Category: Market Action

Market Action

August 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 0 -0.2030 % 2,655.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2030 % 4,871.9
Floater 3.27 % 3.29 % 75,049 18.97 3 -0.2030 % 2,807.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,708.8
SplitShare 4.57 % 3.96 % 28,679 3.78 7 0.0386 % 4,429.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,455.8
Perpetual-Premium 5.15 % -16.90 % 53,576 0.09 25 0.1530 % 3,313.0
Perpetual-Discount 4.67 % 4.22 % 84,224 1.02 8 -0.0149 % 3,987.9
FixedReset Disc 3.98 % 3.49 % 116,276 18.21 40 0.3679 % 2,818.8
Insurance Straight 4.86 % -3.70 % 70,321 0.09 22 0.0159 % 3,741.7
FloatingReset 2.88 % 3.27 % 36,418 19.03 2 -1.7359 % 2,553.4
FixedReset Prem 4.81 % 2.92 % 134,982 2.21 32 0.1641 % 2,756.2
FixedReset Bank Non 1.81 % 1.77 % 110,439 0.11 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.29 % 114,786 18.25 20 -0.2502 % 2,954.2
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.27 %
SLF.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 3.25 %
BAM.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.38
Evaluated at bid price : 24.55
Bid-YTW : 3.94 %
BAM.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 3.95 %
MFC.PR.J FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.78
Evaluated at bid price : 25.22
Bid-YTW : 3.41 %
TRP.PR.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 22.54
Evaluated at bid price : 23.40
Bid-YTW : 3.91 %
IFC.PR.A FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 3.23 %
SLF.PR.J FloatingReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 2.52 %
BAM.PR.X FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.85 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.T Insurance Straight 369,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.52
Bid-YTW : 3.38 %
BMO.PR.C FixedReset Prem 111,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.24 %
CM.PR.R FixedReset Prem 101,425 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 1.90 %
TD.PF.K FixedReset Disc 38,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.64
Evaluated at bid price : 25.30
Bid-YTW : 3.44 %
SLF.PR.A Insurance Straight 30,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -0.47 %
CM.PR.S FixedReset Disc 28,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 23.71
Evaluated at bid price : 24.90
Bid-YTW : 3.35 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 26.56 – 29.07
Spot Rate : 2.5100
Average : 1.5414

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.56
Bid-YTW : 3.26 %
TRP.PR.F FloatingReset Quote: 16.05 – 17.10
Spot Rate : 1.0500
Average : 0.6514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.27 %
IFC.PR.I Perpetual-Premium Quote: 27.10 – 28.00
Spot Rate : 0.9000
Average : 0.6168

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.15 %
IFC.PR.F Insurance Straight Quote: 26.40 – 27.40
Spot Rate : 1.0000
Average : 0.7732

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.40
Bid-YTW : 4.23 %
BAM.PF.B FixedReset Disc Quote: 23.10 – 23.61
Spot Rate : 0.5100
Average : 0.3479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-16
Maturity Price : 22.55
Evaluated at bid price : 23.10
Bid-YTW : 3.94 %
MFC.PR.B Insurance Straight Quote: 25.10 – 25.60
Spot Rate : 0.5000
Average : 0.3482

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -5.41 %
Market Action

August 13, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1270 % 2,660.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1270 % 4,881.8
Floater 3.26 % 3.29 % 77,481 18.97 3 0.1270 % 2,813.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,707.4
SplitShare 4.57 % 3.96 % 26,555 3.78 7 0.0386 % 4,427.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,454.5
Perpetual-Premium 5.15 % -14.82 % 55,531 0.09 25 0.0773 % 3,307.9
Perpetual-Discount 4.67 % 3.52 % 84,635 1.03 8 0.0199 % 3,988.4
FixedReset Disc 4.00 % 3.50 % 120,112 18.18 40 0.1165 % 2,808.5
Insurance Straight 4.87 % -1.77 % 73,109 0.09 22 0.1704 % 3,741.1
FloatingReset 2.83 % 3.11 % 34,106 19.42 2 -0.1548 % 2,598.5
FixedReset Prem 4.82 % 2.92 % 135,788 2.22 32 0.0109 % 2,751.7
FixedReset Bank Non 1.81 % 1.64 % 114,991 0.11 1 0.0000 % 2,890.8
FixedReset Ins Non 4.02 % 3.30 % 119,349 18.11 20 0.1285 % 2,961.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.27 %
MIC.PR.A Perpetual-Premium -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 4.56 %
BIP.PR.B FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.97 %
BAM.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.90
Evaluated at bid price : 24.30
Bid-YTW : 4.02 %
MFC.PR.I FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 3.27 %
GWO.PR.S Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.50
Evaluated at bid price : 26.60
Bid-YTW : -35.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.J FixedReset Ins Non 29,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.79
Evaluated at bid price : 25.24
Bid-YTW : 3.47 %
NA.PR.S FixedReset Disc 19,151 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 23.19
Evaluated at bid price : 24.40
Bid-YTW : 3.36 %
TRP.PR.K FixedReset Prem 18,446 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.08 %
MFC.PR.N FixedReset Ins Non 18,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 3.39 %
BMO.PR.F FixedReset Prem 15,072 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.58 %
SLF.PR.C Insurance Straight 12,663 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.18 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 23.00 – 25.00
Spot Rate : 2.0000
Average : 1.0943

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 3.92 %
POW.PR.A Perpetual-Premium Quote: 25.93 – 26.93
Spot Rate : 1.0000
Average : 0.5660

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : -30.85 %
IFC.PR.A FixedReset Ins Non Quote: 20.40 – 21.24
Spot Rate : 0.8400
Average : 0.5727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.27 %
CU.PR.C FixedReset Disc Quote: 21.70 – 22.48
Spot Rate : 0.7800
Average : 0.6026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-13
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.74 %
IFC.PR.I Perpetual-Premium Quote: 26.92 – 27.40
Spot Rate : 0.4800
Average : 0.3063

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.92
Bid-YTW : 4.33 %
POW.PR.C Perpetual-Premium Quote: 26.04 – 26.50
Spot Rate : 0.4600
Average : 0.2916

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-12
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : -34.83 %
Market Action

August 12, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5558 % 2,657.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5558 % 4,875.6
Floater 3.27 % 3.30 % 80,624 18.96 3 -0.5558 % 2,809.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0939 % 3,706.0
SplitShare 4.57 % 4.06 % 27,495 3.78 7 0.0939 % 4,425.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0939 % 3,453.1
Perpetual-Premium 5.16 % -14.55 % 54,860 0.09 25 0.1812 % 3,305.4
Perpetual-Discount 4.67 % 4.14 % 85,111 0.79 8 0.2293 % 3,987.7
FixedReset Disc 4.00 % 3.53 % 121,885 18.17 40 0.5241 % 2,805.2
Insurance Straight 4.87 % -1.57 % 71,434 0.09 22 0.0835 % 3,734.8
FloatingReset 2.82 % 3.11 % 35,422 19.43 2 -0.1236 % 2,602.6
FixedReset Prem 4.82 % 3.17 % 135,169 1.55 32 -0.0049 % 2,751.4
FixedReset Bank Non 1.81 % 1.60 % 116,238 0.12 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.41 % 117,065 18.03 20 0.1029 % 2,957.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.23 %
BAM.PR.B Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 3.28 %
BMO.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 22.82
Evaluated at bid price : 23.75
Bid-YTW : 3.32 %
IFC.PR.A FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.23 %
BAM.PF.F FixedReset Disc 4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 22.97
Evaluated at bid price : 24.03
Bid-YTW : 3.92 %
PWF.PR.P FixedReset Disc 11.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.H FixedReset Ins Non 175,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 22.54
Evaluated at bid price : 23.50
Bid-YTW : 3.21 %
BMO.PR.E FixedReset Prem 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.60
Evaluated at bid price : 25.25
Bid-YTW : 3.56 %
IFC.PR.G FixedReset Ins Non 43,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.79
Evaluated at bid price : 25.50
Bid-YTW : 3.41 %
IAF.PR.I FixedReset Ins Non 30,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.81
Evaluated at bid price : 25.33
Bid-YTW : 3.63 %
CM.PR.S FixedReset Disc 29,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 23.70
Evaluated at bid price : 24.90
Bid-YTW : 3.37 %
TRP.PR.K FixedReset Prem 29,076 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.65 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 26.15 – 26.88
Spot Rate : 0.7300
Average : 0.4746

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.15
Bid-YTW : 4.49 %
BAM.PR.T FixedReset Disc Quote: 20.17 – 21.50
Spot Rate : 1.3300
Average : 1.1356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.03 %
CU.PR.I FixedReset Prem Quote: 26.51 – 27.16
Spot Rate : 0.6500
Average : 0.5109

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 2.95 %
TRP.PR.C FixedReset Disc Quote: 14.48 – 15.00
Spot Rate : 0.5200
Average : 0.3931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 4.04 %
POW.PR.G Perpetual-Premium Quote: 25.90 – 26.24
Spot Rate : 0.3400
Average : 0.2201

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-11
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : -29.81 %
BAM.PR.X FixedReset Disc Quote: 17.15 – 18.00
Spot Rate : 0.8500
Average : 0.7340

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-12
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.97 %
Market Action

August 11, 2021

PerpetualDiscounts now yield 4.64%, equivalent to 6.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 300bp, the same as August 4.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.3832 % 2,671.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3832 % 4,902.9
Floater 3.25 % 3.29 % 83,761 18.99 3 1.3832 % 2,825.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1709 % 3,702.5
SplitShare 4.58 % 4.06 % 27,634 3.79 7 -0.1709 % 4,421.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1709 % 3,449.9
Perpetual-Premium 5.17 % -14.12 % 54,908 0.09 25 0.0651 % 3,299.4
Perpetual-Discount 4.69 % 4.64 % 85,112 1.09 8 0.0948 % 3,978.5
FixedReset Disc 4.02 % 3.57 % 123,776 18.17 40 -0.1948 % 2,790.6
Insurance Straight 4.88 % -0.77 % 72,253 0.09 22 0.1619 % 3,731.7
FloatingReset 2.82 % 3.11 % 36,857 19.42 2 0.0000 % 2,605.8
FixedReset Prem 4.82 % 2.84 % 135,223 1.55 32 0.1388 % 2,751.5
FixedReset Bank Non 1.81 % 1.57 % 121,028 0.12 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.45 % 115,045 18.03 20 0.1008 % 2,954.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.90 %
BAM.PF.F FixedReset Disc -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 22.48
Evaluated at bid price : 23.10
Bid-YTW : 4.11 %
TRP.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.05 %
BAM.PR.B Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.25 %
BAM.PR.C Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.29 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.19 %
GWO.PR.N FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 3.33 %
MFC.PR.F FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 3.29 %
BAM.PR.K Floater 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 13.13
Evaluated at bid price : 13.13
Bid-YTW : 3.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.T Insurance Straight 52,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.55
Bid-YTW : 3.20 %
TRP.PR.D FixedReset Disc 49,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.11 %
SLF.PR.I FixedReset Ins Non 45,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.76 %
IFC.PR.C FixedReset Ins Non 34,045 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 23.63
Evaluated at bid price : 24.70
Bid-YTW : 3.55 %
BAM.PF.E FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.09 %
MFC.PR.G FixedReset Ins Non 22,502 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 24.51
Evaluated at bid price : 25.07
Bid-YTW : 3.79 %
There were 11 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: 20.25 – 21.90
Spot Rate : 1.6500
Average : 0.9225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.01 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.20
Spot Rate : 1.8500
Average : 1.2751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.90 %
GWO.PR.P Insurance Straight Quote: 25.75 – 26.75
Spot Rate : 1.0000
Average : 0.5765

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-10
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : -21.81 %
BAM.PF.F FixedReset Disc Quote: 23.10 – 24.07
Spot Rate : 0.9700
Average : 0.6067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 22.48
Evaluated at bid price : 23.10
Bid-YTW : 4.11 %
CM.PR.Q FixedReset Disc Quote: 24.15 – 24.60
Spot Rate : 0.4500
Average : 0.2683

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 22.92
Evaluated at bid price : 24.15
Bid-YTW : 3.63 %
BAM.PR.X FixedReset Disc Quote: 17.27 – 18.00
Spot Rate : 0.7300
Average : 0.6067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 3.94 %
Market Action

August 10, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.8109 % 2,635.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8109 % 4,836.0
Floater 3.29 % 3.32 % 86,993 18.90 3 -1.8109 % 2,787.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1104 % 3,708.8
SplitShare 4.57 % 4.05 % 28,771 3.79 7 0.1104 % 4,429.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1104 % 3,455.8
Perpetual-Premium 5.17 % -13.75 % 56,097 0.09 25 0.0682 % 3,297.3
Perpetual-Discount 4.69 % 4.70 % 86,219 1.10 8 -0.0698 % 3,974.8
FixedReset Disc 4.01 % 3.57 % 125,638 18.14 40 1.3982 % 2,796.1
Insurance Straight 4.89 % 1.14 % 72,583 0.09 22 0.0285 % 3,725.6
FloatingReset 2.82 % 3.10 % 36,414 19.45 2 -0.3696 % 2,605.8
FixedReset Prem 4.82 % 3.27 % 139,572 1.56 32 -0.0280 % 2,747.7
FixedReset Bank Non 1.81 % 1.53 % 120,593 0.12 1 0.0000 % 2,890.8
FixedReset Ins Non 4.04 % 3.41 % 115,998 18.03 20 0.1224 % 2,951.7
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.32 %
BAM.PR.K Floater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 3.36 %
BAM.PR.B Floater -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 3.28 %
BAM.PR.Z FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 23.36
Evaluated at bid price : 23.81
Bid-YTW : 4.13 %
SLF.PR.J FloatingReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 2.56 %
GWO.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 3.37 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.92 %
IFC.PR.E Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.45
Bid-YTW : 3.68 %
PWF.PR.P FixedReset Disc 7.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.62 %
TRP.PR.G FixedReset Disc 85.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 22.49
Evaluated at bid price : 23.30
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 58,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 1.81 %
SLF.PR.G FixedReset Ins Non 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.23 %
PWF.PR.P FixedReset Disc 40,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.62 %
TD.PF.C FixedReset Disc 40,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 22.77
Evaluated at bid price : 23.70
Bid-YTW : 3.38 %
GWO.PR.G Insurance Straight 19,538 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-09
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -14.64 %
IFC.PR.C FixedReset Ins Non 18,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 23.78
Evaluated at bid price : 24.80
Bid-YTW : 3.54 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 26.45 – 28.85
Spot Rate : 2.4000
Average : 1.6239

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.45
Bid-YTW : 3.68 %
BAM.PR.Z FixedReset Disc Quote: 23.81 – 24.68
Spot Rate : 0.8700
Average : 0.6649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 23.36
Evaluated at bid price : 23.81
Bid-YTW : 4.13 %
CU.PR.C FixedReset Disc Quote: 21.75 – 22.35
Spot Rate : 0.6000
Average : 0.4307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 3.76 %
TD.PF.I FixedReset Prem Quote: 25.40 – 25.90
Spot Rate : 0.5000
Average : 0.3313

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.27 %
SLF.PR.C Insurance Straight Quote: 25.05 – 25.49
Spot Rate : 0.4400
Average : 0.2750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-10
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 4.48 %
PWF.PR.S Perpetual-Premium Quote: 25.24 – 25.63
Spot Rate : 0.3900
Average : 0.2398

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 3.60 %
Market Action

August 9, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0251 % 2,684.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0251 % 4,925.2
Floater 3.24 % 3.26 % 85,574 19.06 3 -0.0251 % 2,838.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0552 % 3,704.7
SplitShare 4.57 % 4.05 % 29,954 3.79 7 -0.0552 % 4,424.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0552 % 3,452.0
Perpetual-Premium 5.17 % -14.28 % 58,299 0.09 25 0.0341 % 3,295.0
Perpetual-Discount 4.69 % 4.65 % 87,351 1.10 8 0.3151 % 3,977.5
FixedReset Disc 4.07 % 3.53 % 125,401 18.12 40 -1.3229 % 2,757.5
Insurance Straight 4.89 % 0.95 % 68,336 0.09 22 0.0196 % 3,724.6
FloatingReset 2.81 % 3.11 % 35,992 19.43 2 0.9953 % 2,615.4
FixedReset Prem 4.82 % 3.07 % 141,463 1.56 32 -0.0717 % 2,748.5
FixedReset Bank Non 1.81 % 1.50 % 125,459 0.13 1 0.0400 % 2,890.8
FixedReset Ins Non 4.04 % 3.41 % 117,844 18.03 20 0.0473 % 2,948.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -46.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 12.59
Evaluated at bid price : 12.59
Bid-YTW : 7.52 %
PWF.PR.P FixedReset Disc -7.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.90 %
BAM.PR.Z FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 23.68
Evaluated at bid price : 24.10
Bid-YTW : 4.08 %
SLF.PR.H FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 3.23 %
IFC.PR.A FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 3.28 %
CU.PR.F Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-08
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : -6.08 %
BAM.PR.R FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.04 %
SLF.PR.J FloatingReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 2.53 %
SLF.PR.G FixedReset Ins Non 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.25 %
BAM.PF.B FixedReset Disc 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 22.50
Evaluated at bid price : 23.02
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset Prem 37,353 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.02 %
TD.PF.H FixedReset Prem 26,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.85 %
MFC.PR.J FixedReset Ins Non 23,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 23.77
Evaluated at bid price : 25.20
Bid-YTW : 3.51 %
BMO.PR.B FixedReset Prem 21,148 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.09 %
GWO.PR.Q Insurance Straight 17,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -4.80 %
BAM.PF.C Perpetual-Discount 16,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.46 %
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: 12.59 – 23.75
Spot Rate : 11.1600
Average : 5.8909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 12.59
Evaluated at bid price : 12.59
Bid-YTW : 7.52 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 16.91
Spot Rate : 1.5600
Average : 1.0007

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.90 %
IFC.PR.E Insurance Straight Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.7729

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.39 %
BAM.PR.X FixedReset Disc Quote: 17.17 – 17.90
Spot Rate : 0.7300
Average : 0.5062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 3.96 %
SLF.PR.H FixedReset Ins Non Quote: 23.35 – 23.75
Spot Rate : 0.4000
Average : 0.2661

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 3.23 %
TRP.PR.C FixedReset Disc Quote: 14.58 – 15.00
Spot Rate : 0.4200
Average : 0.2878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-09
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.01 %
Market Action

DFN.PR.A Got Bigger

Dividend 15 Split Corp. announced (on 2021-4-26):

it will undertake an offering of Preferred Shares and Class A Shares of the Company. The offering will be led by National Bank Financial Inc.

The Preferred Shares will be offered at a price of $10.10 per Preferred Share to yield 5.4% and the Class A Shares will be offered at a price of $8.15 per Class A Share to yield 14.7%. The closing price on the TSX of each of the Preferred Shares and Class A Shares on April 23, 2021 was $10.26 and $8.13, respectively.

Since inception of the Company, the aggregate dividends declared on the Preferred Shares have been $9.03 per share and the aggregate dividends declared on the Class A Shares have been $23.60 per share (including five special distributions of $0.25 per share, one special distribution of $0.50 per share and one special stock dividend of $1.75 per share), for a combined total of $32.63 per unit. All distributions paid to date have been made in tax advantage eligible Canadian dividends or capital gains dividends.

The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio consisting of 15 dividend yielding Canadian companies as follows:

Bank of Montreal Enbridge Inc. TC Energy
The Bank of Nova Scotia Manulife Financial Corp. TELUS Corporation
BCE Inc. National Bank of Canada Thomson Reuters Corp.
Canadian Imperial Bank of Commerce Royal Bank of Canada The Toronto-Dominion Bank
CI Financial Corp. Sun Life Financial Inc. TransAlta Corporation

Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends in the
amount of 5.50% annually; and
ii. on or about the termination date, currently December 1, 2024 (subject to further 5 year extensions thereafter and it has been extended in the past), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends currently targeted to be $0.10 per
share; and
ii. on or about the termination date, currently December 1, 2024 (subject to further 5 year extensions thereafter and it has been extended in the past) to pay holders of Class A Shares at least the original issue price of those shares.

The sales period of this overnight offering will end at 9:00 a.m. EST on April 27, 2021. The offering is expected to close on or about April 30, 2021 and is subject to certain closing conditions including approval by the TSX.

They later announced:

t has completed the overnight marketing of Preferred Shares and Class A Shares of the Company. Total gross proceeds of the offering are expected to be approximately $82,218,750.

Market Action

August 6, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3533 % 2,684.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3533 % 4,926.4
Floater 3.23 % 3.26 % 88,774 19.06 3 0.3533 % 2,839.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,706.8
SplitShare 4.57 % 3.99 % 31,186 3.80 7 0.0386 % 4,426.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0386 % 3,453.9
Perpetual-Premium 5.18 % -14.33 % 58,869 0.09 25 0.0574 % 3,293.9
Perpetual-Discount 4.70 % 4.79 % 86,583 1.11 8 -0.0350 % 3,965.1
FixedReset Disc 4.02 % 3.42 % 126,185 18.37 40 -0.1146 % 2,794.5
Insurance Straight 4.89 % 0.45 % 69,971 0.09 22 0.0303 % 3,723.8
FloatingReset 2.84 % 3.11 % 35,332 19.43 2 0.0000 % 2,589.7
FixedReset Prem 4.82 % 3.09 % 142,107 1.57 32 0.0681 % 2,750.5
FixedReset Bank Non 1.81 % 1.71 % 121,073 0.13 1 0.0000 % 2,889.7
FixedReset Ins Non 4.04 % 3.26 % 118,831 18.33 20 0.0688 % 2,946.7
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.03 %
BAM.PR.R FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 3.98 %
TRP.PR.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.99 %
BAM.PF.G FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 22.22
Evaluated at bid price : 22.79
Bid-YTW : 3.86 %
SLF.PR.G FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 76,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 23.68
Evaluated at bid price : 24.85
Bid-YTW : 3.24 %
SLF.PR.A Insurance Straight 24,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-05
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -3.92 %
TD.PF.I FixedReset Prem 20,830 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.91 %
RY.PR.H FixedReset Disc 18,501 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 22.88
Evaluated at bid price : 23.82
Bid-YTW : 3.18 %
RY.PR.R FixedReset Prem 13,781 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.77 %
SLF.PR.C Insurance Straight 13,604 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.48 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 22.00 – 23.18
Spot Rate : 1.1800
Average : 0.6726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.03 %
CU.PR.C FixedReset Disc Quote: 21.60 – 22.20
Spot Rate : 0.6000
Average : 0.4591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.63 %
CU.PR.I FixedReset Prem Quote: 26.66 – 27.16
Spot Rate : 0.5000
Average : 0.3681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 2.79 %
GWO.PR.N FixedReset Ins Non Quote: 15.45 – 15.90
Spot Rate : 0.4500
Average : 0.3395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 3.24 %
CM.PR.T FixedReset Prem Quote: 26.17 – 26.72
Spot Rate : 0.5500
Average : 0.4445

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.46 %
BAM.PR.R FixedReset Disc Quote: 19.65 – 20.15
Spot Rate : 0.5000
Average : 0.4002

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-06
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 3.98 %
Market Action

August 5, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0504 % 2,675.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0504 % 4,909.1
Floater 3.25 % 3.28 % 92,363 19.02 3 -0.0504 % 2,829.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1157 % 3,705.4
SplitShare 4.57 % 3.99 % 29,590 3.80 7 -0.1157 % 4,425.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1157 % 3,452.6
Perpetual-Premium 5.18 % -13.24 % 59,263 0.09 25 0.1898 % 3,292.0
Perpetual-Discount 4.70 % 4.72 % 87,669 1.11 8 0.0550 % 3,966.4
FixedReset Disc 4.01 % 3.39 % 127,976 18.38 40 0.1917 % 2,797.7
Insurance Straight 4.89 % 0.77 % 71,078 0.09 22 0.0962 % 3,722.7
FloatingReset 2.84 % 3.11 % 36,760 19.44 2 0.2495 % 2,589.7
FixedReset Prem 4.82 % 3.17 % 143,355 2.24 32 -0.0499 % 2,748.6
FixedReset Bank Non 1.81 % 1.67 % 126,062 0.14 1 0.0000 % 2,889.7
FixedReset Ins Non 4.05 % 3.26 % 121,492 18.34 20 0.0796 % 2,944.7
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.01 %
CM.PR.T FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.56 %
TRP.PR.C FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 3.80 %
TRP.PR.A FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 3.90 %
NA.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 23.14
Evaluated at bid price : 24.30
Bid-YTW : 3.27 %
CU.PR.I FixedReset Prem 1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.85 %
BAM.PR.R FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.91 %
MFC.PR.F FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.18 %
BAM.PF.F FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 3.79 %
BAM.PR.Z FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 23.99
Evaluated at bid price : 24.38
Bid-YTW : 3.90 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.R Perpetual-Premium 84,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -21.26 %
IFC.PR.C FixedReset Ins Non 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 23.81
Evaluated at bid price : 24.80
Bid-YTW : 3.39 %
TD.PF.K FixedReset Disc 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 23.55
Evaluated at bid price : 25.06
Bid-YTW : 3.38 %
PWF.PR.T FixedReset Disc 33,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 23.10
Evaluated at bid price : 24.10
Bid-YTW : 3.30 %
GWO.PR.H Insurance Straight 28,840 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 0.44 %
CM.PR.S FixedReset Disc 27,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 23.68
Evaluated at bid price : 24.85
Bid-YTW : 3.24 %
There were 7 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: 20.61 – 21.29
Spot Rate : 0.6800
Average : 0.4862

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.95 %
POW.PR.G Perpetual-Premium Quote: 25.85 – 26.24
Spot Rate : 0.3900
Average : 0.2510

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -28.91 %
CM.PR.T FixedReset Prem Quote: 26.10 – 26.56
Spot Rate : 0.4600
Average : 0.3289

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.56 %
BMO.PR.S FixedReset Disc Quote: 23.87 – 24.20
Spot Rate : 0.3300
Average : 0.2055

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 22.94
Evaluated at bid price : 23.87
Bid-YTW : 3.26 %
BMO.PR.T FixedReset Disc Quote: 23.23 – 23.69
Spot Rate : 0.4600
Average : 0.3411

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 3.26 %
BAM.PF.G FixedReset Disc Quote: 22.26 – 23.29
Spot Rate : 1.0300
Average : 0.9152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-05
Maturity Price : 21.88
Evaluated at bid price : 22.26
Bid-YTW : 3.97 %
Market Action

August 4, 2021

PerpetualDiscounts now yield 4.64%, equivalent to 6.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 300bp from the 315bp since reported July 28.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5518 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5518 % 4,911.6
Floater 3.24 % 3.28 % 96,042 19.03 3 -0.5518 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2597 % 3,709.7
SplitShare 4.57 % 3.98 % 30,806 3.81 7 0.2597 % 4,430.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2597 % 3,456.6
Perpetual-Premium 5.19 % -14.22 % 59,842 0.09 25 -0.0451 % 3,285.8
Perpetual-Discount 4.70 % 4.64 % 91,256 1.11 8 -0.1598 % 3,964.3
FixedReset Disc 4.02 % 3.40 % 129,684 18.36 40 -0.5321 % 2,792.3
Insurance Straight 4.89 % 0.60 % 73,483 0.09 22 0.1231 % 3,719.1
FloatingReset 2.85 % 3.11 % 36,882 19.44 2 0.0312 % 2,583.2
FixedReset Prem 4.82 % 3.17 % 145,175 1.57 32 -0.1785 % 2,750.0
FixedReset Bank Non 1.81 % 1.64 % 127,663 0.14 1 -0.0400 % 2,889.7
FixedReset Ins Non 4.05 % 3.27 % 119,878 18.31 20 -0.0409 % 2,942.4
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 3.94 %
BMO.PR.T FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 3.26 %
MFC.PR.F FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.24 %
BMO.PR.S FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 22.93
Evaluated at bid price : 23.85
Bid-YTW : 3.26 %
CU.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 21.38
Evaluated at bid price : 21.68
Bid-YTW : 3.62 %
TD.PF.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 22.99
Evaluated at bid price : 24.36
Bid-YTW : 3.55 %
TRP.PR.G FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 22.64
Evaluated at bid price : 23.60
Bid-YTW : 3.83 %
BMO.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 22.74
Evaluated at bid price : 23.60
Bid-YTW : 3.22 %
TRP.PR.D FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.96 %
BAM.PR.K Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 3.29 %
NA.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 23.03
Evaluated at bid price : 24.05
Bid-YTW : 3.32 %
TRP.PR.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 3.85 %
SLF.PR.J FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 2.59 %
CU.PR.F Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.12 %
CU.PR.D Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -6.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 258,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 22.87
Evaluated at bid price : 23.80
Bid-YTW : 3.18 %
CU.PR.C FixedReset Disc 84,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 21.38
Evaluated at bid price : 21.68
Bid-YTW : 3.62 %
TRP.PR.K FixedReset Prem 67,829 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 2.83 %
BAM.PF.E FixedReset Disc 60,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.99 %
CU.PR.H Perpetual-Premium 52,033 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 25.77
Bid-YTW : 2.15 %
MFC.PR.Q FixedReset Ins Non 27,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 23.60
Evaluated at bid price : 24.95
Bid-YTW : 3.37 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.90 – 26.40
Spot Rate : 0.5000
Average : 0.3007

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.63 %
GWO.PR.S Insurance Straight Quote: 26.10 – 26.65
Spot Rate : 0.5500
Average : 0.3804

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-03
Maturity Price : 25.50
Evaluated at bid price : 26.10
Bid-YTW : -16.49 %
BAM.PR.Z FixedReset Disc Quote: 23.81 – 24.69
Spot Rate : 0.8800
Average : 0.7129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 23.37
Evaluated at bid price : 23.81
Bid-YTW : 3.99 %
PVS.PR.H SplitShare Quote: 25.75 – 26.25
Spot Rate : 0.5000
Average : 0.3339

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.27 %
IFC.PR.E Insurance Straight Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.8616

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.05
Bid-YTW : 4.42 %
TD.PF.E FixedReset Disc Quote: 24.36 – 24.73
Spot Rate : 0.3700
Average : 0.2347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-04
Maturity Price : 22.99
Evaluated at bid price : 24.36
Bid-YTW : 3.55 %