Category: Market Action

Market Action

March 30, 2022

PerpetualDiscounts now yield 5.19%, equivalent to 6.75% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.45%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 230bp from the 250bp reported March 23.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.22 % 3.73 % 26,699 19.68 1 1.2887 % 2,799.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2841 % 5,247.3
Floater 3.35 % 3.35 % 61,934 18.87 3 0.2841 % 3,024.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2701 % 3,634.0
SplitShare 4.68 % 4.45 % 29,711 3.42 8 -0.2701 % 4,339.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2701 % 3,386.1
Perpetual-Premium 5.36 % -1.08 % 61,677 0.09 17 -0.1191 % 3,176.2
Perpetual-Discount 5.14 % 5.19 % 69,305 15.12 16 -0.0940 % 3,596.3
FixedReset Disc 4.14 % 5.18 % 116,947 15.11 46 0.5169 % 2,740.4
Insurance Straight 5.19 % 5.08 % 89,221 15.17 18 -0.0164 % 3,458.4
FloatingReset 3.12 % 3.45 % 44,834 18.62 2 0.1140 % 2,851.3
FixedReset Prem 4.77 % 3.77 % 145,640 1.98 23 0.3031 % 2,694.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5169 % 2,801.3
FixedReset Ins Non 4.20 % 5.16 % 77,887 15.32 15 0.3695 % 2,857.5
Performance Highlights
Issue Index Change Notes
EMA.PR.L Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.07
Evaluated at bid price : 22.38
Bid-YTW : 5.19 %
PWF.PR.T FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.23 %
CU.PR.E Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.23 %
PWF.PR.Z Perpetual-Premium -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 24.41
Evaluated at bid price : 24.70
Bid-YTW : 5.29 %
RY.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.32
Evaluated at bid price : 22.71
Bid-YTW : 5.05 %
TRP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.01 %
BAM.PF.H FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 3.70 %
TRP.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.84 %
TRP.PR.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.83 %
RS.PR.A SplitShare 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.45
Bid-YTW : 3.91 %
TRP.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.01
Evaluated at bid price : 22.43
Bid-YTW : 5.54 %
BAM.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.81 %
BAM.PF.B FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.40
Evaluated at bid price : 22.71
Bid-YTW : 5.52 %
FTS.PR.H FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.38 %
TD.PF.J FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 24.56
Evaluated at bid price : 24.90
Bid-YTW : 5.20 %
PWF.PR.P FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.47 %
BAM.PR.E Ratchet 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 3.73 %
IFC.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 5.08 %
BAM.PF.G FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.06
Evaluated at bid price : 22.45
Bid-YTW : 5.46 %
MFC.PR.F FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.11 %
BAM.PR.Z FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.94
Evaluated at bid price : 24.50
Bid-YTW : 5.49 %
SLF.PR.G FixedReset Ins Non 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.16 %
BAM.PF.F FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.44
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
TRP.PR.C FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.88 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 147,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.21
Evaluated at bid price : 22.54
Bid-YTW : 5.13 %
CM.PR.S FixedReset Disc 108,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.66
Evaluated at bid price : 24.23
Bid-YTW : 5.00 %
PVS.PR.I SplitShare 50,347 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.85 %
BMO.PR.C FixedReset Prem 48,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.50 %
GWO.PR.Y Insurance Straight 39,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.01 %
TD.PF.A FixedReset Disc 39,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.17
Evaluated at bid price : 22.52
Bid-YTW : 5.08 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 22.95 – 23.95
Spot Rate : 1.0000
Average : 0.7444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.23 %
RY.PR.J FixedReset Disc Quote: 23.55 – 24.15
Spot Rate : 0.6000
Average : 0.3819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.73
Evaluated at bid price : 23.55
Bid-YTW : 5.13 %
CU.PR.E Perpetual-Discount Quote: 23.63 – 24.50
Spot Rate : 0.8700
Average : 0.6965

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.23 %
TD.PF.C FixedReset Disc Quote: 22.65 – 23.25
Spot Rate : 0.6000
Average : 0.4438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.23
Evaluated at bid price : 22.65
Bid-YTW : 5.08 %
MFC.PR.K FixedReset Ins Non Quote: 23.01 – 23.68
Spot Rate : 0.6700
Average : 0.5262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 5.06 %
BMO.PR.W FixedReset Disc Quote: 22.55 – 22.99
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 5.07 %
Market Action

March 29, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.26 % 3.81 % 27,022 19.55 1 -1.8219 % 2,763.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0237 % 5,232.4
Floater 3.36 % 3.35 % 62,499 18.86 3 -0.0237 % 3,015.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,643.9
SplitShare 4.67 % 4.44 % 29,807 3.37 8 0.4836 % 4,351.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,395.3
Perpetual-Premium 5.36 % -3.63 % 61,873 0.09 17 0.2083 % 3,179.9
Perpetual-Discount 5.13 % 5.17 % 69,478 15.17 16 0.2503 % 3,599.7
FixedReset Disc 4.16 % 5.17 % 118,163 15.12 46 0.8037 % 2,726.3
Insurance Straight 5.18 % 5.05 % 90,577 15.19 18 -0.2545 % 3,458.9
FloatingReset 3.13 % 3.43 % 42,609 18.67 2 -0.5667 % 2,848.1
FixedReset Prem 4.78 % 4.05 % 148,367 1.99 23 0.2421 % 2,686.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8037 % 2,786.9
FixedReset Ins Non 4.22 % 5.18 % 77,318 15.34 15 0.0733 % 2,847.0
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.01 %
SLF.PR.C Insurance Straight -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
BAM.PR.E Ratchet -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 3.81 %
SLF.PR.G FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.26 %
SLF.PR.J FloatingReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 2.81 %
SLF.PR.D Insurance Straight -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
EMA.PR.L Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.09 %
PWF.PF.A Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.21
Evaluated at bid price : 22.52
Bid-YTW : 5.06 %
TRP.PR.D FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.92 %
BAM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.72 %
TRP.PR.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
BMO.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.85 %
BMO.PR.W FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.16
Evaluated at bid price : 22.51
Bid-YTW : 5.08 %
NA.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.23
Evaluated at bid price : 23.55
Bid-YTW : 5.08 %
BIP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.72
Evaluated at bid price : 23.55
Bid-YTW : 5.94 %
BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.97 %
RY.PR.M FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.29
Evaluated at bid price : 22.86
Bid-YTW : 5.09 %
CU.PR.E Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.17 %
BAM.PF.E FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.70 %
TD.PF.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 5.12 %
FTS.PR.K FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.42 %
TD.PF.D FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.10 %
PVS.PR.F SplitShare 2.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %
CU.PR.J Perpetual-Premium 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.70
Evaluated at bid price : 23.05
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.81
Evaluated at bid price : 22.15
Bid-YTW : 5.61 %
PWF.PR.P FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.55 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.Z FixedReset Disc 384,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 5.60 %
TD.PF.C FixedReset Disc 202,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.20
Evaluated at bid price : 22.60
Bid-YTW : 5.10 %
TRP.PR.B FixedReset Disc 109,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 6.21 %
TRP.PR.A FixedReset Disc 94,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
IFC.PR.K Perpetual-Premium 86,315 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.20 %
PVS.PR.K SplitShare 84,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.50 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 20.85 – 23.50
Spot Rate : 2.6500
Average : 1.8497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.06 %
BAM.PF.G FixedReset Disc Quote: 22.05 – 23.20
Spot Rate : 1.1500
Average : 0.7771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.57 %
TRP.PR.A FixedReset Disc Quote: 17.70 – 18.50
Spot Rate : 0.8000
Average : 0.5014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
PVS.PR.F SplitShare Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7302

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %
BAM.PF.F FixedReset Disc Quote: 22.42 – 23.14
Spot Rate : 0.7200
Average : 0.5208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.11
Evaluated at bid price : 22.42
Bid-YTW : 5.72 %
IFC.PR.C FixedReset Disc Quote: 22.63 – 23.30
Spot Rate : 0.6700
Average : 0.4752

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.08
Evaluated at bid price : 22.63
Bid-YTW : 5.17 %
Market Action

March 28, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.19 % 3.71 % 27,022 19.67 1 0.0000 % 2,814.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4756 % 5,233.6
Floater 3.36 % 3.35 % 63,209 18.88 3 0.4756 % 3,016.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,626.3
SplitShare 4.69 % 4.46 % 29,953 3.37 8 -0.0592 % 4,330.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,378.9
Perpetual-Premium 5.37 % -3.81 % 59,489 0.09 17 -0.5401 % 3,173.3
Perpetual-Discount 5.15 % 5.22 % 68,693 15.11 16 -0.8538 % 3,590.7
FixedReset Disc 4.19 % 5.22 % 116,934 15.19 46 0.3482 % 2,704.6
Insurance Straight 5.17 % 5.05 % 90,139 15.19 18 -0.5734 % 3,467.8
FloatingReset 3.11 % 3.45 % 42,961 18.63 2 -0.3670 % 2,864.3
FixedReset Prem 4.79 % 4.23 % 145,445 2.04 23 -0.2671 % 2,680.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3482 % 2,764.7
FixedReset Ins Non 4.22 % 5.18 % 77,555 15.28 15 -0.6377 % 2,844.9
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Premium -4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
CU.PR.E Perpetual-Discount -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.25 %
MFC.PR.C Insurance Straight -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.46
Evaluated at bid price : 23.15
Bid-YTW : 5.31 %
BAM.PF.F FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.98
Evaluated at bid price : 22.25
Bid-YTW : 5.76 %
TD.PF.D FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.49
Evaluated at bid price : 23.16
Bid-YTW : 5.26 %
SLF.PR.C Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.56
Evaluated at bid price : 22.82
Bid-YTW : 4.88 %
FTS.PR.M FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.50 %
BMO.PR.Y FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.54
Evaluated at bid price : 23.26
Bid-YTW : 5.11 %
MFC.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 5.22 %
SLF.PR.G FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.17 %
EMA.PR.L Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.73
Evaluated at bid price : 23.10
Bid-YTW : 5.02 %
MFC.PR.K FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.31
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
MFC.PR.B Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 5.05 %
MFC.PR.M FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.03
Evaluated at bid price : 22.35
Bid-YTW : 5.22 %
FTS.PR.K FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.54 %
MFC.PR.L FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.20 %
TRP.PR.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.05 %
BAM.PF.C Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.31 %
FTS.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.47 %
IFC.PR.G FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.53
Evaluated at bid price : 24.00
Bid-YTW : 5.19 %
MFC.PR.Q FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.21
Evaluated at bid price : 24.60
Bid-YTW : 5.07 %
IFC.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.02
Evaluated at bid price : 22.53
Bid-YTW : 5.20 %
SLF.PR.E Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.90 %
BAM.PR.R FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 5.78 %
CU.PR.F Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.02
Evaluated at bid price : 22.25
Bid-YTW : 5.10 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.02
Evaluated at bid price : 24.50
Bid-YTW : 5.15 %
POW.PR.C Perpetual-Premium 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-27
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -26.94 %
IFC.PR.A FixedReset Ins Non 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc 74.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.K SplitShare 104,680 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.53 %
TRP.PR.K FixedReset Prem 60,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.34 %
FTS.PR.M FixedReset Disc 54,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.50 %
IFC.PR.E Insurance Straight 38,504 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.61
Evaluated at bid price : 24.90
Bid-YTW : 5.23 %
BAM.PR.X FixedReset Disc 37,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 5.76 %
GWO.PR.Y Insurance Straight 20,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.04 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Premium Quote: 22.50 – 24.00
Spot Rate : 1.5000
Average : 0.9152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
TRP.PR.D FixedReset Disc Quote: 20.00 – 21.50
Spot Rate : 1.5000
Average : 1.1126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
BAM.PR.T FixedReset Disc Quote: 20.30 – 21.35
Spot Rate : 1.0500
Average : 0.6918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.88 %
TD.PF.D FixedReset Disc Quote: 23.16 – 24.24
Spot Rate : 1.0800
Average : 0.7403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.49
Evaluated at bid price : 23.16
Bid-YTW : 5.26 %
MFC.PR.K FixedReset Ins Non Quote: 22.70 – 23.70
Spot Rate : 1.0000
Average : 0.6629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.31
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
POW.PR.D Perpetual-Discount Quote: 23.92 – 24.60
Spot Rate : 0.6800
Average : 0.4461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 5.23 %
Market Action

March 25, 2022

Wild day on the markets today. A speech by Sharon Kozicki was important:

Bank of Canada deputy governor Sharon Kozicki hinted on Friday that a half-percentage point interest rate increase may be on the table for the central bank’s upcoming rate decision in mid-April.

In her first speech since joining the central bank’s governing council last summer, Ms. Kozicki said that the central bank was “prepared to act forcefully” to bring high inflation under control. She also argued that Canadian households are better prepared to manage rising interest rates than they were during the last rate hike cycle in 2017 and 2018.

“I expect the pace and magnitude of interest rate increases and the start of [quantitative tightening] to be active parts of our deliberations at our next decision in April,” she said in a keynote speech delivered to the Federal Reserve Bank of San Francisco’s monetary policy conference. Quantitative tightening refers to the central bank shrinking its holdings of government bonds.

“The reasons are straightforward: inflation in Canada is too high, labour markets are tight and there is considerable momentum in demand,” she said.

This adds to the hawkish talk that started the week.

And so bad things happened for bonds today:

Canadian and U.S. government bond yields jumped on Friday, with the benchmark U.S. 10-year note surging to nearly three-year highs, as the market grappled with high inflation and increasingly hawkish central bank commentary. The TSX and S&P 500 closed higher, but the Nasdaq – which is particularly sensitive to rising bond yields – closed lower.

The Canadian dollar saw its ninth consecutive day of gains, its longest winning streak since August 2016, ending the week above 80 cents US.

Closely followed five-year bond yields in Canada – influential in the setting of fixed mortgage rates – took out their 2018 peaks and hit their highest levels since 2011. The five-year was fetching 2.503% by late afternoon, up 21 basis points for the day.

Canada’s 2-year yield soared 19.5 basis points to 2.337%, its highest level since November 2018.

21bp on the five-year! That’s unfathomable! That’s getting pretty close to a $1 price move (on $100 par value) and in my days as a bond-guy, I got pretty interested when the five-year moved $0.25!

So here’s a little graph of the changes in GOC-5 yield over 21 weeks, taken from just before the millennium:


Click for Big

The data for that graph are taken from the Bank of Canada lookup page, for weekly (Wednesday) measurements. The change measured for March 23, 2022 (which is the change from October 27, 2021) is 0.78; so that’s already near the extreme right-end of the histogram in the +0.75% to +1.00% bin; there’s only 31 observations in that one.

But last Wednesday’s measure was a mere 2.20%. If we substitute today’s close of 2.51%, the change would be 1.09%, moving the data point into the +1.00% to +1.25% bin; there’s only two, count ’em, two observations of that much of 21-week gain over the nearly 23 year period (which, admittedly, has seen a significant overall decline through the period; the two periods of note were the ones ending 2002-3-27 and 2002-4-3; the single observation with a change of greater than 125% was the period ended 2009-6-10). This is wild.

Assiduous Reader Frank asked today:

5y GOC rate are climbing but rate reset are plunging. I don’t understand why. Could it be they move too high too fast and are now returning to equilibirum ?

To which I shake my head and tell you that I don’t know and I don’t think anyone else really knows either, although there will be some (like the institutional traders at the big brokerages) with more insight than most because they’re talking to the players all day.

One thing worth mentioning is that market prices are set by the marginal buyers and sellers and in the Canadian preferred share market, these guys are more marginal than usual because there is very little institutional presence in our tiny little retail market; even in our market, volumes have been anemic for over six months, never having recovered from the summer lull, let alone the traditional August deadness.

It could be just a few brokers deciding that Yields Up = Fixed Income Bad and since Preferred Shares = Fixed Income then Preferred Shares = Bad; this is considered to be mind-boggling quantitative investment analysis on the Street. It could be a reprise of those bleak days of spring, 1994: when the morning’s news was bad, the market went down because, of course, bad news means you should sell; when the morning’s news was good, the market went down because the good news meant that the market was stronger than it would be in the future, so you should sell now and beat the rush.

Me, I’m just enjoying the fact that the volatility will keep investors away from the market, increasing the juicy liquidity premium I enjoy for putting up with the volatility.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.19 % 3.70 % 28,051 19.69 1 0.1013 % 2,814.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1662 % 5,208.9
Floater 3.37 % 3.37 % 63,965 18.82 3 -0.1662 % 3,001.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0703 % 3,632.6
SplitShare 4.72 % 4.46 % 30,414 3.38 7 0.0703 % 4,338.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0703 % 3,384.7
Perpetual-Premium 5.34 % -1.44 % 58,617 0.08 17 -0.0837 % 3,190.6
Perpetual-Discount 5.10 % 5.13 % 69,102 15.19 16 -0.2635 % 3,621.6
FixedReset Disc 4.21 % 5.18 % 117,028 15.10 46 -0.8278 % 2,695.2
Insurance Straight 5.14 % 5.06 % 91,258 15.20 18 -0.6802 % 3,487.8
FloatingReset 3.10 % 3.44 % 42,817 18.67 2 0.1131 % 2,874.9
FixedReset Prem 4.78 % 3.82 % 147,556 2.00 23 -0.5060 % 2,687.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.8278 % 2,755.1
FixedReset Ins Non 4.19 % 5.13 % 78,462 15.43 15 -0.5796 % 2,863.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.75 %
IFC.PR.A FixedReset Ins Non -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.33 %
RY.PR.Z FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.13
Evaluated at bid price : 22.40
Bid-YTW : 5.10 %
IAF.PR.B Insurance Straight -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 4.97 %
SLF.PR.D Insurance Straight -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.84 %
IFC.PR.C FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 5.13 %
TRP.PR.C FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 6.04 %
TD.PF.B FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.23
Evaluated at bid price : 22.57
Bid-YTW : 5.12 %
TD.PF.K FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.99
Evaluated at bid price : 24.34
Bid-YTW : 5.20 %
SLF.PR.E Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.00
Evaluated at bid price : 23.27
Bid-YTW : 4.84 %
BMO.PR.S FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 5.16 %
SLF.PR.C Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.79 %
TRP.PR.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.97 %
BIP.PR.B FixedReset Prem -1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.34 %
BIP.PR.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.65
Evaluated at bid price : 23.43
Bid-YTW : 5.97 %
MFC.PR.N FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.97
Evaluated at bid price : 22.30
Bid-YTW : 5.13 %
MFC.PR.F FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.13 %
RY.PR.M FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 5.15 %
RY.PR.H FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.08 %
MFC.PR.M FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.28
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.20
Evaluated at bid price : 22.61
Bid-YTW : 5.09 %
TRP.PR.D FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.98 %
TD.PF.E FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.95 %
BAM.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.09
Evaluated at bid price : 22.32
Bid-YTW : 5.61 %
MFC.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 4.96 %
CM.PR.Y FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.77
Evaluated at bid price : 23.62
Bid-YTW : 5.11 %
TD.PF.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.74
Evaluated at bid price : 23.62
Bid-YTW : 5.14 %
CU.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 5.26 %
PWF.PR.K Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.71
Evaluated at bid price : 23.98
Bid-YTW : 5.23 %
TD.PF.L FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 3.94 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.93
Evaluated at bid price : 23.25
Bid-YTW : 5.14 %
TD.PF.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.11
Evaluated at bid price : 22.43
Bid-YTW : 5.10 %
TD.PF.J FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 5.22 %
CU.PR.E Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.09 %
BAM.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.65
Evaluated at bid price : 24.25
Bid-YTW : 5.54 %
CM.PR.Q FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.02 %
CM.PR.O FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.95
Evaluated at bid price : 22.19
Bid-YTW : 5.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 101,185 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.15
Evaluated at bid price : 22.53
Bid-YTW : 5.03 %
BAM.PR.Z FixedReset Disc 85,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.65
Evaluated at bid price : 24.25
Bid-YTW : 5.54 %
TRP.PR.K FixedReset Prem 60,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.41 %
TD.PF.M FixedReset Prem 58,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.67 %
FTS.PR.M FixedReset Disc 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.94
Evaluated at bid price : 22.21
Bid-YTW : 5.40 %
CM.PR.R FixedReset Prem 31,603 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.25 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 14.00 – 15.50
Spot Rate : 1.5000
Average : 0.8673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.37 %
IFC.PR.A FixedReset Ins Non Quote: 19.50 – 21.25
Spot Rate : 1.7500
Average : 1.1451

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc Quote: 12.29 – 22.62
Spot Rate : 10.3300
Average : 9.7507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.84 %
PWF.PR.P FixedReset Disc Quote: 15.75 – 17.30
Spot Rate : 1.5500
Average : 0.9775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.75 %
BAM.PR.C Floater Quote: 13.99 – 15.00
Spot Rate : 1.0100
Average : 0.6020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.37 %
BAM.PF.B FixedReset Disc Quote: 22.32 – 23.50
Spot Rate : 1.1800
Average : 0.9884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.09
Evaluated at bid price : 22.32
Bid-YTW : 5.61 %
Market Action

March 24, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.19 % 3.71 % 29,202 19.70 1 0.3559 % 2,812.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3077 % 5,217.5
Floater 3.37 % 3.36 % 64,885 18.84 3 -0.3077 % 3,006.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1404 % 3,630.0
SplitShare 4.72 % 4.45 % 30,575 3.39 7 -0.1404 % 4,335.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1404 % 3,382.3
Perpetual-Premium 5.34 % -4.52 % 59,348 0.08 17 -0.0279 % 3,193.2
Perpetual-Discount 5.09 % 5.14 % 69,362 15.17 16 -0.1063 % 3,631.2
FixedReset Disc 4.17 % 4.87 % 119,440 15.58 46 -0.6830 % 2,717.7
Insurance Straight 5.11 % 4.90 % 92,167 15.24 18 -0.3492 % 3,511.6
FloatingReset 3.10 % 3.45 % 42,117 18.65 2 -0.2537 % 2,871.6
FixedReset Prem 4.76 % 3.72 % 144,406 1.98 23 -0.1803 % 2,701.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6830 % 2,778.1
FixedReset Ins Non 4.17 % 4.79 % 79,607 15.92 15 -0.6866 % 2,879.8
Performance Highlights
Issue Index Change Notes
CM.PR.O FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.61
Evaluated at bid price : 22.02
Bid-YTW : 5.00 %
CM.PR.Q FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 4.92 %
GWO.PR.Y Insurance Straight -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.96
Evaluated at bid price : 22.25
Bid-YTW : 5.06 %
BAM.PR.Z FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 5.30 %
BAM.PF.A FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.23 %
MFC.PR.L FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.83 %
TD.PF.E FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 4.58 %
TD.PF.D FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 4.82 %
IAF.PR.I FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 24.06
Evaluated at bid price : 24.52
Bid-YTW : 4.99 %
TD.PF.A FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.27
Evaluated at bid price : 22.67
Bid-YTW : 4.77 %
SLF.PR.G FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.74 %
MFC.PR.C Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 4.82 %
BMO.PR.E FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.60
Evaluated at bid price : 24.80
Bid-YTW : 4.85 %
MFC.PR.K FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.88
Evaluated at bid price : 23.31
Bid-YTW : 4.69 %
MFC.PR.J FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 24.34
Evaluated at bid price : 24.75
Bid-YTW : 4.81 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 5.59 %
PWF.PR.T FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.12
Evaluated at bid price : 23.48
Bid-YTW : 4.83 %
GWO.PR.I Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.03 %
TRP.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.57 %
BMO.PR.T FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.02
Evaluated at bid price : 22.28
Bid-YTW : 4.85 %
PWF.PR.L Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.27 %
BIP.PR.B FixedReset Prem 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Prem 56,420 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.40 %
NA.PR.S FixedReset Disc 52,582 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.18
Evaluated at bid price : 23.50
Bid-YTW : 4.81 %
RY.PR.M FixedReset Disc 47,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.31
Evaluated at bid price : 22.90
Bid-YTW : 4.83 %
SLF.PR.H FixedReset Ins Non 40,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.78 %
MFC.PR.N FixedReset Ins Non 37,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.18
Evaluated at bid price : 22.60
Bid-YTW : 4.79 %
TD.PF.L FixedReset Prem 36,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.36 %
There were 17 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: 12.29 – 23.35
Spot Rate : 11.0600
Average : 9.1154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.45 %
BIP.PR.A FixedReset Disc Quote: 23.75 – 25.80
Spot Rate : 2.0500
Average : 1.2050

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.82
Evaluated at bid price : 23.75
Bid-YTW : 5.64 %
SLF.PR.H FixedReset Ins Non Quote: 20.95 – 23.50
Spot Rate : 2.5500
Average : 2.1654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.78 %
BAM.PF.A FixedReset Disc Quote: 24.15 – 25.05
Spot Rate : 0.9000
Average : 0.5563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.23 %
CM.PR.Q FixedReset Disc Quote: 23.36 – 24.23
Spot Rate : 0.8700
Average : 0.5977

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 4.92 %
BAM.PF.G FixedReset Disc Quote: 22.05 – 23.50
Spot Rate : 1.4500
Average : 1.1845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.30 %
Market Action

March 23, 2022

PerpetualDiscounts now yield 5.15%, equivalent to 6.70% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.19%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 250bp, the same as reported March 16.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.19 % 3.72 % 29,513 19.69 1 1.4440 % 2,802.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1654 % 5,233.6
Floater 3.36 % 3.35 % 64,841 18.87 3 -0.1654 % 3,016.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0982 % 3,635.1
SplitShare 4.72 % 4.41 % 30,685 3.39 7 -0.0982 % 4,341.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0982 % 3,387.1
Perpetual-Premium 5.33 % -1.80 % 59,217 0.09 17 0.0512 % 3,194.1
Perpetual-Discount 5.08 % 5.15 % 69,666 15.15 16 -0.0744 % 3,635.1
FixedReset Disc 4.15 % 4.81 % 118,555 15.51 46 -0.6685 % 2,736.4
Insurance Straight 5.09 % 4.86 % 89,251 15.21 18 -0.1514 % 3,523.9
FloatingReset 3.09 % 2.72 % 53,888 20.44 2 -0.4211 % 2,878.9
FixedReset Prem 4.75 % 3.76 % 140,996 1.69 23 -0.0289 % 2,705.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6685 % 2,797.2
FixedReset Ins Non 4.14 % 4.75 % 73,729 15.95 15 0.3369 % 2,899.8
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -46.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.45 %
BAM.PR.R FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.46 %
EMA.PR.L Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 23.27
Evaluated at bid price : 23.57
Bid-YTW : 4.92 %
TD.PF.M FixedReset Prem -1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.01 %
BAM.PR.M Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 5.25 %
PVS.PR.F SplitShare -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.31 %
MFC.PR.K FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 23.18
Evaluated at bid price : 23.61
Bid-YTW : 4.63 %
ELF.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 5.15 %
PWF.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 23.39
Evaluated at bid price : 23.75
Bid-YTW : 4.77 %
PWF.PR.P FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.97 %
RY.PR.M FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 4.81 %
NA.PR.G FixedReset Prem 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.29 %
BAM.PR.E Ratchet 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 25.00
Evaluated at bid price : 19.67
Bid-YTW : 3.72 %
TD.PF.D FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.27 %
CM.PR.O FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 186,622 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.09 %
CM.PR.S FixedReset Disc 132,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 24.12
Evaluated at bid price : 24.61
Bid-YTW : 4.71 %
CU.PR.J Perpetual-Premium 88,087 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 23.28
Evaluated at bid price : 23.58
Bid-YTW : 5.07 %
TD.PF.A FixedReset Disc 85,693 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 22.50
Evaluated at bid price : 23.02
Bid-YTW : 4.68 %
IFC.PR.K Perpetual-Premium 67,316 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.19 %
CM.PR.T FixedReset Prem 61,847 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 2.63 %
There were 18 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: 12.29 – 23.10
Spot Rate : 10.8100
Average : 6.9833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.45 %
SLF.PR.H FixedReset Ins Non Quote: 21.05 – 23.50
Spot Rate : 2.4500
Average : 1.7436

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.76 %
BAM.PF.G FixedReset Disc Quote: 22.05 – 23.50
Spot Rate : 1.4500
Average : 0.8934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.30 %
BAM.PR.E Ratchet Quote: 19.67 – 20.67
Spot Rate : 1.0000
Average : 0.6737

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 25.00
Evaluated at bid price : 19.67
Bid-YTW : 3.72 %
BAM.PF.E FixedReset Disc Quote: 20.50 – 22.00
Spot Rate : 1.5000
Average : 1.1794

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.52 %
MFC.PR.L FixedReset Ins Non Quote: 22.40 – 23.50
Spot Rate : 1.1000
Average : 0.8431

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-23
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.75 %
Market Action

March 22, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.23 % 3.79 % 29,662 19.62 1 0.5184 % 2,762.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2606 % 5,242.3
Floater 3.35 % 3.34 % 63,671 18.90 3 0.2606 % 3,021.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.5868 % 3,638.7
SplitShare 4.71 % 4.35 % 30,694 3.39 7 0.5868 % 4,345.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5868 % 3,390.4
Perpetual-Premium 5.34 % -0.13 % 59,283 0.08 17 0.0722 % 3,192.5
Perpetual-Discount 5.08 % 5.17 % 64,543 15.18 16 0.2530 % 3,637.8
FixedReset Disc 4.12 % 4.87 % 115,614 15.71 46 2.0395 % 2,754.8
Insurance Straight 5.08 % 4.85 % 90,371 15.23 18 0.1309 % 3,529.3
FloatingReset 3.08 % 2.71 % 54,317 20.48 2 1.1932 % 2,891.1
FixedReset Prem 4.75 % 3.20 % 145,176 1.99 23 0.0732 % 2,706.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 2.0395 % 2,816.0
FixedReset Ins Non 4.15 % 4.78 % 74,309 15.99 15 0.8495 % 2,890.0
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.18
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
CM.PR.O FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.06
Evaluated at bid price : 22.33
Bid-YTW : 4.93 %
ELF.PR.G Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.89
Evaluated at bid price : 23.16
Bid-YTW : 5.20 %
BIP.PR.E FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.84 %
BIP.PR.F FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.65
Evaluated at bid price : 25.00
Bid-YTW : 5.04 %
BAM.PR.M Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.64
Evaluated at bid price : 22.89
Bid-YTW : 5.20 %
PWF.PR.S Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.11 %
PWF.PR.T FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.14
Evaluated at bid price : 23.50
Bid-YTW : 4.82 %
BAM.PF.F FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.42
Evaluated at bid price : 22.87
Bid-YTW : 5.32 %
TRP.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.52 %
IFC.PR.A FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.78 %
BAM.PF.B FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.41
Evaluated at bid price : 22.72
Bid-YTW : 5.22 %
CU.PR.E Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 5.13 %
IAF.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.90
Evaluated at bid price : 24.72
Bid-YTW : 5.03 %
SLF.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.67 %
TRP.PR.C FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.60 %
BIP.PR.A FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.80
Evaluated at bid price : 23.71
Bid-YTW : 5.65 %
BAM.PF.A FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 24.10
Evaluated at bid price : 24.45
Bid-YTW : 5.17 %
MFC.PR.L FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.03
Evaluated at bid price : 22.27
Bid-YTW : 4.78 %
FTS.PR.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 4.97 %
SLF.PR.J FloatingReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.71 %
MFC.PR.N FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.18
Evaluated at bid price : 22.60
Bid-YTW : 4.79 %
PVS.PR.F SplitShare 2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.87 %
BAM.PR.Z FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.98
Evaluated at bid price : 24.52
Bid-YTW : 5.19 %
CU.PR.C FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.32
Evaluated at bid price : 23.10
Bid-YTW : 4.92 %
EMA.PR.L Perpetual-Discount 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.71
Evaluated at bid price : 24.05
Bid-YTW : 4.82 %
PWF.PR.P FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.02 %
BAM.PF.E FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.52 %
MFC.PR.F FixedReset Ins Non 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.72 %
IFC.PR.E Insurance Straight 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.21 %
BAM.PR.X FixedReset Disc 7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.36 %
TD.PF.D FixedReset Disc 10.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.78
Evaluated at bid price : 23.70
Bid-YTW : 4.87 %
TRP.PR.G FixedReset Disc 86.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.33
Evaluated at bid price : 22.94
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.K Perpetual-Premium 135,808 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 24.67
Evaluated at bid price : 25.07
Bid-YTW : 5.25 %
PVS.PR.J SplitShare 61,173 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.46 %
FTS.PR.H FixedReset Disc 35,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 4.97 %
EMA.PR.L Perpetual-Discount 32,738 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 23.71
Evaluated at bid price : 24.05
Bid-YTW : 4.82 %
TRP.PR.D FixedReset Disc 31,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.57 %
BAM.PR.X FixedReset Disc 31,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.36 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 17.00 – 17.84
Spot Rate : 0.8400
Average : 0.5651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.02 %
BAM.PR.B Floater Quote: 14.06 – 15.10
Spot Rate : 1.0400
Average : 0.8193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 3.36 %
TRP.PR.E FixedReset Disc Quote: 20.16 – 21.20
Spot Rate : 1.0400
Average : 0.8195

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.52 %
IFC.PR.A FixedReset Ins Non Quote: 20.25 – 21.25
Spot Rate : 1.0000
Average : 0.7810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.78 %
RY.PR.M FixedReset Disc Quote: 22.70 – 23.38
Spot Rate : 0.6800
Average : 0.4671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.18
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
BAM.PF.B FixedReset Disc Quote: 22.72 – 23.50
Spot Rate : 0.7800
Average : 0.5726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-22
Maturity Price : 22.41
Evaluated at bid price : 22.72
Bid-YTW : 5.22 %
Market Action

March 21, 2022

Powell was hawkish today:

“There is an obvious need to move expeditiously to return the stance of monetary policy to a more neutral level, and then to move to more restrictive levels if that is what is required to restore price stability,” Mr. Powell said during remarks to a conference of business economists.
…
“If we conclude that it is appropriate to move more aggressively by raising the federal funds rate by more than 25 basis points at a meeting or meetings, we will do so,” Mr. Powell said. “And if we determine that we need to tighten beyond common measures of neutral and into a more restrictive stance, we will do that as well.”

Asked what would keep the Fed from raising interest rates by half a percentage point at its next meeting in May, Mr. Powell replied, “Nothing.” He said the Fed had not yet made a decision on its next rate increase but noted that officials would make a supersized move if they thought one was appropriate.

“The expectation going into this year was that we would basically see inflation peaking in the first quarter, then maybe leveling out,” Mr. Powell said. “That story has already fallen apart. To the extent that it continues to fall apart, my colleagues and I may well reach the conclusion that we’ll need to move more quickly.”

… and the GOC-5 yield jumped to 2.18%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.25 % 3.81 % 29,516 19.60 1 -0.5157 % 2,747.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3306 % 5,228.7
Floater 3.36 % 3.35 % 61,807 18.87 3 -0.3306 % 3,013.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.6168 % 3,617.5
SplitShare 4.74 % 4.44 % 30,653 3.39 7 -0.6168 % 4,320.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.6168 % 3,370.6
Perpetual-Premium 5.34 % -1.27 % 61,281 0.08 17 -0.2207 % 3,190.2
Perpetual-Discount 5.09 % 5.17 % 64,948 15.13 16 -0.0984 % 3,628.6
FixedReset Disc 4.20 % 4.88 % 119,968 15.68 46 -0.7987 % 2,699.8
Insurance Straight 5.09 % 4.76 % 91,862 15.25 18 -0.1216 % 3,524.7
FloatingReset 3.12 % 3.46 % 41,253 18.63 2 0.1707 % 2,857.0
FixedReset Prem 4.75 % 3.56 % 146,569 1.99 23 0.0851 % 2,704.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7987 % 2,759.7
FixedReset Ins Non 4.19 % 4.84 % 71,971 15.88 15 1.2320 % 2,865.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -45.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.44 %
TD.PF.D FixedReset Disc -10.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.42 %
BAM.PF.E FixedReset Disc -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %
IFC.PR.E Insurance Straight -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.97
Evaluated at bid price : 24.25
Bid-YTW : 5.37 %
CU.PR.E Perpetual-Discount -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.20 %
CU.PR.J Perpetual-Premium -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.08
Evaluated at bid price : 23.50
Bid-YTW : 5.08 %
PVS.PR.F SplitShare -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.73 %
PVS.PR.H SplitShare -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.67 %
GWO.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 4.85 %
TRP.PR.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 5.59 %
MFC.PR.Q FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.40
Evaluated at bid price : 24.75
Bid-YTW : 4.76 %
CM.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.16
Evaluated at bid price : 22.55
Bid-YTW : 4.82 %
CM.PR.Q FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.86
Evaluated at bid price : 23.85
Bid-YTW : 4.80 %
FTS.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.95 %
PWF.PR.K Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.98
Evaluated at bid price : 24.23
Bid-YTW : 5.17 %
NA.PR.W FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.09
Evaluated at bid price : 22.45
Bid-YTW : 4.83 %
BIP.PR.E FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.66 %
FTS.PR.J Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.60
Evaluated at bid price : 23.87
Bid-YTW : 5.01 %
BIP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 5.74 %
FTS.PR.K FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.04 %
BAM.PF.G FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.37 %
MFC.PR.J FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.28
Evaluated at bid price : 24.70
Bid-YTW : 4.82 %
RY.PR.Z FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.77
Evaluated at bid price : 23.08
Bid-YTW : 4.67 %
IFC.PR.C FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.33
Evaluated at bid price : 23.05
Bid-YTW : 4.83 %
MFC.PR.K FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.00
Evaluated at bid price : 23.43
Bid-YTW : 4.67 %
PWF.PR.T FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.87
Evaluated at bid price : 23.23
Bid-YTW : 4.88 %
BIP.PR.F FixedReset Prem 1.77 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.38 %
CM.PR.O FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 4.83 %
SLF.PR.G FixedReset Ins Non 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.73 %
CU.PR.C FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 5.04 %
IFC.PR.G FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.23
Evaluated at bid price : 24.60
Bid-YTW : 4.79 %
TRP.PR.A FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.58 %
MFC.PR.L FixedReset Ins Non 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.86 %
ELF.PR.G Perpetual-Discount 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 5.11 %
IFC.PR.A FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.84 %
MFC.PR.M FixedReset Ins Non 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.38
Evaluated at bid price : 22.86
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.D FixedReset Disc 81,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.61 %
MFC.PR.L FixedReset Ins Non 68,240 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.86 %
IFC.PR.K Perpetual-Premium 38,623 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 5.26 %
TRP.PR.E FixedReset Disc 31,556 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 5.59 %
GWO.PR.G Insurance Straight 30,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-20
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.31 %
CM.PR.P FixedReset Disc 22,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.16
Evaluated at bid price : 22.55
Bid-YTW : 4.82 %
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: 12.29 – 22.92
Spot Rate : 10.6300
Average : 5.7455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.44 %
TD.PF.D FixedReset Disc Quote: 21.50 – 24.15
Spot Rate : 2.6500
Average : 1.7505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.42 %
SLF.PR.G FixedReset Ins Non Quote: 17.27 – 19.00
Spot Rate : 1.7300
Average : 1.0246

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.73 %
CU.PR.E Perpetual-Discount Quote: 23.70 – 24.70
Spot Rate : 1.0000
Average : 0.6290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.20 %
BAM.PR.B Floater Quote: 14.09 – 15.00
Spot Rate : 0.9100
Average : 0.5774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 3.35 %
BAM.PF.E FixedReset Disc Quote: 20.00 – 21.19
Spot Rate : 1.1900
Average : 0.8915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %
Market Action

March 18, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.22 % 3.78 % 30,748 19.65 1 1.0422 % 2,762.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6416 % 5,246.0
Floater 3.35 % 3.33 % 59,263 18.92 3 0.6416 % 3,023.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,639.9
SplitShare 4.71 % 4.26 % 28,396 3.40 7 0.0842 % 4,346.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,391.6
Perpetual-Premium 5.33 % -4.64 % 61,371 0.09 17 0.0372 % 3,197.2
Perpetual-Discount 5.09 % 5.17 % 65,376 15.14 16 1.1736 % 3,632.2
FixedReset Disc 4.17 % 4.72 % 119,615 16.05 46 0.5629 % 2,721.5
Insurance Straight 5.08 % 4.82 % 92,939 15.26 18 0.2553 % 3,529.0
FloatingReset 3.17 % 3.51 % 42,731 18.51 2 1.5020 % 2,852.2
FixedReset Prem 4.75 % 3.64 % 150,629 2.00 23 0.3263 % 2,702.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5629 % 2,781.9
FixedReset Ins Non 4.29 % 4.71 % 74,099 16.03 17 0.8444 % 2,830.8
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 5.47 %
BAM.PR.X FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.45 %
BAM.PR.M Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 5.25 %
ELF.PR.G Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.59
Evaluated at bid price : 22.84
Bid-YTW : 5.28 %
NA.PR.W FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.90
Evaluated at bid price : 22.19
Bid-YTW : 4.68 %
RY.PR.Z FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 4.52 %
BAM.PF.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.22
Evaluated at bid price : 22.51
Bid-YTW : 5.05 %
BAM.PR.E Ratchet 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 25.00
Evaluated at bid price : 19.39
Bid-YTW : 3.78 %
IFC.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.59
Evaluated at bid price : 24.05
Bid-YTW : 4.67 %
BAM.PR.K Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 3.33 %
CU.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 5.01 %
MFC.PR.J FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.85
Evaluated at bid price : 24.35
Bid-YTW : 4.66 %
TD.PF.D FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.93
Evaluated at bid price : 24.01
Bid-YTW : 4.61 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.63
Evaluated at bid price : 22.06
Bid-YTW : 4.93 %
MFC.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 4.71 %
TRP.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.40 %
IFC.PR.A FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 4.71 %
TRP.PR.F FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 3.51 %
GWO.PR.I Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 4.95 %
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 : 26.45
Bid-YTW : 2.52 %
BAM.PF.I FixedReset Prem 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : -37.43 %
SLF.PR.J FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.81 %
EMA.PR.L Perpetual-Discount 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.29
Evaluated at bid price : 23.60
Bid-YTW : 4.91 %
PWF.PR.P FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.90 %
MFC.PR.Q FixedReset Ins Non 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 24.10
Evaluated at bid price : 24.50
Bid-YTW : 4.58 %
FTS.PR.K FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.87 %
SLF.PR.G FixedReset Ins Non 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.57 %
FTS.PR.H FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.79 %
MFC.PR.K FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.66
Evaluated at bid price : 23.07
Bid-YTW : 4.51 %
BAM.PR.Z FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.46
Evaluated at bid price : 24.07
Bid-YTW : 5.05 %
BAM.PR.R FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 5.19 %
MFC.PR.F FixedReset Ins Non 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.58 %
BAM.PR.N Perpetual-Discount 22.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.I FixedReset Ins Non 52,342 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 24.21
Evaluated at bid price : 24.80
Bid-YTW : 4.81 %
GWO.PR.T Insurance Straight 51,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 24.43
Evaluated at bid price : 24.72
Bid-YTW : 5.21 %
TD.PF.M FixedReset Prem 44,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.25 %
BAM.PR.N Perpetual-Discount 40,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.22 %
FTS.PR.M FixedReset Disc 38,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.63
Evaluated at bid price : 22.06
Bid-YTW : 4.93 %
POW.PR.G Perpetual-Premium 38,129 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : -9.46 %
There were 54 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: 20.00 – 21.70
Spot Rate : 1.7000
Average : 0.9979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.40 %
MFC.PR.M FixedReset Ins Non Quote: 22.00 – 23.41
Spot Rate : 1.4100
Average : 0.8178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.79 %
TRP.PR.E FixedReset Disc Quote: 19.72 – 21.20
Spot Rate : 1.4800
Average : 0.8931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.40 %
CM.PR.O FixedReset Disc Quote: 22.30 – 23.50
Spot Rate : 1.2000
Average : 0.6914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.04
Evaluated at bid price : 22.30
Bid-YTW : 4.72 %
MFC.PR.L FixedReset Ins Non Quote: 21.26 – 22.72
Spot Rate : 1.4600
Average : 0.9651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.79 %
GWO.PR.H Insurance Straight Quote: 23.56 – 24.80
Spot Rate : 1.2400
Average : 0.7781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.15 %
Market Action

March 17, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.25 % 3.83 % 31,066 19.60 1 0.2089 % 2,733.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4296 % 5,212.6
Floater 3.37 % 3.37 % 57,090 18.84 3 0.4296 % 3,004.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4024 % 3,636.8
SplitShare 4.71 % 4.25 % 27,414 3.40 7 -0.4024 % 4,343.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4024 % 3,388.7
Perpetual-Premium 5.33 % -0.07 % 59,944 0.09 17 0.0837 % 3,196.1
Perpetual-Discount 5.15 % 5.12 % 62,245 15.26 16 -1.5606 % 3,590.0
FixedReset Disc 4.19 % 4.72 % 118,393 16.01 46 0.7148 % 2,706.3
Insurance Straight 5.09 % 4.85 % 90,602 15.24 18 0.0691 % 3,520.0
FloatingReset 3.21 % 3.55 % 40,374 18.41 2 0.0578 % 2,810.0
FixedReset Prem 4.77 % 4.08 % 148,820 2.07 23 0.2140 % 2,693.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7148 % 2,766.4
FixedReset Ins Non 4.33 % 4.77 % 72,565 15.99 17 0.3969 % 2,807.1
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount -19.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.45 %
EMA.PR.L Perpetual-Discount -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.74
Evaluated at bid price : 23.11
Bid-YTW : 5.01 %
PVS.PR.J SplitShare -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.60 %
BAM.PF.J FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.73 %
CM.PR.Q FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.63
Evaluated at bid price : 23.40
Bid-YTW : 4.72 %
GWO.PR.Q Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %
BAM.PF.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.60
Evaluated at bid price : 24.00
Bid-YTW : 5.04 %
PWF.PR.T FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.65
Evaluated at bid price : 23.00
Bid-YTW : 4.70 %
MFC.PR.J FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.56
Evaluated at bid price : 24.09
Bid-YTW : 4.71 %
TRP.PR.D FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.47 %
CM.PR.Y FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.36 %
IFC.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.00
Evaluated at bid price : 22.50
Bid-YTW : 4.78 %
MFC.PR.L FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.79 %
TRP.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.42 %
FTS.PR.M FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.46
Evaluated at bid price : 21.82
Bid-YTW : 4.99 %
BAM.PR.T FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.27 %
MFC.PR.N FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.76 %
TRP.PR.G FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.15
Evaluated at bid price : 22.65
Bid-YTW : 5.04 %
MFC.PR.B Insurance Straight 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.85 %
NA.PR.W FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.09
Evaluated at bid price : 22.45
Bid-YTW : 4.62 %
FTS.PR.G FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.84 %
FTS.PR.K FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.97 %
TRP.PR.A FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.33 %
FTS.PR.H FixedReset Disc 4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 4.90 %
BAM.PF.E FixedReset Disc 8.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.K Perpetual-Premium 129,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 24.67
Evaluated at bid price : 25.07
Bid-YTW : 5.25 %
RY.PR.H FixedReset Disc 88,511 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.36
Evaluated at bid price : 22.77
Bid-YTW : 4.54 %
BAM.PF.F FixedReset Disc 80,896 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 5.23 %
BAM.PR.C Floater 77,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.37 %
PWF.PF.A Perpetual-Discount 76,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.62
Evaluated at bid price : 23.00
Bid-YTW : 4.94 %
NA.PR.S FixedReset Disc 51,592 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.67
Evaluated at bid price : 22.98
Bid-YTW : 4.70 %
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.N Perpetual-Discount Quote: 18.50 – 23.29
Spot Rate : 4.7900
Average : 2.5771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.45 %
PVS.PR.F SplitShare Quote: 25.56 – 26.92
Spot Rate : 1.3600
Average : 0.7554

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.93 %
BAM.PR.R FixedReset Disc Quote: 18.65 – 20.20
Spot Rate : 1.5500
Average : 1.1609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.37 %
BAM.PF.D Perpetual-Discount Quote: 23.28 – 24.55
Spot Rate : 1.2700
Average : 0.8825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.02
Evaluated at bid price : 23.28
Bid-YTW : 5.27 %
BAM.PR.K Floater Quote: 14.00 – 14.99
Spot Rate : 0.9900
Average : 0.6336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.37 %
BAM.PF.F FixedReset Disc Quote: 22.40 – 23.70
Spot Rate : 1.3000
Average : 0.9769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 5.23 %