Category: Market Action

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 %
Market Action

August 3, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1759 % 2,691.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1759 % 4,938.8
Floater 3.23 % 3.26 % 99,920 19.08 3 0.1759 % 2,846.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0553 % 3,700.0
SplitShare 4.58 % 3.98 % 30,954 3.81 7 0.0553 % 4,418.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0553 % 3,447.6
Perpetual-Premium 5.19 % -14.45 % 60,402 0.09 25 0.0607 % 3,287.3
Perpetual-Discount 4.69 % 4.69 % 91,288 15.82 8 -0.0798 % 3,970.6
FixedReset Disc 4.00 % 3.44 % 134,394 18.39 40 -0.0975 % 2,807.3
Insurance Straight 4.90 % 1.36 % 73,992 0.09 22 -0.0303 % 3,714.6
FloatingReset 2.85 % 3.08 % 34,508 19.51 2 0.4386 % 2,582.4
FixedReset Prem 4.81 % 3.00 % 147,248 1.58 32 -0.1212 % 2,754.9
FixedReset Bank Non 1.81 % 1.33 % 128,521 0.14 1 0.0000 % 2,890.8
FixedReset Ins Non 4.05 % 3.25 % 120,780 18.29 20 -0.0688 % 2,943.6
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 23.37
Evaluated at bid price : 23.81
Bid-YTW : 3.99 %
MFC.PR.F FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.19 %
BAM.PF.G FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 21.87
Evaluated at bid price : 22.25
Bid-YTW : 3.97 %
TRP.PR.D FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.92 %
TRP.PR.C FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 3.72 %
RY.PR.J FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 23.00
Evaluated at bid price : 24.30
Bid-YTW : 3.44 %
MFC.PR.M FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 22.72
Evaluated at bid price : 23.59
Bid-YTW : 3.38 %
TRP.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.87 %
IFC.PR.C FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 23.68
Evaluated at bid price : 24.70
Bid-YTW : 3.40 %
MFC.PR.L FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 22.75
Evaluated at bid price : 23.52
Bid-YTW : 3.19 %
TD.PF.B FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 22.79
Evaluated at bid price : 23.62
Bid-YTW : 3.24 %
SLF.PR.G FixedReset Ins Non 4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.25 %
TRP.PR.A FixedReset Disc 9.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 3.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.X FixedReset Disc 228,136 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 3.76 %
NA.PR.A FixedReset Prem 64,958 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-14
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.24 %
RY.PR.R FixedReset Prem 53,357 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.55 %
IAF.PR.I FixedReset Ins Non 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 23.75
Evaluated at bid price : 25.20
Bid-YTW : 3.52 %
PWF.PR.R Perpetual-Premium 35,433 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-02
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -19.45 %
BMO.PR.B FixedReset Prem 30,605 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 1.96 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 23.81 – 24.72
Spot Rate : 0.9100
Average : 0.5297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 23.37
Evaluated at bid price : 23.81
Bid-YTW : 3.99 %
IFC.PR.E Insurance Straight Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7099

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : 4.48 %
BAM.PR.X FixedReset Disc Quote: 17.18 – 17.90
Spot Rate : 0.7200
Average : 0.5322

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 3.76 %
BAM.PF.G FixedReset Disc Quote: 22.25 – 23.29
Spot Rate : 1.0400
Average : 0.8544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 21.87
Evaluated at bid price : 22.25
Bid-YTW : 3.97 %
RY.PR.M FixedReset Disc Quote: 24.14 – 24.46
Spot Rate : 0.3200
Average : 0.1902

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 22.89
Evaluated at bid price : 24.14
Bid-YTW : 3.31 %
MFC.PR.M FixedReset Ins Non Quote: 23.59 – 24.00
Spot Rate : 0.4100
Average : 0.2840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-03
Maturity Price : 22.72
Evaluated at bid price : 23.59
Bid-YTW : 3.38 %
Market Action

July 30, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3783 % 2,686.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3783 % 4,930.1
Floater 3.23 % 3.26 % 103,867 19.08 3 0.3783 % 2,841.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,698.0
SplitShare 4.62 % 3.90 % 31,394 3.30 6 0.0000 % 4,416.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,445.7
Perpetual-Premium 5.19 % -11.84 % 60,235 0.09 25 -0.0202 % 3,285.3
Perpetual-Discount 4.69 % 4.55 % 94,812 15.83 8 -0.0150 % 3,973.8
FixedReset Disc 3.99 % 3.42 % 134,761 18.33 40 -0.1967 % 2,810.0
Insurance Straight 4.90 % 1.90 % 73,694 0.09 22 -0.0517 % 3,715.7
FloatingReset 2.86 % 3.10 % 35,757 19.46 2 -0.3123 % 2,571.1
FixedReset Prem 4.81 % 2.93 % 148,128 1.59 32 -0.1042 % 2,758.2
FixedReset Bank Non 1.81 % 1.23 % 129,049 0.15 1 -0.4382 % 2,890.8
FixedReset Ins Non 4.05 % 3.30 % 118,705 18.26 20 0.0409 % 2,945.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -8.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.23 %
TD.PF.B FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 3.36 %
BAM.PF.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.12
Evaluated at bid price : 22.62
Bid-YTW : 3.94 %
IFC.PR.A FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.21 %
BMO.PR.Y FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 23.03
Evaluated at bid price : 24.44
Bid-YTW : 3.39 %
MFC.PR.F FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 3.18 %
BMO.PR.W FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.90
Evaluated at bid price : 23.94
Bid-YTW : 3.20 %
TRP.PR.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 3.88 %
BMO.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 23.07
Evaluated at bid price : 24.15
Bid-YTW : 3.25 %
BMO.PR.F FixedReset Prem 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 2.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset Prem 33,384 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.29 %
PWF.PR.K Perpetual-Premium 31,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-29
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 1.87 %
PWF.PR.L Perpetual-Premium 31,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-29
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -4.72 %
BAM.PR.T FixedReset Disc 24,286 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 3.93 %
BMO.PR.Q FixedReset Bank Non 23,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 1.23 %
BAM.PR.Z FixedReset Disc 21,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 24.14
Evaluated at bid price : 24.50
Bid-YTW : 3.93 %
There were 12 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: 17.10 – 18.90
Spot Rate : 1.8000
Average : 0.9932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.23 %
MIC.PR.A Perpetual-Premium Quote: 26.86 – 27.86
Spot Rate : 1.0000
Average : 0.6991

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 4.45 %
TD.PF.B FixedReset Disc Quote: 23.23 – 23.91
Spot Rate : 0.6800
Average : 0.4290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 3.36 %
BAM.PF.G FixedReset Disc Quote: 22.62 – 23.49
Spot Rate : 0.8700
Average : 0.6509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.12
Evaluated at bid price : 22.62
Bid-YTW : 3.94 %
CU.PR.F Perpetual-Discount Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 4.55 %
POW.PR.A Perpetual-Premium Quote: 25.60 – 26.00
Spot Rate : 0.4000
Average : 0.2499

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-29
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -19.49 %
Market Action

July 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 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,911.6
Floater 3.24 % 3.27 % 103,802 19.05 3 0.0000 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0966 % 3,698.0
SplitShare 4.62 % 3.90 % 32,690 3.31 6 0.0966 % 4,416.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0966 % 3,445.7
Perpetual-Premium 5.19 % -13.87 % 58,162 0.09 25 0.0763 % 3,285.9
Perpetual-Discount 4.69 % 4.68 % 95,185 15.83 8 0.1449 % 3,974.4
FixedReset Disc 3.99 % 3.45 % 129,860 18.33 40 0.5859 % 2,815.5
Insurance Straight 4.90 % 1.05 % 73,754 0.09 22 0.0392 % 3,717.6
FloatingReset 2.85 % 3.08 % 35,600 19.53 2 0.9776 % 2,579.2
FixedReset Prem 4.80 % 2.86 % 149,737 1.59 32 0.2015 % 2,761.1
FixedReset Bank Non 1.80 % 1.51 % 119,823 0.16 1 0.0000 % 2,903.5
FixedReset Ins Non 4.05 % 3.34 % 115,952 18.20 20 0.4342 % 2,944.4
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.90
Evaluated at bid price : 23.84
Bid-YTW : 3.24 %
NA.PR.C FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 1.89 %
RY.PR.P Perpetual-Premium 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-28
Maturity Price : 26.00
Evaluated at bid price : 26.33
Bid-YTW : -14.16 %
BAM.PR.Z FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 24.09
Evaluated at bid price : 24.46
Bid-YTW : 3.93 %
BAM.PR.X FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 3.81 %
TD.PF.D FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 23.08
Evaluated at bid price : 24.55
Bid-YTW : 3.48 %
NA.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 23.20
Evaluated at bid price : 24.44
Bid-YTW : 3.29 %
BAM.PF.G FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.31
Evaluated at bid price : 22.94
Bid-YTW : 3.87 %
MFC.PR.M FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.88
Evaluated at bid price : 23.90
Bid-YTW : 3.37 %
PWF.PR.P FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 3.49 %
BAM.PR.T FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 3.95 %
CU.PR.C FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 21.86
Evaluated at bid price : 22.37
Bid-YTW : 3.59 %
TRP.PR.F FloatingReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.08 %
SLF.PR.G FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 3.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.R FixedReset Disc 101,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.05 %
BMO.PR.Q FixedReset Bank Non 74,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 1.51 %
TD.PF.H FixedReset Prem 53,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 1.78 %
MFC.PR.R FixedReset Ins Non 46,398 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 1.08 %
NA.PR.A FixedReset Prem 45,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-14
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.79 %
GWO.PR.H Insurance Straight 43,101 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-28
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.23 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.I FixedReset Prem Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2318

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.70 %
BMO.PR.Y FixedReset Disc Quote: 24.37 – 24.80
Spot Rate : 0.4300
Average : 0.3217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 23.01
Evaluated at bid price : 24.37
Bid-YTW : 3.45 %
BIP.PR.F FixedReset Prem Quote: 25.45 – 25.75
Spot Rate : 0.3000
Average : 0.2046

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.51 %
MFC.PR.N FixedReset Ins Non Quote: 23.48 – 23.80
Spot Rate : 0.3200
Average : 0.2305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.64
Evaluated at bid price : 23.48
Bid-YTW : 3.37 %
PVS.PR.G SplitShare Quote: 26.06 – 26.33
Spot Rate : 0.2700
Average : 0.1835

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.07 %
BMO.PR.T FixedReset Disc Quote: 23.68 – 23.97
Spot Rate : 0.2900
Average : 0.2108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.81
Evaluated at bid price : 23.68
Bid-YTW : 3.27 %
Market Action

July 28, 2021

PerpetualDiscounts now yield 4.78%, equivalent to 6.21% 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 remained constant at 315bp since reported July 21.

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 -0.4269 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4269 % 4,911.6
Floater 3.24 % 3.28 % 107,974 19.03 3 -0.4269 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0579 % 3,694.4
SplitShare 4.63 % 3.90 % 34,038 3.31 6 -0.0579 % 4,411.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0579 % 3,442.4
Perpetual-Premium 5.19 % -11.37 % 57,322 0.09 25 -0.0451 % 3,283.4
Perpetual-Discount 4.70 % 4.78 % 96,146 15.78 8 -0.1945 % 3,968.6
FixedReset Disc 4.01 % 3.48 % 134,159 18.30 40 0.2362 % 2,799.1
Insurance Straight 4.90 % 1.78 % 74,375 0.09 22 -0.0802 % 3,716.1
FloatingReset 2.88 % 3.14 % 36,101 19.37 2 -0.4396 % 2,554.2
FixedReset Prem 4.81 % 3.03 % 151,053 1.59 32 0.0960 % 2,755.5
FixedReset Bank Non 1.80 % 1.49 % 110,943 0.16 1 0.0797 % 2,903.5
FixedReset Ins Non 4.07 % 3.38 % 120,463 18.21 20 0.2121 % 2,931.7
Performance Highlights
Issue Index Change Notes
RY.PR.P Perpetual-Premium -2.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-27
Maturity Price : 26.00
Evaluated at bid price : 26.00
Bid-YTW : 0.51 %
PWF.PR.P FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.56 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.96 %
BAM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.07 %
BAM.PF.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.11
Evaluated at bid price : 22.61
Bid-YTW : 3.94 %
TRP.PR.C FixedReset Disc 4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 150,738 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.92
Evaluated at bid price : 23.90
Bid-YTW : 3.21 %
PWF.PR.P FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.56 %
RY.PR.R FixedReset Prem 29,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.43 %
SLF.PR.G FixedReset Ins Non 25,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.50 %
NA.PR.S FixedReset Disc 20,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 23.05
Evaluated at bid price : 24.10
Bid-YTW : 3.35 %
TD.PF.K FixedReset Disc 15,965 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 23.59
Evaluated at bid price : 25.20
Bid-YTW : 3.40 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.P Perpetual-Premium Quote: 26.00 – 26.75
Spot Rate : 0.7500
Average : 0.4837

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-27
Maturity Price : 26.00
Evaluated at bid price : 26.00
Bid-YTW : 0.51 %
BAM.PR.R FixedReset Disc Quote: 19.43 – 20.00
Spot Rate : 0.5700
Average : 0.3686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.07 %
SLF.PR.G FixedReset Ins Non Quote: 15.41 – 15.86
Spot Rate : 0.4500
Average : 0.3213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.50 %
MIC.PR.A Perpetual-Premium Quote: 26.90 – 27.55
Spot Rate : 0.6500
Average : 0.5218

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.90
Bid-YTW : 4.43 %
MFC.PR.M FixedReset Ins Non Quote: 23.49 – 23.89
Spot Rate : 0.4000
Average : 0.2785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.67
Evaluated at bid price : 23.49
Bid-YTW : 3.44 %
BAM.PF.I FixedReset Prem Quote: 25.27 – 25.60
Spot Rate : 0.3300
Average : 0.2211

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 3.76 %
Market Action

July 27, 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 1.1687 % 2,688.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1687 % 4,932.6
Floater 3.23 % 3.26 % 107,793 19.09 3 1.1687 % 2,842.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,696.6
SplitShare 4.62 % 3.82 % 35,443 3.31 6 0.0451 % 4,414.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,444.4
Perpetual-Premium 5.19 % -11.53 % 58,175 0.09 25 0.0592 % 3,284.9
Perpetual-Discount 4.69 % 4.54 % 96,297 15.86 8 0.4659 % 3,976.4
FixedReset Disc 4.02 % 3.48 % 131,949 18.32 40 0.5344 % 2,792.6
Insurance Straight 4.89 % 0.66 % 75,015 0.09 22 0.1964 % 3,719.1
FloatingReset 2.86 % 3.13 % 33,930 19.39 2 0.4415 % 2,565.5
FixedReset Prem 4.82 % 3.12 % 151,722 1.60 32 0.1701 % 2,752.9
FixedReset Bank Non 1.80 % 1.92 % 110,194 0.51 1 0.0000 % 2,901.2
FixedReset Ins Non 4.07 % 3.41 % 120,681 18.22 20 0.1800 % 2,925.5
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
GWO.PR.N FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 3.30 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 3.24 %
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.98
Evaluated at bid price : 24.30
Bid-YTW : 3.53 %
CM.PR.Y FixedReset Prem 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.20 %
BAM.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 23.24
Evaluated at bid price : 24.25
Bid-YTW : 3.93 %
IFC.PR.E Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.16
Bid-YTW : 4.28 %
BAM.PF.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.26
Evaluated at bid price : 22.67
Bid-YTW : 3.95 %
TRP.PR.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 3.95 %
BAM.PR.R FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.12 %
BAM.PR.X FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 3.86 %
RY.PR.M FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.38 %
BIP.PR.A FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.98
Evaluated at bid price : 24.26
Bid-YTW : 4.37 %
BAM.PF.F FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.73
Evaluated at bid price : 23.56
Bid-YTW : 3.92 %
TRP.PR.G FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.64
Evaluated at bid price : 23.60
Bid-YTW : 3.86 %
BAM.PR.K Floater 5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 81,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.38 %
RY.PR.R FixedReset Prem 52,592 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.37 %
TRP.PR.A FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.85 %
GWO.PR.H Insurance Straight 36,705 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.91 %
IFC.PR.A FixedReset Ins Non 29,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 3.13 %
PWF.PR.P FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.52 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 14.42 – 15.28
Spot Rate : 0.8600
Average : 0.5860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
CU.PR.I FixedReset Prem Quote: 26.65 – 27.16
Spot Rate : 0.5100
Average : 0.3542

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.05 %
SLF.PR.E Insurance Straight Quote: 25.00 – 25.40
Spot Rate : 0.4000
Average : 0.2912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.53 %
PWF.PR.G Perpetual-Premium Quote: 25.57 – 25.90
Spot Rate : 0.3300
Average : 0.2261

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -21.14 %
BAM.PF.G FixedReset Disc Quote: 22.25 – 22.89
Spot Rate : 0.6400
Average : 0.5678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 21.87
Evaluated at bid price : 22.25
Bid-YTW : 4.01 %
IAF.PR.B Insurance Straight Quote: 25.15 – 25.45
Spot Rate : 0.3000
Average : 0.2301

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.43 %
Market Action

July 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 0.00 % 0.00 % 0 0.00 0 -1.5261 % 2,657.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5261 % 4,875.6
Floater 3.27 % 3.24 % 109,080 19.13 3 -1.5261 % 2,809.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,694.9
SplitShare 4.63 % 3.97 % 33,261 3.83 6 -0.0450 % 4,412.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,442.8
Perpetual-Premium 5.19 % -11.68 % 58,313 0.09 25 -0.1104 % 3,283.0
Perpetual-Discount 4.71 % 4.69 % 93,907 15.80 8 0.0301 % 3,957.9
FixedReset Disc 4.04 % 3.48 % 137,191 18.28 40 0.1447 % 2,777.7
Insurance Straight 4.90 % 1.00 % 76,594 0.09 22 -0.0518 % 3,711.8
FloatingReset 2.88 % 3.15 % 34,406 19.35 2 -0.5020 % 2,554.2
FixedReset Prem 4.84 % 3.20 % 157,335 1.60 33 0.1253 % 2,748.2
FixedReset Bank Non 1.80 % 1.64 % 102,245 0.08 1 0.0000 % 2,901.2
FixedReset Ins Non 4.08 % 3.43 % 122,180 18.18 20 0.1107 % 2,920.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -5.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.43 %
IFC.PR.E Insurance Straight -1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.61 %
TRP.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.99 %
MIC.PR.A Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.90
Bid-YTW : 4.42 %
IAF.PR.G FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 24.40
Evaluated at bid price : 24.81
Bid-YTW : 3.68 %
SLF.PR.J FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 2.61 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.61
Evaluated at bid price : 23.55
Bid-YTW : 3.46 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.77 %
MFC.PR.F FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.22 %
BAM.PR.B Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 13.48
Evaluated at bid price : 13.48
Bid-YTW : 3.20 %
BIP.PR.A FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.75
Evaluated at bid price : 23.75
Bid-YTW : 4.48 %
TRP.PR.C FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 3.81 %
GWO.PR.N FixedReset Ins Non 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 3.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 132,979 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 23.06
Evaluated at bid price : 24.12
Bid-YTW : 3.35 %
BAM.PR.R FixedReset Disc 30,564 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.19 %
IFC.PR.G FixedReset Ins Non 18,671 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 23.71
Evaluated at bid price : 25.31
Bid-YTW : 3.35 %
CU.PR.I FixedReset Prem 16,617 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 2.95 %
PWF.PR.R Perpetual-Premium 15,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -20.76 %
CM.PR.R FixedReset Prem 13,561 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.26 %
There were 2 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: 20.56 – 22.00
Spot Rate : 1.4400
Average : 0.8179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 4.01 %
NA.PR.C FixedReset Prem Quote: 25.55 – 27.00
Spot Rate : 1.4500
Average : 0.8353

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.55 %
BAM.PR.K Floater Quote: 12.57 – 13.54
Spot Rate : 0.9700
Average : 0.6142

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.43 %
TD.PF.D FixedReset Disc Quote: 24.05 – 25.00
Spot Rate : 0.9500
Average : 0.6258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.88
Evaluated at bid price : 24.05
Bid-YTW : 3.57 %
TRP.PR.G FixedReset Disc Quote: 23.00 – 23.80
Spot Rate : 0.8000
Average : 0.5662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.99 %
TD.PF.J FixedReset Prem Quote: 25.05 – 25.60
Spot Rate : 0.5500
Average : 0.3196

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 23.67
Evaluated at bid price : 25.05
Bid-YTW : 3.50 %
Market Action

July 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 0.00 % 0.00 % 0 0.00 0 0.5535 % 2,698.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5535 % 4,951.2
Floater 3.22 % 3.24 % 110,602 19.13 3 0.5535 % 2,853.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,696.6
SplitShare 4.62 % 4.00 % 34,521 3.84 6 0.0129 % 4,414.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,444.4
Perpetual-Premium 5.19 % -13.94 % 58,249 0.09 25 -0.0233 % 3,286.6
Perpetual-Discount 4.71 % 4.78 % 95,830 15.83 8 0.1506 % 3,956.7
FixedReset Disc 4.05 % 3.51 % 137,951 18.30 40 0.1674 % 2,773.7
Insurance Straight 4.90 % 2.73 % 77,181 0.09 22 0.0286 % 3,713.8
FloatingReset 2.88 % 3.16 % 34,623 19.32 2 1.3355 % 2,567.1
FixedReset Prem 4.85 % 3.24 % 158,794 1.39 33 -0.0106 % 2,744.8
FixedReset Bank Non 1.80 % 1.49 % 102,391 0.09 1 0.0000 % 2,901.2
FixedReset Ins Non 4.09 % 3.44 % 126,852 18.17 20 0.0000 % 2,917.0
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.49
Evaluated at bid price : 23.31
Bid-YTW : 3.51 %
SLF.PR.G FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 3.52 %
GWO.PR.N FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.35 %
BMO.PR.D FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 2.50 %
PWF.PR.Z Perpetual-Premium 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-07-31
Maturity Price : 25.75
Evaluated at bid price : 26.20
Bid-YTW : 4.06 %
BAM.PR.K Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 3.23 %
MIC.PR.A Perpetual-Premium 1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.24
Bid-YTW : 4.17 %
CU.PR.C FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 21.63
Evaluated at bid price : 22.02
Bid-YTW : 3.65 %
TD.PF.I FixedReset Prem 1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.66 %
SLF.PR.J FloatingReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 2.60 %
MFC.PR.F FixedReset Ins Non 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.26 %
PWF.PR.P FixedReset Disc 7.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 3.52 %
BAM.PR.X FixedReset Disc 8.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset Prem 473,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 0.92 %
BAM.PR.X FixedReset Disc 46,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.93 %
SLF.PR.A Insurance Straight 34,542 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-22
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 1.57 %
BMO.PR.T FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.81
Evaluated at bid price : 23.68
Bid-YTW : 3.27 %
BAM.PR.T FixedReset Disc 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.05 %
BAM.PR.N Perpetual-Discount 19,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.80 %
There were 10 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: 26.35 – 28.93
Spot Rate : 2.5800
Average : 1.7975

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : 3.90 %
MIC.PR.A Perpetual-Premium Quote: 27.24 – 28.24
Spot Rate : 1.0000
Average : 0.6821

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.24
Bid-YTW : 4.17 %
PWF.PR.E Perpetual-Premium Quote: 25.58 – 25.91
Spot Rate : 0.3300
Average : 0.2260

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-22
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -22.52 %
SLF.PR.A Insurance Straight Quote: 25.14 – 25.47
Spot Rate : 0.3300
Average : 0.2468

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-22
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 1.57 %
BAM.PF.F FixedReset Disc Quote: 23.05 – 23.68
Spot Rate : 0.6300
Average : 0.5471

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
BMO.PR.E FixedReset Prem Quote: 25.20 – 25.45
Spot Rate : 0.2500
Average : 0.1836

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 23.58
Evaluated at bid price : 25.20
Bid-YTW : 3.54 %