Category: Market Action

Market Action

July 14, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 2.4198 % 2,714.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.4198 % 4,980.9
Floater 3.20 % 3.21 % 111,284 19.22 3 2.4198 % 2,870.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0258 % 3,694.0
SplitShare 4.63 % 3.98 % 38,592 3.86 6 0.0258 % 4,411.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0258 % 3,441.9
Perpetual-Premium 5.14 % -7.24 % 63,215 0.09 30 0.0729 % 3,291.7
Perpetual-Discount 4.63 % 4.69 % 42,197 16.00 4 0.2836 % 3,933.9
FixedReset Disc 4.04 % 3.70 % 133,305 18.04 40 0.1400 % 2,782.1
Insurance Straight 4.89 % -0.27 % 76,429 0.09 22 0.1231 % 3,718.7
FloatingReset 2.76 % 3.05 % 35,192 19.63 2 0.2780 % 2,614.6
FixedReset Prem 4.84 % 3.24 % 169,864 1.41 33 -0.0248 % 2,745.6
FixedReset Bank Non 1.80 % 2.21 % 84,695 0.54 1 0.0400 % 2,896.6
FixedReset Ins Non 4.07 % 3.54 % 114,907 17.92 20 -0.0995 % 2,925.6
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 3.43 %
BAM.PR.B Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.21 %
GWO.PR.S Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-13
Maturity Price : 25.50
Evaluated at bid price : 26.60
Bid-YTW : -39.41 %
TRP.PR.G FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.66
Evaluated at bid price : 23.65
Bid-YTW : 3.95 %
BIP.PR.A FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 4.66 %
BAM.PR.K Floater 5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 3.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 95,765 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.54 %
SLF.PR.D Insurance Straight 52,547 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.46 %
BMO.PR.S FixedReset Disc 38,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 3.44 %
TD.PF.B FixedReset Disc 32,338 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.83
Evaluated at bid price : 23.71
Bid-YTW : 3.38 %
RY.PR.J FixedReset Disc 31,634 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.96
Evaluated at bid price : 24.20
Bid-YTW : 3.65 %
GWO.PR.N FixedReset Ins Non 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 3.43 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.F Perpetual-Premium Quote: 25.45 – 26.15
Spot Rate : 0.7000
Average : 0.4124

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-13
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -18.53 %
TRP.PR.B FixedReset Disc Quote: 13.56 – 14.10
Spot Rate : 0.5400
Average : 0.3682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 3.91 %
CM.PR.T FixedReset Prem Quote: 25.84 – 26.25
Spot Rate : 0.4100
Average : 0.2588

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc Quote: 19.09 – 19.65
Spot Rate : 0.5600
Average : 0.4293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.26 %
BIP.PR.F FixedReset Prem Quote: 25.35 – 25.80
Spot Rate : 0.4500
Average : 0.3229

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.61 %
IFC.PR.A FixedReset Ins Non Quote: 21.15 – 21.90
Spot Rate : 0.7500
Average : 0.6325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.22 %
Market Action

July 13, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0834 % 2,650.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0834 % 4,863.3
Floater 3.28 % 3.25 % 107,837 19.13 3 -1.0834 % 2,802.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0064 % 3,693.0
SplitShare 4.63 % 3.98 % 39,858 3.87 6 0.0064 % 4,410.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0064 % 3,441.0
Perpetual-Premium 5.14 % -6.82 % 63,176 0.09 30 0.0925 % 3,289.3
Perpetual-Discount 4.65 % 4.61 % 49,820 16.15 4 -0.0708 % 3,922.8
FixedReset Disc 4.05 % 3.69 % 127,676 18.04 40 0.2132 % 2,778.2
Insurance Straight 4.90 % -0.35 % 78,934 0.09 22 -0.0285 % 3,714.2
FloatingReset 2.77 % 3.03 % 34,614 19.66 2 -0.0309 % 2,607.4
FixedReset Prem 4.84 % 3.23 % 176,114 1.41 33 -0.0614 % 2,746.3
FixedReset Bank Non 1.80 % 2.27 % 88,084 0.55 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.55 % 113,962 17.91 20 0.1082 % 2,928.5
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 3.41 %
SLF.PR.G FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 3.58 %
TRP.PR.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.04 %
TRP.PR.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.11 %
GWO.PR.S Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-12
Maturity Price : 25.50
Evaluated at bid price : 26.20
Bid-YTW : -24.04 %
BMO.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.71
Evaluated at bid price : 23.50
Bid-YTW : 3.42 %
BIP.PR.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 4.34 %
BIP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 4.84 %
GWO.PR.N FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 3.37 %
TRP.PR.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.90 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 267,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 21.46
Evaluated at bid price : 21.79
Bid-YTW : 3.84 %
BAM.PR.X FixedReset Disc 212,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.04 %
NA.PR.A FixedReset Prem 166,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.33 %
IFC.PR.G FixedReset Ins Non 124,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 23.77
Evaluated at bid price : 25.50
Bid-YTW : 3.43 %
SLF.PR.C Insurance Straight 70,389 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 4.48 %
SLF.PR.I FixedReset Ins Non 67,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.80 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 23.25 – 24.27
Spot Rate : 1.0200
Average : 0.7014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.04 %
BAM.PR.K Floater Quote: 12.65 – 13.51
Spot Rate : 0.8600
Average : 0.5684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 3.41 %
GWO.PR.S Insurance Straight Quote: 26.20 – 26.80
Spot Rate : 0.6000
Average : 0.3839

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-12
Maturity Price : 25.50
Evaluated at bid price : 26.20
Bid-YTW : -24.04 %
TRP.PR.A FixedReset Disc Quote: 18.20 – 18.80
Spot Rate : 0.6000
Average : 0.4233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.11 %
BAM.PF.C Perpetual-Premium Quote: 24.90 – 25.29
Spot Rate : 0.3900
Average : 0.2464

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.89 %
CM.PR.P FixedReset Disc Quote: 23.42 – 23.87
Spot Rate : 0.4500
Average : 0.3197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.62
Evaluated at bid price : 23.42
Bid-YTW : 3.47 %
Market Action

July 12, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1258 % 2,679.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1258 % 4,916.5
Floater 3.24 % 3.25 % 104,681 19.12 3 -0.1258 % 2,833.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1993 % 3,692.8
SplitShare 4.63 % 3.98 % 40,244 3.87 6 -0.1993 % 4,410.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1993 % 3,440.8
Perpetual-Premium 5.15 % -7.56 % 62,411 0.09 30 -0.0638 % 3,286.3
Perpetual-Discount 4.64 % 4.60 % 50,371 16.16 4 0.2740 % 3,925.6
FixedReset Disc 4.05 % 3.71 % 128,118 18.01 40 -0.0359 % 2,772.3
Insurance Straight 4.90 % 1.43 % 78,180 0.09 22 -0.0303 % 3,715.2
FloatingReset 2.77 % 3.05 % 35,857 19.62 2 -0.0617 % 2,608.2
FixedReset Prem 4.84 % 3.08 % 176,105 1.42 33 -0.1322 % 2,748.0
FixedReset Bank Non 1.80 % 2.26 % 89,017 0.55 1 -0.0798 % 2,895.4
FixedReset Ins Non 4.07 % 3.55 % 115,593 17.93 20 -0.0022 % 2,925.3
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset Prem -1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 4.03 %
BIP.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 23.67
Evaluated at bid price : 25.01
Bid-YTW : 4.96 %
CU.PR.F Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 24.53
Evaluated at bid price : 24.80
Bid-YTW : 4.58 %
SLF.PR.G FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 3.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.D FixedReset Prem 156,594 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.00 %
BIP.PR.C FixedReset Prem 149,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.12 %
RY.PR.R FixedReset Prem 84,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 0.88 %
TD.PF.H FixedReset Prem 47,169 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.64 %
TD.PF.I FixedReset Prem 43,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.60 %
BAM.PF.E FixedReset Disc 41,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.14 %
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: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.7434

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.29 %
TD.PF.J FixedReset Prem Quote: 25.09 – 25.80
Spot Rate : 0.7100
Average : 0.4564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 23.67
Evaluated at bid price : 25.09
Bid-YTW : 3.61 %
BAM.PR.R FixedReset Disc Quote: 18.97 – 19.65
Spot Rate : 0.6800
Average : 0.4463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.29 %
MFC.PR.M FixedReset Ins Non Quote: 23.20 – 23.90
Spot Rate : 0.7000
Average : 0.4702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 22.51
Evaluated at bid price : 23.20
Bid-YTW : 3.61 %
BAM.PR.X FixedReset Disc Quote: 17.00 – 18.00
Spot Rate : 1.0000
Average : 0.7761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.04 %
PWF.PR.T FixedReset Disc Quote: 23.42 – 23.99
Spot Rate : 0.5700
Average : 0.3743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 22.74
Evaluated at bid price : 23.42
Bid-YTW : 3.59 %
Market Action

July 9, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3029 % 2,682.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3029 % 4,922.7
Floater 3.24 % 3.25 % 102,081 19.12 3 0.3029 % 2,837.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1223 % 3,700.1
SplitShare 4.62 % 3.74 % 40,796 3.36 6 0.1223 % 4,418.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1223 % 3,447.7
Perpetual-Premium 5.14 % -6.21 % 63,372 0.09 30 0.0508 % 3,288.4
Perpetual-Discount 4.66 % 4.67 % 44,967 16.04 4 -0.4848 % 3,914.8
FixedReset Disc 4.05 % 3.68 % 130,347 18.02 40 0.1832 % 2,773.3
Insurance Straight 4.90 % 0.94 % 78,345 0.09 22 -0.0410 % 3,716.3
FloatingReset 2.77 % 3.05 % 36,376 19.63 2 0.5275 % 2,609.8
FixedReset Prem 4.83 % 2.98 % 178,961 1.43 33 0.0803 % 2,751.6
FixedReset Bank Non 1.80 % 1.98 % 86,490 0.13 1 0.0799 % 2,897.8
FixedReset Ins Non 4.07 % 3.55 % 116,696 17.95 20 0.0325 % 2,925.4
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.65 %
GWO.PR.N FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 3.42 %
RY.PR.P Perpetual-Premium -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 26.00
Evaluated at bid price : 26.51
Bid-YTW : -10.64 %
TRP.PR.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 4.02 %
TD.PF.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 22.91
Evaluated at bid price : 24.20
Bid-YTW : 3.71 %
BAM.PR.X FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.02 %
IFC.PR.C FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 23.87
Evaluated at bid price : 24.75
Bid-YTW : 3.58 %
BIP.PR.B FixedReset Prem 1.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.61 %
TRP.PR.G FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 22.68
Evaluated at bid price : 23.70
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset Prem 196,820 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.19 %
BMO.PR.S FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 22.93
Evaluated at bid price : 23.86
Bid-YTW : 3.47 %
PWF.PR.K Perpetual-Premium 86,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 1.32 %
IFC.PR.A FixedReset Ins Non 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.22 %
BIP.PR.D FixedReset Prem 28,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.96 %
TD.PF.H FixedReset Prem 22,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.34 %
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.I FixedReset Prem Quote: 26.51 – 27.22
Spot Rate : 0.7100
Average : 0.5447

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 3.15 %
CU.PR.F Perpetual-Discount Quote: 24.40 – 24.99
Spot Rate : 0.5900
Average : 0.4288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.65 %
TRP.PR.F FloatingReset Quote: 16.90 – 17.70
Spot Rate : 0.8000
Average : 0.6487

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.05 %
IAF.PR.B Insurance Straight Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2660

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 1.11 %
RY.PR.P Perpetual-Premium Quote: 26.51 – 26.80
Spot Rate : 0.2900
Average : 0.1805

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-08
Maturity Price : 26.00
Evaluated at bid price : 26.51
Bid-YTW : -10.64 %
IFC.PR.F Insurance Straight Quote: 26.17 – 26.50
Spot Rate : 0.3300
Average : 0.2328

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.17
Bid-YTW : 4.36 %
Market Action

July 8, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2518 % 2,674.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2518 % 4,907.9
Floater 3.25 % 3.26 % 101,967 19.11 3 -0.2518 % 2,828.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,695.6
SplitShare 4.63 % 3.86 % 41,092 3.88 6 0.0000 % 4,413.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,443.5
Perpetual-Premium 5.15 % -6.38 % 62,252 0.09 30 -0.5456 % 3,286.7
Perpetual-Discount 4.63 % 4.68 % 45,678 16.04 4 -0.0706 % 3,933.9
FixedReset Disc 4.06 % 3.72 % 134,001 17.92 40 -0.5154 % 2,768.2
Insurance Straight 4.90 % -1.22 % 79,405 0.09 22 -0.1104 % 3,717.9
FloatingReset 2.80 % 3.06 % 35,985 19.59 2 -0.5247 % 2,596.1
FixedReset Prem 4.84 % 2.99 % 181,579 1.43 33 -0.5543 % 2,749.4
FixedReset Bank Non 1.80 % 2.28 % 90,054 0.56 1 -0.0798 % 2,895.4
FixedReset Ins Non 4.08 % 3.60 % 120,865 17.83 20 -0.5962 % 2,924.5
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.52 %
BAM.PR.X FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 4.16 %
CM.PR.Y FixedReset Prem -1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.29
Bid-YTW : 3.29 %
TRP.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.21 %
TRP.PR.D FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.21 %
BAM.PF.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 22.10
Evaluated at bid price : 22.61
Bid-YTW : 4.10 %
CU.PR.I FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 2.90 %
IFC.PR.C FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.49
Evaluated at bid price : 24.46
Bid-YTW : 3.69 %
GWO.PR.N FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 3.46 %
BAM.PF.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.07
Evaluated at bid price : 23.92
Bid-YTW : 4.18 %
TRP.PR.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
IFC.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 3.54 %
SLF.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 22.51
Evaluated at bid price : 23.45
Bid-YTW : 3.32 %
MFC.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 2.72 %
BMO.PR.T FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 22.57
Evaluated at bid price : 23.25
Bid-YTW : 3.53 %
TRP.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.12 %
CU.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.95 %
TRP.PR.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.05 %
NA.PR.S FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.07
Evaluated at bid price : 24.15
Bid-YTW : 3.51 %
PWF.PR.P FixedReset Disc 5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 218,607 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.93 %
IFC.PR.G FixedReset Ins Non 70,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 3.54 %
NA.PR.A FixedReset Prem 52,775 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.16 %
BIP.PR.C FixedReset Prem 42,368 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.50 %
NA.PR.S FixedReset Disc 41,214 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.07
Evaluated at bid price : 24.15
Bid-YTW : 3.51 %
TRP.PR.D FixedReset Disc 39,974 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.21 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 25.25 – 26.69
Spot Rate : 1.4400
Average : 0.8346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 3.54 %
TRP.PR.D FixedReset Disc Quote: 20.52 – 21.00
Spot Rate : 0.4800
Average : 0.3165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.21 %
TRP.PR.C FixedReset Disc Quote: 14.61 – 15.24
Spot Rate : 0.6300
Average : 0.4707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.12 %
IFC.PR.E Insurance Straight Quote: 26.03 – 26.71
Spot Rate : 0.6800
Average : 0.5518

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.03
Bid-YTW : 4.36 %
TRP.PR.E FixedReset Disc Quote: 20.32 – 20.70
Spot Rate : 0.3800
Average : 0.2541

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.21 %
IFC.PR.I Perpetual-Premium Quote: 26.60 – 27.45
Spot Rate : 0.8500
Average : 0.7290

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 4.46 %
Market Action

July 7, 2021

PerpetualDiscounts now yield 4.63%, equivalent to 6.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.21%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is narrower at 281bp than the 315bp reported March 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 0.00 % 0.00 % 0 0.00 0 -0.3762 % 2,681.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3762 % 4,920.2
Floater 3.24 % 3.26 % 97,724 19.12 3 -0.3762 % 2,835.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,695.6
SplitShare 4.63 % 3.82 % 42,673 3.37 6 0.0902 % 4,413.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,443.5
Perpetual-Premium 5.12 % -7.79 % 62,727 0.09 30 0.1714 % 3,304.7
Perpetual-Discount 4.63 % 4.68 % 47,543 16.03 4 0.0808 % 3,936.7
FixedReset Disc 4.04 % 3.74 % 133,742 17.85 40 0.1972 % 2,782.5
Insurance Straight 4.89 % -1.62 % 80,550 0.09 22 0.1570 % 3,722.0
FloatingReset 2.79 % 3.04 % 36,173 19.66 2 0.3096 % 2,609.8
FixedReset Prem 4.81 % 2.66 % 183,008 1.43 33 0.2095 % 2,764.7
FixedReset Bank Non 1.80 % 1.90 % 91,434 0.13 1 0.0799 % 2,897.8
FixedReset Ins Non 4.05 % 3.59 % 121,326 17.91 20 0.3976 % 2,942.0
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.09 %
CU.PR.E Perpetual-Premium -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 24.72
Evaluated at bid price : 25.00
Bid-YTW : 4.94 %
RY.PR.J FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 3.74 %
SLF.PR.G FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.63 %
IFC.PR.I Perpetual-Premium -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.52 %
BIP.PR.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 21.80
Evaluated at bid price : 22.16
Bid-YTW : 5.01 %
PWF.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 23.00
Evaluated at bid price : 23.92
Bid-YTW : 3.62 %
TRP.PR.B FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 4.02 %
MFC.PR.H FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 1.16 %
GWO.PR.N FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.42 %
TRP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.01 %
MFC.PR.F FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 3.42 %
CU.PR.H Perpetual-Premium 3.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.93
Bid-YTW : 3.81 %
BAM.PR.X FixedReset Disc 13.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 4.06 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 167,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 21.48
Evaluated at bid price : 21.82
Bid-YTW : 3.91 %
CIU.PR.A Perpetual-Discount 72,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 24.54
Evaluated at bid price : 24.79
Bid-YTW : 4.68 %
PWF.PR.P FixedReset Disc 50,984 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 3.81 %
TRP.PR.D FixedReset Disc 44,362 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.14 %
TRP.PR.E FixedReset Disc 40,588 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.14 %
BAM.PF.E FixedReset Disc 39,072 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.20 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.I Perpetual-Premium Quote: 26.50 – 27.45
Spot Rate : 0.9500
Average : 0.5963

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.52 %
BIP.PR.B FixedReset Prem Quote: 26.86 – 27.86
Spot Rate : 1.0000
Average : 0.7353

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.73 %
TRP.PR.G FixedReset Disc Quote: 23.25 – 24.06
Spot Rate : 0.8100
Average : 0.5626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.09 %
RY.PR.J FixedReset Disc Quote: 24.00 – 24.60
Spot Rate : 0.6000
Average : 0.3932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 3.74 %
CU.PR.E Perpetual-Premium Quote: 25.00 – 25.45
Spot Rate : 0.4500
Average : 0.3074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 24.72
Evaluated at bid price : 25.00
Bid-YTW : 4.94 %
TD.PF.J FixedReset Prem Quote: 25.40 – 25.80
Spot Rate : 0.4000
Average : 0.2747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 23.77
Evaluated at bid price : 25.40
Bid-YTW : 3.67 %
Market Action

July 6, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5549 % 2,691.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5549 % 4,938.8
Floater 3.23 % 3.24 % 93,259 19.17 3 0.5549 % 2,846.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1871 % 3,692.3
SplitShare 4.63 % 3.91 % 43,167 3.89 6 0.1871 % 4,409.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1871 % 3,440.4
Perpetual-Premium 5.13 % -4.84 % 61,262 0.09 30 -0.0013 % 3,299.1
Perpetual-Discount 4.63 % 4.69 % 47,494 16.02 4 0.2531 % 3,933.5
FixedReset Disc 4.05 % 3.76 % 133,536 17.83 40 0.1324 % 2,777.1
Insurance Straight 4.90 % -0.32 % 80,999 0.09 22 0.0946 % 3,716.1
FloatingReset 2.79 % 3.06 % 36,479 19.60 2 1.0638 % 2,601.8
FixedReset Prem 4.82 % 2.71 % 183,994 1.43 33 0.0707 % 2,758.9
FixedReset Bank Non 1.80 % 2.26 % 94,585 0.57 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.58 % 118,986 17.85 20 0.0281 % 2,930.3
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -11.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.59 %
CU.PR.H Perpetual-Premium -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.30 %
MFC.PR.F FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.51 %
NA.PR.G FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.52
Evaluated at bid price : 25.05
Bid-YTW : 3.77 %
TRP.PR.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.06 %
RY.PR.M FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 22.71
Evaluated at bid price : 23.76
Bid-YTW : 3.63 %
BAM.PR.Z FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.36
Evaluated at bid price : 23.79
Bid-YTW : 4.22 %
RY.PR.J FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.04
Evaluated at bid price : 24.40
Bid-YTW : 3.66 %
BAM.PR.K Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 3.23 %
NA.PR.C FixedReset Prem 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 1.42 %
TRP.PR.F FloatingReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.06 %
SLF.PR.G FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 3.59 %
TRP.PR.G FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 22.82
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
TRP.PR.C FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 265,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.46 %
PWF.PR.P FixedReset Disc 54,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 3.81 %
MFC.PR.G FixedReset Ins Non 30,651 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 24.41
Evaluated at bid price : 24.96
Bid-YTW : 3.90 %
TRP.PR.D FixedReset Disc 29,997 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.13 %
BMO.PR.E FixedReset Prem 27,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.61
Evaluated at bid price : 25.32
Bid-YTW : 3.69 %
TRP.PR.E FixedReset Disc 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.14 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 15.32 – 17.55
Spot Rate : 2.2300
Average : 1.4083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.59 %
CU.PR.H Perpetual-Premium Quote: 25.00 – 26.18
Spot Rate : 1.1800
Average : 0.7694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.30 %
TRP.PR.F FloatingReset Quote: 16.90 – 17.90
Spot Rate : 1.0000
Average : 0.7887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.06 %
BAM.PR.R FixedReset Disc Quote: 19.15 – 19.85
Spot Rate : 0.7000
Average : 0.4957

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.34 %
NA.PR.C FixedReset Prem Quote: 25.90 – 26.48
Spot Rate : 0.5800
Average : 0.4046

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 1.42 %
MFC.PR.F FixedReset Ins Non Quote: 17.26 – 17.75
Spot Rate : 0.4900
Average : 0.3792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.51 %
Market Action

July 5, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.7449 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7449 % 4,911.6
Floater 3.24 % 3.26 % 93,365 19.11 3 1.7449 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1289 % 3,685.4
SplitShare 4.64 % 3.98 % 42,827 3.37 6 -0.1289 % 4,401.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1289 % 3,433.9
Perpetual-Premium 5.13 % -4.07 % 62,083 0.09 30 0.0286 % 3,299.1
Perpetual-Discount 4.65 % 4.59 % 53,817 16.20 4 0.7241 % 3,923.6
FixedReset Disc 4.05 % 3.78 % 135,410 17.81 40 0.3693 % 2,773.4
Insurance Straight 4.90 % 0.50 % 81,703 0.09 22 -0.1017 % 3,712.6
FloatingReset 2.82 % 3.12 % 37,925 19.45 2 -0.8992 % 2,574.4
FixedReset Prem 4.82 % 2.81 % 186,828 1.44 33 -0.2631 % 2,757.0
FixedReset Bank Non 1.80 % 2.25 % 98,068 0.57 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.59 % 118,215 17.85 20 0.0151 % 2,929.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 3.12 %
NA.PR.G FixedReset Prem -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.43
Evaluated at bid price : 24.80
Bid-YTW : 3.83 %
GWO.PR.T Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.21
Bid-YTW : 4.10 %
TRP.PR.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
CM.PR.Q FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 3.83 %
NA.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.96
Evaluated at bid price : 23.92
Bid-YTW : 3.56 %
NA.PR.W FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.70
Evaluated at bid price : 23.60
Bid-YTW : 3.47 %
TRP.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 4.04 %
CM.PR.P FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.71
Evaluated at bid price : 23.60
Bid-YTW : 3.49 %
BAM.PR.X FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.08 %
BAM.PF.A FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.21
Evaluated at bid price : 24.23
Bid-YTW : 4.11 %
TRP.PR.D FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.13 %
BMO.PR.Y FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.93
Evaluated at bid price : 24.20
Bid-YTW : 3.64 %
CIU.PR.A Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.72 %
BAM.PF.G FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.29
Evaluated at bid price : 22.91
Bid-YTW : 4.04 %
BAM.PF.F FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.94
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
TRP.PR.A FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.11 %
BAM.PR.K Floater 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.C Perpetual-Premium 91,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 24.61
Evaluated at bid price : 24.86
Bid-YTW : 4.90 %
RY.PR.Z FixedReset Disc 38,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.73
Evaluated at bid price : 23.49
Bid-YTW : 3.47 %
W.PR.M FixedReset Prem 28,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.10 %
TRP.PR.B FixedReset Disc 27,752 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
TD.PF.K FixedReset Prem 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.58
Evaluated at bid price : 25.20
Bid-YTW : 3.63 %
PWF.PR.P FixedReset Disc 25,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.81 %
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: 16.38 – 24.68
Spot Rate : 8.3000
Average : 4.6373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.81 %
BIP.PR.A FixedReset Disc Quote: 22.35 – 23.20
Spot Rate : 0.8500
Average : 0.5691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 21.93
Evaluated at bid price : 22.35
Bid-YTW : 4.96 %
NA.PR.G FixedReset Prem Quote: 24.80 – 25.39
Spot Rate : 0.5900
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.43
Evaluated at bid price : 24.80
Bid-YTW : 3.83 %
CM.PR.Q FixedReset Disc Quote: 23.45 – 23.99
Spot Rate : 0.5400
Average : 0.3509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 3.83 %
IFC.PR.A FixedReset Ins Non Quote: 20.80 – 21.90
Spot Rate : 1.1000
Average : 0.9170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.35 %
TRP.PR.C FixedReset Disc Quote: 14.42 – 15.24
Spot Rate : 0.8200
Average : 0.6561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.17 %
Market Action

July 2, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5360 % 2,630.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5360 % 4,827.3
Floater 3.30 % 3.27 % 93,533 19.09 3 -0.5360 % 2,782.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1549 % 3,690.2
SplitShare 4.63 % 3.84 % 44,263 3.38 6 0.1549 % 4,406.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1549 % 3,438.4
Perpetual-Premium 5.13 % -3.16 % 64,643 0.09 30 0.0195 % 3,298.2
Perpetual-Discount 4.68 % 4.60 % 54,271 16.19 4 -1.1094 % 3,895.4
FixedReset Disc 4.07 % 3.75 % 139,029 17.86 40 -0.1226 % 2,763.2
Insurance Straight 4.90 % -0.41 % 82,911 0.09 22 -0.0071 % 3,716.4
FloatingReset 2.81 % 3.07 % 37,716 19.57 2 -0.3399 % 2,597.7
FixedReset Prem 4.81 % 2.79 % 194,476 1.45 33 0.1423 % 2,764.3
FixedReset Bank Non 1.80 % 2.18 % 101,597 0.58 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.52 % 122,812 17.92 20 -0.0713 % 2,929.1
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.12 %
CIU.PR.A Perpetual-Discount -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.84 %
TRP.PR.A FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.18 %
BAM.PF.A FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.02
Evaluated at bid price : 23.84
Bid-YTW : 4.15 %
GWO.PR.N FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 3.41 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.25 %
BAM.PR.Z FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.24
Evaluated at bid price : 23.67
Bid-YTW : 4.20 %
TRP.PR.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.05 %
BMO.PR.F FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 2.49 %
MIC.PR.A Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 4.51 %
NA.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.60
Evaluated at bid price : 24.95
Bid-YTW : 3.59 %
BMO.PR.E FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.66
Evaluated at bid price : 25.50
Bid-YTW : 3.61 %
TD.PF.K FixedReset Prem 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.57
Evaluated at bid price : 25.18
Bid-YTW : 3.60 %
IFC.PR.A FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.31 %
BAM.PF.F FixedReset Disc 5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 22.62
Evaluated at bid price : 23.36
Bid-YTW : 4.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 339,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 3.76 %
BMO.PR.C FixedReset Prem 321,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 2.92 %
BNS.PR.H FixedReset Prem 28,581 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 1.66 %
RY.PR.R FixedReset Prem 12,794 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 0.99 %
PWF.PR.R Perpetual-Premium 12,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-01
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : -15.26 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Discount Quote: 23.95 – 24.95
Spot Rate : 1.0000
Average : 0.5927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.84 %
BAM.PR.X FixedReset Disc Quote: 17.00 – 18.00
Spot Rate : 1.0000
Average : 0.6908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.08 %
TRP.PR.A FixedReset Disc Quote: 18.01 – 18.94
Spot Rate : 0.9300
Average : 0.6262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.18 %
TRP.PR.C FixedReset Disc Quote: 14.42 – 15.15
Spot Rate : 0.7300
Average : 0.4765

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.12 %
SLF.PR.G FixedReset Ins Non Quote: 15.88 – 16.50
Spot Rate : 0.6200
Average : 0.4511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 3.58 %
PWF.PR.R Perpetual-Premium Quote: 25.68 – 26.39
Spot Rate : 0.7100
Average : 0.5479

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-01
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : -15.26 %
Market Action

June 30, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5836 % 2,644.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5836 % 4,853.3
Floater 3.28 % 3.24 % 97,084 19.11 3 -0.5836 % 2,797.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2383 % 3,684.4
SplitShare 4.64 % 4.02 % 45,759 3.39 6 -0.2383 % 4,400.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2383 % 3,433.1
Perpetual-Premium 5.13 % -3.50 % 65,269 0.09 30 -0.0805 % 3,297.5
Perpetual-Discount 4.63 % 4.56 % 56,485 16.25 4 0.2224 % 3,939.1
FixedReset Disc 4.06 % 3.77 % 142,285 17.90 40 -0.2904 % 2,766.6
Insurance Straight 4.90 % 0.47 % 85,998 0.09 22 0.2288 % 3,716.7
FloatingReset 2.80 % 3.04 % 39,196 19.61 2 0.2168 % 2,606.6
FixedReset Prem 4.82 % 2.95 % 202,069 1.45 33 -0.2546 % 2,760.3
FixedReset Bank Non 1.80 % 2.16 % 103,211 0.58 1 -0.0399 % 2,895.4
FixedReset Ins Non 4.07 % 3.51 % 123,936 17.97 20 0.1276 % 2,931.2
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 21.86
Evaluated at bid price : 22.17
Bid-YTW : 4.35 %
BAM.PR.K Floater -4.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.41 %
TRP.PR.A FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.07 %
BMO.PR.E FixedReset Prem -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.54
Evaluated at bid price : 25.15
Bid-YTW : 3.68 %
TD.PF.K FixedReset Prem -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.40
Evaluated at bid price : 24.71
Bid-YTW : 3.71 %
TRP.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.12 %
BAM.PR.X FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 4.04 %
TRP.PR.D FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 4.16 %
BIP.PR.B FixedReset Prem -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.58
Bid-YTW : 3.98 %
EIT.PR.A SplitShare -1.16 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.02 %
NA.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.49
Evaluated at bid price : 24.67
Bid-YTW : 3.64 %
IFC.PR.C FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.91
Evaluated at bid price : 24.75
Bid-YTW : 3.61 %
SLF.PR.D Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.45 %
MFC.PR.F FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 3.34 %
BAM.PR.Z FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.54
Evaluated at bid price : 23.95
Bid-YTW : 4.15 %
BAM.PR.B Floater 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 3.19 %
TRP.PR.G FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 132,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.01 %
BMO.PR.S FixedReset Disc 123,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 22.87
Evaluated at bid price : 23.75
Bid-YTW : 3.51 %
TRP.PR.K FixedReset Prem 88,883 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 3.36 %
CU.PR.C FixedReset Disc 52,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 3.86 %
TD.PF.C FixedReset Disc 36,839 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 3.49 %
MFC.PR.K FixedReset Ins Non 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.03
Evaluated at bid price : 23.85
Bid-YTW : 3.42 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 22.17 – 24.02
Spot Rate : 1.8500
Average : 1.2628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 21.86
Evaluated at bid price : 22.17
Bid-YTW : 4.35 %
GWO.PR.M Insurance Straight Quote: 25.80 – 26.80
Spot Rate : 1.0000
Average : 0.6436

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -30.05 %
BAM.PR.K Floater Quote: 12.57 – 13.30
Spot Rate : 0.7300
Average : 0.4638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.41 %
TD.PF.K FixedReset Prem Quote: 24.71 – 25.27
Spot Rate : 0.5600
Average : 0.3427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.40
Evaluated at bid price : 24.71
Bid-YTW : 3.71 %
IFC.PR.A FixedReset Ins Non Quote: 20.31 – 21.24
Spot Rate : 0.9300
Average : 0.7780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 3.39 %
BIP.PR.B FixedReset Prem Quote: 26.58 – 27.43
Spot Rate : 0.8500
Average : 0.7217

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.58
Bid-YTW : 3.98 %