Category: Market Action

Market Action

January 13, 2022

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

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

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

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

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

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

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

January 12, 2022

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.45 % 41,622 20.11 1 0.0490 % 2,906.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3470 % 5,373.6
Floater 2.97 % 2.98 % 52,622 19.79 3 0.3470 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5014 % 3,644.5
SplitShare 4.71 % 4.43 % 29,739 3.58 6 -0.5014 % 4,352.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5014 % 3,395.9
Perpetual-Premium 5.15 % -17.53 % 49,479 0.09 24 -0.0375 % 3,256.6
Perpetual-Discount 4.68 % 4.80 % 47,038 15.79 7 0.9175 % 3,883.4
FixedReset Disc 3.93 % 3.93 % 116,463 16.80 46 0.1095 % 2,891.9
Insurance Straight 4.87 % 3.39 % 82,269 0.46 17 -0.0467 % 3,673.9
FloatingReset 2.64 % 3.01 % 34,847 19.73 2 0.7100 % 2,878.1
FixedReset Prem 4.73 % 2.96 % 105,106 1.76 25 -0.0918 % 2,731.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1095 % 2,956.1
FixedReset Ins Non 4.07 % 3.77 % 70,219 17.01 17 0.2102 % 2,987.3
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.56
Evaluated at bid price : 22.85
Bid-YTW : 4.59 %
RS.PR.A SplitShare -2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.38
Bid-YTW : 4.22 %
MFC.PR.L FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 4.10 %
TD.PF.J FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.91 %
NA.PR.E FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.75
Evaluated at bid price : 24.90
Bid-YTW : 4.07 %
BMO.PR.W FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.10
Evaluated at bid price : 24.24
Bid-YTW : 3.84 %
PWF.PF.A Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.59 %
TD.PF.M FixedReset Prem 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 2.85 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.40
Evaluated at bid price : 21.71
Bid-YTW : 3.74 %
CU.PR.G Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.62 %
BAM.PR.R FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.42 %
TRP.PR.B FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.54 %
CU.PR.F Perpetual-Discount 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 24.33
Evaluated at bid price : 24.58
Bid-YTW : 4.62 %
BAM.PF.F FixedReset Disc 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.08
Evaluated at bid price : 24.13
Bid-YTW : 4.45 %
MFC.PR.F FixedReset Ins Non 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 3.70 %
TRP.PR.C FixedReset Disc 7.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.Q FixedReset Ins Non 60,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.83
Evaluated at bid price : 25.20
Bid-YTW : 4.02 %
BAM.PF.E FixedReset Disc 52,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 4.54 %
MFC.PR.K FixedReset Ins Non 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.89
Evaluated at bid price : 24.24
Bid-YTW : 3.92 %
CM.PR.P FixedReset Disc 45,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.12
Evaluated at bid price : 24.35
Bid-YTW : 3.80 %
TD.PF.C FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.15
Evaluated at bid price : 24.41
Bid-YTW : 3.79 %
RY.PR.M FixedReset Disc 28,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.76 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Premium Quote: 25.25 – 25.79
Spot Rate : 0.5400
Average : 0.3192

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

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

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

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

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

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

January 11, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.46 % 40,825 20.11 1 0.7411 % 2,904.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1158 % 5,355.0
Floater 2.98 % 2.99 % 52,478 19.77 3 0.1158 % 3,086.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.6092 % 3,662.9
SplitShare 4.69 % 4.33 % 30,976 3.59 6 0.6092 % 4,374.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6092 % 3,413.0
Perpetual-Premium 5.15 % -14.56 % 47,960 0.09 24 0.2976 % 3,257.8
Perpetual-Discount 4.73 % 4.80 % 45,233 15.80 7 -0.0117 % 3,848.1
FixedReset Disc 3.93 % 3.90 % 117,297 16.75 46 1.2254 % 2,888.8
Insurance Straight 4.87 % 0.97 % 82,411 0.46 17 0.4811 % 3,675.6
FloatingReset 2.66 % 3.03 % 34,259 19.67 2 0.0568 % 2,857.8
FixedReset Prem 4.72 % 2.86 % 105,494 1.72 25 -0.2281 % 2,733.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2254 % 2,952.9
FixedReset Ins Non 4.08 % 3.86 % 67,211 17.00 17 -0.2803 % 2,981.0
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
BAM.PF.F FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.61 %
MFC.PR.M FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.73
Evaluated at bid price : 23.50
Bid-YTW : 4.10 %
CM.PR.Y FixedReset Prem -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.09 %
TD.PF.D FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.90 %
NA.PR.G FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.70
Evaluated at bid price : 25.21
Bid-YTW : 4.21 %
MFC.PR.Q FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.82
Evaluated at bid price : 25.17
Bid-YTW : 4.03 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.64 %
TD.PF.L FixedReset Prem -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 2.72 %
POW.PR.G Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-10
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : -23.48 %
SLF.PR.D Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 24.32
Evaluated at bid price : 24.63
Bid-YTW : 4.53 %
FTS.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.06 %
SLF.PR.C Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 4.54 %
GWO.PR.H Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -3.07 %
FTS.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.43
Evaluated at bid price : 22.80
Bid-YTW : 4.09 %
RS.PR.A SplitShare 2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.62
Bid-YTW : 3.58 %
IFC.PR.A FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.82 %
BAM.PR.X FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.39 %
BAM.PF.B FixedReset Disc 3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.98
Evaluated at bid price : 23.75
Bid-YTW : 4.38 %
TRP.PR.G FixedReset Disc 93.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.93
Evaluated at bid price : 24.15
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.D FixedReset Prem 101,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 3.01 %
BMO.PR.C FixedReset Prem 97,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 2.45 %
BAM.PF.A FixedReset Disc 74,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.75
Evaluated at bid price : 25.25
Bid-YTW : 4.37 %
MFC.PR.R FixedReset Ins Non 55,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.14 %
BMO.PR.B FixedReset Prem 53,740 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.79 %
BAM.PR.Z FixedReset Disc 40,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.97
Evaluated at bid price : 25.08
Bid-YTW : 4.44 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 18.30 – 19.36
Spot Rate : 1.0600
Average : 0.6709

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

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

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

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

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

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

January 10, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.03 % 3.49 % 40,533 20.07 1 0.5464 % 2,883.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8951 % 5,348.8
Floater 2.98 % 3.00 % 52,922 19.75 3 -0.8951 % 3,082.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3980 % 3,640.7
SplitShare 4.72 % 4.37 % 31,463 3.58 6 -0.3980 % 4,347.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3980 % 3,392.3
Perpetual-Premium 5.17 % -9.93 % 48,350 0.09 24 -0.1453 % 3,248.2
Perpetual-Discount 4.73 % 4.81 % 45,422 15.78 7 -0.0701 % 3,848.6
FixedReset Disc 3.98 % 3.89 % 121,806 16.55 46 -0.8016 % 2,853.8
Insurance Straight 4.89 % 4.59 % 82,540 15.64 17 -0.1149 % 3,658.0
FloatingReset 2.66 % 3.03 % 34,589 19.66 2 0.8598 % 2,856.2
FixedReset Prem 4.71 % 2.88 % 106,827 1.77 25 0.0233 % 2,740.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.8016 % 2,917.2
FixedReset Ins Non 4.06 % 3.77 % 64,589 17.02 17 0.3192 % 2,989.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -48.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.44 %
BAM.PF.B FixedReset Disc -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.44
Evaluated at bid price : 22.84
Bid-YTW : 4.59 %
TD.PF.M FixedReset Prem -2.62 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.36 %
BAM.PR.R FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.57 %
IFC.PR.A FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.91 %
GWO.PR.H Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.91 %
POW.PR.G Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-09
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -11.45 %
PVS.PR.H SplitShare -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.65 %
BAM.PR.K Floater -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 3.00 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.29 %
BMO.PR.Y FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.42 %
TD.PF.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.20 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.59 %
CM.PR.Y FixedReset Prem 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.31 %
TD.PF.J FixedReset Prem 1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.92 %
FTS.PR.H FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.11 %
SLF.PR.J FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.32 %
GWO.PR.N FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.80 %
MFC.PR.N FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.76
Evaluated at bid price : 23.62
Bid-YTW : 3.99 %
SLF.PR.H FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.38
Evaluated at bid price : 23.15
Bid-YTW : 3.77 %
PWF.PR.P FixedReset Disc 5.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.14 %
TRP.PR.E FixedReset Disc 5.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
BAM.PF.E FixedReset Disc 6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.89
Evaluated at bid price : 22.21
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 50,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.75 %
CU.PR.J Perpetual-Premium 46,543 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.72 %
GWO.PR.Y Insurance Straight 42,995 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.46 %
PWF.PF.A Perpetual-Discount 35,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.48 %
TRP.PR.E FixedReset Disc 31,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
TRP.PR.A FixedReset Disc 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.52 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.19
Spot Rate : 11.6900
Average : 7.6413

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

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

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

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

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

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

January 7, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.04 % 3.52 % 40,681 20.05 1 0.0497 % 2,867.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4435 % 5,397.1
Floater 2.95 % 2.96 % 53,524 19.84 3 1.4435 % 3,110.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,655.2
SplitShare 4.70 % 4.26 % 31,510 3.58 6 0.2223 % 4,365.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,405.9
Perpetual-Premium 5.17 % -15.39 % 43,303 0.09 23 -0.2827 % 3,252.9
Perpetual-Discount 4.77 % 4.83 % 51,086 15.77 11 -0.1035 % 3,851.3
FixedReset Disc 3.92 % 4.00 % 102,999 17.00 42 1.2319 % 2,876.9
Insurance Straight 4.90 % 4.50 % 81,049 3.37 18 -0.1545 % 3,662.2
FloatingReset 2.63 % 2.98 % 34,040 19.81 2 0.0000 % 2,831.9
FixedReset Prem 4.69 % 2.82 % 118,336 1.78 28 -0.0750 % 2,739.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2319 % 2,940.7
FixedReset Ins Non 4.08 % 3.71 % 67,247 17.30 17 -0.0076 % 2,979.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -6.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.20 %
TRP.PR.C FixedReset Disc -5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.46 %
TRP.PR.E FixedReset Disc -5.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.68 %
MFC.PR.N FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.95 %
SLF.PR.H FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.02
Evaluated at bid price : 22.55
Bid-YTW : 3.78 %
TD.PF.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.54 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.50 %
SLF.PR.C Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 23.88
Evaluated at bid price : 24.13
Bid-YTW : 4.63 %
TRP.PR.B FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.48 %
IAF.PR.B Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 4.71 %
SLF.PR.G FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 3.53 %
TD.PF.M FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.24 %
TD.PF.L FixedReset Prem 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.20 %
BAM.PR.C Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 2.98 %
BAM.PR.B Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.95 %
TD.PF.C FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 23.23
Evaluated at bid price : 24.62
Bid-YTW : 3.63 %
BAM.PR.K Floater 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.96 %
CIU.PR.A Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.79 %
BAM.PF.G FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.67
Evaluated at bid price : 23.50
Bid-YTW : 4.28 %
TRP.PR.A FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 4.38 %
BAM.PF.F FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.99
Evaluated at bid price : 23.95
Bid-YTW : 4.37 %
BAM.PR.Z FixedReset Disc 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 24.64
Evaluated at bid price : 24.98
Bid-YTW : 4.38 %
BAM.PR.T FixedReset Disc 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.41 %
BAM.PF.B FixedReset Disc 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.96
Evaluated at bid price : 23.72
Bid-YTW : 4.26 %
TRP.PR.G FixedReset Disc 92.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.88
Evaluated at bid price : 24.04
Bid-YTW : 4.27 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.H FixedReset Ins Non 356,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.02
Evaluated at bid price : 22.55
Bid-YTW : 3.78 %
PWF.PR.P FixedReset Disc 242,801 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.20 %
TD.PF.J FixedReset Prem 188,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 23.84
Evaluated at bid price : 25.12
Bid-YTW : 4.02 %
BAM.PR.R FixedReset Disc 110,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 4.37 %
TRP.PR.A FixedReset Disc 54,567 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 4.38 %
CM.PR.P FixedReset Disc 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 23.09
Evaluated at bid price : 24.28
Bid-YTW : 3.70 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.87
Spot Rate : 1.5700
Average : 0.9274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.46 %
PWF.PR.P FixedReset Disc Quote: 16.60 – 18.50
Spot Rate : 1.9000
Average : 1.3104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.20 %
TRP.PR.E FixedReset Disc Quote: 20.05 – 21.70
Spot Rate : 1.6500
Average : 1.1798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.68 %
SLF.PR.H FixedReset Ins Non Quote: 22.55 – 23.47
Spot Rate : 0.9200
Average : 0.6483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 22.02
Evaluated at bid price : 22.55
Bid-YTW : 3.78 %
TD.PF.J FixedReset Prem Quote: 25.12 – 25.90
Spot Rate : 0.7800
Average : 0.5734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 23.84
Evaluated at bid price : 25.12
Bid-YTW : 4.02 %
SLF.PR.J FloatingReset Quote: 17.25 – 17.99
Spot Rate : 0.7400
Average : 0.5347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-07
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 2.30 %
Market Action

January 6, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.04 % 3.52 % 40,599 20.05 1 -0.2973 % 2,866.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0932 % 5,320.3
Floater 2.99 % 3.01 % 55,203 19.72 3 0.0932 % 3,066.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1045 % 3,647.1
SplitShare 4.71 % 4.32 % 32,820 3.59 6 -0.1045 % 4,355.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1045 % 3,398.3
Perpetual-Premium 5.15 % -13.44 % 42,518 0.09 23 -0.0930 % 3,262.1
Perpetual-Discount 4.77 % 4.84 % 51,085 15.76 11 -0.4853 % 3,855.3
FixedReset Disc 3.96 % 3.93 % 102,026 16.97 42 0.0042 % 2,841.8
Insurance Straight 4.89 % 4.53 % 80,539 15.72 18 -0.1190 % 3,667.9
FloatingReset 2.63 % 2.97 % 33,268 19.82 2 0.8090 % 2,831.9
FixedReset Prem 4.69 % 2.94 % 117,688 1.31 28 -0.0735 % 2,741.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0042 % 2,904.9
FixedReset Ins Non 4.08 % 3.74 % 68,270 17.29 17 0.3840 % 2,980.1
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
BAM.PR.Z FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.62
Evaluated at bid price : 24.15
Bid-YTW : 4.51 %
FTS.PR.H FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.04 %
CIU.PR.A Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.88 %
BAM.PF.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.42
Evaluated at bid price : 22.82
Bid-YTW : 4.46 %
SLF.PR.H FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
SLF.PR.C Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 4.57 %
BMO.PR.F FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.58 %
TD.PF.D FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.57 %
CU.PR.E Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-05
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.99 %
TRP.PR.F FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 2.97 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.45 %
FTS.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.03 %
TD.PF.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.16 %
BMO.PR.W FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.15
Evaluated at bid price : 24.36
Bid-YTW : 3.69 %
FTS.PR.M FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
FTS.PR.K FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.05 %
MFC.PR.N FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.82
Evaluated at bid price : 23.74
Bid-YTW : 3.84 %
SLF.PR.G FixedReset Ins Non 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.56 %
MFC.PR.F FixedReset Ins Non 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Prem 79,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.81 %
NA.PR.S FixedReset Disc 33,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.37
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
TRP.PR.A FixedReset Disc 31,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.48 %
BMO.PR.B FixedReset Prem 26,472 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.90 %
FTS.PR.M FixedReset Disc 25,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
SLF.PR.H FixedReset Ins Non 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.19
Spot Rate : 11.6900
Average : 6.5488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.25 %
TRP.PR.A FixedReset Disc Quote: 18.75 – 20.70
Spot Rate : 1.9500
Average : 1.3347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.48 %
BAM.PR.Z FixedReset Disc Quote: 24.15 – 24.94
Spot Rate : 0.7900
Average : 0.4981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.62
Evaluated at bid price : 24.15
Bid-YTW : 4.51 %
CU.PR.G Perpetual-Discount Quote: 24.00 – 24.91
Spot Rate : 0.9100
Average : 0.6629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
IFC.PR.I Perpetual-Premium Quote: 26.37 – 27.60
Spot Rate : 1.2300
Average : 1.0240

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.55 %
BAM.PF.E FixedReset Disc Quote: 20.87 – 22.30
Spot Rate : 1.4300
Average : 1.2764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 4.68 %
Market Action

January 5, 2022

PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.40%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 285bp reported December 22.

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 3.04 % 3.51 % 37,558 20.07 1 0.6484 % 2,874.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7750 % 5,315.4
Floater 3.00 % 3.02 % 57,310 19.70 3 0.7750 % 3,063.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1435 % 3,650.9
SplitShare 4.70 % 4.27 % 34,184 3.59 6 -0.1435 % 4,360.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1435 % 3,401.9
Perpetual-Premium 5.15 % -13.15 % 41,194 0.09 23 0.0237 % 3,265.2
Perpetual-Discount 4.74 % 4.80 % 50,295 15.81 11 -0.0735 % 3,874.1
FixedReset Disc 3.96 % 3.92 % 102,298 16.86 42 -1.1102 % 2,841.7
Insurance Straight 4.89 % 4.49 % 81,444 3.38 18 -0.1035 % 3,672.3
FloatingReset 2.65 % 3.01 % 32,090 19.74 2 1.4956 % 2,809.1
FixedReset Prem 4.69 % 2.82 % 118,468 1.78 28 -0.0166 % 2,743.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.1102 % 2,904.8
FixedReset Ins Non 4.09 % 3.78 % 71,087 17.29 17 -0.1422 % 2,968.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.25 %
CU.PR.F Perpetual-Discount -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.75 %
BAM.PR.T FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.60 %
BAM.PF.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.68 %
SLF.PR.G FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.68 %
MFC.PR.N FixedReset Ins Non -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.95 %
BMO.PR.W FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 3.76 %
TRP.PR.D FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.50 %
GWO.PR.I Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 4.67 %
SLF.PR.E Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.58 %
FTS.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.10 %
SLF.PR.C Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.51
Evaluated at bid price : 24.76
Bid-YTW : 4.51 %
NA.PR.W FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.09
Evaluated at bid price : 24.30
Bid-YTW : 3.68 %
BAM.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.60
Evaluated at bid price : 24.95
Bid-YTW : 4.38 %
BAM.PF.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.71
Evaluated at bid price : 25.15
Bid-YTW : 4.26 %
TD.PF.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
SLF.PR.H FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.48
Evaluated at bid price : 23.35
Bid-YTW : 3.62 %
PWF.PF.A Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.78
Evaluated at bid price : 25.20
Bid-YTW : 4.52 %
BAM.PR.X FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 4.32 %
TD.PF.D FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.23 %
BMO.PR.F FixedReset Prem 1.89 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 2.08 %
CU.PR.G Perpetual-Discount 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.56
Evaluated at bid price : 24.80
Bid-YTW : 4.57 %
SLF.PR.J FloatingReset 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 2.31 %
PWF.PR.P FixedReset Disc 7.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 248,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.58 %
NA.PR.C FixedReset Prem 173,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 1.92 %
TD.PF.A FixedReset Disc 60,409 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
GWO.PR.Y Insurance Straight 26,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.49 %
BAM.PF.G FixedReset Disc 24,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.39 %
CU.PR.J Perpetual-Discount 22,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.61
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 25.85 – 28.00
Spot Rate : 2.1500
Average : 1.4227

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-04
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : -10.33 %
BAM.PR.K Floater Quote: 14.25 – 15.50
Spot Rate : 1.2500
Average : 0.8476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 3.02 %
CU.PR.F Perpetual-Discount Quote: 23.90 – 25.00
Spot Rate : 1.1000
Average : 0.7375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.75 %
IFC.PR.I Perpetual-Premium Quote: 26.45 – 27.60
Spot Rate : 1.1500
Average : 0.7981

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.49 %
BAM.PF.E FixedReset Disc Quote: 20.85 – 22.30
Spot Rate : 1.4500
Average : 1.1080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.68 %
BAM.PF.F FixedReset Disc Quote: 23.50 – 24.70
Spot Rate : 1.2000
Average : 0.8590

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.76
Evaluated at bid price : 23.50
Bid-YTW : 4.47 %
Market Action

January 4, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.06 % 3.54 % 36,880 20.03 1 -0.1494 % 2,856.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9148 % 5,274.5
Floater 3.02 % 3.04 % 59,158 19.65 3 1.9148 % 3,039.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0978 % 3,656.2
SplitShare 4.70 % 4.25 % 34,000 3.59 6 -0.0978 % 4,366.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0978 % 3,406.7
Perpetual-Premium 5.15 % -13.08 % 42,896 0.09 23 0.2102 % 3,264.4
Perpetual-Discount 4.74 % 4.75 % 51,960 15.88 11 0.0257 % 3,876.9
FixedReset Disc 3.92 % 3.96 % 103,753 16.90 42 1.2408 % 2,873.6
Insurance Straight 4.88 % 4.47 % 76,897 3.38 18 0.3203 % 3,676.1
FloatingReset 2.69 % 3.02 % 31,182 19.72 2 1.0071 % 2,767.7
FixedReset Prem 4.69 % 2.87 % 119,916 1.79 28 0.2991 % 2,743.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2408 % 2,937.4
FixedReset Ins Non 4.09 % 3.73 % 72,245 17.26 17 1.0300 % 2,972.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -5.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.21 %
SLF.PR.C Insurance Straight -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.55 %
CU.PR.I FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 2.81 %
NA.PR.E FixedReset Prem 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.86
Evaluated at bid price : 25.22
Bid-YTW : 3.93 %
MFC.PR.M FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 3.90 %
TD.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.05
Evaluated at bid price : 24.10
Bid-YTW : 3.75 %
SLF.PR.J FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 2.37 %
SLF.PR.E Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 4.52 %
BMO.PR.T FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.17
Evaluated at bid price : 24.30
Bid-YTW : 3.69 %
BMO.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.36
Evaluated at bid price : 24.65
Bid-YTW : 3.73 %
MFC.PR.J FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.93
Evaluated at bid price : 25.25
Bid-YTW : 3.94 %
SLF.PR.H FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.31
Evaluated at bid price : 23.03
Bid-YTW : 3.68 %
IFC.PR.G FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.78
Evaluated at bid price : 25.11
Bid-YTW : 3.92 %
TRP.PR.G FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.31 %
BAM.PR.N Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.79 %
PWF.PR.Z Perpetual-Premium 1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 1.09 %
FTS.PR.M FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.57
Evaluated at bid price : 23.20
Bid-YTW : 4.18 %
BIP.PR.A FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.02
Evaluated at bid price : 24.25
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.43 %
MFC.PR.L FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.46
Evaluated at bid price : 22.92
Bid-YTW : 3.90 %
TRP.PR.E FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.41 %
MFC.PR.N FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.78
Evaluated at bid price : 23.65
Bid-YTW : 3.86 %
BMO.PR.Y FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
BAM.PR.Z FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.24
Evaluated at bid price : 24.67
Bid-YTW : 4.42 %
BAM.PF.E FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 4.58 %
NA.PR.W FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.08
Evaluated at bid price : 24.27
Bid-YTW : 3.74 %
BAM.PF.A FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.60
Evaluated at bid price : 24.85
Bid-YTW : 4.33 %
BAM.PF.F FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.83
Evaluated at bid price : 23.63
Bid-YTW : 4.44 %
BAM.PR.X FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.39 %
GWO.PR.N FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.73 %
BAM.PF.G FixedReset Disc 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.45
Evaluated at bid price : 23.10
Bid-YTW : 4.37 %
GWO.PR.S Insurance Straight 3.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-03
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : -10.49 %
BAM.PR.T FixedReset Disc 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.45 %
BAM.PR.R FixedReset Disc 4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.42 %
FTS.PR.H FixedReset Disc 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.96 %
TRP.PR.C FixedReset Disc 4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.20 %
BNS.PR.I FixedReset Prem 6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.73
Evaluated at bid price : 25.46
Bid-YTW : 3.73 %
TRP.PR.B FixedReset Disc 6.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 4.45 %
BAM.PR.K Floater 6.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 3.05 %
SLF.PR.G FixedReset Ins Non 6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 30,879 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.71
Evaluated at bid price : 25.11
Bid-YTW : 4.75 %
PWF.PR.K Perpetual-Discount 22,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-03
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.20 %
TRP.PR.A FixedReset Disc 12,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 4.48 %
NA.PR.G FixedReset Prem 11,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.77 %
BAM.PR.X FixedReset Disc 10,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.39 %
PWF.PR.P FixedReset Disc 10,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.21 %
There were 0 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: 18.74 – 20.70
Spot Rate : 1.9600
Average : 1.2192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 4.48 %
PWF.PR.P FixedReset Disc Quote: 16.75 – 18.50
Spot Rate : 1.7500
Average : 1.2155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.21 %
GWO.PR.Y Insurance Straight Quote: 25.01 – 26.10
Spot Rate : 1.0900
Average : 0.6300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.61
Evaluated at bid price : 25.01
Bid-YTW : 4.50 %
BAM.PR.M Perpetual-Discount Quote: 24.60 – 25.49
Spot Rate : 0.8900
Average : 0.6466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.84 %
PWF.PF.A Perpetual-Discount Quote: 24.85 – 25.50
Spot Rate : 0.6500
Average : 0.4124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.45
Evaluated at bid price : 24.85
Bid-YTW : 4.59 %
SLF.PR.C Insurance Straight Quote: 24.50 – 25.05
Spot Rate : 0.5500
Average : 0.3421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.55 %
Market Action

December 31, 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 3.05 % 3.53 % 35,854 20.05 1 0.6516 % 2,860.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4855 % 5,175.4
Floater 3.08 % 3.00 % 58,998 19.70 3 -1.4855 % 2,982.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1497 % 3,659.8
SplitShare 4.69 % 4.22 % 35,413 3.60 6 -0.1497 % 4,370.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1497 % 3,410.1
Perpetual-Premium 5.16 % -11.27 % 41,877 0.09 23 -0.1287 % 3,257.5
Perpetual-Discount 4.74 % 4.80 % 53,172 15.78 11 -0.6209 % 3,875.9
FixedReset Disc 3.97 % 3.96 % 104,297 17.08 42 0.0021 % 2,838.4
Insurance Straight 4.95 % 4.46 % 81,308 13.82 19 -0.3796 % 3,664.3
FloatingReset 2.70 % 3.01 % 31,356 19.69 2 0.0593 % 2,740.2
FixedReset Prem 4.70 % 2.90 % 119,387 1.80 28 -0.2180 % 2,735.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0021 % 2,901.4
FixedReset Ins Non 4.13 % 3.83 % 82,783 17.40 18 0.0024 % 2,942.6
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
BNS.PR.I FixedReset Prem -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
CU.PR.G Perpetual-Discount -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.72 %
BAM.PR.R FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.54 %
GWO.PR.S Insurance Straight -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.74
Evaluated at bid price : 25.00
Bid-YTW : 5.27 %
MFC.PR.N FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.88 %
GWO.PR.F Insurance Straight -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.05 %
SLF.PR.E Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.73 %
SLF.PR.J FloatingReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 2.37 %
IFC.PR.G FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.63
Evaluated at bid price : 24.75
Bid-YTW : 3.92 %
BAM.PF.E FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.59 %
BAM.PR.M Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.84 %
BMO.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.89
Evaluated at bid price : 24.00
Bid-YTW : 3.96 %
TD.PF.I FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 3.62 %
BIP.PR.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.85
Evaluated at bid price : 23.88
Bid-YTW : 4.88 %
TRP.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 4.31 %
BAM.PR.T FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.55 %
BAM.PR.N Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 4.85 %
FTS.PR.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.98 %
BAM.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.61
Evaluated at bid price : 24.14
Bid-YTW : 4.43 %
TRP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.39 %
CM.PR.Q FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.57 %
BAM.PR.X FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 4.40 %
BAM.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.76
Evaluated at bid price : 23.06
Bid-YTW : 4.34 %
TRP.PR.F FloatingReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.01 %
BAM.PR.C Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 3.00 %
MFC.PR.L FixedReset Ins Non 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.18
Evaluated at bid price : 22.51
Bid-YTW : 3.90 %
PWF.PR.P FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.87 %
MFC.PR.F FixedReset Ins Non 4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 68,778 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.40 %
RY.PR.S FixedReset Prem 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.72
Evaluated at bid price : 25.50
Bid-YTW : 3.64 %
FTS.PR.M FixedReset Disc 36,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.35
Evaluated at bid price : 22.85
Bid-YTW : 4.17 %
BNS.PR.H FixedReset Prem 24,403 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 2.79 %
TD.PF.C FixedReset Disc 21,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.10
Evaluated at bid price : 24.30
Bid-YTW : 3.67 %
TRP.PR.C FixedReset Disc 19,537 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.30 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Ins Non Quote: 17.25 – 19.00
Spot Rate : 1.7500
Average : 1.0594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.73 %
BNS.PR.I FixedReset Prem Quote: 24.00 – 25.65
Spot Rate : 1.6500
Average : 1.0042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
GWO.PR.F Insurance Straight Quote: 24.50 – 25.50
Spot Rate : 1.0000
Average : 0.5278

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.05 %
GWO.PR.L Insurance Straight Quote: 25.55 – 26.55
Spot Rate : 1.0000
Average : 0.5457

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -19.81 %
BAM.PR.K Floater Quote: 13.26 – 14.30
Spot Rate : 1.0400
Average : 0.6438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
TRP.PR.E FixedReset Disc Quote: 20.85 – 21.85
Spot Rate : 1.0000
Average : 0.6284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.41 %
Market Action

December 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 3.07 % 3.56 % 36,353 20.01 1 -0.9926 % 2,842.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2838 % 5,253.5
Floater 3.03 % 3.02 % 59,734 19.66 3 0.2838 % 3,027.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1107 % 3,665.3
SplitShare 4.69 % 4.18 % 36,883 3.61 6 0.1107 % 4,377.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1107 % 3,415.2
Perpetual-Premium 5.15 % -11.37 % 41,871 0.09 23 0.1968 % 3,261.7
Perpetual-Discount 4.71 % 4.74 % 52,483 15.87 11 0.9252 % 3,900.1
FixedReset Disc 3.97 % 3.99 % 104,403 17.05 42 1.3152 % 2,838.4
Insurance Straight 4.93 % 0.94 % 79,262 0.09 19 0.3411 % 3,678.3
FloatingReset 2.70 % 3.06 % 29,564 19.57 2 3.1804 % 2,738.5
FixedReset Prem 4.69 % 2.90 % 119,316 2.18 28 0.3860 % 2,741.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.3152 % 2,901.4
FixedReset Ins Non 4.11 % 3.75 % 82,325 17.38 18 0.4507 % 2,942.6
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.00 %
MFC.PR.F FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.85 %
MFC.PR.Q FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.88
Evaluated at bid price : 25.37
Bid-YTW : 3.78 %
FTS.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.36
Evaluated at bid price : 22.86
Bid-YTW : 4.17 %
ELF.PR.H Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : -19.46 %
TD.PF.J FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 2.98 %
RY.PR.S FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.68
Evaluated at bid price : 25.40
Bid-YTW : 3.66 %
BAM.PF.F FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.45
Evaluated at bid price : 22.97
Bid-YTW : 4.50 %
TRP.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 4.27 %
TRP.PR.G FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.77
Evaluated at bid price : 23.80
Bid-YTW : 4.25 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.21
Evaluated at bid price : 24.40
Bid-YTW : 3.61 %
BMO.PR.W FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.11
Evaluated at bid price : 24.26
Bid-YTW : 3.63 %
BIP.PR.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.99
Evaluated at bid price : 24.19
Bid-YTW : 4.81 %
BAM.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.80 %
BMO.PR.S FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.25
Evaluated at bid price : 24.38
Bid-YTW : 3.71 %
PWF.PR.T FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.20
Evaluated at bid price : 24.14
Bid-YTW : 3.86 %
TD.PF.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.67 %
BAM.PR.M Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.68
Evaluated at bid price : 24.96
Bid-YTW : 4.77 %
FTS.PR.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.02 %
BAM.PF.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.53 %
NA.PR.S FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.38
Evaluated at bid price : 24.69
Bid-YTW : 3.74 %
SLF.PR.E Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 0.94 %
BAM.PR.R FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 4.41 %
RS.PR.A SplitShare 1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.46
Bid-YTW : 4.02 %
MFC.PR.N FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.78
Evaluated at bid price : 23.67
Bid-YTW : 3.78 %
CU.PR.G Perpetual-Discount 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.54
Evaluated at bid price : 24.79
Bid-YTW : 4.57 %
TRP.PR.E FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.39 %
SLF.PR.J FloatingReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 2.34 %
TRP.PR.D FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 4.38 %
SLF.PR.H FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.06
Evaluated at bid price : 22.61
Bid-YTW : 3.69 %
BMO.PR.T FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.64 %
BAM.PF.B FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.38
Evaluated at bid price : 22.76
Bid-YTW : 4.39 %
PWF.PR.P FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.99 %
SLF.PR.G FixedReset Ins Non 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.68 %
TRP.PR.A FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.44 %
CU.PR.F Perpetual-Discount 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.50
Evaluated at bid price : 24.77
Bid-YTW : 4.57 %
TRP.PR.F FloatingReset 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 3.06 %
CU.PR.C FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.30
Evaluated at bid price : 23.07
Bid-YTW : 4.00 %
BAM.PF.G FixedReset Disc 6.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.07
Evaluated at bid price : 22.50
Bid-YTW : 4.42 %
BAM.PR.T FixedReset Disc 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 21,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 0.88 %
FTS.PR.H FixedReset Disc 18,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.05 %
BMO.PR.S FixedReset Disc 12,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.25
Evaluated at bid price : 24.38
Bid-YTW : 3.71 %
BAM.PR.B Floater 12,818 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 3.01 %
BMO.PR.B FixedReset Prem 12,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.92 %
TRP.PR.A FixedReset Disc 12,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.44 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 25.65 – 28.00
Spot Rate : 2.3500
Average : 1.3069

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.50
Evaluated at bid price : 25.65
Bid-YTW : -2.16 %
CU.PR.D Perpetual-Premium Quote: 25.27 – 26.27
Spot Rate : 1.0000
Average : 0.6049

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -3.45 %
MFC.PR.L FixedReset Ins Non Quote: 21.90 – 23.14
Spot Rate : 1.2400
Average : 0.8651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.00 %
PWF.PR.E Perpetual-Premium Quote: 25.66 – 26.50
Spot Rate : 0.8400
Average : 0.4775

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : -14.77 %
TRP.PR.B FixedReset Disc Quote: 13.26 – 15.00
Spot Rate : 1.7400
Average : 1.4454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.59 %
IAF.PR.G FixedReset Ins Non Quote: 25.15 – 25.80
Spot Rate : 0.6500
Average : 0.4170

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.56 %