Category: Market Action

Market Action

December 7, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.08 % 3.58 % 51,741 19.98 1 5.1241 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.3424 % 5,087.5
Floater 3.13 % 3.11 % 83,720 19.37 3 2.3424 % 2,931.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0351 % 3,663.6
SplitShare 4.68 % 4.29 % 50,782 3.81 5 -0.0351 % 4,375.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0351 % 3,413.6
Perpetual-Premium 5.15 % -0.74 % 46,035 0.09 28 0.0239 % 3,249.0
Perpetual-Discount 4.74 % 4.88 % 65,740 15.61 6 0.7994 % 3,819.0
FixedReset Disc 3.97 % 4.07 % 124,479 17.37 37 -1.0212 % 2,780.3
Insurance Straight 4.99 % 4.51 % 93,461 4.01 20 0.8432 % 3,638.1
FloatingReset 2.52 % 2.13 % 38,415 22.14 2 -0.7665 % 2,732.0
FixedReset Prem 4.71 % 3.85 % 117,226 2.46 33 0.4258 % 2,713.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0212 % 2,842.1
FixedReset Ins Non 4.12 % 3.82 % 94,293 17.25 19 0.4499 % 2,927.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -46.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.38 %
FTS.PR.H FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.89 %
TD.PF.M FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.26 %
RY.PR.J FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.91
Evaluated at bid price : 24.00
Bid-YTW : 4.07 %
BAM.PR.C Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 3.11 %
NA.PR.E FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.66
Evaluated at bid price : 24.76
Bid-YTW : 3.99 %
MFC.PR.B Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.71 %
BAM.PF.A FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.50
Evaluated at bid price : 24.65
Bid-YTW : 4.41 %
RY.PR.M FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.97
Evaluated at bid price : 24.25
Bid-YTW : 3.84 %
BMO.PR.E FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.63
Evaluated at bid price : 25.11
Bid-YTW : 4.04 %
MFC.PR.K FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.59
Evaluated at bid price : 23.95
Bid-YTW : 3.81 %
BIP.PR.A FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.78
Evaluated at bid price : 23.75
Bid-YTW : 4.94 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.74 %
TD.PF.C FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.06
Evaluated at bid price : 24.23
Bid-YTW : 3.73 %
TRP.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.54 %
BAM.PR.R FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.54 %
BAM.PF.G FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.41
Evaluated at bid price : 23.05
Bid-YTW : 4.39 %
BAM.PF.J FixedReset Prem 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.12 %
MFC.PR.I FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.41 %
TD.PF.E FixedReset Prem 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.91 %
MFC.PR.F FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.62 %
TRP.PR.B FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.47 %
CU.PR.G Perpetual-Discount 3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.61
Evaluated at bid price : 23.89
Bid-YTW : 4.72 %
BAM.PR.E Ratchet 5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 3.58 %
BAM.PR.X FixedReset Disc 5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.63 %
BAM.PR.K Floater 6.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
IFC.PR.E Insurance Straight 15.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 125,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.94 %
MFC.PR.K FixedReset Ins Non 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.59
Evaluated at bid price : 23.95
Bid-YTW : 3.81 %
GWO.PR.F Insurance Straight 54,706 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-06
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.66 %
CM.PR.O FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.03
Evaluated at bid price : 24.00
Bid-YTW : 3.82 %
BAM.PR.X FixedReset Disc 28,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.63 %
FTS.PR.H FixedReset Disc 27,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.10 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.15
Spot Rate : 10.9800
Average : 7.7770

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.38 %
GWO.PR.N FixedReset Ins Non Quote: 16.50 – 17.52
Spot Rate : 1.0200
Average : 0.6984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.77 %
PVS.PR.I SplitShare Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.7294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.49 %
TRP.PR.E FixedReset Disc Quote: 20.52 – 21.59
Spot Rate : 1.0700
Average : 0.8211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset Quote: 16.80 – 18.50
Spot Rate : 1.7000
Average : 1.4580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.89 %
SLF.PR.H FixedReset Ins Non Quote: 22.12 – 22.80
Spot Rate : 0.6800
Average : 0.4422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 21.73
Evaluated at bid price : 22.12
Bid-YTW : 3.82 %
Market Action

December 6, 2021

This is worth highlighting … How the Wealth Was Won: Factors Shares as Market Fundamentals by Daniel L. Greenwald, Martin Lettau, and Sydney C. Ludvigson, NBER Working Paper No. 25769:

Why do stocks rise and fall? From 1989 to 2017, $34 trillion of real equity wealth (2017:Q4 dollars) was created by the U.S. corporate sector. We estimate that 44% of this increase was attributable to a reallocation of rewards to shareholders in a decelerating economy, primarily at the expense of labor compensation. Economic growth accounted for just 25%, followed by a lower risk price (18%), and lower interest rates (14%). The period 1952 to 1988 experienced less than one third of the growth in market equity, but economic growth accounted for more than 100% of it.

One last trip to the trough for the Baby Boomers? Or is that real estate?

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 3.24 % 3.83 % 51,452 19.69 1 -0.3684 % 2,696.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.2173 % 4,971.0
Floater 3.21 % 3.27 % 84,976 18.99 3 -2.2173 % 2,864.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3805 % 3,664.9
SplitShare 4.68 % 4.21 % 51,457 3.81 5 -0.3805 % 4,376.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3805 % 3,414.8
Perpetual-Premium 5.15 % 1.00 % 43,078 0.09 28 0.1252 % 3,248.2
Perpetual-Discount 4.78 % 4.89 % 65,999 15.62 6 -0.6572 % 3,788.7
FixedReset Disc 3.93 % 4.06 % 125,415 17.32 37 1.8337 % 2,809.0
Insurance Straight 5.03 % 4.52 % 92,315 13.86 20 -0.4658 % 3,607.7
FloatingReset 2.50 % 2.83 % 30,007 20.19 2 -0.9635 % 2,753.1
FixedReset Prem 4.73 % 3.98 % 117,610 3.64 33 0.0662 % 2,702.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.8337 % 2,871.4
FixedReset Ins Non 4.14 % 3.92 % 92,616 17.24 19 -0.0069 % 2,914.3
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -12.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.95 %
BAM.PR.K Floater -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.31 %
BAM.PR.X FixedReset Disc -5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Discount -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 4.91 %
IFC.PR.A FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 3.96 %
BAM.PF.J FixedReset Prem -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.97
Evaluated at bid price : 25.20
Bid-YTW : 4.72 %
RS.PR.A SplitShare -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.57
Bid-YTW : 4.00 %
SLF.PR.J FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 2.14 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.78 %
FTS.PR.F Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.92 %
GWO.PR.Y Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 3.82 %
TRP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 4.61 %
NA.PR.C FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.67 %
NA.PR.G FixedReset Prem 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.67
Evaluated at bid price : 25.18
Bid-YTW : 4.12 %
GWO.PR.T Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.90
Bid-YTW : 4.24 %
TD.PF.J FixedReset Prem 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.78
Evaluated at bid price : 25.04
Bid-YTW : 4.07 %
MFC.PR.F FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.71 %
PWF.PR.S Perpetual-Premium 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.58
Evaluated at bid price : 24.85
Bid-YTW : 4.87 %
TD.PF.D FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.95
Evaluated at bid price : 24.13
Bid-YTW : 4.08 %
TRP.PR.C FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.60 %
CM.PR.O FixedReset Disc 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.98
Evaluated at bid price : 23.90
Bid-YTW : 3.84 %
RY.PR.J FixedReset Disc 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.04
Evaluated at bid price : 24.30
Bid-YTW : 4.00 %
BAM.PR.R FixedReset Disc 5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 4.61 %
TRP.PR.G FixedReset Disc 87.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.22
Evaluated at bid price : 22.80
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 103,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.89 %
BAM.PR.X FixedReset Disc 88,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
GWO.PR.Y Insurance Straight 51,131 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.53 %
BAM.PF.I FixedReset Prem 39,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.73 %
TD.PF.J FixedReset Prem 29,619 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.78
Evaluated at bid price : 25.04
Bid-YTW : 4.07 %
NA.PR.E FixedReset Prem 28,992 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.08 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.25 – 26.14
Spot Rate : 3.8900
Average : 2.7609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.95 %
CIU.PR.A Perpetual-Premium Quote: 23.80 – 25.20
Spot Rate : 1.4000
Average : 0.8847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.85 %
BAM.PR.X FixedReset Disc Quote: 16.50 – 17.99
Spot Rate : 1.4900
Average : 1.1048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
BAM.PR.K Floater Quote: 13.10 – 14.30
Spot Rate : 1.2000
Average : 0.8399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.31 %
NA.PR.E FixedReset Prem Quote: 24.51 – 25.30
Spot Rate : 0.7900
Average : 0.4940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.08 %
CU.PR.G Perpetual-Discount Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.7188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 4.91 %
Market Action

December 3, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.22 % 3.81 % 52,196 19.72 1 -2.8630 % 2,706.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7977 % 5,083.8
Floater 3.13 % 3.12 % 86,085 19.37 3 -0.7977 % 2,929.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0233 % 3,678.9
SplitShare 4.66 % 4.19 % 52,304 3.82 5 0.0233 % 4,393.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0233 % 3,427.9
Perpetual-Premium 5.15 % 0.51 % 44,402 0.09 28 -0.2652 % 3,244.1
Perpetual-Discount 4.75 % 4.88 % 66,426 15.61 6 -0.3411 % 3,813.8
FixedReset Disc 4.00 % 4.13 % 126,566 17.09 37 -1.4945 % 2,758.5
Insurance Straight 5.01 % 4.55 % 95,597 4.08 20 -0.0020 % 3,624.6
FloatingReset 2.53 % 2.87 % 30,461 20.08 2 -1.1544 % 2,779.9
FixedReset Prem 4.73 % 4.02 % 114,724 3.64 33 -0.7490 % 2,700.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.4945 % 2,819.7
FixedReset Ins Non 4.14 % 3.91 % 93,406 17.08 19 -0.5433 % 2,914.5
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -7.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 4.93 %
RY.PR.J FixedReset Disc -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.59
Evaluated at bid price : 23.35
Bid-YTW : 4.25 %
CM.PR.O FixedReset Disc -4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.54
Evaluated at bid price : 23.10
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc -3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.74 %
BAM.PR.X FixedReset Disc -3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.67 %
BAM.PF.F FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.36
Evaluated at bid price : 22.84
Bid-YTW : 4.69 %
BAM.PR.E Ratchet -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 3.81 %
TD.PF.D FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.72
Evaluated at bid price : 23.64
Bid-YTW : 4.24 %
TRP.PR.A FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.71 %
GWO.PR.N FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 3.91 %
TD.PF.J FixedReset Prem -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.30
Evaluated at bid price : 24.64
Bid-YTW : 4.25 %
TD.PF.E FixedReset Prem -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.86
Evaluated at bid price : 24.00
Bid-YTW : 4.22 %
CM.PR.S FixedReset Prem -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.08
Evaluated at bid price : 24.50
Bid-YTW : 4.02 %
NA.PR.S FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.16
Evaluated at bid price : 24.20
Bid-YTW : 3.94 %
PWF.PR.P FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 4.25 %
NA.PR.C FixedReset Prem -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.52
Evaluated at bid price : 24.90
Bid-YTW : 4.88 %
GWO.PR.T Insurance Straight -1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.60 %
TRP.PR.B FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.75 %
MFC.PR.N FixedReset Ins Non -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.59
Evaluated at bid price : 23.31
Bid-YTW : 3.95 %
NA.PR.E FixedReset Prem -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.14 %
TRP.PR.D FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
FTS.PR.K FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.15 %
IFC.PR.G FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 4.18 %
CM.PR.Y FixedReset Prem -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.10 %
FTS.PR.M FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.22
Evaluated at bid price : 22.65
Bid-YTW : 4.31 %
NA.PR.G FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.52
Evaluated at bid price : 24.80
Bid-YTW : 4.26 %
BMO.PR.E FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.52
Evaluated at bid price : 24.80
Bid-YTW : 4.16 %
RY.PR.M FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.81
Evaluated at bid price : 23.90
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 2.87 %
BAM.PR.K Floater -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
BAM.PF.A FixedReset Prem -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
CM.PR.T FixedReset Prem -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.90 %
BMO.PR.W FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.94
Evaluated at bid price : 23.91
Bid-YTW : 3.80 %
FTS.PR.F Perpetual-Premium -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.97 %
FTS.PR.G FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.13 %
PWF.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.19
Evaluated at bid price : 23.50
Bid-YTW : 4.11 %
CM.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 3.83 %
BMO.PR.Y FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.93
Evaluated at bid price : 24.10
Bid-YTW : 4.02 %
BIP.PR.F FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.71 %
MIC.PR.A Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.69 %
FTS.PR.J Perpetual-Premium -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.86 %
IFC.PR.A FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 3.96 %
BAM.PF.E FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.65 %
IFC.PR.E Insurance Straight 3.76 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset Prem 311,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.13 %
BAM.PR.X FixedReset Disc 149,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.67 %
CM.PR.R FixedReset Prem 103,739 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.24 %
RY.PR.H FixedReset Disc 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.09
Evaluated at bid price : 24.15
Bid-YTW : 3.76 %
GWO.PR.F Insurance Straight 32,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-02
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.86 %
CM.PR.S FixedReset Prem 31,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.08
Evaluated at bid price : 24.50
Bid-YTW : 4.02 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.50
Spot Rate : 11.3300
Average : 8.8865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %
BAM.PR.E Ratchet Quote: 19.00 – 21.00
Spot Rate : 2.0000
Average : 1.3701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 3.81 %
RY.PR.J FixedReset Disc Quote: 23.35 – 24.35
Spot Rate : 1.0000
Average : 0.6352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.59
Evaluated at bid price : 23.35
Bid-YTW : 4.25 %
BAM.PR.R FixedReset Disc Quote: 18.59 – 19.96
Spot Rate : 1.3700
Average : 1.0143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 4.93 %
TD.PF.D FixedReset Disc Quote: 23.64 – 24.75
Spot Rate : 1.1100
Average : 0.7719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.72
Evaluated at bid price : 23.64
Bid-YTW : 4.24 %
GWO.PR.T Insurance Straight Quote: 25.50 – 26.65
Spot Rate : 1.1500
Average : 0.8280

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.60 %
Market Action

December 2, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.13 % 3.66 % 54,208 19.89 1 -4.3521 % 2,786.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0760 % 5,124.6
Floater 3.11 % 3.09 % 86,724 19.44 3 -1.0760 % 2,953.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2257 % 3,678.0
SplitShare 4.66 % 4.20 % 53,046 3.82 5 0.2257 % 4,392.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2257 % 3,427.1
Perpetual-Premium 5.14 % -0.32 % 43,511 0.09 28 -0.0715 % 3,252.7
Perpetual-Discount 4.73 % 4.86 % 66,445 15.65 6 0.1777 % 3,826.9
FixedReset Disc 3.94 % 4.06 % 125,954 17.14 37 -1.7897 % 2,800.3
Insurance Straight 5.01 % 4.51 % 93,762 14.73 20 -0.3322 % 3,624.7
FloatingReset 2.50 % 2.83 % 30,921 20.19 2 -1.0283 % 2,812.4
FixedReset Prem 4.70 % 3.84 % 114,047 2.47 33 -0.0597 % 2,720.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.7897 % 2,862.5
FixedReset Ins Non 4.11 % 3.89 % 97,033 17.11 19 -0.4681 % 2,930.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %
TRP.PR.C FixedReset Disc -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.81 %
BAM.PR.E Ratchet -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 3.66 %
BAM.PF.E FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.73 %
BAM.PR.B Floater -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %
BAM.PR.T FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.71 %
CU.PR.C FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 4.30 %
MFC.PR.F FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 3.80 %
MFC.PR.M FixedReset Ins Non -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.69
Evaluated at bid price : 23.45
Bid-YTW : 4.00 %
MFC.PR.L FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.52
Evaluated at bid price : 23.04
Bid-YTW : 3.89 %
TRP.PR.F FloatingReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.83 %
BAM.PF.G FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 4.48 %
TRP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.67 %
MFC.PR.K FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.28
Evaluated at bid price : 23.65
Bid-YTW : 3.91 %
BMO.PR.S FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.06
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.51 %
PWF.PR.T FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.50
Evaluated at bid price : 23.80
Bid-YTW : 4.06 %
MIC.PR.A Perpetual-Premium -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 4.52 %
CM.PR.Q FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.99
Evaluated at bid price : 24.23
Bid-YTW : 4.09 %
PVS.PR.J SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.38 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.02
Evaluated at bid price : 24.30
Bid-YTW : 4.09 %
GWO.PR.G Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -11.59 %
FTS.PR.K FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 4.55 %
BIP.PR.F FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.11 %
RS.PR.A SplitShare 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.52 %
TRP.PR.D FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.60 %
IFC.PR.G FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.67
Evaluated at bid price : 24.91
Bid-YTW : 4.05 %
CM.PR.O FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.83 %
TRP.PR.A FixedReset Disc 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.59 %
IFC.PR.E Insurance Straight 10.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 24.01
Evaluated at bid price : 24.50
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Insurance Straight 59,324 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 4.51 %
SLF.PR.I FixedReset Ins Non 23,925 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.69 %
RY.PR.H FixedReset Disc 23,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.74 %
CM.PR.Q FixedReset Disc 21,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.99
Evaluated at bid price : 24.23
Bid-YTW : 4.09 %
RY.PR.Z FixedReset Disc 20,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.15
Evaluated at bid price : 24.20
Bid-YTW : 3.71 %
NA.PR.E FixedReset Prem 17,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.73
Evaluated at bid price : 24.95
Bid-YTW : 4.00 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.50
Spot Rate : 11.3300
Average : 6.2074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %
TRP.PR.C FixedReset Disc Quote: 14.37 – 15.35
Spot Rate : 0.9800
Average : 0.6310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.81 %
IFC.PR.I Perpetual-Premium Quote: 26.55 – 27.60
Spot Rate : 1.0500
Average : 0.7062

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.58 %
BAM.PR.E Ratchet Quote: 19.56 – 20.56
Spot Rate : 1.0000
Average : 0.6794

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non Quote: 16.62 – 17.49
Spot Rate : 0.8700
Average : 0.5609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 3.82 %
BAM.PR.B Floater Quote: 13.25 – 14.34
Spot Rate : 1.0900
Average : 0.7926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %
Market Action

December 1, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.44 % 55,052 20.15 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1194 % 5,180.4
Floater 3.08 % 3.09 % 88,920 19.43 3 -0.1194 % 2,985.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,669.7
SplitShare 4.67 % 4.13 % 55,045 3.83 5 -0.0972 % 4,382.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,419.4
Perpetual-Premium 5.14 % -2.73 % 45,308 0.09 28 -0.1540 % 3,255.1
Perpetual-Discount 4.74 % 4.88 % 65,740 15.61 6 -0.5168 % 3,820.1
FixedReset Disc 3.87 % 3.96 % 126,466 17.07 37 -0.6410 % 2,851.3
Insurance Straight 4.99 % 4.52 % 92,153 13.88 20 1.2748 % 3,636.7
FloatingReset 2.48 % 2.77 % 31,180 20.34 2 0.0000 % 2,841.6
FixedReset Prem 4.69 % 3.76 % 118,466 2.48 33 0.0430 % 2,722.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6410 % 2,914.6
FixedReset Ins Non 4.09 % 3.82 % 97,259 17.12 19 -0.3464 % 2,944.2
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -7.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.79 %
CM.PR.O FixedReset Disc -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.67
Evaluated at bid price : 23.31
Bid-YTW : 4.01 %
PWF.PR.P FixedReset Disc -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.17 %
IFC.PR.G FixedReset Ins Non -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 4.23 %
BAM.PF.H FixedReset Prem -2.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.13 %
TRP.PR.D FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
TRP.PR.C FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.57 %
TRP.PR.E FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 4.62 %
CU.PR.I FixedReset Prem -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 3.85 %
FTS.PR.K FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.13 %
MFC.PR.K FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.70
Evaluated at bid price : 24.05
Bid-YTW : 3.84 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.17
Evaluated at bid price : 24.10
Bid-YTW : 3.96 %
TD.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.12
Evaluated at bid price : 24.20
Bid-YTW : 3.77 %
GWO.PR.N FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.81 %
RY.PR.J FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.83 %
FTS.PR.M FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.44
Evaluated at bid price : 23.00
Bid-YTW : 4.23 %
CU.PR.F Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.68
Evaluated at bid price : 23.99
Bid-YTW : 4.70 %
RY.PR.M FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.92
Evaluated at bid price : 24.15
Bid-YTW : 3.91 %
BMO.PR.W FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.09
Evaluated at bid price : 24.25
Bid-YTW : 3.73 %
RY.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.23
Evaluated at bid price : 24.37
Bid-YTW : 3.68 %
BAM.PF.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.72
Evaluated at bid price : 23.31
Bid-YTW : 4.44 %
BAM.PF.A FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.55
Evaluated at bid price : 24.78
Bid-YTW : 4.43 %
BAM.PR.X FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.44 %
BIP.PR.F FixedReset Prem 5.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.90 %
BAM.PF.G FixedReset Disc 7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.55
Evaluated at bid price : 23.30
Bid-YTW : 4.38 %
MFC.PR.C Insurance Straight 13.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.64 %
MFC.PR.B Insurance Straight 13.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 814,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 1.96 %
MFC.PR.G FixedReset Ins Non 84,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-18
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.06 %
TD.PF.A FixedReset Disc 65,212 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.12
Evaluated at bid price : 24.29
Bid-YTW : 3.72 %
GWO.PR.P Insurance Straight 50,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : -9.06 %
NA.PR.E FixedReset Prem 47,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.71
Evaluated at bid price : 24.91
Bid-YTW : 4.01 %
TRP.PR.D FixedReset Disc 33,716 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.25 – 26.28
Spot Rate : 4.0300
Average : 3.4086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
CM.PR.O FixedReset Disc Quote: 23.31 – 24.31
Spot Rate : 1.0000
Average : 0.5685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.67
Evaluated at bid price : 23.31
Bid-YTW : 4.01 %
IFC.PR.G FixedReset Ins Non Quote: 24.20 – 25.20
Spot Rate : 1.0000
Average : 0.6412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 4.23 %
PWF.PR.P FixedReset Disc Quote: 17.00 – 17.75
Spot Rate : 0.7500
Average : 0.5194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.17 %
CU.PR.F Perpetual-Discount Quote: 23.99 – 24.80
Spot Rate : 0.8100
Average : 0.5861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.68
Evaluated at bid price : 23.99
Bid-YTW : 4.70 %
TRP.PR.A FixedReset Disc Quote: 17.60 – 18.60
Spot Rate : 1.0000
Average : 0.7890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.79 %
Market Action

November 30, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.44 % 55,314 20.15 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8978 % 5,186.6
Floater 3.07 % 3.09 % 89,920 19.43 3 -1.8978 % 2,989.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1870 % 3,673.3
SplitShare 4.67 % 4.12 % 57,195 3.83 5 0.1870 % 4,386.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1870 % 3,422.7
Perpetual-Premium 5.13 % -7.25 % 45,570 0.08 28 -0.1719 % 3,260.1
Perpetual-Discount 4.72 % 4.88 % 66,565 15.63 6 0.0340 % 3,839.9
FixedReset Disc 3.85 % 3.88 % 125,678 17.00 37 -0.4746 % 2,869.7
Insurance Straight 5.06 % 4.54 % 92,230 13.88 20 -2.3491 % 3,591.0
FloatingReset 2.48 % 2.77 % 31,283 20.34 2 -1.1296 % 2,841.6
FixedReset Prem 4.69 % 3.79 % 121,625 2.49 33 -0.4565 % 2,721.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4746 % 2,933.4
FixedReset Ins Non 4.08 % 3.82 % 98,555 17.11 19 -0.8575 % 2,954.4
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -14.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
MFC.PR.C Insurance Straight -12.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.26 %
MFC.PR.B Insurance Straight -12.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.35 %
BIP.PR.F FixedReset Prem -7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.31
Evaluated at bid price : 23.63
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.72 %
BAM.PR.B Floater -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.12 %
IFC.PR.A FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.90 %
SLF.PR.J FloatingReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 2.15 %
BAM.PF.A FixedReset Prem -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
SLF.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.59 %
TRP.PR.E FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.52 %
RY.PR.Z FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.11
Evaluated at bid price : 24.10
Bid-YTW : 3.73 %
BAM.PR.C Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.09 %
TD.PF.D FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.88 %
BAM.PF.H FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.31 %
TRP.PR.G FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.50 %
FTS.PR.H FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.04 %
PWF.PR.S Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 24.35
Evaluated at bid price : 24.60
Bid-YTW : 4.92 %
BAM.PR.K Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 3.08 %
TD.PF.E FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.83 %
CM.PR.T FixedReset Prem 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.26 %
BAM.PR.T FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 56,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.99 %
MFC.PR.H FixedReset Ins Non 44,069 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.17 %
BMO.PR.B FixedReset Prem 40,919 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.27 %
IFC.PR.E Insurance Straight 34,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
BNS.PR.H FixedReset Prem 32,933 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.84 %
RY.PR.Z FixedReset Disc 25,487 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.11
Evaluated at bid price : 24.10
Bid-YTW : 3.73 %
There were 12 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: 21.75 – 25.15
Spot Rate : 3.4000
Average : 1.8232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.35 %
MFC.PR.C Insurance Straight Quote: 21.46 – 24.54
Spot Rate : 3.0800
Average : 1.6599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.26 %
IFC.PR.E Insurance Straight Quote: 22.25 – 26.20
Spot Rate : 3.9500
Average : 2.7273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
BIP.PR.F FixedReset Prem Quote: 23.63 – 25.50
Spot Rate : 1.8700
Average : 1.0576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.31
Evaluated at bid price : 23.63
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc Quote: 21.76 – 23.60
Spot Rate : 1.8400
Average : 1.1293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.72 %
TRP.PR.B FixedReset Disc Quote: 13.73 – 15.00
Spot Rate : 1.2700
Average : 0.7983

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.59 %
Market Action

November 29, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.44 % 51,124 20.16 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2094 % 5,286.9
Floater 3.01 % 3.04 % 87,061 19.56 3 1.2094 % 3,046.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5539 % 3,666.4
SplitShare 4.67 % 4.18 % 57,708 3.83 5 -0.5539 % 4,378.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5539 % 3,416.3
Perpetual-Premium 5.12 % -7.41 % 46,143 0.09 28 -0.0447 % 3,265.7
Perpetual-Discount 4.72 % 4.86 % 67,648 15.67 6 0.0204 % 3,838.6
FixedReset Disc 3.83 % 3.82 % 125,761 17.03 37 -0.1392 % 2,883.4
Insurance Straight 4.94 % 4.50 % 91,430 3.43 20 0.7216 % 3,677.3
FloatingReset 2.45 % 2.77 % 30,124 20.34 2 -1.7753 % 2,874.1
FixedReset Prem 4.67 % 3.37 % 121,470 2.27 33 -0.1887 % 2,733.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1392 % 2,947.4
FixedReset Ins Non 4.05 % 3.83 % 99,473 17.00 19 0.2137 % 2,980.0
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 2.77 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.67 %
TRP.PR.A FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.49 %
PVS.PR.J SplitShare -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.19 %
TRP.PR.D FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.53 %
BAM.PF.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.50
Evaluated at bid price : 23.21
Bid-YTW : 4.40 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.33 %
BAM.PF.F FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.87
Evaluated at bid price : 23.74
Bid-YTW : 4.49 %
BAM.PR.K Floater 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.05 %
MFC.PR.F FixedReset Ins Non 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.73 %
IFC.PR.E Insurance Straight 16.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.02
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.19
Evaluated at bid price : 24.40
Bid-YTW : 3.68 %
RY.PR.H FixedReset Disc 39,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.24
Evaluated at bid price : 24.50
Bid-YTW : 3.68 %
BNS.PR.I FixedReset Prem 27,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.73
Evaluated at bid price : 25.54
Bid-YTW : 3.79 %
PWF.PF.A Perpetual-Discount 26,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 24.31
Evaluated at bid price : 24.71
Bid-YTW : 4.59 %
RY.PR.J FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 3.48 %
BMO.PR.F FixedReset Prem 23,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.87 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 18.78 – 20.33
Spot Rate : 1.5500
Average : 1.0373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.49 %
TRP.PR.D FixedReset Disc Quote: 21.30 – 22.55
Spot Rate : 1.2500
Average : 0.7627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.53 %
BAM.PR.T FixedReset Disc Quote: 20.31 – 21.50
Spot Rate : 1.1900
Average : 0.7628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.67 %
CU.PR.C FixedReset Disc Quote: 22.85 – 24.43
Spot Rate : 1.5800
Average : 1.2222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %
RS.PR.A SplitShare Quote: 10.42 – 11.25
Spot Rate : 0.8300
Average : 0.5488

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.42
Bid-YTW : 4.38 %
CU.PR.I FixedReset Prem Quote: 26.10 – 26.68
Spot Rate : 0.5800
Average : 0.3797

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.33 %
Market Action

November 26, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.45 % 51,116 20.10 1 -0.7282 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5872 % 5,223.7
Floater 3.05 % 3.05 % 88,214 19.53 3 -2.5872 % 3,010.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1006 % 3,686.9
SplitShare 4.65 % 4.06 % 57,800 3.84 5 -0.1006 % 4,402.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1006 % 3,435.3
Perpetual-Premium 5.12 % -8.80 % 45,122 0.09 28 -0.1074 % 3,267.2
Perpetual-Discount 4.72 % 4.87 % 70,154 15.67 6 -0.3458 % 3,837.8
FixedReset Disc 3.83 % 3.87 % 129,050 16.82 37 -0.9672 % 2,887.4
Insurance Straight 4.97 % 4.49 % 91,279 3.44 20 -0.8792 % 3,651.0
FloatingReset 2.43 % 2.74 % 29,394 20.36 2 -1.1787 % 2,926.0
FixedReset Prem 4.66 % 3.55 % 122,352 2.28 33 -0.2533 % 2,738.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.9672 % 2,951.5
FixedReset Ins Non 4.05 % 3.94 % 103,263 16.81 19 -0.6903 % 2,973.6
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -15.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.93 %
BAM.PR.K Floater -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 3.13 %
MFC.PR.F FixedReset Ins Non -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 3.95 %
TRP.PR.B FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.69 %
BAM.PF.F FixedReset Disc -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.34
Bid-YTW : 4.67 %
TRP.PR.G FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.64
Evaluated at bid price : 23.55
Bid-YTW : 4.46 %
BAM.PR.X FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.62 %
TRP.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.54 %
CU.PR.C FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 4.26 %
PWF.PR.P FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.14 %
TRP.PR.C FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 4.55 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.68 %
GWO.PR.N FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.84 %
BAM.PR.Z FixedReset Prem -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.88
Evaluated at bid price : 24.35
Bid-YTW : 4.67 %
BAM.PR.R FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.58 %
SLF.PR.J FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.13 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.05 %
BAM.PR.M Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.88 %
BAM.PR.B Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.05 %
IFC.PR.A FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.91 %
BAM.PF.B FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.22
Bid-YTW : 4.55 %
PWF.PR.T FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.27
Evaluated at bid price : 24.32
Bid-YTW : 4.01 %
BAM.PF.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.62 %
SLF.PR.H FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 3.88 %
BAM.PF.H FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 2.83 %
FTS.PR.G FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.77
Evaluated at bid price : 22.26
Bid-YTW : 4.17 %
BAM.PR.N Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.90 %
BAM.PF.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.65
Evaluated at bid price : 23.50
Bid-YTW : 4.42 %
CIU.PR.A Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PF.A Perpetual-Discount 46,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.37
Evaluated at bid price : 24.77
Bid-YTW : 4.57 %
MFC.PR.G FixedReset Ins Non 36,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-18
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.79 %
MFC.PR.H FixedReset Ins Non 31,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.04 %
TD.PF.A FixedReset Disc 29,948 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.17
Evaluated at bid price : 24.41
Bid-YTW : 3.79 %
BNS.PR.I FixedReset Prem 25,214 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.71
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
BMO.PR.W FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.14
Evaluated at bid price : 24.38
Bid-YTW : 3.79 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.25 – 26.98
Spot Rate : 4.7300
Average : 2.7644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.93 %
MFC.PR.F FixedReset Ins Non Quote: 17.98 – 18.98
Spot Rate : 1.0000
Average : 0.6100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 3.95 %
PVS.PR.G SplitShare Quote: 25.75 – 27.00
Spot Rate : 1.2500
Average : 0.9152

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.11 %
BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.50
Spot Rate : 0.8500
Average : 0.5568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.88 %
BAM.PF.F FixedReset Disc Quote: 23.34 – 24.00
Spot Rate : 0.6600
Average : 0.3853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.34
Bid-YTW : 4.67 %
BAM.PR.K Floater Quote: 13.81 – 14.43
Spot Rate : 0.6200
Average : 0.3803

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 3.13 %
Market Action

November 25, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 48,924 20.14 1 -0.0485 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2075 % 5,362.5
Floater 2.97 % 3.00 % 86,476 19.67 3 -0.2075 % 3,090.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,690.6
SplitShare 4.64 % 4.05 % 58,325 3.84 5 0.0000 % 4,407.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,438.8
Perpetual-Premium 5.11 % -8.96 % 45,033 0.09 28 0.0810 % 3,270.7
Perpetual-Discount 4.70 % 4.81 % 72,763 15.77 6 0.0814 % 3,851.1
FixedReset Disc 3.79 % 3.94 % 125,669 17.01 37 0.0511 % 2,915.6
Insurance Straight 4.93 % 4.16 % 90,945 3.25 20 0.0593 % 3,683.4
FloatingReset 2.41 % 2.71 % 29,347 20.42 2 1.0246 % 2,960.9
FixedReset Prem 4.65 % 3.29 % 120,908 2.28 33 -0.0769 % 2,745.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0511 % 2,980.4
FixedReset Ins Non 4.03 % 3.86 % 100,083 16.81 19 -0.1071 % 2,994.3
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.55 %
TRP.PR.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
CU.PR.I FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.16 %
BAM.PF.B FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 22.85
Evaluated at bid price : 23.54
Bid-YTW : 4.48 %
CU.PR.G Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 4.69 %
BAM.PR.M Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.81 %
TRP.PR.F FloatingReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 2.71 %
BAM.PR.X FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.49 %
TRP.PR.G FixedReset Disc 5.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Prem 26,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.95 %
BAM.PR.N Perpetual-Discount 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.84 %
PWF.PF.A Perpetual-Discount 26,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.35
Evaluated at bid price : 24.75
Bid-YTW : 4.58 %
RY.PR.Z FixedReset Disc 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.28
Evaluated at bid price : 24.50
Bid-YTW : 3.74 %
NA.PR.E FixedReset Prem 15,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.82
Evaluated at bid price : 25.20
Bid-YTW : 4.04 %
TD.PF.A FixedReset Disc 12,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.22
Evaluated at bid price : 24.55
Bid-YTW : 3.76 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 23.40 – 24.97
Spot Rate : 1.5700
Average : 1.0381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.15 %
SLF.PR.D Insurance Straight Quote: 24.65 – 25.88
Spot Rate : 1.2300
Average : 0.7217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 %
PVS.PR.G SplitShare Quote: 25.80 – 26.69
Spot Rate : 0.8900
Average : 0.5482

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.06 %
TRP.PR.E FixedReset Disc Quote: 21.43 – 22.30
Spot Rate : 0.8700
Average : 0.5659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.55 %
TRP.PR.C FixedReset Disc Quote: 16.00 – 17.00
Spot Rate : 1.0000
Average : 0.7323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.45 %
CU.PR.G Perpetual-Discount Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.8257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 4.69 %
Market Action

November 24, 2021

PerpetualDiscounts now yield 4.84%, equivalent to 6.29% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.51%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has rocketted to 280bp from the 245bp reported November 17.

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 2.97 % 3.41 % 49,115 20.15 1 0.0000 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2300 % 5,373.6
Floater 2.97 % 2.98 % 87,532 19.72 3 -0.2300 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,690.6
SplitShare 4.64 % 4.05 % 57,998 3.85 5 0.1356 % 4,407.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,438.8
Perpetual-Premium 5.12 % -8.19 % 44,942 0.09 28 -0.1074 % 3,268.0
Perpetual-Discount 4.71 % 4.84 % 67,673 15.70 6 -0.0136 % 3,848.0
FixedReset Disc 3.79 % 3.96 % 124,689 17.01 37 1.1423 % 2,914.1
Insurance Straight 4.93 % 4.16 % 89,592 3.25 20 0.0376 % 3,681.2
FloatingReset 2.43 % 2.77 % 29,422 20.28 2 -1.0685 % 2,930.9
FixedReset Prem 4.65 % 3.09 % 121,852 2.28 33 -0.0059 % 2,748.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1423 % 2,978.8
FixedReset Ins Non 4.02 % 3.90 % 101,411 16.81 19 0.0469 % 2,997.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.62 %
TRP.PR.F FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.77 %
MIC.PR.A Perpetual-Premium -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.04
Bid-YTW : 4.37 %
TRP.PR.B FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 4.47 %
BAM.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.01
Evaluated at bid price : 23.85
Bid-YTW : 4.41 %
TRP.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.50 %
TRP.PR.G FixedReset Disc 74.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.H FixedReset Ins Non 168,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
FTS.PR.K FixedReset Disc 37,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.12 %
BAM.PF.F FixedReset Disc 33,370 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.03
Evaluated at bid price : 24.07
Bid-YTW : 4.50 %
TD.PF.D FixedReset Disc 29,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.45 %
PWF.PF.A Perpetual-Discount 29,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.31
Evaluated at bid price : 24.70
Bid-YTW : 4.59 %
CM.PR.P FixedReset Disc 25,012 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.24
Evaluated at bid price : 24.69
Bid-YTW : 3.77 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 24.30 – 25.00
Spot Rate : 0.7000
Average : 0.4597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.04
Evaluated at bid price : 24.30
Bid-YTW : 4.64 %
CU.PR.E Perpetual-Premium Quote: 25.12 – 25.70
Spot Rate : 0.5800
Average : 0.3579

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -2.07 %
TRP.PR.F FloatingReset Quote: 18.31 – 18.90
Spot Rate : 0.5900
Average : 0.4025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.77 %
MIC.PR.A Perpetual-Premium Quote: 27.04 – 27.58
Spot Rate : 0.5400
Average : 0.3717

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.04
Bid-YTW : 4.37 %
CU.PR.C FixedReset Disc Quote: 23.40 – 24.00
Spot Rate : 0.6000
Average : 0.4549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.15 %
BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.25
Spot Rate : 0.6000
Average : 0.4603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %