Category: Market Action

Market Action

March 16, 2022

Canadian inflation set another 30-year high:

The Consumer Price Index rose 5.7 per cent in February from a year earlier, up from January’s 5.1-per-cent pace, Statistics Canada said Wednesday. It was the 11th consecutive month that inflation has surpassed the Bank of Canada’s target range of 1 per cent to 3 per cent.

Shelter costs in Canada rose 6.6 per cent, the largest annual change since 1983. Groceries rose 7.4 per cent, the highest in more than a decade. And gas prices jumped 6.9 per cent in the month of February alone as the Russia-Ukraine war led to volatility in energy markets.

And the FOMC met:

Indicators of economic activity and employment have continued to strengthen. Job gains have been strong in recent months, and the unemployment rate has declined substantially. Inflation remains elevated, reflecting supply and demand imbalances related to the pandemic, higher energy prices, and broader price pressures.

The invasion of Ukraine by Russia is causing tremendous human and economic hardship. The implications for the U.S. economy are highly uncertain, but in the near term the invasion and related events are likely to create additional upward pressure on inflation and weigh on economic activity.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With appropriate firming in the stance of monetary policy, the Committee expects inflation to return to its 2 percent objective and the labor market to remain strong. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 1/4 to 1/2 percent and anticipates that ongoing increases in the target range will be appropriate. In addition, the Committee expects to begin reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities at a coming meeting.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on public health, labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; Esther L. George; Patrick Harker; Loretta J. Mester; and Christopher J. Waller. Voting against this action was James Bullard, who preferred at this meeting to raise the target range for the federal funds rate by 0.5 percentage point to 1/2 to 3/4 percent. Patrick Harker voted as an alternate member at this meeting.

The New York Times points out:

Policymakers projected six more similarly sized moves over the course of 2022 as inflation has reached a 40-year high, signaling that they are prepared to pull back support for the economy markedly.

And the Canada 5-year yield jumped again today, and is now at 2.03%.

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 narrowed slightly (and perhaps spuriously) to 250bp from the 255bp reported March 9.

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 % 31,279 19.61 1 1.4838 % 2,728.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7454 % 5,190.3
Floater 3.38 % 3.37 % 57,839 18.84 3 0.7454 % 2,991.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1511 % 3,651.5
SplitShare 4.69 % 4.20 % 27,348 3.41 7 0.1511 % 4,360.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1511 % 3,402.4
Perpetual-Premium 5.33 % 0.23 % 59,303 0.09 17 0.0885 % 3,193.4
Perpetual-Discount 5.07 % 5.15 % 62,275 15.21 16 -0.2511 % 3,646.9
FixedReset Disc 4.22 % 4.73 % 119,380 15.93 46 0.5139 % 2,687.1
Insurance Straight 5.10 % 4.84 % 90,206 15.30 18 -0.1471 % 3,517.6
FloatingReset 3.22 % 3.56 % 40,850 18.41 2 0.9335 % 2,808.3
FixedReset Prem 4.78 % 3.96 % 147,689 2.07 23 0.0891 % 2,687.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5139 % 2,746.7
FixedReset Ins Non 4.35 % 4.78 % 72,581 15.87 17 0.5921 % 2,796.0
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.22 %
FTS.PR.H FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 5.09 %
NA.PR.W FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.71 %
MFC.PR.B Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 4.95 %
GWO.PR.Q Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.26 %
GWO.PR.S Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.46
Evaluated at bid price : 24.76
Bid-YTW : 5.30 %
CM.PR.Y FixedReset Prem -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.95 %
GWO.PR.I Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.40
Evaluated at bid price : 22.66
Bid-YTW : 4.96 %
FTS.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.07 %
SLF.PR.G FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.67 %
GWO.PR.Y Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.44
Evaluated at bid price : 22.75
Bid-YTW : 4.94 %
BAM.PF.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.33
Evaluated at bid price : 23.75
Bid-YTW : 5.10 %
MFC.PR.M FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.79 %
PWF.PR.F Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.31 %
CM.PR.Q FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.76
Evaluated at bid price : 23.65
Bid-YTW : 4.66 %
BMO.PR.E FixedReset Prem 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.68
Evaluated at bid price : 25.04
Bid-YTW : 4.58 %
BAM.PR.C Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.37 %
BAM.PR.E Ratchet 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 3.83 %
BAM.PR.Z FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.97
Evaluated at bid price : 23.60
Bid-YTW : 5.15 %
MFC.PR.K FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 21.94
Evaluated at bid price : 22.51
Bid-YTW : 4.62 %
TRP.PR.F FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.56 %
MFC.PR.Q FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.50
Evaluated at bid price : 23.97
Bid-YTW : 4.68 %
RY.PR.J FixedReset Disc 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.86
Evaluated at bid price : 23.81
Bid-YTW : 4.62 %
TD.PF.D FixedReset Disc 10.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.81
Evaluated at bid price : 23.76
Bid-YTW : 4.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.K Perpetual-Premium 132,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.60
Evaluated at bid price : 25.00
Bid-YTW : 5.26 %
MFC.PR.C Insurance Straight 90,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.74 %
BMO.PR.C FixedReset Prem 73,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.64 %
NA.PR.E FixedReset Disc 65,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.59
Evaluated at bid price : 24.08
Bid-YTW : 4.71 %
MFC.PR.I FixedReset Ins Non 54,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.12
Evaluated at bid price : 24.73
Bid-YTW : 4.82 %
SLF.PR.D Insurance Straight 49,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.68 %
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: 20.90 – 23.50
Spot Rate : 2.6000
Average : 1.6416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.59 %
IFC.PR.A FixedReset Ins Non Quote: 19.15 – 21.25
Spot Rate : 2.1000
Average : 1.2512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.77 %
NA.PR.S FixedReset Disc Quote: 23.01 – 23.99
Spot Rate : 0.9800
Average : 0.6613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.70
Evaluated at bid price : 23.01
Bid-YTW : 4.70 %
BAM.PR.E Ratchet Quote: 19.15 – 20.50
Spot Rate : 1.3500
Average : 1.0459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 3.83 %
ELF.PR.G Perpetual-Discount Quote: 23.05 – 23.80
Spot Rate : 0.7500
Average : 0.4880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.22 %
GWO.PR.N FixedReset Ins Non Quote: 15.72 – 16.45
Spot Rate : 0.7300
Average : 0.4847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.67 %
Market Action

March 15, 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 3.30 % 3.90 % 31,779 19.53 1 0.1061 % 2,688.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4589 % 5,151.9
Floater 3.41 % 3.39 % 59,960 18.79 3 0.4589 % 2,969.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0140 % 3,646.0
SplitShare 4.70 % 4.23 % 27,543 3.41 7 0.0140 % 4,354.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0140 % 3,397.3
Perpetual-Premium 5.34 % 0.05 % 56,215 0.09 17 -0.0173 % 3,190.6
Perpetual-Discount 5.05 % 5.13 % 62,687 15.27 16 -0.7007 % 3,656.1
FixedReset Disc 4.24 % 4.80 % 118,552 15.87 46 -0.3306 % 2,673.3
Insurance Straight 5.09 % 4.79 % 90,260 15.24 18 -0.3550 % 3,522.7
FloatingReset 3.25 % 2.85 % 57,977 20.11 2 -0.0583 % 2,782.4
FixedReset Prem 4.78 % 4.07 % 143,071 2.07 23 -0.0069 % 2,685.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3306 % 2,732.7
FixedReset Ins Non 4.37 % 4.81 % 72,861 15.83 17 0.4091 % 2,779.5
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -9.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.21 %
GWO.PR.Y Insurance Straight -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 4.99 %
RY.PR.J FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.37 %
CM.PR.Q FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.60
Evaluated at bid price : 23.35
Bid-YTW : 4.73 %
SLF.PR.E Insurance Straight -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 4.79 %
BAM.PR.T FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.36 %
CU.PR.I FixedReset Prem -1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 3.89 %
BAM.PF.E FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.67 %
PWF.PR.S Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.13 %
PWF.PR.F Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.38 %
GWO.PR.R Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 5.17 %
CU.PR.F Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.02 %
IFC.PR.A FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.81 %
MFC.PR.K FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 4.71 %
BAM.PF.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.62
Evaluated at bid price : 22.04
Bid-YTW : 5.15 %
BAM.PR.B Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.39 %
MFC.PR.N FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.88 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.05
Evaluated at bid price : 23.60
Bid-YTW : 4.81 %
PWF.PR.P FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.97 %
BAM.PF.F FixedReset Disc 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.05
Evaluated at bid price : 22.35
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.K Perpetual-Premium 818,601 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 5.24 %
MFC.PR.I FixedReset Ins Non 241,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.91
Evaluated at bid price : 24.57
Bid-YTW : 4.85 %
CM.PR.R FixedReset Prem 216,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.24 %
TRP.PR.K FixedReset Prem 59,327 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.96 %
BMO.PR.D FixedReset Prem 54,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.07 %
TD.PF.C FixedReset Disc 40,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.06
Evaluated at bid price : 22.40
Bid-YTW : 4.65 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 22.12 – 24.99
Spot Rate : 2.8700
Average : 1.7081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 4.71 %
TD.PF.D FixedReset Disc Quote: 21.50 – 24.00
Spot Rate : 2.5000
Average : 1.4521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.21 %
GWO.PR.Y Insurance Straight Quote: 22.50 – 23.95
Spot Rate : 1.4500
Average : 0.9499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 4.99 %
BAM.PR.T FixedReset Disc Quote: 19.85 – 21.50
Spot Rate : 1.6500
Average : 1.3227

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.36 %
RY.PR.J FixedReset Disc Quote: 23.00 – 23.92
Spot Rate : 0.9200
Average : 0.6080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 4.80 %
SLF.PR.J FloatingReset Quote: 17.20 – 17.85
Spot Rate : 0.6500
Average : 0.4201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 2.85 %
Market Action

March 14, 2022

The five-year Canada bond yield rocketted up to 1.95% today and Rob Carrick pointed out that preferreds are on sale … so of course the market went down. What a world!

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 3.29 % 3.90 % 33,127 19.54 1 0.2660 % 2,685.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0516 % 5,128.3
Floater 3.42 % 3.42 % 62,231 18.73 3 -1.0516 % 2,955.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1091 % 3,645.5
SplitShare 4.70 % 4.25 % 28,687 3.41 7 -0.1091 % 4,353.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1091 % 3,396.8
Perpetual-Premium 5.34 % 1.31 % 51,417 0.08 16 -0.4061 % 3,191.1
Perpetual-Discount 5.02 % 5.07 % 63,006 15.32 16 -0.8199 % 3,681.9
FixedReset Disc 4.23 % 4.74 % 117,734 15.90 46 -0.0375 % 2,682.2
Insurance Straight 5.07 % 4.79 % 91,234 15.34 18 -0.8898 % 3,535.3
FloatingReset 3.24 % 2.84 % 58,891 20.15 2 0.2924 % 2,784.0
FixedReset Prem 4.78 % 4.30 % 143,263 2.23 23 -0.0531 % 2,685.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0375 % 2,741.7
FixedReset Ins Non 4.39 % 4.82 % 73,433 15.80 17 -0.1171 % 2,768.2
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.58 %
PWF.PF.A Perpetual-Discount -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.91
Evaluated at bid price : 23.20
Bid-YTW : 4.90 %
GWO.PR.R Insurance Straight -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.10 %
GWO.PR.I Insurance Straight -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 4.93 %
GWO.PR.Y Insurance Straight -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.99
Evaluated at bid price : 23.40
Bid-YTW : 4.79 %
MFC.PR.N FixedReset Ins Non -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.95 %
PWF.PR.S Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.67
Evaluated at bid price : 23.95
Bid-YTW : 5.06 %
BAM.PR.B Floater -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 3.44 %
BAM.PF.F FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 5.43 %
BAM.PR.N Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 5.16 %
POW.PR.D Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 24.44
Evaluated at bid price : 24.68
Bid-YTW : 5.14 %
PWF.PR.L Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 5.18 %
GWO.PR.H Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.59
Evaluated at bid price : 23.86
Bid-YTW : 5.08 %
TD.PF.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.13
Evaluated at bid price : 22.50
Bid-YTW : 4.62 %
SLF.PR.C Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.68 %
IAF.PR.B Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 4.85 %
FTS.PR.K FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.13 %
BAM.PF.J FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.49 %
BAM.PR.R FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.24 %
FTS.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.00 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.51
Evaluated at bid price : 23.25
Bid-YTW : 4.55 %
NA.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.70
Evaluated at bid price : 23.00
Bid-YTW : 4.70 %
CU.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.48
Evaluated at bid price : 22.75
Bid-YTW : 4.97 %
BAM.PF.I FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -21.75 %
TRP.PR.F FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.64 %
MFC.PR.F FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 4.75 %
IFC.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.93
Evaluated at bid price : 23.40
Bid-YTW : 4.80 %
BAM.PF.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.16 %
BIP.PR.E FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 24.48
Evaluated at bid price : 24.85
Bid-YTW : 5.02 %
TRP.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.46 %
CM.PR.Q FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.88
Evaluated at bid price : 23.90
Bid-YTW : 4.60 %
PWF.PR.P FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.04 %
BAM.PR.X FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.40 %
BIP.PR.A FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.33
Evaluated at bid price : 22.88
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.N FixedReset Ins Non 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.95 %
TD.PF.C FixedReset Disc 32,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.13
Evaluated at bid price : 22.50
Bid-YTW : 4.62 %
TD.PF.A FixedReset Disc 22,290 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.22
Evaluated at bid price : 22.60
Bid-YTW : 4.56 %
TD.PF.M FixedReset Prem 19,476 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.97 %
CM.PR.T FixedReset Prem 17,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.67 %
BAM.PR.K Floater 16,799 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.39 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Disc Quote: 22.50 – 23.70
Spot Rate : 1.2000
Average : 0.6932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.13
Evaluated at bid price : 22.50
Bid-YTW : 4.62 %
TRP.PR.C FixedReset Disc Quote: 14.50 – 15.70
Spot Rate : 1.2000
Average : 0.8250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.46 %
BAM.PF.F FixedReset Disc Quote: 21.54 – 22.90
Spot Rate : 1.3600
Average : 0.9911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 5.43 %
BMO.PR.E FixedReset Prem Quote: 24.72 – 25.25
Spot Rate : 0.5300
Average : 0.3382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.56
Evaluated at bid price : 24.72
Bid-YTW : 4.65 %
BAM.PF.E FixedReset Disc Quote: 19.41 – 21.00
Spot Rate : 1.5900
Average : 1.4009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.58 %
PWF.PF.A Perpetual-Discount Quote: 23.20 – 24.00
Spot Rate : 0.8000
Average : 0.6369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.91
Evaluated at bid price : 23.20
Bid-YTW : 4.90 %
Market Action

March 11, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.30 % 3.91 % 34,371 19.55 1 0.0000 % 2,678.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.5900 % 5,182.8
Floater 3.39 % 3.41 % 58,667 18.64 3 3.5900 % 2,986.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0980 % 3,649.5
SplitShare 4.70 % 4.24 % 28,657 3.42 7 0.0980 % 4,358.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0980 % 3,400.5
Perpetual-Premium 5.32 % -5.41 % 48,586 0.08 16 -0.0541 % 3,204.1
Perpetual-Discount 4.98 % 4.99 % 62,156 15.31 16 0.3186 % 3,712.4
FixedReset Disc 4.23 % 4.54 % 117,744 16.26 46 0.6973 % 2,683.2
Insurance Straight 5.03 % 4.70 % 88,893 15.51 18 0.0386 % 3,567.0
FloatingReset 3.21 % 2.78 % 59,601 20.32 2 0.4405 % 2,775.9
FixedReset Prem 4.78 % 4.14 % 142,878 2.24 23 0.1698 % 2,687.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6973 % 2,742.8
FixedReset Ins Non 4.38 % 4.64 % 75,342 16.13 17 0.0681 % 2,771.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.43 %
CU.PR.G Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.02 %
BAM.PR.X FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 5.27 %
TRP.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 21.70
Evaluated at bid price : 22.00
Bid-YTW : 5.03 %
MFC.PR.J FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 22.76
Evaluated at bid price : 23.30
Bid-YTW : 4.67 %
FTS.PR.M FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 4.99 %
CM.PR.O FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 22.02
Evaluated at bid price : 22.28
Bid-YTW : 4.54 %
POW.PR.D Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.06 %
FTS.PR.H FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.77 %
NA.PR.W FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 22.15
Evaluated at bid price : 22.55
Bid-YTW : 4.41 %
CU.PR.F Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 22.59
Evaluated at bid price : 22.84
Bid-YTW : 4.95 %
CU.PR.C FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 21.41
Evaluated at bid price : 21.70
Bid-YTW : 4.79 %
FTS.PR.K FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.95 %
RY.PR.J FixedReset Disc 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 22.83
Evaluated at bid price : 23.76
Bid-YTW : 4.46 %
PWF.PF.A Perpetual-Discount 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 23.55
Evaluated at bid price : 23.90
Bid-YTW : 4.74 %
BAM.PR.B Floater 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 3.40 %
BAM.PF.E FixedReset Disc 5.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 5.19 %
TD.PF.A FixedReset Disc 6.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 22.11
Evaluated at bid price : 22.44
Bid-YTW : 4.41 %
BAM.PR.K Floater 7.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 84,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-18
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.64 %
CU.PR.H Perpetual-Premium 28,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.50
Evaluated at bid price : 25.68
Bid-YTW : 3.94 %
TRP.PR.A FixedReset Disc 22,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.21 %
CM.PR.R FixedReset Prem 21,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.33 %
TD.PF.L FixedReset Prem 18,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.65 %
NA.PR.C FixedReset Prem 18,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.74 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 19.10 – 20.30
Spot Rate : 1.2000
Average : 0.8134

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.12 %
BAM.PR.X FixedReset Disc Quote: 17.03 – 18.50
Spot Rate : 1.4700
Average : 1.0873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 5.27 %
BAM.PF.G FixedReset Disc Quote: 21.40 – 22.20
Spot Rate : 0.8000
Average : 0.5140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.14 %
BAM.PR.T FixedReset Disc Quote: 20.35 – 21.50
Spot Rate : 1.1500
Average : 0.8913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.07 %
TRP.PR.A FixedReset Disc Quote: 17.48 – 18.50
Spot Rate : 1.0200
Average : 0.7656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.21 %
BAM.PF.A FixedReset Disc Quote: 23.45 – 23.97
Spot Rate : 0.5200
Average : 0.3368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-11
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.06 %
Market Action

March 10, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.29 % 3.90 % 35,833 19.56 1 0.2132 % 2,678.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.0611 % 5,003.2
Floater 3.51 % 3.53 % 59,279 18.38 3 -2.0611 % 2,883.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.2019 % 3,645.9
SplitShare 4.70 % 4.24 % 29,600 3.43 7 0.2019 % 4,354.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2019 % 3,397.2
Perpetual-Premium 5.32 % -5.59 % 48,813 0.08 16 0.0123 % 3,205.9
Perpetual-Discount 4.99 % 5.00 % 64,596 15.37 16 -0.7310 % 3,700.6
FixedReset Disc 4.26 % 4.63 % 119,811 16.25 46 -0.6119 % 2,664.6
Insurance Straight 5.03 % 4.67 % 90,280 15.52 18 0.2139 % 3,565.6
FloatingReset 3.22 % 2.79 % 60,086 20.28 2 -1.3043 % 2,763.7
FixedReset Prem 4.79 % 4.16 % 144,790 3.43 23 -0.1644 % 2,682.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6119 % 2,723.8
FixedReset Ins Non 4.39 % 4.63 % 78,453 16.13 17 -0.5179 % 2,769.6
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -6.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.74 %
BAM.PR.K Floater -5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.66 %
BAM.PF.E FixedReset Disc -4.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.46 %
RY.PR.J FixedReset Disc -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 4.63 %
MFC.PR.F FixedReset Ins Non -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.58 %
PWF.PF.A Perpetual-Discount -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.71
Evaluated at bid price : 23.11
Bid-YTW : 4.90 %
FTS.PR.K FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.07 %
CU.PR.G Perpetual-Discount -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.58
Evaluated at bid price : 22.85
Bid-YTW : 4.94 %
RY.PR.Z FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.13
Evaluated at bid price : 22.40
Bid-YTW : 4.39 %
CU.PR.C FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.92 %
CU.PR.F Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 5.01 %
MFC.PR.J FixedReset Ins Non -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.54
Evaluated at bid price : 23.05
Bid-YTW : 4.72 %
IFC.PR.A FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.64 %
BAM.PR.M Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.22 %
IFC.PR.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 21.93
Evaluated at bid price : 22.40
Bid-YTW : 4.69 %
FTS.PR.M FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.05 %
SLF.PR.J FloatingReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 2.79 %
MFC.PR.N FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.71 %
BAM.PF.C Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 23.45
Evaluated at bid price : 23.74
Bid-YTW : 5.19 %
FTS.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 4.83 %
POW.PR.D Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 24.45
Evaluated at bid price : 24.69
Bid-YTW : 5.13 %
TRP.PR.F FloatingReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 3.65 %
CM.PR.O FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.58 %
RY.PR.H FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 4.38 %
SLF.PR.H FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.41 %
BMO.PR.T FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.48 %
BNS.PR.I FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 23.52
Evaluated at bid price : 24.75
Bid-YTW : 4.25 %
SLF.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.62 %
CM.PR.Q FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.60
Evaluated at bid price : 23.35
Bid-YTW : 4.56 %
GWO.PR.T Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.63 %
PWF.PR.P FixedReset Disc 6.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.85 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.A FixedReset Disc 78,416 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.23 %
GWO.PR.N FixedReset Ins Non 47,024 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.44 %
TRP.PR.D FixedReset Disc 43,118 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.29 %
MFC.PR.R FixedReset Ins Non 41,568 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-18
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.14 %
SLF.PR.H FixedReset Ins Non 28,588 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.41 %
FTS.PR.M FixedReset Disc 27,354 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.05 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 21.00 – 22.53
Spot Rate : 1.5300
Average : 0.8732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.74 %
BAM.PR.K Floater Quote: 13.05 – 14.09
Spot Rate : 1.0400
Average : 0.6963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.66 %
FTS.PR.M FixedReset Disc Quote: 20.84 – 21.70
Spot Rate : 0.8600
Average : 0.5584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.05 %
RY.PR.J FixedReset Disc Quote: 23.00 – 23.83
Spot Rate : 0.8300
Average : 0.5587

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 4.63 %
BAM.PF.E FixedReset Disc Quote: 19.40 – 21.00
Spot Rate : 1.6000
Average : 1.3291

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.46 %
CU.PR.G Perpetual-Discount Quote: 22.85 – 23.85
Spot Rate : 1.0000
Average : 0.7373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-10
Maturity Price : 22.58
Evaluated at bid price : 22.85
Bid-YTW : 4.94 %
Market Action

March 9, 2022

PerpetualDiscounts now yield 5.00%, equivalent to 6.50% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.93%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 255bp from the 260bp reported February 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 3.29 % 3.90 % 36,330 19.57 1 0.8602 % 2,672.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2187 % 5,108.5
Floater 3.44 % 3.46 % 58,946 18.53 3 0.2187 % 2,944.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1205 % 3,638.6
SplitShare 4.71 % 4.29 % 30,819 3.43 7 -0.1205 % 4,345.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1205 % 3,390.3
Perpetual-Premium 5.32 % -4.83 % 48,861 0.08 16 0.1232 % 3,205.5
Perpetual-Discount 4.96 % 5.00 % 65,429 15.37 16 0.5526 % 3,727.8
FixedReset Disc 4.23 % 4.30 % 120,899 16.73 46 1.8583 % 2,681.0
Insurance Straight 5.04 % 4.74 % 91,322 15.53 18 0.4572 % 3,558.0
FloatingReset 3.21 % 2.78 % 59,519 20.31 2 0.4367 % 2,800.2
FixedReset Prem 4.78 % 3.92 % 145,177 3.43 23 0.3230 % 2,687.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.8583 % 2,740.6
FixedReset Ins Non 4.36 % 4.38 % 81,251 16.63 17 0.3701 % 2,784.0
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.40
Evaluated at bid price : 23.00
Bid-YTW : 4.41 %
MFC.PR.K FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 4.32 %
PWF.PR.F Perpetual-Premium -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 24.88
Evaluated at bid price : 25.10
Bid-YTW : 5.29 %
FTS.PR.K FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.64 %
TD.PF.M FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.70 %
BAM.PF.D Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 5.19 %
BMO.PR.Y FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.67
Evaluated at bid price : 23.50
Bid-YTW : 4.21 %
NA.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 4.30 %
CM.PR.O FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.00
Evaluated at bid price : 22.26
Bid-YTW : 4.29 %
SLF.PR.E Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 4.67 %
TRP.PR.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 4.89 %
CU.PR.C FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 21.37
Evaluated at bid price : 21.65
Bid-YTW : 4.49 %
POW.PR.D Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.06 %
GWO.PR.S Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.74 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.86 %
TRP.PR.E FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.00 %
BIP.PR.F FixedReset Prem 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.52
Evaluated at bid price : 24.70
Bid-YTW : 5.10 %
BAM.PR.N Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.31
Evaluated at bid price : 23.59
Bid-YTW : 5.11 %
BAM.PR.M Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.13 %
BIP.PR.A FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 21.91
Evaluated at bid price : 22.25
Bid-YTW : 5.43 %
GWO.PR.N FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.09 %
IFC.PR.G FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.03
Evaluated at bid price : 23.50
Bid-YTW : 4.40 %
MFC.PR.F FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.14 %
PWF.PR.T FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.47
Evaluated at bid price : 22.80
Bid-YTW : 4.29 %
BAM.PF.E FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.93 %
BAM.PR.X FixedReset Disc 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.81 %
TD.PF.E FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.89
Evaluated at bid price : 24.00
Bid-YTW : 4.28 %
NA.PR.W FixedReset Disc 5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 4.22 %
TD.PF.D FixedReset Disc 10.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.83
Evaluated at bid price : 23.80
Bid-YTW : 4.26 %
TRP.PR.G FixedReset Disc 81.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 21.95
Evaluated at bid price : 22.35
Bid-YTW : 4.72 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.S FixedReset Prem 57,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.56
Evaluated at bid price : 24.90
Bid-YTW : 3.90 %
GWO.PR.N FixedReset Ins Non 42,766 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.09 %
BIP.PR.A FixedReset Disc 31,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 21.91
Evaluated at bid price : 22.25
Bid-YTW : 5.43 %
GWO.PR.Y Insurance Straight 24,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.31
Evaluated at bid price : 23.61
Bid-YTW : 4.75 %
RY.PR.J FixedReset Disc 23,329 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.85
Evaluated at bid price : 23.80
Bid-YTW : 4.22 %
TRP.PR.K FixedReset Prem 20,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.75 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 23.00 – 24.32
Spot Rate : 1.3200
Average : 0.9619

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.40
Evaluated at bid price : 23.00
Bid-YTW : 4.41 %
IFC.PR.A FixedReset Ins Non Quote: 19.27 – 21.25
Spot Rate : 1.9800
Average : 1.7408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 4.23 %
BIP.PR.A FixedReset Disc Quote: 22.25 – 23.25
Spot Rate : 1.0000
Average : 0.7767

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 21.91
Evaluated at bid price : 22.25
Bid-YTW : 5.43 %
SLF.PR.D Insurance Straight Quote: 23.66 – 24.39
Spot Rate : 0.7300
Average : 0.5200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.37
Evaluated at bid price : 23.66
Bid-YTW : 4.69 %
IFC.PR.C FixedReset Disc Quote: 22.75 – 23.34
Spot Rate : 0.5900
Average : 0.3947

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 22.15
Evaluated at bid price : 22.75
Bid-YTW : 4.40 %
CU.PR.G Perpetual-Discount Quote: 23.40 – 24.00
Spot Rate : 0.6000
Average : 0.4492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-09
Maturity Price : 23.10
Evaluated at bid price : 23.40
Bid-YTW : 4.82 %
Market Action

March 8, 2022

The ongoing slide in the TXPR index is perplexing; surely with inflation becoming more of a menace, the five-year bond yield (GOC-5) must be on the way up! This shouldn’t make much, if any, difference to FixedReset prices of course, since what is important is spreads, not the absolute value of the expected dividends that should be critical – but the absolute value has been important in the past!

The GOC-5 has been gyrating recently between fear of inflation and a rush to quality, but overall the effect has been minor; the TXPR price index is down about 3.5% year-to-date and is now about even with its value on April 27, 2021 (when GOC-5 was about 0.87%, compared to 1.60% today). Robert McLister has an interesting piece in the Globe:

Of all the things that could possibly move Canadian mortgage rates, a murderous dictator committed to nuclear brinkmanship was not on the radar.
…
After the Russian President put his nuclear forces on high alert, BCA ballparked chances of a “civilization-ending global nuclear war” at 10 per cent in the next 12 months. Its surreal commentary would be hyperbolic if only we were dealing with a more stable adversary.

Whatever the true doomsday probability, the mere notion of nuclear weaponry being used in an escalation of the Russian war on Ukraine, and more broadly a recession that may result from soaring commodity-stoked inflation, has driven investors into the safe harbour of government bonds.

That bond buying crushed Canada’s five-year yield by more than 30 basis points in just days. By Tuesday evening, the yield had bounced back somewhat, trading at 1.61 per cent – down from a Feb. 16 high of 1.859 per cent. (There are 100 basis points in a percentage point.)
…
These previously unthinkable scenarios have spawned two trends.

The first is a surge in risk premiums. That is, market fear and uncertainty are raising the cost of mortgage funding relative to risk-free government bonds. So despite bond yields dropping, banks have been hesitant to cut fixed mortgage rates, especially with competition already squeezing profit margins.

Second, there’s a very real danger that central banks temporarily lose control of inflation. Textbooks say this risk should be met by aggressive short-term rate tightening. And if it is, variable mortgage rates will go along for the ride.
…
Mr. Volcker was a Federal Reserve chair who had to use brute-force rate hikes to battle inflation expectations, driving North America into painful recessions in the early 1980s. Central banks should have learned a lesson from Mr. Volcker’s predecessors – that worrying too much about killing the economy short-term can lead to dire inflation that ravages the economy long-term.

The next 30 days of war could rewrite the inflation and growth narrative again. For all anyone knows, the probability of recession next year could skyrocket, with rates tumbling back down.

Whatever! Prices are down but spreads are up, allowing increased purchasing with reinvested dividends to mitigate the disappointment of holding an asset with decreased prices. Market price is a mere bagatelle, of interest only to market timers (who will eventually lose all their money anyway) and those with a definite need to dip into capital in the short- to medium-term (who should have funds dedicated to this purpose invested in something else). Those of us who may consider ourselves rational long-term investors should, on balance, be pleased with the volatility in the preferred share market – it keeps the dilettantes and their money away from the market and so serves to increase our liquidity premium – discussed here on many occasions, for instance here.

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 3.31 % 3.94 % 36,800 19.53 1 -1.3263 % 2,649.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5315 % 5,097.4
Floater 3.44 % 3.46 % 59,256 18.53 3 -1.5315 % 2,937.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1965 % 3,643.0
SplitShare 4.71 % 4.23 % 28,665 3.43 7 0.1965 % 4,350.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1965 % 3,394.4
Perpetual-Premium 5.33 % -6.09 % 50,783 0.08 16 -0.1721 % 3,201.5
Perpetual-Discount 4.98 % 5.01 % 66,485 15.36 16 -0.2055 % 3,707.3
FixedReset Disc 4.31 % 4.44 % 117,311 16.44 46 -1.2896 % 2,632.1
Insurance Straight 5.06 % 4.77 % 92,722 15.48 18 1.6900 % 3,541.8
FloatingReset 3.22 % 2.80 % 61,951 20.27 2 4.2489 % 2,788.0
FixedReset Prem 4.80 % 4.13 % 146,286 2.24 23 -0.6418 % 2,678.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.2896 % 2,690.6
FixedReset Ins Non 4.38 % 4.34 % 81,647 16.61 17 -0.4093 % 2,773.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -45.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 8.48 %
TD.PF.D FixedReset Disc -9.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.79 %
TD.PF.E FixedReset Disc -5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.43
Evaluated at bid price : 23.10
Bid-YTW : 4.48 %
NA.PR.W FixedReset Disc -5.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.50 %
IFC.PR.G FixedReset Ins Non -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.55
Evaluated at bid price : 23.00
Bid-YTW : 4.50 %
TRP.PR.F FloatingReset -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.64 %
MFC.PR.K FixedReset Ins Non -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 4.22 %
BAM.PF.H FixedReset Prem -2.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.09 %
BAM.PR.X FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.95 %
TRP.PR.E FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.07 %
BIP.PR.F FixedReset Prem -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.98
Evaluated at bid price : 24.30
Bid-YTW : 5.24 %
PWF.PR.T FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.39 %
CU.PR.J Perpetual-Premium -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.90
Evaluated at bid price : 24.25
Bid-YTW : 4.91 %
BIP.PR.E FixedReset Prem -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.93
Evaluated at bid price : 24.40
Bid-YTW : 5.11 %
TRP.PR.A FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 4.93 %
BAM.PR.Z FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.66
Evaluated at bid price : 23.25
Bid-YTW : 4.83 %
BAM.PR.B Floater -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.53 %
TD.PF.M FixedReset Prem -1.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.15 %
BAM.PR.R FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.89 %
BMO.PR.T FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 4.20 %
BAM.PR.M Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.83
Evaluated at bid price : 23.11
Bid-YTW : 5.22 %
GWO.PR.Y Insurance Straight -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 4.77 %
CU.PR.C FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.56 %
MFC.PR.J FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.96
Evaluated at bid price : 23.51
Bid-YTW : 4.36 %
FTS.PR.M FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.67 %
TRP.PR.D FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.03 %
BAM.PR.C Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 3.46 %
FTS.PR.G FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 4.48 %
CM.PR.P FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.81
Evaluated at bid price : 22.07
Bid-YTW : 4.28 %
BMO.PR.W FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.94
Evaluated at bid price : 22.22
Bid-YTW : 4.20 %
BAM.PR.E Ratchet -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 3.94 %
PWF.PR.Z Perpetual-Premium -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.01 %
BAM.PR.K Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 3.46 %
NA.PR.S FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 4.35 %
FTS.PR.H FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.44 %
CU.PR.G Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.10
Evaluated at bid price : 23.40
Bid-YTW : 4.82 %
CM.PR.Q FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.73
Evaluated at bid price : 23.60
Bid-YTW : 4.28 %
MFC.PR.B Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.88 %
CM.PR.Y FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.49 %
BAM.PF.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.50
Evaluated at bid price : 23.75
Bid-YTW : 5.24 %
BIP.PR.A FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 5.52 %
EMA.PR.L Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.58
Evaluated at bid price : 23.91
Bid-YTW : 4.84 %
BMO.PR.F FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : 3.44 %
FTS.PR.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.59 %
TD.PF.J FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 24.32
Evaluated at bid price : 24.70
Bid-YTW : 4.28 %
PWF.PR.G Perpetual-Premium 2.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-07
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -11.08 %
PWF.PF.A Perpetual-Discount 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.37
Evaluated at bid price : 23.70
Bid-YTW : 4.78 %
GWO.PR.N FixedReset Ins Non 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 4.16 %
MFC.PR.F FixedReset Ins Non 3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 4.24 %
RY.PR.J FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.85
Evaluated at bid price : 23.79
Bid-YTW : 4.22 %
BAM.PF.E FixedReset Disc 4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.06 %
SLF.PR.J FloatingReset 12.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 2.80 %
GWO.PR.H Insurance Straight 19.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.03 %
GWO.PR.I Insurance Straight 23.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.90
Evaluated at bid price : 23.17
Bid-YTW : 4.85 %
TD.PF.B FixedReset Disc 49.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.26
Evaluated at bid price : 22.61
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 484,313 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.13 %
RY.PR.S FixedReset Prem 32,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 23.54
Evaluated at bid price : 24.85
Bid-YTW : 3.91 %
TRP.PR.K FixedReset Prem 32,813 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.71 %
CM.PR.Y FixedReset Prem 30,989 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.49 %
GWO.PR.G Insurance Straight 29,229 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-07
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.51 %
RY.PR.Z FixedReset Disc 18,121 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.61
Evaluated at bid price : 22.91
Bid-YTW : 4.03 %
There were 19 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: 12.31 – 22.90
Spot Rate : 10.5900
Average : 8.2185

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 8.48 %
TD.PF.D FixedReset Disc Quote: 21.50 – 24.07
Spot Rate : 2.5700
Average : 1.4816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.79 %
TD.PF.E FixedReset Disc Quote: 23.10 – 24.43
Spot Rate : 1.3300
Average : 0.7462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 22.43
Evaluated at bid price : 23.10
Bid-YTW : 4.48 %
NA.PR.W FixedReset Disc Quote: 21.00 – 22.41
Spot Rate : 1.4100
Average : 0.8493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.50 %
IFC.PR.A FixedReset Ins Non Quote: 19.24 – 21.25
Spot Rate : 2.0100
Average : 1.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 4.24 %
PWF.PR.P FixedReset Disc Quote: 15.00 – 16.90
Spot Rate : 1.9000
Average : 1.3759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-08
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.80 %
Market Action

March 7, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.26 % 3.87 % 36,440 19.63 1 -1.9251 % 2,685.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.3512 % 5,176.7
Floater 3.39 % 3.41 % 58,411 18.65 3 2.3512 % 2,983.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1233 % 3,635.8
SplitShare 4.72 % 4.23 % 29,709 3.43 7 -0.1233 % 4,342.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1233 % 3,387.8
Perpetual-Premium 5.32 % -8.37 % 51,360 0.08 16 -0.3577 % 3,207.0
Perpetual-Discount 4.97 % 5.00 % 67,158 15.38 16 -0.4944 % 3,715.0
FixedReset Disc 4.25 % 4.38 % 114,880 16.65 46 -0.6104 % 2,666.5
Insurance Straight 5.15 % 4.74 % 93,906 15.33 18 -2.8039 % 3,483.0
FloatingReset 3.36 % 3.53 % 45,026 18.49 2 -5.8571 % 2,674.4
FixedReset Prem 4.77 % 3.94 % 139,512 3.45 23 -0.2826 % 2,695.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6104 % 2,725.7
FixedReset Ins Non 4.36 % 4.30 % 81,879 16.68 17 -0.0271 % 2,785.1
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -33.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 6.26 %
GWO.PR.I Insurance Straight -19.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.02 %
GWO.PR.H Insurance Straight -17.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.02 %
SLF.PR.J FloatingReset -11.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.15 %
BAM.PF.E FixedReset Disc -7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.29 %
MFC.PR.F FixedReset Ins Non -7.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 4.38 %
GWO.PR.N FixedReset Ins Non -6.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 4.30 %
PWF.PR.P FixedReset Disc -5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 4.80 %
RY.PR.J FixedReset Disc -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.41
Evaluated at bid price : 23.00
Bid-YTW : 4.39 %
PWF.PF.A Perpetual-Discount -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.71
Evaluated at bid price : 23.11
Bid-YTW : 4.90 %
TRP.PR.C FixedReset Disc -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 4.94 %
IFC.PR.E Insurance Straight -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.28 %
SLF.PR.G FixedReset Ins Non -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.12 %
TRP.PR.B FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 12.96
Evaluated at bid price : 12.96
Bid-YTW : 4.96 %
SLF.PR.D Insurance Straight -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 4.69 %
BAM.PF.A FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.08
Evaluated at bid price : 23.50
Bid-YTW : 4.78 %
BAM.PF.C Perpetual-Discount -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.19 %
GWO.PR.R Insurance Straight -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.56
Evaluated at bid price : 23.83
Bid-YTW : 5.03 %
PWF.PR.S Perpetual-Discount -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.88
Evaluated at bid price : 24.15
Bid-YTW : 5.02 %
PWF.PR.G Perpetual-Premium -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.97 %
MFC.PR.Q FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.02
Evaluated at bid price : 23.50
Bid-YTW : 4.31 %
BAM.PR.E Ratchet -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 3.87 %
CU.PR.C FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 4.47 %
BAM.PF.F FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.90
Evaluated at bid price : 22.15
Bid-YTW : 4.91 %
SLF.PR.C Insurance Straight -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.32
Evaluated at bid price : 23.60
Bid-YTW : 4.70 %
TD.PF.D FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.83
Evaluated at bid price : 23.80
Bid-YTW : 4.26 %
MFC.PR.M FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.41 %
FTS.PR.H FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.39 %
MFC.PR.J FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.35
Evaluated at bid price : 23.89
Bid-YTW : 4.29 %
PWF.PR.T FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.38
Evaluated at bid price : 22.70
Bid-YTW : 4.30 %
NA.PR.E FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.51
Evaluated at bid price : 24.00
Bid-YTW : 4.27 %
BIP.PR.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.80
Evaluated at bid price : 22.10
Bid-YTW : 5.47 %
IFC.PR.C FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.19
Evaluated at bid price : 22.81
Bid-YTW : 4.38 %
CM.PR.S FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.65
Evaluated at bid price : 24.20
Bid-YTW : 4.10 %
TRP.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.95 %
BAM.PR.B Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 3.46 %
IFC.PR.A FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 4.24 %
IFC.PR.G FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.66
Evaluated at bid price : 24.10
Bid-YTW : 4.29 %
BAM.PR.Z FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.08
Evaluated at bid price : 23.70
Bid-YTW : 4.74 %
SLF.PR.E Insurance Straight -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 4.74 %
TRP.PR.D FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 4.95 %
BAM.PF.I FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -9.64 %
BMO.PR.S FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.30
Evaluated at bid price : 22.64
Bid-YTW : 4.22 %
NA.PR.S FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.50
Evaluated at bid price : 22.79
Bid-YTW : 4.29 %
TRP.PR.A FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.83 %
BIP.PR.F FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.58
Evaluated at bid price : 24.85
Bid-YTW : 5.07 %
CU.PR.F Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.91 %
POW.PR.D Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 5.09 %
GWO.PR.Q Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 24.54
Evaluated at bid price : 24.79
Bid-YTW : 5.19 %
BAM.PF.D Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 5.18 %
BAM.PR.R FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.80 %
TD.PF.K FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.56
Evaluated at bid price : 24.70
Bid-YTW : 4.15 %
FTS.PR.M FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.33
Evaluated at bid price : 21.64
Bid-YTW : 4.57 %
CU.PR.G Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 4.76 %
CM.PR.P FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.05
Evaluated at bid price : 22.39
Bid-YTW : 4.21 %
BAM.PR.C Floater 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.41 %
MFC.PR.L FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.37 %
BAM.PR.X FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.82 %
MFC.PR.K FixedReset Ins Non 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.46
Evaluated at bid price : 22.85
Bid-YTW : 4.09 %
FTS.PR.K FixedReset Disc 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.54 %
CM.PR.Q FixedReset Disc 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 22.87
Evaluated at bid price : 23.90
Bid-YTW : 4.22 %
BAM.PR.N Perpetual-Discount 5.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.17 %
BAM.PR.K Floater 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.41 %
MFC.PR.N FixedReset Ins Non 20.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.39 %
TRP.PR.G FixedReset Disc 82.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 21.97
Evaluated at bid price : 22.38
Bid-YTW : 4.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 90,394 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.11 %
RY.PR.S FixedReset Prem 44,919 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 23.56
Evaluated at bid price : 24.90
Bid-YTW : 3.90 %
CM.PR.Y FixedReset Prem 35,074 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 2.97 %
TD.PF.M FixedReset Prem 32,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.33 %
TRP.PR.K FixedReset Prem 31,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.68 %
PWF.PR.L Perpetual-Discount 28,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-06
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 0.16 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 15.15 – 22.94
Spot Rate : 7.7900
Average : 4.1743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 6.26 %
GWO.PR.I Insurance Straight Quote: 18.75 – 23.79
Spot Rate : 5.0400
Average : 2.7623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.02 %
GWO.PR.H Insurance Straight Quote: 20.20 – 24.35
Spot Rate : 4.1500
Average : 2.2771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.02 %
SLF.PR.J FloatingReset Quote: 15.50 – 17.89
Spot Rate : 2.3900
Average : 1.4763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.15 %
BAM.PF.E FixedReset Disc Quote: 19.00 – 20.80
Spot Rate : 1.8000
Average : 1.1410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.29 %
BAM.PR.E Ratchet Quote: 18.85 – 20.40
Spot Rate : 1.5500
Average : 1.0048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-07
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 3.87 %
Market Action

March 4, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.19 % 3.76 % 37,993 19.77 1 0.6283 % 2,738.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.0863 % 5,057.7
Floater 3.47 % 3.46 % 56,352 18.54 3 -2.0863 % 2,914.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1909 % 3,640.3
SplitShare 4.66 % 4.16 % 30,932 3.35 6 0.1909 % 4,347.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1909 % 3,391.9
Perpetual-Premium 5.24 % 1.72 % 61,885 0.09 21 -0.0998 % 3,218.6
Perpetual-Discount 4.93 % 5.01 % 61,980 15.47 11 -0.0689 % 3,733.4
FixedReset Disc 4.17 % 4.46 % 115,859 16.45 43 -0.8479 % 2,682.9
Insurance Straight 5.00 % 4.67 % 91,457 15.66 18 0.3605 % 3,583.5
FloatingReset 2.95 % 2.57 % 64,215 20.89 2 -0.1427 % 2,840.8
FixedReset Prem 4.78 % 3.93 % 135,053 2.26 26 -0.1163 % 2,703.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.8479 % 2,742.4
FixedReset Ins Non 4.36 % 4.42 % 84,993 16.37 17 -1.9788 % 2,785.9
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -19.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 5.53 %
FTS.PR.K FixedReset Disc -6.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.93 %
BAM.PR.K Floater -5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.66 %
MFC.PR.L FixedReset Ins Non -4.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.67 %
BAM.PR.X FixedReset Disc -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.24 %
MFC.PR.K FixedReset Ins Non -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 4.44 %
BAM.PR.T FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.10 %
CM.PR.P FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.80
Evaluated at bid price : 22.06
Bid-YTW : 4.46 %
FTS.PR.M FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.84 %
RY.PR.M FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.36
Evaluated at bid price : 23.00
Bid-YTW : 4.38 %
BIP.PR.A FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.03
Evaluated at bid price : 22.42
Bid-YTW : 5.55 %
BAM.PR.M Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.11 %
CM.PR.O FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.09
Evaluated at bid price : 22.38
Bid-YTW : 4.44 %
FTS.PR.G FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.60 %
CU.PR.I FixedReset Prem -1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.37 %
NA.PR.W FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.05
Evaluated at bid price : 22.40
Bid-YTW : 4.37 %
CU.PR.F Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.97
Evaluated at bid price : 23.25
Bid-YTW : 4.85 %
BMO.PR.Y FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.64
Evaluated at bid price : 23.45
Bid-YTW : 4.39 %
MFC.PR.M FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 4.53 %
IAF.PR.I FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.88
Evaluated at bid price : 24.35
Bid-YTW : 4.53 %
MFC.PR.Q FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 4.41 %
FTS.PR.H FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.56 %
GWO.PR.N FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 4.27 %
BAM.PF.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.09 %
BAM.PF.D Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.98
Evaluated at bid price : 24.25
Bid-YTW : 5.13 %
BAM.PR.R FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.94 %
SLF.PR.C Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.62 %
CIU.PR.A Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.01 %
IAF.PR.G FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.47
Evaluated at bid price : 24.35
Bid-YTW : 4.59 %
SLF.PR.E Insurance Straight 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.67 %
SLF.PR.D Insurance Straight 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 24.06
Evaluated at bid price : 24.32
Bid-YTW : 4.56 %
TRP.PR.E FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Y FixedReset Prem 154,668 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 2.91 %
BMO.PR.F FixedReset Prem 77,566 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 2.92 %
NA.PR.C FixedReset Prem 52,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.93 %
MFC.PR.R FixedReset Ins Non 29,267 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-18
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.91 %
BMO.PR.C FixedReset Prem 21,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 2.92 %
TD.PF.K FixedReset Prem 15,548 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 23.66
Evaluated at bid price : 24.95
Bid-YTW : 4.27 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 17.77 – 21.96
Spot Rate : 4.1900
Average : 2.2799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 5.53 %
FTS.PR.K FixedReset Disc Quote: 19.09 – 20.09
Spot Rate : 1.0000
Average : 0.5838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.93 %
MFC.PR.L FixedReset Ins Non Quote: 20.55 – 21.55
Spot Rate : 1.0000
Average : 0.6242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.67 %
BAM.PR.N Perpetual-Discount Quote: 22.05 – 24.05
Spot Rate : 2.0000
Average : 1.6416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.47 %
BIP.PR.A FixedReset Disc Quote: 22.42 – 23.60
Spot Rate : 1.1800
Average : 0.8400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 22.03
Evaluated at bid price : 22.42
Bid-YTW : 5.55 %
MFC.PR.K FixedReset Ins Non Quote: 22.05 – 23.05
Spot Rate : 1.0000
Average : 0.7654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-04
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 4.44 %
Market Action

March 3, 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 3.21 % 3.79 % 39,347 19.75 1 -1.0875 % 2,720.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3951 % 5,165.5
Floater 3.40 % 3.43 % 58,826 18.61 3 -1.3951 % 2,976.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1577 % 3,633.4
SplitShare 4.66 % 4.26 % 31,250 3.35 6 -0.1577 % 4,339.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1577 % 3,385.5
Perpetual-Premium 5.23 % 1.06 % 62,736 0.09 21 0.2416 % 3,221.8
Perpetual-Discount 4.93 % 5.00 % 62,828 15.40 11 -0.4078 % 3,736.0
FixedReset Disc 4.13 % 4.40 % 115,561 16.52 43 1.3697 % 2,705.8
Insurance Straight 5.02 % 4.69 % 91,991 15.60 18 0.2979 % 3,570.6
FloatingReset 2.95 % 2.57 % 66,846 20.89 2 -0.8487 % 2,844.9
FixedReset Prem 4.78 % 3.78 % 135,526 2.03 26 0.3014 % 2,706.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.3697 % 2,765.9
FixedReset Ins Non 4.28 % 4.39 % 84,368 16.56 17 -0.4284 % 2,842.1
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount -6.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.47 %
TRP.PR.E FixedReset Disc -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.23 %
IFC.PR.A FixedReset Ins Non -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.42 %
CIU.PR.A Perpetual-Discount -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.48
Evaluated at bid price : 22.74
Bid-YTW : 5.07 %
BAM.PR.R FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.99 %
BAM.PR.K Floater -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 3.46 %
SLF.PR.J FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.57 %
IFC.PR.C FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.43
Evaluated at bid price : 23.24
Bid-YTW : 4.44 %
MFC.PR.K FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.60
Evaluated at bid price : 23.00
Bid-YTW : 4.25 %
BIP.PR.A FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.40
Evaluated at bid price : 23.00
Bid-YTW : 5.40 %
BAM.PR.C Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.43 %
NA.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.88
Evaluated at bid price : 24.32
Bid-YTW : 4.40 %
IAF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.15
Evaluated at bid price : 24.05
Bid-YTW : 4.64 %
PVS.PR.J SplitShare -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 4.50 %
BAM.PF.A FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.88
Evaluated at bid price : 24.25
Bid-YTW : 4.82 %
BAM.PR.E Ratchet -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 3.79 %
TRP.PR.C FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 5.00 %
MFC.PR.Q FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.88
Evaluated at bid price : 24.30
Bid-YTW : 4.36 %
TD.PF.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.29
Evaluated at bid price : 22.75
Bid-YTW : 4.31 %
CU.PR.J Perpetual-Premium -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 4.80 %
FTS.PR.J Perpetual-Premium 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 4.93 %
MFC.PR.B Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 4.82 %
SLF.PR.C Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.67 %
SLF.PR.D Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 4.69 %
PWF.PR.Z Perpetual-Premium 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 4.62 %
IAF.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 24.25
Evaluated at bid price : 24.66
Bid-YTW : 4.48 %
CU.PR.I FixedReset Prem 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 2.90 %
TD.PF.D FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.33 %
BAM.PR.M Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.00 %
PWF.PR.S Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 24.51
Evaluated at bid price : 24.74
Bid-YTW : 4.89 %
BMO.PR.T FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 4.31 %
IFC.PR.G FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 24.18
Evaluated at bid price : 24.55
Bid-YTW : 4.39 %
BAM.PF.I FixedReset Prem 3.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : -15.59 %
BAM.PF.H FixedReset Prem 3.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 3.08 %
BAM.PR.T FixedReset Disc 15.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.89 %
CM.PR.Q FixedReset Disc 16.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.57 %
RY.PR.M FixedReset Disc 56.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.69
Evaluated at bid price : 23.60
Bid-YTW : 4.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.L Perpetual-Premium 105,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 24.88
Evaluated at bid price : 25.10
Bid-YTW : 5.13 %
RY.PR.M FixedReset Disc 40,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 22.69
Evaluated at bid price : 23.60
Bid-YTW : 4.25 %
BMO.PR.C FixedReset Prem 38,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.32 %
TD.PF.M FixedReset Prem 36,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.45 %
GWO.PR.G Insurance Straight 30,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-02
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -7.45 %
CM.PR.Y FixedReset Prem 29,976 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 2.96 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 25.58 – 32.99
Spot Rate : 7.4100
Average : 4.0318

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.86 %
BAM.PR.N Perpetual-Discount Quote: 22.05 – 24.06
Spot Rate : 2.0100
Average : 1.2486

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.47 %
BAM.PR.K Floater Quote: 13.80 – 15.50
Spot Rate : 1.7000
Average : 0.9847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 3.46 %
TRP.PR.E FixedReset Disc Quote: 19.25 – 20.25
Spot Rate : 1.0000
Average : 0.6635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.23 %
CU.PR.G Perpetual-Discount Quote: 23.60 – 24.88
Spot Rate : 1.2800
Average : 0.9825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 23.30
Evaluated at bid price : 23.60
Bid-YTW : 4.78 %
PWF.PR.P FixedReset Disc Quote: 15.85 – 16.75
Spot Rate : 0.9000
Average : 0.7296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-03
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.78 %