid-YTW : 5.48 %
CM.PR.Y FixedReset Prem -2.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.99 %
BAM.PR.T FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.79 %
GWO.PR.Y Insurance Straight -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.38 %
SLF.PR.H FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 5.24 %
BMO.PR.S FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 5.33 %
BAM.PR.N Perpetual-Discount -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.72 %
FTS.PR.M FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.83 %
PWF.PR.R Perpetual-Premium -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 5.66 %
CM.PR.S FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.83
Evaluated at bid price : 23.44
Bid-YTW : 5.20 %
CU.PR.H Perpetual-Premium -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 24.03
Evaluated at bid price : 24.37
Bid-YTW : 5.44 %
BAM.PR.M Perpetual-Discount -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.62 %
IFC.PR.C FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.53 %
BAM.PR.R FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.93 %
TD.PF.C FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.37 %
RY.PR.M FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.41 %
BAM.PF.D Perpetual-Discount -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.34
Evaluated at bid price : 21.61
Bid-YTW : 5.70 %
TD.PF.B FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.39 %
RY.PR.N Perpetual-Premium -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.73
Evaluated at bid price : 24.25
Bid-YTW : 5.09 %
RY.PR.O Perpetual-Premium -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.73
Evaluated at bid price : 24.25
Bid-YTW : 5.09 %
GWO.PR.I Insurance Straight -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.41 %
TRP.PR.G FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.74 %
CM.PR.O FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.42 %
BAM.PF.F FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.54
Evaluated at bid price : 21.93
Bid-YTW : 5.88 %
TD.PF.A FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.35 %
PWF.PR.F Perpetual-Premium -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.47 %
CU.PR.E Perpetual-Discount -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.44 %
TRP.PR.F FloatingReset -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 3.71 %
PWF.PR.K Perpetual-Discount -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.31
Evaluated at bid price : 22.58
Bid-YTW : 5.48 %
TRP.PR.B FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 6.40 %
CM.PR.P FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 5.29 %
TD.PF.J FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.30
Evaluated at bid price : 23.83
Bid-YTW : 5.38 %
NA.PR.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.00
Evaluated at bid price : 23.53
Bid-YTW : 5.31 %
BMO.PR.F FixedReset Prem -2.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.22 %
BMO.PR.E FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.68
Evaluated at bid price : 24.06
Bid-YTW : 5.38 %
NA.PR.G FixedReset Prem -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.66
Evaluated at bid price : 24.04
Bid-YTW : 5.40 %
POW.PR.B Perpetual-Premium -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.59 %
CU.PR.J Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.78
Evaluated at bid price : 22.10
Bid-YTW : 5.43 %
TD.PF.K FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.18
Evaluated at bid price : 23.60
Bid-YTW : 5.32 %
NA.PR.S FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.10
Evaluated at bid price : 22.35
Bid-YTW : 5.32 %
MFC.PR.L FixedReset Ins Non -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.54 %
CM.PR.T FixedReset Prem -1.88 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.97 %
SLF.PR.G FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.54 %
CM.PR.Q FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.15
Evaluated at bid price : 22.60
Bid-YTW : 5.34 %
POW.PR.G Perpetual-Premium -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 5.68 %
MFC.PR.I FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.82
Evaluated at bid price : 24.54
Bid-YTW : 5.43 %
BIP.PR.A FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 5.96 %
BAM.PF.J FixedReset Prem -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 24.19
Evaluated at bid price : 24.70
Bid-YTW : 5.63 %
PWF.PR.P FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 5.71 %
BAM.PR.E Ratchet -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 25.00
Evaluated at bid price : 18.89
Bid-YTW : 3.97 %
TD.PF.L FixedReset Prem -1.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.06 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 5.46 %
IFC.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.55
Evaluated at bid price : 23.01
Bid-YTW : 5.46 %
MFC.PR.C Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.36 %
ELF.PR.F Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.60 %
SLF.PR.D Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.31 %
CU.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 5.45 %
MFC.PR.B Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.46 %
IAF.PR.G FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.67
Evaluated at bid price : 24.60
Bid-YTW : 5.40 %
BAM.PR.C Floater -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 3.43 %
CU.PR.D Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 5.49 %
CU.PR.F Perpetual-Discount 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.25 %
GWO.PR.Q Insurance Straight 11.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 151,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.75 %
TRP.PR.K FixedReset Prem 120,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.60 %
EMA.PR.L Perpetual-Discount 38,166 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.45 %
TD.PF.C FixedReset Disc 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.37 %
TRP.PR.E FixedReset Disc 30,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 6.24 %
SLF.PR.G FixedReset Ins Non 28,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.54 %
There were 60 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PF.A Perpetual-Discount Quote: 15.00 – 22.54
Spot Rate : 7.5400
Average : 4.1437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.53 %
BAM.PF.B FixedReset Disc Quote: 21.31 – 23.95
Spot Rate : 2.6400
Average : 1.6686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.94 %
IFC.PR.G FixedReset Ins Non Quote: 23.01 – 24.80
Spot Rate : 1.7900
Average : 1.1106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.55
Evaluated at bid price : 23.01
Bid-YTW : 5.46 %
BNS.PR.I FixedReset Disc Quote: 23.00 – 24.50
Spot Rate : 1.5000
Average : 0.8427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 5.31 %
BAM.PR.K Floater Quote: 13.92 – 15.50
Spot Rate : 1.5800
Average : 0.9610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 3.41 %
RY.PR.J FixedReset Disc Quote: 22.29 – 23.90
Spot Rate : 1.6100
Average : 1.0150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-07
Maturity Price : 21.95
Evaluated at bid price : 22.29
Bid-YTW : 5.48 %
Market Action

April 6, 2022

PerpetualDiscounts now yield 5.36%, equivalent to 6.97% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.24%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to 275bp from the 230bp reported March 30.

I’m not quite sure what to make of today’s collapse – volume was still fairly low and there were quite a few ‘disappearing bids’ in the not-very-good data supplied at great expense by the Toronto Exchange. While the yields of PerpetualDiscounts have unquestionably increased from the 5.19% recorded March 30, spreads on issues included in the PerpetualDiscount index that might be the ‘median’ issue used for measurement are in the 20bp range, mostly, so this week’s data point is not exactly of the most reliable quality.

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 3.32 % 3.88 % 26,574 19.47 1 -0.8781 % 2,733.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4000 % 5,209.0
Floater 3.30 % 3.37 % 41,132 18.85 4 -0.4000 % 3,002.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0199 % 3,624.2
SplitShare 4.63 % 4.46 % 52,022 3.52 6 0.0199 % 4,328.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0199 % 3,376.9
Perpetual-Premium 5.41 % 1.75 % 56,258 0.08 16 -0.4485 % 3,155.6
Perpetual-Discount 5.31 % 5.36 % 72,159 14.78 18 -1.7413 % 3,493.0
FixedReset Disc 4.27 % 5.30 % 127,409 15.16 49 -1.1190 % 2,690.7
Insurance Straight 5.37 % 5.30 % 87,836 14.91 20 -1.5752 % 3,341.2
FloatingReset 3.30 % 3.62 % 48,399 18.28 2 -0.5722 % 2,820.5
FixedReset Prem 4.82 % 4.12 % 138,296 1.96 19 -0.0434 % 2,678.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.1190 % 2,750.5
FixedReset Ins Non 4.30 % 5.35 % 84,255 15.06 15 -0.7231 % 2,793.1
Performance Highlights
Issue Index Change Notes
GWO.PR.Q Insurance Straight -14.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.15 %
CU.PR.D Perpetual-Discount -8.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.63 %
CU.PR.F Perpetual-Discount -5.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.43 %
TRP.PR.E FixedReset Disc -4.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.02 %
TD.PF.E FixedReset Disc -4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.06
Evaluated at bid price : 22.50
Bid-YTW : 5.47 %
GWO.PR.T Insurance Straight -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.28
Evaluated at bid price : 23.75
Bid-YTW : 5.44 %
IAF.PR.B Insurance Straight -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.25 %
FTS.PR.M FixedReset Disc -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.66 %
SLF.PR.G FixedReset Ins Non -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.44 %
BAM.PR.M Perpetual-Discount -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.45 %
BAM.PR.N Perpetual-Discount -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.29
Evaluated at bid price : 21.56
Bid-YTW : 5.53 %
RY.PR.H FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 5.32 %
TRP.PR.D FixedReset Disc -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 5.97 %
NA.PR.W FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.32 %
BAM.PF.C Perpetual-Discount -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.51 %
BAM.PF.D Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.94
Evaluated at bid price : 22.20
Bid-YTW : 5.55 %
BMO.PR.W FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.28 %
MFC.PR.K FixedReset Ins Non -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.51
Evaluated at bid price : 21.87
Bid-YTW : 5.37 %
NA.PR.S FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.50
Evaluated at bid price : 22.80
Bid-YTW : 5.21 %
BMO.PR.Y FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.40
Evaluated at bid price : 23.00
Bid-YTW : 5.21 %
MFC.PR.C Insurance Straight -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.28 %
RY.PR.M FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.92
Evaluated at bid price : 22.30
Bid-YTW : 5.26 %
CU.PR.C FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.12
Evaluated at bid price : 22.75
Bid-YTW : 5.38 %
CU.PR.J Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 5.31 %
PWF.PR.T FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 5.25 %
TRP.PR.G FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.94
Evaluated at bid price : 22.33
Bid-YTW : 5.60 %
TRP.PR.B FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 6.25 %
IFC.PR.A FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.41 %
SLF.PR.D Insurance Straight -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 5.25 %
SLF.PR.E Insurance Straight -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.30 %
FTS.PR.K FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.53 %
FTS.PR.H FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.58 %
FTS.PR.G FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.43 %
CM.PR.O FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.26 %
GWO.PR.H Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.35 %
TD.PF.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.63
Evaluated at bid price : 22.06
Bid-YTW : 5.20 %
POW.PR.D Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 5.28 %
SLF.PR.C Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.27 %
GWO.PR.I Insurance Straight -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.27 %
GWO.PR.Y Insurance Straight -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.20 %
POW.PR.B Perpetual-Premium -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.47 %
CM.PR.Q FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.40
Evaluated at bid price : 23.00
Bid-YTW : 5.24 %
SLF.PR.J FloatingReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.00 %
GWO.PR.G Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 5.44 %
IFC.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.84
Evaluated at bid price : 23.33
Bid-YTW : 5.38 %
BIP.PR.F FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.56
Evaluated at bid price : 24.76
Bid-YTW : 5.39 %
BMO.PR.F FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.12 %
BAM.PR.C Floater -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.39 %
PWF.PR.K Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 5.36 %
IFC.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 5.37 %
GWO.PR.R Insurance Straight -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 5.29 %
FTS.PR.F Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.15 %
POW.PR.A Perpetual-Premium -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-06
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.95 %
MFC.PR.N FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.46 %
TRP.PR.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 6.08 %
IFC.PR.E Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.98
Evaluated at bid price : 24.27
Bid-YTW : 5.38 %
RY.PR.J FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 5.30 %
BAM.PF.B FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 5.69 %
BMO.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 5.20 %
TD.PF.B FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.70
Evaluated at bid price : 22.16
Bid-YTW : 5.23 %
BIP.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.38 %
EMA.PR.L Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 5.38 %
RY.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.48
Evaluated at bid price : 24.65
Bid-YTW : 4.91 %
TRP.PR.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.02 %
CU.PR.I FixedReset Prem 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.17 %
BAM.PR.R FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.77 %
BAM.PF.I FixedReset Prem 2.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 4.02 %
PWF.PR.S Perpetual-Discount 5.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.25 %
TD.PF.D FixedReset Disc 7.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.52
Evaluated at bid price : 23.20
Bid-YTW : 5.25 %
MFC.PR.B Insurance Straight 12.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.47
Evaluated at bid price : 21.73
Bid-YTW : 5.39 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 272,854 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.28 %
FTS.PR.F Perpetual-Discount 55,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.15 %
TD.PF.K FixedReset Disc 30,714 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 24.03
Evaluated at bid price : 24.38
Bid-YTW : 5.23 %
RY.PR.S FixedReset Disc 30,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 23.48
Evaluated at bid price : 24.65
Bid-YTW : 4.91 %
PWF.PR.E Perpetual-Premium 30,323 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-06
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 1.27 %
BAM.PF.F FixedReset Disc 26,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.74 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Insurance Straight Quote: 21.12 – 24.76
Spot Rate : 3.6400
Average : 1.9798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.15 %
TD.PF.E FixedReset Disc Quote: 22.50 – 24.25
Spot Rate : 1.7500
Average : 1.1427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 22.06
Evaluated at bid price : 22.50
Bid-YTW : 5.47 %
CU.PR.D Perpetual-Discount Quote: 22.00 – 23.99
Spot Rate : 1.9900
Average : 1.3849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.63 %
CU.PR.F Perpetual-Discount Quote: 21.00 – 22.25
Spot Rate : 1.2500
Average : 0.7088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.43 %
RY.PR.M FixedReset Disc Quote: 22.30 – 23.60
Spot Rate : 1.3000
Average : 0.8041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.92
Evaluated at bid price : 22.30
Bid-YTW : 5.26 %
MFC.PR.C Insurance Straight Quote: 21.50 – 22.49
Spot Rate : 0.9900
Average : 0.6276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.28 %
Market Action

April 5, 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 3.28 % 3.83 % 25,710 19.53 1 -1.9747 % 2,757.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5018 % 5,229.9
Floater 3.29 % 3.34 % 41,496 18.92 4 -0.5018 % 3,014.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,623.4
SplitShare 4.63 % 4.49 % 53,859 3.52 6 0.0000 % 4,327.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,376.2
Perpetual-Premium 5.39 % -4.16 % 53,950 0.09 16 -0.1806 % 3,169.8
Perpetual-Discount 5.22 % 5.26 % 70,487 15.00 18 -0.4579 % 3,554.9
FixedReset Disc 4.22 % 5.21 % 126,562 15.29 49 -0.7420 % 2,721.2
Insurance Straight 5.28 % 5.21 % 82,752 15.10 20 -1.0343 % 3,394.6
FloatingReset 3.28 % 3.63 % 45,998 18.26 2 -0.3137 % 2,836.7
FixedReset Prem 4.81 % 4.10 % 140,098 1.94 19 -0.2332 % 2,679.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7420 % 2,781.6
FixedReset Ins Non 4.27 % 5.25 % 81,010 15.10 15 -1.3715 % 2,813.4
Performance Highlights
Issue Index Change Notes
MFC.PR.B Insurance Straight -14.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.07 %
TD.PF.D FixedReset Disc -9.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 5.67 %
PWF.PR.S Perpetual-Discount -6.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.55 %
MFC.PR.M FixedReset Ins Non -4.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.55 %
MFC.PR.L FixedReset Ins Non -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.43 %
CU.PR.G Perpetual-Discount -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.30 %
BAM.PF.F FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.20
Evaluated at bid price : 22.54
Bid-YTW : 5.73 %
CU.PR.I FixedReset Prem -2.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.65 %
MFC.PR.K FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.90
Evaluated at bid price : 22.45
Bid-YTW : 5.21 %
MFC.PR.N FixedReset Ins Non -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.39 %
EMA.PR.L Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.56
Evaluated at bid price : 21.87
Bid-YTW : 5.32 %
NA.PR.W FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.88
Evaluated at bid price : 22.15
Bid-YTW : 5.15 %
TRP.PR.A FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 6.09 %
SLF.PR.C Insurance Straight -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 5.17 %
BAM.PR.E Ratchet -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 25.00
Evaluated at bid price : 19.36
Bid-YTW : 3.83 %
BAM.PF.E FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.85 %
ELF.PR.F Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 5.51 %
GWO.PR.G Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.36 %
SLF.PR.E Insurance Straight -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 5.17 %
IFC.PR.A FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.30 %
TRP.PR.C FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.02 %
PVS.PR.F SplitShare -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.26 %
RY.PR.S FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.37
Evaluated at bid price : 24.40
Bid-YTW : 4.97 %
BAM.PF.G FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.79
Evaluated at bid price : 22.08
Bid-YTW : 5.60 %
BAM.PF.B FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.11
Evaluated at bid price : 22.40
Bid-YTW : 5.63 %
BAM.PR.R FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.86 %
MFC.PR.C Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.13 %
IFC.PR.G FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.17
Evaluated at bid price : 23.66
Bid-YTW : 5.31 %
IFC.PR.E Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 24.26
Evaluated at bid price : 24.55
Bid-YTW : 5.32 %
RY.PR.J FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.58
Evaluated at bid price : 23.26
Bid-YTW : 5.24 %
MFC.PR.Q FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.68
Evaluated at bid price : 24.15
Bid-YTW : 5.20 %
MFC.PR.J FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.64
Evaluated at bid price : 24.18
Bid-YTW : 5.25 %
CM.PR.Q FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.60
Evaluated at bid price : 23.35
Bid-YTW : 5.15 %
BMO.PR.W FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.07
Evaluated at bid price : 22.38
Bid-YTW : 5.14 %
CU.PR.H Perpetual-Premium -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.30 %
TD.PF.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.00
Evaluated at bid price : 22.31
Bid-YTW : 5.19 %
FTS.PR.M FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.97
Evaluated at bid price : 22.25
Bid-YTW : 5.43 %
TD.PF.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.68
Evaluated at bid price : 23.55
Bid-YTW : 5.21 %
SLF.PR.D Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.51
Evaluated at bid price : 21.77
Bid-YTW : 5.13 %
RY.PR.Z FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 22.26
Evaluated at bid price : 22.57
Bid-YTW : 5.10 %
BMO.PR.E FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.55
Evaluated at bid price : 24.65
Bid-YTW : 5.20 %
BIP.PR.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.03 %
PWF.PR.T FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.18
Evaluated at bid price : 23.55
Bid-YTW : 5.12 %
PWF.PR.P FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.63 %
TRP.PR.E FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.73 %
GWO.PR.Y Insurance Straight 4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.75
Evaluated at bid price : 22.05
Bid-YTW : 5.12 %
CU.PR.D Perpetual-Discount 9.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Prem 264,379 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.92 %
MFC.PR.J FixedReset Ins Non 112,205 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 23.64
Evaluated at bid price : 24.18
Bid-YTW : 5.25 %
MFC.PR.B Insurance Straight 56,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.07 %
IAF.PR.G FixedReset Ins Non 46,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 24.04
Evaluated at bid price : 24.85
Bid-YTW : 5.35 %
TRP.PR.K FixedReset Prem 32,192 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.24 %
CU.PR.I FixedReset Prem 30,260 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.65 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.B Insurance Straight Quote: 19.35 – 22.45
Spot Rate : 3.1000
Average : 1.7023

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.07 %
TD.PF.D FixedReset Disc Quote: 21.56 – 24.00
Spot Rate : 2.4400
Average : 1.3668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 5.67 %
PWF.PR.S Perpetual-Discount Quote: 22.00 – 23.89
Spot Rate : 1.8900
Average : 1.1454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.55 %
BIP.PR.A FixedReset Disc Quote: 24.25 – 25.80
Spot Rate : 1.5500
Average : 1.0214

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.03 %
MFC.PR.L FixedReset Ins Non Quote: 21.03 – 22.20
Spot Rate : 1.1700
Average : 0.7233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.43 %
CU.PR.G Perpetual-Discount Quote: 21.50 – 22.50
Spot Rate : 1.0000
Average : 0.6112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-05
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.30 %
Market Action

April 4, 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 3.21 % 3.72 % 25,763 19.67 1 0.0000 % 2,813.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0173 % 5,256.3
Floater 3.27 % 3.34 % 43,209 18.92 4 -0.0173 % 3,029.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1389 % 3,623.4
SplitShare 4.63 % 4.57 % 55,981 3.53 6 -0.1389 % 4,327.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1389 % 3,376.2
Perpetual-Premium 5.38 % -7.58 % 54,019 0.08 16 -0.1161 % 3,175.5
Perpetual-Discount 5.20 % 5.25 % 70,952 15.07 18 -0.6573 % 3,571.2
FixedReset Disc 4.19 % 5.19 % 127,209 15.10 49 -0.2148 % 2,741.5
Insurance Straight 5.23 % 5.18 % 82,831 15.10 20 -0.3247 % 3,430.1
FloatingReset 3.27 % 3.63 % 45,276 18.27 2 0.3722 % 2,845.7
FixedReset Prem 4.80 % 3.97 % 142,116 1.66 19 -0.4008 % 2,686.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2148 % 2,802.4
FixedReset Ins Non 4.21 % 5.20 % 80,805 15.28 15 -0.5516 % 2,852.5
Performance Highlights
Issue Index Change Notes
GWO.PR.Y Insurance Straight -7.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.39 %
CU.PR.D Perpetual-Discount -5.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.63 %
IFC.PR.C FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 21.80
Evaluated at bid price : 22.20
Bid-YTW : 5.31 %
TRP.PR.E FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.88 %
CU.PR.E Perpetual-Discount -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %
SLF.PR.H FixedReset Ins Non -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.08 %
BAM.PR.R FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.77 %
PWF.PR.L Perpetual-Discount -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.38 %
MFC.PR.M FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 22.00
Evaluated at bid price : 22.30
Bid-YTW : 5.27 %
SLF.PR.G FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.25 %
BIP.PR.F FixedReset Prem -1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.13 %
IFC.PR.G FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 23.55
Evaluated at bid price : 24.02
Bid-YTW : 5.23 %
PWF.PR.Z Perpetual-Premium -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.33 %
BAM.PF.B FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 22.44
Evaluated at bid price : 22.76
Bid-YTW : 5.54 %
BAM.PF.I FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 4.32 %
FTS.PR.K FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.38 %
NA.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 23.14
Evaluated at bid price : 23.46
Bid-YTW : 5.06 %
MFC.PR.B Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 22.48
Evaluated at bid price : 22.74
Bid-YTW : 5.14 %
BAM.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 251,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 5.09 %
FTS.PR.K FixedReset Disc 81,502 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.38 %
TD.PF.M FixedReset Prem 48,516 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.97 %
MFC.PR.Q FixedReset Ins Non 45,965 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 24.09
Evaluated at bid price : 24.50
Bid-YTW : 5.12 %
TD.PF.E FixedReset Disc 26,290 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 4.92 %
BMO.PR.Y FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 4.71 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.D Perpetual-Discount Quote: 22.00 – 24.28
Spot Rate : 2.2800
Average : 1.5016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.63 %
GWO.PR.Y Insurance Straight Quote: 21.01 – 23.00
Spot Rate : 1.9900
Average : 1.2453

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.39 %
IFC.PR.C FixedReset Disc Quote: 22.20 – 23.20
Spot Rate : 1.0000
Average : 0.5875

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 21.80
Evaluated at bid price : 22.20
Bid-YTW : 5.31 %
PWF.PR.L Perpetual-Discount Quote: 24.10 – 24.89
Spot Rate : 0.7900
Average : 0.4681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.38 %
MFC.PR.M FixedReset Ins Non Quote: 22.30 – 23.13
Spot Rate : 0.8300
Average : 0.5525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 22.00
Evaluated at bid price : 22.30
Bid-YTW : 5.27 %
BAM.PR.R FixedReset Disc Quote: 19.15 – 19.79
Spot Rate : 0.6400
Average : 0.4358

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-04
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.77 %
Market Action

April 1, 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 3.21 % 3.72 % 25,803 19.68 1 0.5089 % 2,813.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2585 % 5,257.2
Floater 3.34 % 3.34 % 60,640 18.88 3 -0.2585 % 3,029.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.4408 % 3,628.5
SplitShare 4.69 % 4.14 % 34,165 3.41 8 0.4408 % 4,333.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4408 % 3,380.9
Perpetual-Premium 5.36 % -4.39 % 65,351 0.09 17 -0.1726 % 3,179.2
Perpetual-Discount 5.14 % 5.18 % 71,317 15.21 16 -0.0054 % 3,594.9
FixedReset Disc 4.12 % 5.18 % 122,328 15.14 45 -0.0643 % 2,747.4
Insurance Straight 5.21 % 5.14 % 92,057 15.13 18 -0.4007 % 3,441.3
FloatingReset 3.14 % 3.49 % 46,776 18.52 2 -0.7670 % 2,835.1
FixedReset Prem 4.79 % 3.90 % 148,751 2.03 23 -0.0256 % 2,696.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0643 % 2,808.4
FixedReset Ins Non 4.18 % 5.12 % 82,066 15.38 15 -0.4226 % 2,868.4
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -5.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.71 %
PWF.PR.T FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.69
Evaluated at bid price : 23.05
Bid-YTW : 5.20 %
BAM.PR.T FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.59 %
IFC.PR.A FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.12 %
MFC.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 21.54
Evaluated at bid price : 21.93
Bid-YTW : 5.22 %
MFC.PR.B Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.19 %
CU.PR.C FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.43
Evaluated at bid price : 23.30
Bid-YTW : 5.20 %
MFC.PR.C Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.07 %
BAM.PR.X FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.80 %
SLF.PR.D Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.07 %
CM.PR.P FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.10 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 24.02
Evaluated at bid price : 24.50
Bid-YTW : 5.15 %
MFC.PR.F FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 5.16 %
TRP.PR.F FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 3.49 %
GWO.PR.Y Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.31
Evaluated at bid price : 22.60
Bid-YTW : 4.99 %
FTS.PR.K FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 5.40 %
TRP.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 5.50 %
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 : 25.60
Bid-YTW : 4.14 %
TRP.PR.C FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.92 %
FTS.PR.M FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 5.32 %
PVS.PR.J SplitShare 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.84 %
CU.PR.E Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.14 %
TRP.PR.D FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 130,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 5.06 %
CM.PR.Y FixedReset Prem 77,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.56 %
TRP.PR.K FixedReset Prem 63,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.34 %
TD.PF.E FixedReset Disc 56,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 4.91 %
CM.PR.Q FixedReset Disc 43,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 4.79 %
IFC.PR.K Perpetual-Premium 23,670 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.09 %
There were 12 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: 15.75 – 17.00
Spot Rate : 1.2500
Average : 0.9289

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.71 %
PVS.PR.I SplitShare Quote: 25.60 – 26.60
Spot Rate : 1.0000
Average : 0.6946

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.14 %
PWF.PR.T FixedReset Disc Quote: 23.05 – 23.99
Spot Rate : 0.9400
Average : 0.6835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.69
Evaluated at bid price : 23.05
Bid-YTW : 5.20 %
IFC.PR.A FixedReset Ins Non Quote: 20.30 – 21.24
Spot Rate : 0.9400
Average : 0.6972

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.12 %
BAM.PR.T FixedReset Disc Quote: 20.18 – 21.00
Spot Rate : 0.8200
Average : 0.5815

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.59 %
ELF.PR.G Perpetual-Discount Quote: 23.20 – 23.80
Spot Rate : 0.6000
Average : 0.3757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-01
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.12 %
Market Action

March 31, 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 3.22 % 3.74 % 25,763 19.67 1 0.0000 % 2,799.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4485 % 5,270.8
Floater 3.33 % 3.33 % 62,855 18.91 3 0.4485 % 3,037.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5909 % 3,612.6
SplitShare 4.71 % 4.55 % 32,074 3.41 8 -0.5909 % 4,314.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5909 % 3,366.1
Perpetual-Premium 5.35 % -6.54 % 62,947 0.09 17 0.2689 % 3,184.7
Perpetual-Discount 5.14 % 5.15 % 70,621 15.17 16 -0.0349 % 3,595.1
FixedReset Disc 4.17 % 5.12 % 121,629 15.15 46 0.3196 % 2,749.2
Insurance Straight 5.19 % 5.06 % 93,353 15.14 18 -0.0936 % 3,455.1
FloatingReset 3.12 % 3.46 % 46,623 18.61 2 0.1993 % 2,857.0
FixedReset Prem 4.79 % 3.85 % 149,544 2.03 23 0.0990 % 2,697.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3196 % 2,810.2
FixedReset Ins Non 4.17 % 5.11 % 82,651 15.40 15 0.8063 % 2,880.5
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -4.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.28 %
TRP.PR.C FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.99 %
SLF.PR.C Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.06 %
SLF.PR.E Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 5.07 %
BAM.PR.R FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.65 %
TRP.PR.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.13 %
TD.PF.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 5.06 %
GWO.PR.T Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.91 %
PWF.PR.Z Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.22 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.01 %
CU.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.61
Evaluated at bid price : 23.65
Bid-YTW : 5.11 %
MFC.PR.K FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.89
Evaluated at bid price : 23.32
Bid-YTW : 4.99 %
RY.PR.Z FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.69
Evaluated at bid price : 23.00
Bid-YTW : 4.97 %
SLF.PR.H FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.94 %
CU.PR.J Perpetual-Premium 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.13 %
TRP.PR.E FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.71 %
PWF.PR.T FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 23.29
Evaluated at bid price : 23.65
Bid-YTW : 5.08 %
IFC.PR.A FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.Y Insurance Straight 225,918 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.04 %
NA.PR.C FixedReset Prem 144,897 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.42 %
TRP.PR.B FixedReset Disc 122,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.13 %
TRP.PR.A FixedReset Disc 117,396 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.93 %
CM.PR.R FixedReset Prem 100,166 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.05 %
TD.PF.C FixedReset Disc 85,548 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.24
Evaluated at bid price : 22.66
Bid-YTW : 5.08 %
There were 48 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: 14.18 – 15.50
Spot Rate : 1.3200
Average : 0.8219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 3.33 %
PVS.PR.G SplitShare Quote: 25.30 – 26.30
Spot Rate : 1.0000
Average : 0.6042

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.68 %
PVS.PR.J SplitShare Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.6155

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.28 %
CU.PR.J Perpetual-Premium Quote: 23.30 – 24.50
Spot Rate : 1.2000
Average : 0.8309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.13 %
PVS.PR.F SplitShare Quote: 25.90 – 26.97
Spot Rate : 1.0700
Average : 0.7507

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : 2.14 %
BAM.PF.G FixedReset Disc Quote: 22.41 – 23.50
Spot Rate : 1.0900
Average : 0.7968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.03
Evaluated at bid price : 22.41
Bid-YTW : 5.47 %
Market Action

March 30, 2022

PerpetualDiscounts now yield 5.19%, equivalent to 6.75% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.45%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 230bp from the 250bp reported March 23.

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 3.22 % 3.73 % 26,699 19.68 1 1.2887 % 2,799.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2841 % 5,247.3
Floater 3.35 % 3.35 % 61,934 18.87 3 0.2841 % 3,024.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2701 % 3,634.0
SplitShare 4.68 % 4.45 % 29,711 3.42 8 -0.2701 % 4,339.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2701 % 3,386.1
Perpetual-Premium 5.36 % -1.08 % 61,677 0.09 17 -0.1191 % 3,176.2
Perpetual-Discount 5.14 % 5.19 % 69,305 15.12 16 -0.0940 % 3,596.3
FixedReset Disc 4.14 % 5.18 % 116,947 15.11 46 0.5169 % 2,740.4
Insurance Straight 5.19 % 5.08 % 89,221 15.17 18 -0.0164 % 3,458.4
FloatingReset 3.12 % 3.45 % 44,834 18.62 2 0.1140 % 2,851.3
FixedReset Prem 4.77 % 3.77 % 145,640 1.98 23 0.3031 % 2,694.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5169 % 2,801.3
FixedReset Ins Non 4.20 % 5.16 % 77,887 15.32 15 0.3695 % 2,857.5
Performance Highlights
Issue Index Change Notes
EMA.PR.L Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.07
Evaluated at bid price : 22.38
Bid-YTW : 5.19 %
PWF.PR.T FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.23 %
CU.PR.E Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.23 %
PWF.PR.Z Perpetual-Premium -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 24.41
Evaluated at bid price : 24.70
Bid-YTW : 5.29 %
RY.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.32
Evaluated at bid price : 22.71
Bid-YTW : 5.05 %
TRP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.01 %
BAM.PF.H FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 3.70 %
TRP.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.84 %
TRP.PR.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.83 %
RS.PR.A SplitShare 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.45
Bid-YTW : 3.91 %
TRP.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.01
Evaluated at bid price : 22.43
Bid-YTW : 5.54 %
BAM.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.81 %
BAM.PF.B FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.40
Evaluated at bid price : 22.71
Bid-YTW : 5.52 %
FTS.PR.H FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.38 %
TD.PF.J FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 24.56
Evaluated at bid price : 24.90
Bid-YTW : 5.20 %
PWF.PR.P FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.47 %
BAM.PR.E Ratchet 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 3.73 %
IFC.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 5.08 %
BAM.PF.G FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.06
Evaluated at bid price : 22.45
Bid-YTW : 5.46 %
MFC.PR.F FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.11 %
BAM.PR.Z FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.94
Evaluated at bid price : 24.50
Bid-YTW : 5.49 %
SLF.PR.G FixedReset Ins Non 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.16 %
BAM.PF.F FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.44
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
TRP.PR.C FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.88 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 147,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.21
Evaluated at bid price : 22.54
Bid-YTW : 5.13 %
CM.PR.S FixedReset Disc 108,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.66
Evaluated at bid price : 24.23
Bid-YTW : 5.00 %
PVS.PR.I SplitShare 50,347 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.85 %
BMO.PR.C FixedReset Prem 48,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.50 %
GWO.PR.Y Insurance Straight 39,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.01 %
TD.PF.A FixedReset Disc 39,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.17
Evaluated at bid price : 22.52
Bid-YTW : 5.08 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 22.95 – 23.95
Spot Rate : 1.0000
Average : 0.7444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.23 %
RY.PR.J FixedReset Disc Quote: 23.55 – 24.15
Spot Rate : 0.6000
Average : 0.3819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.73
Evaluated at bid price : 23.55
Bid-YTW : 5.13 %
CU.PR.E Perpetual-Discount Quote: 23.63 – 24.50
Spot Rate : 0.8700
Average : 0.6965

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.23 %
TD.PF.C FixedReset Disc Quote: 22.65 – 23.25
Spot Rate : 0.6000
Average : 0.4438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.23
Evaluated at bid price : 22.65
Bid-YTW : 5.08 %
MFC.PR.K FixedReset Ins Non Quote: 23.01 – 23.68
Spot Rate : 0.6700
Average : 0.5262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 5.06 %
BMO.PR.W FixedReset Disc Quote: 22.55 – 22.99
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 5.07 %
Market Action

March 29, 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 3.26 % 3.81 % 27,022 19.55 1 -1.8219 % 2,763.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0237 % 5,232.4
Floater 3.36 % 3.35 % 62,499 18.86 3 -0.0237 % 3,015.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,643.9
SplitShare 4.67 % 4.44 % 29,807 3.37 8 0.4836 % 4,351.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,395.3
Perpetual-Premium 5.36 % -3.63 % 61,873 0.09 17 0.2083 % 3,179.9
Perpetual-Discount 5.13 % 5.17 % 69,478 15.17 16 0.2503 % 3,599.7
FixedReset Disc 4.16 % 5.17 % 118,163 15.12 46 0.8037 % 2,726.3
Insurance Straight 5.18 % 5.05 % 90,577 15.19 18 -0.2545 % 3,458.9
FloatingReset 3.13 % 3.43 % 42,609 18.67 2 -0.5667 % 2,848.1
FixedReset Prem 4.78 % 4.05 % 148,367 1.99 23 0.2421 % 2,686.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8037 % 2,786.9
FixedReset Ins Non 4.22 % 5.18 % 77,318 15.34 15 0.0733 % 2,847.0
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.01 %
SLF.PR.C Insurance Straight -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
BAM.PR.E Ratchet -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 3.81 %
SLF.PR.G FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.26 %
SLF.PR.J FloatingReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 2.81 %
SLF.PR.D Insurance Straight -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
EMA.PR.L Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.09 %
PWF.PF.A Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.21
Evaluated at bid price : 22.52
Bid-YTW : 5.06 %
TRP.PR.D FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.92 %
BAM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.72 %
TRP.PR.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
BMO.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.85 %
BMO.PR.W FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.16
Evaluated at bid price : 22.51
Bid-YTW : 5.08 %
NA.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.23
Evaluated at bid price : 23.55
Bid-YTW : 5.08 %
BIP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.72
Evaluated at bid price : 23.55
Bid-YTW : 5.94 %
BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.97 %
RY.PR.M FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.29
Evaluated at bid price : 22.86
Bid-YTW : 5.09 %
CU.PR.E Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.17 %
BAM.PF.E FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.70 %
TD.PF.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 5.12 %
FTS.PR.K FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.42 %
TD.PF.D FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.10 %
PVS.PR.F SplitShare 2.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %
CU.PR.J Perpetual-Premium 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.70
Evaluated at bid price : 23.05
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.81
Evaluated at bid price : 22.15
Bid-YTW : 5.61 %
PWF.PR.P FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.55 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.Z FixedReset Disc 384,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 5.60 %
TD.PF.C FixedReset Disc 202,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.20
Evaluated at bid price : 22.60
Bid-YTW : 5.10 %
TRP.PR.B FixedReset Disc 109,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 6.21 %
TRP.PR.A FixedReset Disc 94,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
IFC.PR.K Perpetual-Premium 86,315 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.20 %
PVS.PR.K SplitShare 84,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.50 %
There were 32 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: 20.85 – 23.50
Spot Rate : 2.6500
Average : 1.8497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.06 %
BAM.PF.G FixedReset Disc Quote: 22.05 – 23.20
Spot Rate : 1.1500
Average : 0.7771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.57 %
TRP.PR.A FixedReset Disc Quote: 17.70 – 18.50
Spot Rate : 0.8000
Average : 0.5014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
PVS.PR.F SplitShare Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7302

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %
BAM.PF.F FixedReset Disc Quote: 22.42 – 23.14
Spot Rate : 0.7200
Average : 0.5208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.11
Evaluated at bid price : 22.42
Bid-YTW : 5.72 %
IFC.PR.C FixedReset Disc Quote: 22.63 – 23.30
Spot Rate : 0.6700
Average : 0.4752

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.08
Evaluated at bid price : 22.63
Bid-YTW : 5.17 %
Market Action

March 28, 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 3.19 % 3.71 % 27,022 19.67 1 0.0000 % 2,814.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4756 % 5,233.6
Floater 3.36 % 3.35 % 63,209 18.88 3 0.4756 % 3,016.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,626.3
SplitShare 4.69 % 4.46 % 29,953 3.37 8 -0.0592 % 4,330.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,378.9
Perpetual-Premium 5.37 % -3.81 % 59,489 0.09 17 -0.5401 % 3,173.3
Perpetual-Discount 5.15 % 5.22 % 68,693 15.11 16 -0.8538 % 3,590.7
FixedReset Disc 4.19 % 5.22 % 116,934 15.19 46 0.3482 % 2,704.6
Insurance Straight 5.17 % 5.05 % 90,139 15.19 18 -0.5734 % 3,467.8
FloatingReset 3.11 % 3.45 % 42,961 18.63 2 -0.3670 % 2,864.3
FixedReset Prem 4.79 % 4.23 % 145,445 2.04 23 -0.2671 % 2,680.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3482 % 2,764.7
FixedReset Ins Non 4.22 % 5.18 % 77,555 15.28 15 -0.6377 % 2,844.9
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Premium -4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
CU.PR.E Perpetual-Discount -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.25 %
MFC.PR.C Insurance Straight -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.46
Evaluated at bid price : 23.15
Bid-YTW : 5.31 %
BAM.PF.F FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.98
Evaluated at bid price : 22.25
Bid-YTW : 5.76 %
TD.PF.D FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.49
Evaluated at bid price : 23.16
Bid-YTW : 5.26 %
SLF.PR.C Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.56
Evaluated at bid price : 22.82
Bid-YTW : 4.88 %
FTS.PR.M FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.50 %
BMO.PR.Y FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.54
Evaluated at bid price : 23.26
Bid-YTW : 5.11 %
MFC.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 5.22 %
SLF.PR.G FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.17 %
EMA.PR.L Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.73
Evaluated at bid price : 23.10
Bid-YTW : 5.02 %
MFC.PR.K FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.31
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
MFC.PR.B Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 5.05 %
MFC.PR.M FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.03
Evaluated at bid price : 22.35
Bid-YTW : 5.22 %
FTS.PR.K FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.54 %
MFC.PR.L FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.20 %
TRP.PR.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.05 %
BAM.PF.C Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.31 %
FTS.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.47 %
IFC.PR.G FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.53
Evaluated at bid price : 24.00
Bid-YTW : 5.19 %
MFC.PR.Q FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.21
Evaluated at bid price : 24.60
Bid-YTW : 5.07 %
IFC.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.02
Evaluated at bid price : 22.53
Bid-YTW : 5.20 %
SLF.PR.E Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.90 %
BAM.PR.R FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 5.78 %
CU.PR.F Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.02
Evaluated at bid price : 22.25
Bid-YTW : 5.10 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.02
Evaluated at bid price : 24.50
Bid-YTW : 5.15 %
POW.PR.C Perpetual-Premium 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-27
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -26.94 %
IFC.PR.A FixedReset Ins Non 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc 74.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.K SplitShare 104,680 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.53 %
TRP.PR.K FixedReset Prem 60,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.34 %
FTS.PR.M FixedReset Disc 54,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.50 %
IFC.PR.E Insurance Straight 38,504 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.61
Evaluated at bid price : 24.90
Bid-YTW : 5.23 %
BAM.PR.X FixedReset Disc 37,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 5.76 %
GWO.PR.Y Insurance Straight 20,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.04 %
There were 13 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: 22.50 – 24.00
Spot Rate : 1.5000
Average : 0.9152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
TRP.PR.D FixedReset Disc Quote: 20.00 – 21.50
Spot Rate : 1.5000
Average : 1.1126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
BAM.PR.T FixedReset Disc Quote: 20.30 – 21.35
Spot Rate : 1.0500
Average : 0.6918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.88 %
TD.PF.D FixedReset Disc Quote: 23.16 – 24.24
Spot Rate : 1.0800
Average : 0.7403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.49
Evaluated at bid price : 23.16
Bid-YTW : 5.26 %
MFC.PR.K FixedReset Ins Non Quote: 22.70 – 23.70
Spot Rate : 1.0000
Average : 0.6629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.31
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
POW.PR.D Perpetual-Discount Quote: 23.92 – 24.60
Spot Rate : 0.6800
Average : 0.4461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 5.23 %
Market Action

March 25, 2022

Wild day on the markets today. A speech by Sharon Kozicki was important:

Bank of Canada deputy governor Sharon Kozicki hinted on Friday that a half-percentage point interest rate increase may be on the table for the central bank’s upcoming rate decision in mid-April.

In her first speech since joining the central bank’s governing council last summer, Ms. Kozicki said that the central bank was “prepared to act forcefully” to bring high inflation under control. She also argued that Canadian households are better prepared to manage rising interest rates than they were during the last rate hike cycle in 2017 and 2018.

“I expect the pace and magnitude of interest rate increases and the start of [quantitative tightening] to be active parts of our deliberations at our next decision in April,” she said in a keynote speech delivered to the Federal Reserve Bank of San Francisco’s monetary policy conference. Quantitative tightening refers to the central bank shrinking its holdings of government bonds.

“The reasons are straightforward: inflation in Canada is too high, labour markets are tight and there is considerable momentum in demand,” she said.

This adds to the hawkish talk that started the week.

And so bad things happened for bonds today:

Canadian and U.S. government bond yields jumped on Friday, with the benchmark U.S. 10-year note surging to nearly three-year highs, as the market grappled with high inflation and increasingly hawkish central bank commentary. The TSX and S&P 500 closed higher, but the Nasdaq – which is particularly sensitive to rising bond yields – closed lower.

The Canadian dollar saw its ninth consecutive day of gains, its longest winning streak since August 2016, ending the week above 80 cents US.

Closely followed five-year bond yields in Canada – influential in the setting of fixed mortgage rates – took out their 2018 peaks and hit their highest levels since 2011. The five-year was fetching 2.503% by late afternoon, up 21 basis points for the day.

Canada’s 2-year yield soared 19.5 basis points to 2.337%, its highest level since November 2018.

21bp on the five-year! That’s unfathomable! That’s getting pretty close to a $1 price move (on $100 par value) and in my days as a bond-guy, I got pretty interested when the five-year moved $0.25!

So here’s a little graph of the changes in GOC-5 yield over 21 weeks, taken from just before the millennium:


Click for Big

The data for that graph are taken from the Bank of Canada lookup page, for weekly (Wednesday) measurements. The change measured for March 23, 2022 (which is the change from October 27, 2021) is 0.78; so that’s already near the extreme right-end of the histogram in the +0.75% to +1.00% bin; there’s only 31 observations in that one.

But last Wednesday’s measure was a mere 2.20%. If we substitute today’s close of 2.51%, the change would be 1.09%, moving the data point into the +1.00% to +1.25% bin; there’s only two, count ’em, two observations of that much of 21-week gain over the nearly 23 year period (which, admittedly, has seen a significant overall decline through the period; the two periods of note were the ones ending 2002-3-27 and 2002-4-3; the single observation with a change of greater than 125% was the period ended 2009-6-10). This is wild.

Assiduous Reader Frank asked today:

5y GOC rate are climbing but rate reset are plunging. I don’t understand why. Could it be they move too high too fast and are now returning to equilibirum ?

To which I shake my head and tell you that I don’t know and I don’t think anyone else really knows either, although there will be some (like the institutional traders at the big brokerages) with more insight than most because they’re talking to the players all day.

One thing worth mentioning is that market prices are set by the marginal buyers and sellers and in the Canadian preferred share market, these guys are more marginal than usual because there is very little institutional presence in our tiny little retail market; even in our market, volumes have been anemic for over six months, never having recovered from the summer lull, let alone the traditional August deadness.

It could be just a few brokers deciding that Yields Up = Fixed Income Bad and since Preferred Shares = Fixed Income then Preferred Shares = Bad; this is considered to be mind-boggling quantitative investment analysis on the Street. It could be a reprise of those bleak days of spring, 1994: when the morning’s news was bad, the market went down because, of course, bad news means you should sell; when the morning’s news was good, the market went down because the good news meant that the market was stronger than it would be in the future, so you should sell now and beat the rush.

Me, I’m just enjoying the fact that the volatility will keep investors away from the market, increasing the juicy liquidity premium I enjoy for putting up with the volatility.

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 3.19 % 3.70 % 28,051 19.69 1 0.1013 % 2,814.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1662 % 5,208.9
Floater 3.37 % 3.37 % 63,965 18.82 3 -0.1662 % 3,001.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0703 % 3,632.6
SplitShare 4.72 % 4.46 % 30,414 3.38 7 0.0703 % 4,338.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0703 % 3,384.7
Perpetual-Premium 5.34 % -1.44 % 58,617 0.08 17 -0.0837 % 3,190.6
Perpetual-Discount 5.10 % 5.13 % 69,102 15.19 16 -0.2635 % 3,621.6
FixedReset Disc 4.21 % 5.18 % 117,028 15.10 46 -0.8278 % 2,695.2
Insurance Straight 5.14 % 5.06 % 91,258 15.20 18 -0.6802 % 3,487.8
FloatingReset 3.10 % 3.44 % 42,817 18.67 2 0.1131 % 2,874.9
FixedReset Prem 4.78 % 3.82 % 147,556 2.00 23 -0.5060 % 2,687.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.8278 % 2,755.1
FixedReset Ins Non 4.19 % 5.13 % 78,462 15.43 15 -0.5796 % 2,863.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.75 %
IFC.PR.A FixedReset Ins Non -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.33 %
RY.PR.Z FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.13
Evaluated at bid price : 22.40
Bid-YTW : 5.10 %
IAF.PR.B Insurance Straight -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 4.97 %
SLF.PR.D Insurance Straight -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.84 %
IFC.PR.C FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 5.13 %
TRP.PR.C FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 6.04 %
TD.PF.B FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.23
Evaluated at bid price : 22.57
Bid-YTW : 5.12 %
TD.PF.K FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.99
Evaluated at bid price : 24.34
Bid-YTW : 5.20 %
SLF.PR.E Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.00
Evaluated at bid price : 23.27
Bid-YTW : 4.84 %
BMO.PR.S FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 5.16 %
SLF.PR.C Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.79 %
TRP.PR.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.97 %
BIP.PR.B FixedReset Prem -1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.34 %
BIP.PR.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.65
Evaluated at bid price : 23.43
Bid-YTW : 5.97 %
MFC.PR.N FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.97
Evaluated at bid price : 22.30
Bid-YTW : 5.13 %
MFC.PR.F FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.13 %
RY.PR.M FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 5.15 %
RY.PR.H FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.08 %
MFC.PR.M FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.28
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.20
Evaluated at bid price : 22.61
Bid-YTW : 5.09 %
TRP.PR.D FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.98 %
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 : 23.74
Bid-YTW : 4.95 %
BAM.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.09
Evaluated at bid price : 22.32
Bid-YTW : 5.61 %
MFC.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 4.96 %
CM.PR.Y FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.77
Evaluated at bid price : 23.62
Bid-YTW : 5.11 %
TD.PF.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.74
Evaluated at bid price : 23.62
Bid-YTW : 5.14 %
CU.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 5.26 %
PWF.PR.K Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.71
Evaluated at bid price : 23.98
Bid-YTW : 5.23 %
TD.PF.L FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 3.94 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.93
Evaluated at bid price : 23.25
Bid-YTW : 5.14 %
TD.PF.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.11
Evaluated at bid price : 22.43
Bid-YTW : 5.10 %
TD.PF.J FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 5.22 %
CU.PR.E Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.09 %
BAM.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.65
Evaluated at bid price : 24.25
Bid-YTW : 5.54 %
CM.PR.Q FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.02 %
CM.PR.O FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.95
Evaluated at bid price : 22.19
Bid-YTW : 5.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 101,185 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.15
Evaluated at bid price : 22.53
Bid-YTW : 5.03 %
BAM.PR.Z FixedReset Disc 85,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.65
Evaluated at bid price : 24.25
Bid-YTW : 5.54 %
TRP.PR.K FixedReset Prem 60,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.41 %
TD.PF.M FixedReset Prem 58,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.67 %
FTS.PR.M FixedReset Disc 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.94
Evaluated at bid price : 22.21
Bid-YTW : 5.40 %
CM.PR.R FixedReset Prem 31,603 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.25 %
There were 17 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: 14.00 – 15.50
Spot Rate : 1.5000
Average : 0.8673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.37 %
IFC.PR.A FixedReset Ins Non Quote: 19.50 – 21.25
Spot Rate : 1.7500
Average : 1.1451

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc Quote: 12.29 – 22.62
Spot Rate : 10.3300
Average : 9.7507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.84 %
PWF.PR.P FixedReset Disc Quote: 15.75 – 17.30
Spot Rate : 1.5500
Average : 0.9775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.75 %
BAM.PR.C Floater Quote: 13.99 – 15.00
Spot Rate : 1.0100
Average : 0.6020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.37 %
BAM.PF.B FixedReset Disc Quote: 22.32 – 23.50
Spot Rate : 1.1800
Average : 0.9884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.09
Evaluated at bid price : 22.32
Bid-YTW : 5.61 %