Category: Market Action

Market Action

November 29, 2021

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

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

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

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

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

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

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

November 26, 2021

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

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

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

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

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

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

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

November 25, 2021

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

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

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

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

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

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

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

November 24, 2021

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 49,115 20.15 1 0.0000 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2300 % 5,373.6
Floater 2.97 % 2.98 % 87,532 19.72 3 -0.2300 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,690.6
SplitShare 4.64 % 4.05 % 57,998 3.85 5 0.1356 % 4,407.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,438.8
Perpetual-Premium 5.12 % -8.19 % 44,942 0.09 28 -0.1074 % 3,268.0
Perpetual-Discount 4.71 % 4.84 % 67,673 15.70 6 -0.0136 % 3,848.0
FixedReset Disc 3.79 % 3.96 % 124,689 17.01 37 1.1423 % 2,914.1
Insurance Straight 4.93 % 4.16 % 89,592 3.25 20 0.0376 % 3,681.2
FloatingReset 2.43 % 2.77 % 29,422 20.28 2 -1.0685 % 2,930.9
FixedReset Prem 4.65 % 3.09 % 121,852 2.28 33 -0.0059 % 2,748.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1423 % 2,978.8
FixedReset Ins Non 4.02 % 3.90 % 101,411 16.81 19 0.0469 % 2,997.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.62 %
TRP.PR.F FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.77 %
MIC.PR.A Perpetual-Premium -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.04
Bid-YTW : 4.37 %
TRP.PR.B FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 4.47 %
BAM.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.01
Evaluated at bid price : 23.85
Bid-YTW : 4.41 %
TRP.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.50 %
TRP.PR.G FixedReset Disc 74.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.H FixedReset Ins Non 168,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
FTS.PR.K FixedReset Disc 37,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.12 %
BAM.PF.F FixedReset Disc 33,370 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.03
Evaluated at bid price : 24.07
Bid-YTW : 4.50 %
TD.PF.D FixedReset Disc 29,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.45 %
PWF.PF.A Perpetual-Discount 29,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.31
Evaluated at bid price : 24.70
Bid-YTW : 4.59 %
CM.PR.P FixedReset Disc 25,012 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.24
Evaluated at bid price : 24.69
Bid-YTW : 3.77 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 24.30 – 25.00
Spot Rate : 0.7000
Average : 0.4597

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

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

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

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

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

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

November 23, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 45,658 20.15 1 -0.0969 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2536 % 5,386.0
Floater 2.96 % 2.98 % 88,672 19.72 3 0.2536 % 3,104.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,685.6
SplitShare 4.65 % 4.05 % 58,943 3.85 5 0.3656 % 4,401.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,434.1
Perpetual-Premium 5.14 % -8.35 % 44,872 0.09 29 -0.0350 % 3,271.5
Perpetual-Discount 4.71 % 4.85 % 69,397 15.70 6 -0.9342 % 3,848.5
FixedReset Disc 3.83 % 3.87 % 125,930 17.00 37 -1.3850 % 2,881.2
Insurance Straight 4.93 % 3.97 % 89,563 0.59 20 -0.1639 % 3,679.8
FloatingReset 2.40 % 2.71 % 29,233 20.42 2 0.3299 % 2,962.5
FixedReset Prem 4.65 % 3.08 % 122,045 2.28 33 -0.0815 % 2,748.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.3850 % 2,945.2
FixedReset Ins Non 4.02 % 3.89 % 93,903 16.87 19 -0.1917 % 2,996.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -45.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %
BAM.PR.M Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %
BAM.PR.R FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %
FTS.PR.J Perpetual-Premium -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.42
Evaluated at bid price : 24.70
Bid-YTW : 4.81 %
SLF.PR.H FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %
TRP.PR.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.53 %
FTS.PR.G FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.15
Evaluated at bid price : 22.47
Bid-YTW : 4.14 %
IFC.PR.A FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.89 %
BAM.PF.B FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.84
Evaluated at bid price : 23.54
Bid-YTW : 4.48 %
IFC.PR.F Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.80
Bid-YTW : 4.88 %
CU.PR.G Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.00
Evaluated at bid price : 24.29
Bid-YTW : 4.63 %
CU.PR.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.80 %
SLF.PR.C Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.49 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.75 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
TRP.PR.D FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.67
Evaluated at bid price : 22.12
Bid-YTW : 4.43 %
PVS.PR.J SplitShare 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.96 %
BAM.PR.X FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.49 %
SLF.PR.J FloatingReset 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Prem 273,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.27 %
SLF.PR.D Insurance Straight 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 %
MFC.PR.R FixedReset Ins Non 99,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.53 %
RY.PR.Z FixedReset Disc 82,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 23.30
Evaluated at bid price : 24.55
Bid-YTW : 3.73 %
PWF.PF.A Perpetual-Discount 61,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.30
Evaluated at bid price : 24.69
Bid-YTW : 4.59 %
FTS.PR.M FixedReset Disc 61,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 4.27 %
There were 26 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: 13.17 – 24.42
Spot Rate : 11.2500
Average : 5.9125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %
SLF.PR.H FixedReset Ins Non Quote: 22.65 – 24.00
Spot Rate : 1.3500
Average : 0.9315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %
BAM.PR.R FixedReset Disc Quote: 20.30 – 21.15
Spot Rate : 0.8500
Average : 0.5639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %
TRP.PR.C FixedReset Disc Quote: 15.90 – 17.00
Spot Rate : 1.1000
Average : 0.8761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.48 %
BAM.PR.B Floater Quote: 14.60 – 15.30
Spot Rate : 0.7000
Average : 0.4923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %
TRP.PR.A FixedReset Disc Quote: 19.80 – 20.53
Spot Rate : 0.7300
Average : 0.5281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.43 %
Market Action

November 22, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.40 % 45,515 20.16 1 0.1456 % 2,938.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0231 % 5,372.4
Floater 2.97 % 2.99 % 88,786 19.70 3 -0.0231 % 3,096.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,672.2
SplitShare 4.67 % 4.19 % 57,250 3.85 5 -0.2289 % 4,385.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,421.6
Perpetual-Premium 5.14 % -7.96 % 46,027 0.09 29 -0.0942 % 3,272.7
Perpetual-Discount 4.66 % 4.58 % 68,863 15.77 6 -0.0470 % 3,884.8
FixedReset Disc 3.78 % 3.96 % 121,954 17.06 37 -0.2189 % 2,921.7
Insurance Straight 4.93 % 4.15 % 90,216 3.26 20 0.0000 % 3,685.9
FloatingReset 2.41 % 2.69 % 28,780 20.49 2 0.4695 % 2,952.8
FixedReset Prem 4.64 % 3.16 % 121,870 2.28 33 -0.0165 % 2,750.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2189 % 2,986.6
FixedReset Ins Non 4.02 % 3.84 % 88,476 16.82 19 -0.0423 % 3,001.8
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
BAM.PR.X FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.15 %
PWF.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.36
Evaluated at bid price : 24.53
Bid-YTW : 3.96 %
RS.PR.A SplitShare -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.56 %
GWO.PR.Y Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 24.59
Evaluated at bid price : 24.98
Bid-YTW : 4.54 %
TRP.PR.F FloatingReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 189,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.20
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
TD.PF.B FixedReset Disc 67,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.26
Evaluated at bid price : 24.55
Bid-YTW : 3.79 %
BMO.PR.B FixedReset Prem 58,634 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.30 %
TD.PF.C FixedReset Disc 42,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.22
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
NA.PR.W FixedReset Disc 42,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.24
Evaluated at bid price : 24.71
Bid-YTW : 3.75 %
RY.PR.S FixedReset Prem 26,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.85 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 21.75 – 22.55
Spot Rate : 0.8000
Average : 0.5561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
PVS.PR.I SplitShare Quote: 25.75 – 26.40
Spot Rate : 0.6500
Average : 0.4299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.89 %
BAM.PR.X FixedReset Disc Quote: 18.20 – 18.90
Spot Rate : 0.7000
Average : 0.5225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
RS.PR.A SplitShare Quote: 10.48 – 11.27
Spot Rate : 0.7900
Average : 0.6323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc Quote: 20.76 – 21.15
Spot Rate : 0.3900
Average : 0.2503

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
IFC.PR.E Insurance Straight Quote: 26.30 – 26.90
Spot Rate : 0.6000
Average : 0.4710

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.30
Bid-YTW : 4.15 %
Market Action

November 19, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 47,278 20.16 1 -0.0970 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0691 % 5,373.6
Floater 2.97 % 2.98 % 87,437 19.73 3 -0.0691 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,680.6
SplitShare 4.66 % 4.24 % 57,996 3.81 5 -0.2014 % 4,395.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,429.5
Perpetual-Premium 5.13 % -9.89 % 46,704 0.09 29 -0.0646 % 3,275.8
Perpetual-Discount 4.66 % 4.58 % 68,444 15.83 6 0.0269 % 3,886.7
FixedReset Disc 3.77 % 3.82 % 120,444 17.20 37 -0.1312 % 2,928.1
Insurance Straight 4.93 % 4.37 % 88,472 3.27 20 -0.2108 % 3,685.9
FloatingReset 2.46 % 2.81 % 27,271 20.18 2 -0.9573 % 2,939.0
FixedReset Prem 4.64 % 3.04 % 123,757 2.29 33 -0.0826 % 2,750.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1312 % 2,993.1
FixedReset Ins Non 4.01 % 3.76 % 89,266 16.94 19 -0.0868 % 3,003.1
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.74 %
TRP.PR.F FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
BAM.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TD.PF.I FixedReset Prem -1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
CU.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
BIP.PR.A FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.01
Evaluated at bid price : 24.26
Bid-YTW : 4.97 %
GWO.PR.Y Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 24.28
Evaluated at bid price : 24.66
Bid-YTW : 4.60 %
FTS.PR.K FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.04 %
GWO.PR.S Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
CM.PR.O FixedReset Disc 122,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.31
Evaluated at bid price : 24.66
Bid-YTW : 3.77 %
CM.PR.R FixedReset Prem 111,665 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.42 %
BAM.PR.C Floater 107,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater 80,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 %
TD.PF.M FixedReset Prem 38,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.44 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 23.07 – 23.75
Spot Rate : 0.6800
Average : 0.4976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.32
Evaluated at bid price : 23.07
Bid-YTW : 3.76 %
CU.PR.C FixedReset Disc Quote: 23.16 – 23.70
Spot Rate : 0.5400
Average : 0.3581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem Quote: 25.12 – 25.57
Spot Rate : 0.4500
Average : 0.2730

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
TRP.PR.F FloatingReset Quote: 18.31 – 18.80
Spot Rate : 0.4900
Average : 0.3220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
TRP.PR.A FixedReset Disc Quote: 19.91 – 20.53
Spot Rate : 0.6200
Average : 0.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.35 %
RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.4595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %
Market Action

November 18, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 47,394 20.16 1 0.0971 % 2,937.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2528 % 5,377.3
Floater 2.96 % 2.98 % 80,809 19.73 3 -0.2528 % 3,099.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,688.0
SplitShare 4.65 % 4.32 % 57,199 3.81 5 -0.0077 % 4,404.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,436.4
Perpetual-Premium 5.13 % -11.05 % 48,638 0.09 29 -0.0013 % 3,277.9
Perpetual-Discount 4.66 % 4.59 % 70,905 15.80 6 -0.1811 % 3,885.6
FixedReset Disc 3.77 % 3.85 % 120,359 17.20 37 0.0674 % 2,932.0
Insurance Straight 4.92 % 4.25 % 88,445 3.47 20 0.0079 % 3,693.6
FloatingReset 2.44 % 2.75 % 28,365 20.32 2 -0.4628 % 2,967.4
FixedReset Prem 4.64 % 3.02 % 123,306 2.29 33 0.1217 % 2,753.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0674 % 2,997.0
FixedReset Ins Non 4.01 % 3.77 % 90,094 16.97 19 0.2611 % 3,005.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %
FTS.PR.H FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.00 %
SLF.PR.H FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.34
Evaluated at bid price : 23.10
Bid-YTW : 3.76 %
BAM.PF.F FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %
TRP.PR.B FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.11
Evaluated at bid price : 22.41
Bid-YTW : 4.33 %
BAM.PR.Z FixedReset Prem 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.63
Evaluated at bid price : 24.95
Bid-YTW : 4.51 %
SLF.PR.G FixedReset Ins Non 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non 6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset Prem 66,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.73 %
TRP.PR.K FixedReset Prem 60,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.02 %
RY.PR.Z FixedReset Disc 39,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.26
Evaluated at bid price : 24.45
Bid-YTW : 3.70 %
MFC.PR.Q FixedReset Ins Non 34,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.81
Evaluated at bid price : 25.28
Bid-YTW : 4.00 %
TRP.PR.E FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.76
Evaluated at bid price : 22.00
Bid-YTW : 4.36 %
NA.PR.S FixedReset Disc 23,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.85 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 25.18 – 25.93
Spot Rate : 0.7500
Average : 0.4112

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.93 %
BAM.PF.F FixedReset Disc Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %
CU.PR.F Perpetual-Discount Quote: 24.50 – 24.90
Spot Rate : 0.4000
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.23
Evaluated at bid price : 24.50
Bid-YTW : 4.59 %
MIC.PR.A Perpetual-Premium Quote: 27.41 – 27.85
Spot Rate : 0.4400
Average : 0.3148

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.41
Bid-YTW : 4.03 %
BAM.PR.B Floater Quote: 14.50 – 15.30
Spot Rate : 0.8000
Average : 0.6864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
IFC.PR.A FixedReset Ins Non Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %
Market Action

November 17, 2021

PerpetualDiscounts now yield 4.56%, equivalent to 5.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.46%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 245bp from the 230bp reported August 25 (which was affected by technical factors as virtually all so-called PerpetualDiscounts were trading at a premium at that time).

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 45,624 20.16 1 0.0000 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1150 % 5,391.0
Floater 2.96 % 2.98 % 78,926 19.74 3 0.1150 % 3,106.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2857 % 3,688.3
SplitShare 4.65 % 4.31 % 56,795 3.82 5 -0.2857 % 4,404.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2857 % 3,436.7
Perpetual-Premium 5.13 % -8.77 % 48,335 0.09 29 0.0606 % 3,277.9
Perpetual-Discount 4.65 % 4.56 % 73,817 15.84 6 0.2218 % 3,892.7
FixedReset Disc 3.77 % 3.85 % 121,485 17.17 37 0.1030 % 2,930.0
Insurance Straight 4.92 % 4.13 % 89,333 3.27 20 0.0532 % 3,693.4
FloatingReset 2.43 % 2.73 % 28,717 20.39 2 -0.3256 % 2,981.2
FixedReset Prem 4.65 % 3.13 % 124,822 2.30 33 -0.0874 % 2,749.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1030 % 2,995.0
FixedReset Ins Non 4.02 % 3.78 % 93,677 16.98 19 -0.4067 % 2,997.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -7.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset Prem -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
FTS.PR.K FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 4.01 %
PVS.PR.J SplitShare -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 %
SLF.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 %
FTS.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.46
Evaluated at bid price : 22.81
Bid-YTW : 4.02 %
BAM.PF.D Perpetual-Premium -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.56 %
TRP.PR.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.37 %
BAM.PR.R FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 4.34 %
PWF.PR.P FixedReset Disc 9.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.G FixedReset Ins Non 224,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.47 %
TRP.PR.B FixedReset Disc 105,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 %
BMO.PR.S FixedReset Disc 62,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.34
Evaluated at bid price : 24.65
Bid-YTW : 3.79 %
TD.PF.C FixedReset Disc 60,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.19
Evaluated at bid price : 24.57
Bid-YTW : 3.74 %
BAM.PR.R FixedReset Disc 46,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 %
RY.PR.H FixedReset Disc 43,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.24
Evaluated at bid price : 24.52
Bid-YTW : 3.72 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Ins Non Quote: 16.10 – 17.65
Spot Rate : 1.5500
Average : 0.9404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset Prem Quote: 24.20 – 25.05
Spot Rate : 0.8500
Average : 0.4903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
CU.PR.E Perpetual-Premium Quote: 25.27 – 25.90
Spot Rate : 0.6300
Average : 0.3862

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -10.20 %
SLF.PR.G FixedReset Ins Non Quote: 18.05 – 18.75
Spot Rate : 0.7000
Average : 0.4986

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 %
BAM.PR.B Floater Quote: 14.55 – 15.30
Spot Rate : 0.7500
Average : 0.5618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 2.97 %
PVS.PR.J SplitShare Quote: 25.01 – 25.50
Spot Rate : 0.4900
Average : 0.3258

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 %
Market Action

November 16, 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 1 -1.0471 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0471 % 5,384.8
Floater 2.96 % 2.98 % 79,934 19.74 3 -1.0471 % 3,103.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,698.9
SplitShare 4.63 % 4.29 % 57,593 3.82 5 -0.1542 % 4,417.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,446.5
Perpetual-Premium 5.13 % -8.20 % 50,332 0.09 29 -0.0363 % 3,276.0
Perpetual-Discount 4.66 % 4.58 % 74,929 15.78 6 0.2358 % 3,884.0
FixedReset Disc 3.77 % 3.85 % 119,694 17.17 37 -0.6082 % 2,927.0
Insurance Straight 4.92 % 4.51 % 93,030 3.47 20 0.0079 % 3,691.4
FloatingReset 2.42 % 2.72 % 26,537 20.40 2 0.4361 % 2,991.0
FixedReset Prem 4.64 % 3.00 % 122,112 1.99 33 -0.0743 % 2,752.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6082 % 2,991.9
FixedReset Ins Non 4.00 % 3.73 % 92,600 16.98 19 0.1424 % 3,010.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TRP.PR.B FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 %
BAM.PF.A FixedReset Prem -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
BAM.PR.R FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.41 %
NA.PR.S FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.84 %
SLF.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.73 %
TRP.PR.D FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.40 %
BAM.PR.C Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 2.95 %
TRP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %
MFC.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.06
Evaluated at bid price : 24.29
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.H FixedReset Ins Non 315,344 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.91 %
PWF.PR.I Perpetual-Premium 141,195 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 6.05 %
BNS.PR.H FixedReset Prem 89,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.68 %
TD.PF.C FixedReset Disc 62,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.21
Evaluated at bid price : 24.63
Bid-YTW : 3.73 %
RY.PR.S FixedReset Prem 57,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.80 %
BMO.PR.S FixedReset Disc 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.36
Evaluated at bid price : 24.71
Bid-YTW : 3.77 %
There were 19 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: 16.65 – 18.70
Spot Rate : 2.0500
Average : 1.3786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %
TRP.PR.C FixedReset Disc Quote: 15.90 – 16.48
Spot Rate : 0.5800
Average : 0.3593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.3856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %
BAM.PF.A FixedReset Prem Quote: 25.20 – 25.70
Spot Rate : 0.5000
Average : 0.3010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
FTS.PR.F Perpetual-Premium Quote: 25.25 – 25.90
Spot Rate : 0.6500
Average : 0.5131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -9.44 %
TRP.PR.A FixedReset Disc Quote: 20.00 – 20.53
Spot Rate : 0.5300
Average : 0.4040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %