Category: Market Action

Market Action

February 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 3.03 % 3.51 % 41,224 20.05 1 0.0495 % 2,879.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0221 % 5,604.0
Floater 2.84 % 2.86 % 62,985 20.04 3 -0.0221 % 3,229.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0327 % 3,659.7
SplitShare 4.63 % 4.39 % 33,899 3.61 6 0.0327 % 4,370.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0327 % 3,410.0
Perpetual-Premium 5.23 % -11.32 % 56,317 0.09 22 0.1099 % 3,214.9
Perpetual-Discount 5.03 % 4.95 % 57,366 15.55 11 -0.8712 % 3,660.1
FixedReset Disc 4.00 % 4.46 % 115,923 16.43 44 -0.4100 % 2,810.2
Insurance Straight 5.04 % 4.75 % 86,196 15.12 18 -1.0434 % 3,555.3
FloatingReset 2.72 % 3.09 % 49,916 19.47 2 0.1103 % 2,947.9
FixedReset Prem 4.79 % 3.74 % 116,529 2.08 26 0.0621 % 2,699.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4100 % 2,872.6
FixedReset Ins Non 4.13 % 4.38 % 78,076 16.32 17 -0.2687 % 2,941.6
Performance Highlights
Issue Index Change Notes
PWF.PF.A Perpetual-Discount -38.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.60 %
GWO.PR.I Insurance Straight -21.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.10 %
BAM.PF.G FixedReset Disc -5.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.36 %
TD.PF.E FixedReset Disc -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.73
Evaluated at bid price : 23.67
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.08 %
MFC.PR.M FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.39
Evaluated at bid price : 22.90
Bid-YTW : 4.53 %
IFC.PR.E Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.09 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.12 %
MFC.PR.N FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.37
Evaluated at bid price : 22.90
Bid-YTW : 4.44 %
CM.PR.O FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.77
Evaluated at bid price : 23.43
Bid-YTW : 4.34 %
IFC.PR.A FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.24 %
CU.PR.J Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 4.79 %
MFC.PR.C Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 4.81 %
SLF.PR.C Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.55
Evaluated at bid price : 23.82
Bid-YTW : 4.72 %
PWF.PR.L Perpetual-Premium 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-17
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 1.63 %
SLF.PR.D Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.71 %
BAM.PR.N Perpetual-Discount 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 5.01 %
PWF.PR.K Perpetual-Discount 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.03 %
BAM.PF.B FixedReset Disc 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.81
Evaluated at bid price : 23.13
Bid-YTW : 4.86 %
BAM.PR.M Perpetual-Discount 28.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 5.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 190,537 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.05
Evaluated at bid price : 23.35
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 130,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.76 %
TRP.PR.K FixedReset Prem 98,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.57 %
MFC.PR.Q FixedReset Ins Non 55,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.76
Evaluated at bid price : 24.94
Bid-YTW : 4.40 %
CM.PR.R FixedReset Prem 51,910 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.61 %
TD.PF.L FixedReset Prem 50,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.51 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PF.A Perpetual-Discount Quote: 15.00 – 24.40
Spot Rate : 9.4000
Average : 5.0257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.60 %
GWO.PR.I Insurance Straight Quote: 18.75 – 24.20
Spot Rate : 5.4500
Average : 2.9707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.10 %
BAM.PF.G FixedReset Disc Quote: 20.75 – 22.75
Spot Rate : 2.0000
Average : 1.3694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.36 %
TD.PF.E FixedReset Disc Quote: 23.67 – 24.67
Spot Rate : 1.0000
Average : 0.6087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.73
Evaluated at bid price : 23.67
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc Quote: 18.00 – 19.24
Spot Rate : 1.2400
Average : 0.9160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.08 %
CU.PR.I FixedReset Prem Quote: 25.60 – 26.50
Spot Rate : 0.9000
Average : 0.6149

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.78 %
Market Action

February 14, 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 3.03 % 3.51 % 41,805 20.05 1 -0.0495 % 2,877.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5713 % 5,605.3
Floater 2.84 % 2.87 % 62,315 20.02 3 -0.5713 % 3,230.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0327 % 3,658.5
SplitShare 4.63 % 4.43 % 32,933 3.62 6 -0.0327 % 4,369.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0327 % 3,408.9
Perpetual-Premium 5.24 % -11.15 % 56,764 0.09 22 -0.2372 % 3,211.4
Perpetual-Discount 4.99 % 4.92 % 59,338 15.63 11 -3.2334 % 3,692.3
FixedReset Disc 3.98 % 4.39 % 117,764 16.36 44 -0.6373 % 2,821.8
Insurance Straight 4.99 % 4.76 % 88,115 15.49 18 0.9716 % 3,592.8
FloatingReset 2.72 % 3.09 % 51,945 19.45 2 -0.7659 % 2,944.7
FixedReset Prem 4.79 % 3.82 % 107,929 2.08 26 -0.1452 % 2,698.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6373 % 2,884.4
FixedReset Ins Non 4.12 % 4.40 % 72,308 16.31 17 -0.1508 % 2,949.5
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -23.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.51 %
BAM.PF.B FixedReset Disc -4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.10 %
PWF.PR.K Perpetual-Discount -4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.22 %
BAM.PF.G FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %
BAM.PF.C Perpetual-Discount -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.13 %
CU.PR.G Perpetual-Discount -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 4.77 %
GWO.PR.Y Insurance Straight -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.66
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
TD.PF.C FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.45
Evaluated at bid price : 23.01
Bid-YTW : 4.38 %
TD.PF.J FixedReset Prem -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 24.46
Evaluated at bid price : 24.80
Bid-YTW : 4.58 %
BAM.PR.X FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.95 %
TRP.PR.E FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.97 %
BMO.PR.S FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.82
Evaluated at bid price : 23.47
Bid-YTW : 4.35 %
CM.PR.T FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.10 %
BAM.PR.N Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.20 %
TRP.PR.D FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 5.02 %
BAM.PF.E FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 4.91 %
PWF.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.50 %
SLF.PR.C Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 4.78 %
PWF.PR.L Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.17 %
GWO.PR.I Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.74 %
BAM.PR.T FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.87 %
MFC.PR.L FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.13
Evaluated at bid price : 22.43
Bid-YTW : 4.45 %
FTS.PR.H FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.42 %
BMO.PR.W FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.64
Evaluated at bid price : 23.30
Bid-YTW : 4.28 %
PWF.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.36
Evaluated at bid price : 23.70
Bid-YTW : 4.43 %
BMO.PR.Y FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.97 %
CU.PR.E Perpetual-Premium 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.92 %
RY.PR.J FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 3.96 %
BAM.PF.A FixedReset Prem 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.53
Evaluated at bid price : 24.60
Bid-YTW : 4.83 %
SLF.PR.D Insurance Straight 5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.78 %
MFC.PR.B Insurance Straight 22.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 4.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 174,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.70 %
CM.PR.R FixedReset Prem 156,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.32 %
TRP.PR.K FixedReset Prem 95,195 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.54 %
TD.PF.M FixedReset Prem 41,564 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.16 %
TD.PF.I FixedReset Prem 33,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.57 %
SLF.PR.J FloatingReset 32,477 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 2.39 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.M Perpetual-Discount Quote: 18.57 – 24.40
Spot Rate : 5.8300
Average : 3.1218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.51 %
BAM.PF.B FixedReset Disc Quote: 22.01 – 23.64
Spot Rate : 1.6300
Average : 1.0473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.10 %
PWF.PR.K Perpetual-Discount Quote: 23.85 – 24.85
Spot Rate : 1.0000
Average : 0.5880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.22 %
BAM.PF.C Perpetual-Discount Quote: 23.90 – 24.85
Spot Rate : 0.9500
Average : 0.6083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.13 %
BAM.PF.G FixedReset Disc Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.6781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %
BAM.PR.N Perpetual-Discount Quote: 23.10 – 24.32
Spot Rate : 1.2200
Average : 0.9132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.20 %
Market Action

February 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 3.03 % 3.50 % 41,585 20.06 1 -1.0284 % 2,879.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6115 % 5,637.5
Floater 2.83 % 2.85 % 61,742 20.09 3 -0.6115 % 3,248.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0653 % 3,659.7
SplitShare 4.63 % 4.43 % 31,698 3.63 6 -0.0653 % 4,370.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0653 % 3,410.0
Perpetual-Premium 5.23 % -5.07 % 55,336 0.09 22 -0.5965 % 3,219.0
Perpetual-Discount 4.83 % 4.87 % 59,867 15.71 11 -0.8912 % 3,815.6
FixedReset Disc 3.95 % 4.43 % 118,188 16.44 44 -0.7933 % 2,839.9
Insurance Straight 5.04 % 4.69 % 84,494 13.67 18 -2.4895 % 3,558.2
FloatingReset 2.70 % 3.07 % 52,681 19.52 2 0.3018 % 2,967.4
FixedReset Prem 4.78 % 3.78 % 106,227 1.78 26 -0.4186 % 2,702.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7933 % 2,902.9
FixedReset Ins Non 4.11 % 4.30 % 73,446 16.36 17 -0.4705 % 2,954.0
Performance Highlights
Issue Index Change Notes
MFC.PR.B Insurance Straight -21.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.12 %
SLF.PR.D Insurance Straight -9.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.04
Evaluated at bid price : 22.27
Bid-YTW : 5.05 %
BAM.PF.A FixedReset Prem -4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %
MFC.PR.C Insurance Straight -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.31
Evaluated at bid price : 23.59
Bid-YTW : 4.82 %
BAM.PR.N Perpetual-Discount -4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %
BAM.PR.R FixedReset Disc -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.93 %
FTS.PR.J Perpetual-Premium -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %
TRP.PR.A FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.96 %
SLF.PR.C Insurance Straight -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 4.72 %
CU.PR.I FixedReset Prem -2.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.83 %
CU.PR.E Perpetual-Premium -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 4.99 %
SLF.PR.E Insurance Straight -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.72 %
BMO.PR.Y FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.75
Bid-YTW : 4.43 %
BNS.PR.I FixedReset Prem -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.60
Evaluated at bid price : 25.00
Bid-YTW : 4.25 %
BAM.PF.B FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.10
Bid-YTW : 4.86 %
GWO.PR.H Insurance Straight -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.30
Evaluated at bid price : 24.61
Bid-YTW : 4.98 %
TRP.PR.G FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.68
Evaluated at bid price : 23.60
Bid-YTW : 4.69 %
RY.PR.H FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.68
Evaluated at bid price : 23.30
Bid-YTW : 4.29 %
FTS.PR.F Perpetual-Premium -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 5.00 %
BAM.PF.F FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.84
Evaluated at bid price : 23.61
Bid-YTW : 4.87 %
NA.PR.W FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.62
Bid-YTW : 4.23 %
TRP.PR.E FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.90 %
TRP.PR.D FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.95 %
PWF.PR.F Perpetual-Premium -1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-13
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -5.07 %
BAM.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.66
Evaluated at bid price : 23.35
Bid-YTW : 4.43 %
PWF.PR.T FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.62
Evaluated at bid price : 23.95
Bid-YTW : 4.39 %
TD.PF.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.26 %
TD.PF.C FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.72
Evaluated at bid price : 23.48
Bid-YTW : 4.28 %
MFC.PR.K FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.46
Evaluated at bid price : 23.86
Bid-YTW : 4.30 %
RY.PR.J FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.95
Evaluated at bid price : 24.03
Bid-YTW : 4.44 %
CU.PR.J Perpetual-Premium -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.29
Evaluated at bid price : 24.67
Bid-YTW : 4.80 %
MFC.PR.N FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.52
Evaluated at bid price : 23.15
Bid-YTW : 4.39 %
NA.PR.S FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.13
Evaluated at bid price : 24.05
Bid-YTW : 4.32 %
BMO.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.74
Evaluated at bid price : 23.40
Bid-YTW : 4.24 %
BAM.PF.D Perpetual-Premium -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.31
Evaluated at bid price : 24.62
Bid-YTW : 5.03 %
TD.PF.D FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.38 %
PWF.PF.A Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.88
Evaluated at bid price : 24.25
Bid-YTW : 4.65 %
IFC.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.81
Evaluated at bid price : 25.11
Bid-YTW : 4.36 %
IAF.PR.B Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 4.75 %
EMA.PR.L Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.78
Evaluated at bid price : 24.13
Bid-YTW : 4.77 %
CU.PR.C FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.18
Evaluated at bid price : 22.85
Bid-YTW : 4.58 %
CM.PR.P FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.78
Evaluated at bid price : 23.60
Bid-YTW : 4.25 %
BAM.PR.C Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 2.84 %
CU.PR.F Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.64
Evaluated at bid price : 23.90
Bid-YTW : 4.70 %
BAM.PR.E Ratchet -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 3.50 %
RY.PR.Z FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.71
Evaluated at bid price : 23.28
Bid-YTW : 4.26 %
TD.PF.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.05 %
BAM.PR.X FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.86 %
BAM.PF.E FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.75
Evaluated at bid price : 22.01
Bid-YTW : 4.85 %
TRP.PR.C FixedReset Disc 5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 90,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.51 %
RY.PR.J FixedReset Disc 46,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.95
Evaluated at bid price : 24.03
Bid-YTW : 4.44 %
NA.PR.W FixedReset Disc 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.62
Bid-YTW : 4.23 %
TD.PF.M FixedReset Prem 42,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.05 %
TD.PF.I FixedReset Prem 32,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.87 %
TD.PF.E FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.05 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.B Insurance Straight Quote: 19.35 – 24.03
Spot Rate : 4.6800
Average : 2.5332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.12 %
SLF.PR.D Insurance Straight Quote: 22.27 – 24.03
Spot Rate : 1.7600
Average : 1.0231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.04
Evaluated at bid price : 22.27
Bid-YTW : 5.05 %
BAM.PF.A FixedReset Prem Quote: 24.00 – 25.14
Spot Rate : 1.1400
Average : 0.6339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %
BAM.PR.N Perpetual-Discount Quote: 23.41 – 24.41
Spot Rate : 1.0000
Average : 0.5769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %
PWF.PR.F Perpetual-Premium Quote: 25.25 – 25.96
Spot Rate : 0.7100
Average : 0.4156

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-13
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -5.07 %
SLF.PR.E Insurance Straight Quote: 24.09 – 25.00
Spot Rate : 0.9100
Average : 0.6551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.72 %
Market Action

February 10, 2022

US inflation has recorded a 40-year high:

The Canadian dollar CADUSD weakened against the greenback on Thursday as data showing that U.S. inflation soared to a 40-year high in January raised expectations for aggressive interest rate hikes by the Federal Reserve.

U.S. bond yields climbed and the greenback rallied against a basket of major currencies as the U.S. consumer price index climbed at an annual rate of 7.5 per cent, fueling speculation of a 50 basis points interest rate hike from the Fed next month.

The NYT reports signs of spreading:

More worrying were the report’s details, which showed inflation moving beyond pandemic-affected goods and services, a sign that rapid gains could prove longer lasting and harder to shake off.
…
Lately, it is more than just shortages of goods at play. Price gains are increasingly hitting consumers in hard-to-avoid ways as they show up in necessities: January’s inflation reading was driven by food, electricity and shelter costs, the Bureau of Labor Statistics said.
…
After Thursday’s report, investors expected the Fed to withdraw economic support even more quickly. Markets braced for a half-percentage-point increase in the federal funds rate at the central bank’s meeting next month — double the usual increment.

The inflation reading sent stocks down and government bond yields up. The S&P 500 dropped 1.8 percent, while the Nasdaq composite fell 2.1 percent. The yield on 10-year U.S. Treasury notes rose 0.1 percentage points, to about 2.03 percent, the highest level since November 2019.

GOC-5 hit 1.84% today; the highest in the BOC’s weekly series since 2019-2-13.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.45 % 41,482 20.12 1 0.5416 % 2,908.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3067 % 5,672.1
Floater 2.81 % 2.83 % 62,607 20.15 3 0.3067 % 3,268.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1832 % 3,662.1
SplitShare 4.63 % 4.35 % 32,190 3.63 6 0.1832 % 4,373.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1832 % 3,412.2
Perpetual-Premium 5.20 % -15.55 % 55,685 0.09 22 -0.1035 % 3,238.3
Perpetual-Discount 4.79 % 4.74 % 60,682 15.74 11 -0.1224 % 3,849.9
FixedReset Disc 3.92 % 4.21 % 116,938 16.49 44 -0.3261 % 2,862.6
Insurance Straight 4.91 % 4.60 % 80,975 15.66 18 -0.1728 % 3,649.0
FloatingReset 2.67 % 3.02 % 53,021 19.64 2 0.0000 % 2,958.5
FixedReset Prem 4.76 % 3.55 % 104,163 1.78 26 0.0015 % 2,713.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3261 % 2,926.2
FixedReset Ins Non 4.09 % 4.14 % 73,077 16.55 17 0.0585 % 2,968.0
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.88 %
BAM.PR.Z FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
MFC.PR.F FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.07 %
RY.PR.M FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.80
Evaluated at bid price : 23.84
Bid-YTW : 4.20 %
BAM.PR.X FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.75 %
SLF.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.11 %
RY.PR.Z FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.85
Evaluated at bid price : 23.52
Bid-YTW : 4.09 %
FTS.PR.H FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.23 %
BMO.PR.Y FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 3.95 %
IFC.PR.A FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 103,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.90
Evaluated at bid price : 23.68
Bid-YTW : 4.13 %
PWF.PR.S Perpetual-Discount 68,822 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 24.53
Evaluated at bid price : 24.83
Bid-YTW : 4.85 %
TD.PF.J FixedReset Prem 50,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.80 %
NA.PR.W FixedReset Disc 44,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.97
Evaluated at bid price : 24.00
Bid-YTW : 4.04 %
GWO.PR.I Insurance Straight 42,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 23.98
Evaluated at bid price : 24.23
Bid-YTW : 4.69 %
CM.PR.P FixedReset Disc 40,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.09 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 21.45 – 22.50
Spot Rate : 1.0500
Average : 0.7497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.88 %
BAM.PR.Z FixedReset Disc Quote: 24.65 – 25.20
Spot Rate : 0.5500
Average : 0.3437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
RY.PR.M FixedReset Disc Quote: 23.84 – 24.35
Spot Rate : 0.5100
Average : 0.3043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.80
Evaluated at bid price : 23.84
Bid-YTW : 4.20 %
MFC.PR.F FixedReset Ins Non Quote: 18.30 – 18.83
Spot Rate : 0.5300
Average : 0.3599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.07 %
BAM.PF.B FixedReset Disc Quote: 23.58 – 24.01
Spot Rate : 0.4300
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 23.26
Evaluated at bid price : 23.58
Bid-YTW : 4.64 %
TRP.PR.E FixedReset Disc Quote: 21.49 – 22.02
Spot Rate : 0.5300
Average : 0.3665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 4.70 %
Market Action

February 9, 2022

PerpetualDiscounts now yield 4.87%, equivalent to 6.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 250bp from the 240bp reported February 2.

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 3.02 % 3.48 % 41,567 20.09 1 -0.1966 % 2,893.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1975 % 5,654.8
Floater 2.82 % 2.84 % 62,435 20.11 3 0.1975 % 3,258.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0458 % 3,655.4
SplitShare 4.64 % 4.42 % 33,412 3.37 6 0.0458 % 4,365.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0458 % 3,406.0
Perpetual-Premium 5.19 % -14.37 % 54,198 0.09 22 0.1572 % 3,241.7
Perpetual-Discount 4.78 % 4.87 % 62,668 15.72 11 0.0928 % 3,854.7
FixedReset Disc 3.91 % 4.26 % 117,208 16.44 44 -0.0966 % 2,872.0
Insurance Straight 4.91 % 4.58 % 81,079 15.66 18 0.1042 % 3,655.4
FloatingReset 2.67 % 3.03 % 53,300 19.63 2 -0.2736 % 2,958.5
FixedReset Prem 4.76 % 3.58 % 104,260 1.86 26 -0.1444 % 2,713.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0966 % 2,935.7
FixedReset Ins Non 4.10 % 4.12 % 72,542 16.59 17 0.0535 % 2,966.2
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.88 %
BAM.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.79
Evaluated at bid price : 22.22
Bid-YTW : 4.54 %
NA.PR.C FixedReset Prem -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.95 %
BMO.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 4.26 %
IFC.PR.A FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.10 %
BAM.PF.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.96
Evaluated at bid price : 22.30
Bid-YTW : 4.67 %
SLF.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.05 %
POW.PR.D Perpetual-Premium 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.08 %
FTS.PR.H FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 352,788 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.37
Bid-YTW : 4.00 %
RY.PR.Z FixedReset Disc 232,346 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 23.02
Evaluated at bid price : 23.85
Bid-YTW : 4.02 %
BAM.PR.T FixedReset Disc 140,412 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.79
Evaluated at bid price : 22.22
Bid-YTW : 4.54 %
PWF.PR.S Perpetual-Discount 63,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 24.47
Evaluated at bid price : 24.75
Bid-YTW : 4.87 %
TD.PF.D FixedReset Disc 58,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.99 %
BMO.PR.E FixedReset Prem 56,296 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.72 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 23.04 – 23.91
Spot Rate : 0.8700
Average : 0.4914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 22.42
Evaluated at bid price : 23.04
Bid-YTW : 4.68 %
PWF.PR.L Perpetual-Premium Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.6360

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-11
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 1.10 %
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.50
Spot Rate : 1.2000
Average : 0.9110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.88 %
PVS.PR.G SplitShare Quote: 25.50 – 26.10
Spot Rate : 0.6000
Average : 0.4043

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.62 %
SLF.PR.G FixedReset Ins Non Quote: 18.00 – 18.66
Spot Rate : 0.6600
Average : 0.4718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.05 %
CM.PR.Y FixedReset Prem Quote: 26.25 – 26.99
Spot Rate : 0.7400
Average : 0.5535

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.13 %
Market Action

February 8, 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 3.01 % 3.47 % 40,605 20.10 1 0.1969 % 2,898.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2641 % 5,643.7
Floater 2.82 % 2.84 % 62,434 20.11 3 0.2641 % 3,252.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,653.7
SplitShare 4.64 % 4.43 % 33,111 3.37 6 0.0262 % 4,363.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,404.4
Perpetual-Premium 5.20 % -14.54 % 51,729 0.09 22 -0.1784 % 3,236.6
Perpetual-Discount 4.78 % 4.86 % 63,397 15.73 11 -0.1261 % 3,851.1
FixedReset Disc 3.91 % 4.24 % 112,425 16.45 44 0.2707 % 2,874.7
Insurance Straight 4.91 % 4.59 % 80,098 15.65 18 -0.2588 % 3,651.6
FloatingReset 2.66 % 3.03 % 55,233 19.63 2 -0.5983 % 2,966.6
FixedReset Prem 4.76 % 3.37 % 102,764 1.79 26 -0.1397 % 2,717.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2707 % 2,938.6
FixedReset Ins Non 4.10 % 4.10 % 69,659 16.58 17 -0.1348 % 2,964.6
Performance Highlights
Issue Index Change Notes
POW.PR.D Perpetual-Premium -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 5.19 %
TRP.PR.B FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.83 %
SLF.PR.G FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.10 %
BMO.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 23.07
Evaluated at bid price : 23.95
Bid-YTW : 4.13 %
IFC.PR.A FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.04 %
CU.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.32
Evaluated at bid price : 23.10
Bid-YTW : 4.39 %
BAM.PR.Z FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.59 %
BAM.PF.E FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 21.78
Evaluated at bid price : 22.05
Bid-YTW : 4.72 %
BAM.PR.T FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.05
Evaluated at bid price : 22.63
Bid-YTW : 4.44 %
BAM.PR.X FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.67 %
TRP.PR.C FixedReset Disc 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.Q FixedReset Ins Non 284,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 23.76
Evaluated at bid price : 24.95
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 180,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.19 %
BMO.PR.B FixedReset Disc 108,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.75 %
TD.PF.C FixedReset Disc 103,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.92
Evaluated at bid price : 23.87
Bid-YTW : 4.08 %
BMO.PR.C FixedReset Prem 102,096 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 1.98 %
SLF.PR.H FixedReset Ins Non 60,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.07
Evaluated at bid price : 22.62
Bid-YTW : 4.04 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Premium Quote: 24.28 – 25.26
Spot Rate : 0.9800
Average : 0.5370

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 5.19 %
CM.PR.T FixedReset Prem Quote: 25.89 – 26.55
Spot Rate : 0.6600
Average : 0.4676

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.62 %
BAM.PF.F FixedReset Disc Quote: 23.85 – 24.35
Spot Rate : 0.5000
Average : 0.4079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.96
Evaluated at bid price : 23.85
Bid-YTW : 4.70 %
GWO.PR.S Insurance Straight Quote: 25.50 – 25.85
Spot Rate : 0.3500
Average : 0.2703

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.09 %
TRP.PR.B FixedReset Disc Quote: 14.35 – 14.60
Spot Rate : 0.2500
Average : 0.1814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.83 %
SLF.PR.C Insurance Straight Quote: 24.43 – 24.70
Spot Rate : 0.2700
Average : 0.2073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 4.59 %
Market Action

February 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 3.02 % 3.48 % 40,838 20.09 1 -0.0984 % 2,893.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0661 % 5,628.8
Floater 2.83 % 2.85 % 57,947 20.09 3 0.0661 % 3,243.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,652.8
SplitShare 4.64 % 4.43 % 34,483 3.38 6 0.1377 % 4,362.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,403.5
Perpetual-Premium 5.19 % -14.70 % 54,633 0.09 22 -0.0749 % 3,242.4
Perpetual-Discount 4.78 % 4.87 % 58,704 15.72 11 -0.0482 % 3,855.9
FixedReset Disc 3.92 % 4.19 % 110,773 16.45 44 -0.4425 % 2,867.0
Insurance Straight 4.90 % 4.56 % 79,989 15.65 18 -0.1082 % 3,661.0
FloatingReset 2.64 % 3.00 % 55,988 19.70 2 0.7673 % 2,984.5
FixedReset Prem 4.75 % 3.11 % 101,217 1.79 26 -0.2277 % 2,721.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4425 % 2,930.6
FixedReset Ins Non 4.09 % 4.10 % 64,718 16.58 17 -0.0330 % 2,968.6
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -6.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %
CU.PR.C FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.13
Evaluated at bid price : 22.78
Bid-YTW : 4.46 %
BAM.PR.Z FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
CM.PR.P FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %
BNS.PR.I FixedReset Prem -1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
FTS.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.40
Evaluated at bid price : 22.78
Bid-YTW : 4.30 %
TRP.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.74 %
BAM.PR.R FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %
GWO.PR.S Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.06 %
FTS.PR.K FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.37 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.25 %
CM.PR.T FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.41 %
BAM.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Prem 169,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
TRP.PR.B FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.75 %
TD.PF.A FixedReset Disc 36,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.79
Bid-YTW : 4.06 %
BAM.PR.T FixedReset Disc 31,681 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
MFC.PR.I FixedReset Ins Non 23,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.91 %
TRP.PR.K FixedReset Prem 18,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 2.27 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.55
Spot Rate : 1.2500
Average : 0.8069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %
BAM.PR.R FixedReset Disc Quote: 20.80 – 21.40
Spot Rate : 0.6000
Average : 0.4434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %
CM.PR.P FixedReset Disc Quote: 23.85 – 24.25
Spot Rate : 0.4000
Average : 0.2461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %
IFC.PR.A FixedReset Ins Non Quote: 21.11 – 21.75
Spot Rate : 0.6400
Average : 0.4870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.09 %
SLF.PR.G FixedReset Ins Non Quote: 18.05 – 18.50
Spot Rate : 0.4500
Average : 0.3151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.04 %
FTS.PR.H FixedReset Disc Quote: 17.30 – 18.00
Spot Rate : 0.7000
Average : 0.5741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.28 %
Market Action

February 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 3.01 % 3.47 % 42,412 20.11 1 0.2465 % 2,896.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1544 % 5,625.1
Floater 2.83 % 2.85 % 58,059 20.10 3 0.1544 % 3,241.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1339 % 3,647.7
SplitShare 4.71 % 4.47 % 32,983 3.52 6 -0.1339 % 4,356.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1339 % 3,398.9
Perpetual-Premium 5.17 % -6.48 % 55,305 0.09 24 0.0295 % 3,244.8
Perpetual-Discount 4.71 % 4.71 % 55,284 16.07 7 0.5687 % 3,857.8
FixedReset Disc 3.92 % 4.17 % 117,509 16.66 45 0.2439 % 2,879.7
Insurance Straight 4.88 % 4.55 % 83,414 15.72 17 0.0023 % 3,665.0
FloatingReset 2.69 % 3.04 % 55,407 19.60 2 0.1647 % 2,961.7
FixedReset Prem 4.73 % 2.92 % 100,761 1.73 25 0.0546 % 2,727.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2439 % 2,943.7
FixedReset Ins Non 4.09 % 4.01 % 66,867 16.70 17 -0.1878 % 2,969.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.82 %
IFC.PR.A FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.01 %
TD.PF.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 3.91 %
BAM.PR.C Floater 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 2.85 %
BAM.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 24.78
Evaluated at bid price : 25.10
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.68 %
BAM.PR.M Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.88 %
BAM.PR.R FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.53 %
CIU.PR.A Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 24.14
Evaluated at bid price : 24.39
Bid-YTW : 4.71 %
FTS.PR.H FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.18 %
BAM.PR.T FixedReset Disc 8.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 21.65
Evaluated at bid price : 22.03
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.A FixedReset Disc 129,473 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.58 %
TRP.PR.B FixedReset Disc 78,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.68 %
SLF.PR.H FixedReset Ins Non 51,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 22.17
Evaluated at bid price : 22.79
Bid-YTW : 3.96 %
BMO.PR.B FixedReset Prem 41,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-27
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.16 %
RY.PR.P Perpetual-Premium 30,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-26
Maturity Price : 25.75
Evaluated at bid price : 25.73
Bid-YTW : 3.65 %
BMO.PR.Y FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 3.81 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 24.21 – 25.90
Spot Rate : 1.6900
Average : 1.3461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 23.01
Evaluated at bid price : 24.21
Bid-YTW : 5.12 %
RY.PR.J FixedReset Disc Quote: 24.30 – 24.85
Spot Rate : 0.5500
Average : 0.3445

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.08 %
BAM.PR.X FixedReset Disc Quote: 18.00 – 19.20
Spot Rate : 1.2000
Average : 1.0261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.82 %
BAM.PF.E FixedReset Disc Quote: 21.45 – 22.45
Spot Rate : 1.0000
Average : 0.8346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.81 %
NA.PR.S FixedReset Disc Quote: 24.25 – 24.80
Spot Rate : 0.5500
Average : 0.3847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 23.22
Evaluated at bid price : 24.25
Bid-YTW : 4.10 %
MFC.PR.B Insurance Straight Quote: 24.89 – 25.27
Spot Rate : 0.3800
Average : 0.2754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-04
Maturity Price : 24.64
Evaluated at bid price : 24.89
Bid-YTW : 4.72 %
Market Action

February 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 3.02 % 3.48 % 42,155 20.10 1 -0.3440 % 2,889.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1542 % 5,616.4
Floater 2.84 % 2.87 % 60,230 20.04 3 -0.1542 % 3,236.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0425 % 3,652.6
SplitShare 4.70 % 4.40 % 32,521 3.52 6 0.0425 % 4,362.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0425 % 3,403.4
Perpetual-Premium 5.17 % -5.35 % 54,869 0.09 24 0.0721 % 3,243.8
Perpetual-Discount 4.74 % 4.80 % 55,728 15.87 7 -0.1873 % 3,836.0
FixedReset Disc 3.93 % 4.12 % 117,709 16.61 45 -0.3399 % 2,872.7
Insurance Straight 4.88 % 4.55 % 84,261 15.71 17 0.0047 % 3,664.9
FloatingReset 2.70 % 3.05 % 54,428 19.57 2 0.3581 % 2,956.9
FixedReset Prem 4.74 % 2.97 % 102,988 1.73 25 0.0281 % 2,725.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3399 % 2,936.5
FixedReset Ins Non 4.08 % 4.05 % 67,712 16.70 17 -0.0558 % 2,975.2
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.91 %
BAM.PF.E FixedReset Disc -4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.81 %
FTS.PR.H FixedReset Disc -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 4.29 %
SLF.PR.H FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 22.15
Evaluated at bid price : 22.76
Bid-YTW : 3.96 %
SLF.PR.G FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.00 %
CIU.PR.A Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 23.56
Evaluated at bid price : 23.83
Bid-YTW : 4.82 %
BAM.PR.C Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 2.88 %
BMO.PR.F FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.17 %
TRP.PR.B FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 4.73 %
IFC.PR.A FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 3.88 %
CU.PR.E Perpetual-Premium 2.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-05
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : -1.29 %
BAM.PR.X FixedReset Disc 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 162,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 23.00
Evaluated at bid price : 23.99
Bid-YTW : 3.96 %
BAM.PR.X FixedReset Disc 147,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.64 %
BAM.PR.T FixedReset Disc 115,618 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.91 %
TRP.PR.D FixedReset Disc 104,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.66 %
RS.PR.A SplitShare 51,980 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.36
Bid-YTW : 4.35 %
MFC.PR.R FixedReset Ins Non 46,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.61 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 20.37 – 21.95
Spot Rate : 1.5800
Average : 0.9286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.91 %
BAM.PF.E FixedReset Disc Quote: 21.45 – 22.50
Spot Rate : 1.0500
Average : 0.6532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.81 %
BAM.PR.R FixedReset Disc Quote: 20.80 – 21.45
Spot Rate : 0.6500
Average : 0.4049

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.59 %
FTS.PR.H FixedReset Disc Quote: 16.95 – 17.70
Spot Rate : 0.7500
Average : 0.5742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 4.29 %
FTS.PR.F Perpetual-Premium Quote: 25.32 – 25.75
Spot Rate : 0.4300
Average : 0.2638

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-05
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -0.02 %
MFC.PR.K FixedReset Ins Non Quote: 24.29 – 24.70
Spot Rate : 0.4100
Average : 0.2812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-03
Maturity Price : 23.94
Evaluated at bid price : 24.29
Bid-YTW : 4.05 %
Market Action

February 2, 2022

PerpetualDiscounts now yield 4.74%, equivalent to 6.16% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.76%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has plumetted to 240bp from the 265bp reported January 26.

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 3.01 % 3.46 % 42,380 20.12 1 0.1969 % 2,898.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6427 % 5,625.1
Floater 2.83 % 2.84 % 55,862 20.11 3 0.6427 % 3,241.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2866 % 3,651.1
SplitShare 4.70 % 4.40 % 31,890 3.52 6 -0.2866 % 4,360.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2866 % 3,402.0
Perpetual-Premium 5.18 % -10.90 % 54,717 0.09 24 -0.1162 % 3,241.5
Perpetual-Discount 4.73 % 4.74 % 54,494 16.01 7 0.3877 % 3,843.2
FixedReset Disc 3.92 % 4.16 % 110,193 16.62 45 -0.0174 % 2,882.5
Insurance Straight 4.88 % 4.56 % 83,418 15.72 17 0.1337 % 3,664.7
FloatingReset 2.71 % 3.07 % 54,299 19.53 2 0.0000 % 2,946.3
FixedReset Prem 4.74 % 3.04 % 102,089 1.73 25 0.0734 % 2,725.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0174 % 2,946.5
FixedReset Ins Non 4.08 % 3.96 % 67,416 16.73 17 0.0355 % 2,976.9
Performance Highlights
Issue Index Change Notes
RS.PR.A SplitShare -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.39
Bid-YTW : 4.26 %
PWF.PR.Z Perpetual-Premium -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : 3.87 %
CU.PR.E Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 4.99 %
CU.PR.C FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 22.32
Evaluated at bid price : 23.10
Bid-YTW : 4.32 %
CM.PR.Y FixedReset Prem 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 2.84 %
CU.PR.F Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.58 %
TRP.PR.G FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 22.89
Evaluated at bid price : 24.04
Bid-YTW : 4.49 %
CU.PR.G Perpetual-Discount 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 23.95
Evaluated at bid price : 24.21
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 129,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 23.02
Evaluated at bid price : 24.09
Bid-YTW : 3.98 %
BNS.PR.I FixedReset Disc 108,982 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.24 %
RS.PR.A SplitShare 93,353 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.39
Bid-YTW : 4.26 %
MFC.PR.K FixedReset Ins Non 60,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 23.75
Evaluated at bid price : 24.12
Bid-YTW : 4.07 %
BMO.PR.W FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 23.01
Evaluated at bid price : 24.01
Bid-YTW : 3.95 %
BAM.PR.T FixedReset Disc 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 4.63 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 24.20 – 25.90
Spot Rate : 1.7000
Average : 1.1104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 23.01
Evaluated at bid price : 24.20
Bid-YTW : 5.12 %
TRP.PR.F FloatingReset Quote: 18.20 – 19.00
Spot Rate : 0.8000
Average : 0.5375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.07 %
CU.PR.E Perpetual-Premium Quote: 24.52 – 25.20
Spot Rate : 0.6800
Average : 0.4561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 4.99 %
MFC.PR.N FixedReset Ins Non Quote: 23.40 – 23.98
Spot Rate : 0.5800
Average : 0.4204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 22.65
Evaluated at bid price : 23.40
Bid-YTW : 4.16 %
IFC.PR.A FixedReset Ins Non Quote: 21.45 – 22.00
Spot Rate : 0.5500
Average : 0.4033

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.96 %
CIU.PR.A Perpetual-Discount Quote: 24.20 – 25.10
Spot Rate : 0.9000
Average : 0.7724

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-02
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.74 %