Archive for the ‘Market Action’ Category

November 23, 2021

Tuesday, November 23rd, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 45,658 20.15 1 -0.0969 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2536 % 5,386.0
Floater 2.96 % 2.98 % 88,672 19.72 3 0.2536 % 3,104.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,685.6
SplitShare 4.65 % 4.05 % 58,943 3.85 5 0.3656 % 4,401.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,434.1
Perpetual-Premium 5.14 % -8.35 % 44,872 0.09 29 -0.0350 % 3,271.5
Perpetual-Discount 4.71 % 4.85 % 69,397 15.70 6 -0.9342 % 3,848.5
FixedReset Disc 3.83 % 3.87 % 125,930 17.00 37 -1.3850 % 2,881.2
Insurance Straight 4.93 % 3.97 % 89,563 0.59 20 -0.1639 % 3,679.8
FloatingReset 2.40 % 2.71 % 29,233 20.42 2 0.3299 % 2,962.5
FixedReset Prem 4.65 % 3.08 % 122,045 2.28 33 -0.0815 % 2,748.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.3850 % 2,945.2
FixedReset Ins Non 4.02 % 3.89 % 93,903 16.87 19 -0.1917 % 2,996.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -45.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %
BAM.PR.M Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %
BAM.PR.R FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %
FTS.PR.J Perpetual-Premium -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.42
Evaluated at bid price : 24.70
Bid-YTW : 4.81 %
SLF.PR.H FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %
TRP.PR.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.53 %
FTS.PR.G FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.15
Evaluated at bid price : 22.47
Bid-YTW : 4.14 %
IFC.PR.A FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.89 %
BAM.PF.B FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.84
Evaluated at bid price : 23.54
Bid-YTW : 4.48 %
IFC.PR.F Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.80
Bid-YTW : 4.88 %
CU.PR.G Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.00
Evaluated at bid price : 24.29
Bid-YTW : 4.63 %
CU.PR.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.80 %
SLF.PR.C Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.49 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.75 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
TRP.PR.D FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.67
Evaluated at bid price : 22.12
Bid-YTW : 4.43 %
PVS.PR.J SplitShare 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.96 %
BAM.PR.X FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.49 %
SLF.PR.J FloatingReset 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 273,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.27 %
SLF.PR.D Insurance Straight 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 %
MFC.PR.R FixedReset Ins Non 99,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.53 %
RY.PR.Z FixedReset Disc 82,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 23.30
Evaluated at bid price : 24.55
Bid-YTW : 3.73 %
PWF.PF.A Perpetual-Discount 61,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.30
Evaluated at bid price : 24.69
Bid-YTW : 4.59 %
FTS.PR.M FixedReset Disc 61,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 4.27 %
There were 26 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: 13.17 – 24.42
Spot Rate : 11.2500
Average : 5.9125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %

SLF.PR.H FixedReset Ins Non Quote: 22.65 – 24.00
Spot Rate : 1.3500
Average : 0.9315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %

BAM.PR.R FixedReset Disc Quote: 20.30 – 21.15
Spot Rate : 0.8500
Average : 0.5639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %

TRP.PR.C FixedReset Disc Quote: 15.90 – 17.00
Spot Rate : 1.1000
Average : 0.8761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.48 %

BAM.PR.B Floater Quote: 14.60 – 15.30
Spot Rate : 0.7000
Average : 0.4923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %

TRP.PR.A FixedReset Disc Quote: 19.80 – 20.53
Spot Rate : 0.7300
Average : 0.5281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.43 %

November 22, 2021

Monday, November 22nd, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.40 % 45,515 20.16 1 0.1456 % 2,938.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0231 % 5,372.4
Floater 2.97 % 2.99 % 88,786 19.70 3 -0.0231 % 3,096.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,672.2
SplitShare 4.67 % 4.19 % 57,250 3.85 5 -0.2289 % 4,385.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,421.6
Perpetual-Premium 5.14 % -7.96 % 46,027 0.09 29 -0.0942 % 3,272.7
Perpetual-Discount 4.66 % 4.58 % 68,863 15.77 6 -0.0470 % 3,884.8
FixedReset Disc 3.78 % 3.96 % 121,954 17.06 37 -0.2189 % 2,921.7
Insurance Straight 4.93 % 4.15 % 90,216 3.26 20 0.0000 % 3,685.9
FloatingReset 2.41 % 2.69 % 28,780 20.49 2 0.4695 % 2,952.8
FixedReset Prem 4.64 % 3.16 % 121,870 2.28 33 -0.0165 % 2,750.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2189 % 2,986.6
FixedReset Ins Non 4.02 % 3.84 % 88,476 16.82 19 -0.0423 % 3,001.8
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
BAM.PR.X FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.15 %
PWF.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.36
Evaluated at bid price : 24.53
Bid-YTW : 3.96 %
RS.PR.A SplitShare -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.56 %
GWO.PR.Y Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 24.59
Evaluated at bid price : 24.98
Bid-YTW : 4.54 %
TRP.PR.F FloatingReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 189,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.20
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
TD.PF.B FixedReset Disc 67,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.26
Evaluated at bid price : 24.55
Bid-YTW : 3.79 %
BMO.PR.B FixedReset Prem 58,634 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.30 %
TD.PF.C FixedReset Disc 42,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.22
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
NA.PR.W FixedReset Disc 42,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.24
Evaluated at bid price : 24.71
Bid-YTW : 3.75 %
RY.PR.S FixedReset Prem 26,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.85 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 21.75 – 22.55
Spot Rate : 0.8000
Average : 0.5561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %

PVS.PR.I SplitShare Quote: 25.75 – 26.40
Spot Rate : 0.6500
Average : 0.4299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.89 %

BAM.PR.X FixedReset Disc Quote: 18.20 – 18.90
Spot Rate : 0.7000
Average : 0.5225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %

RS.PR.A SplitShare Quote: 10.48 – 11.27
Spot Rate : 0.7900
Average : 0.6323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %

BAM.PR.R FixedReset Disc Quote: 20.76 – 21.15
Spot Rate : 0.3900
Average : 0.2503

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %

IFC.PR.E Insurance Straight Quote: 26.30 – 26.90
Spot Rate : 0.6000
Average : 0.4710

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.30
Bid-YTW : 4.15 %

November 19, 2021

Friday, November 19th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 47,278 20.16 1 -0.0970 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0691 % 5,373.6
Floater 2.97 % 2.98 % 87,437 19.73 3 -0.0691 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,680.6
SplitShare 4.66 % 4.24 % 57,996 3.81 5 -0.2014 % 4,395.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,429.5
Perpetual-Premium 5.13 % -9.89 % 46,704 0.09 29 -0.0646 % 3,275.8
Perpetual-Discount 4.66 % 4.58 % 68,444 15.83 6 0.0269 % 3,886.7
FixedReset Disc 3.77 % 3.82 % 120,444 17.20 37 -0.1312 % 2,928.1
Insurance Straight 4.93 % 4.37 % 88,472 3.27 20 -0.2108 % 3,685.9
FloatingReset 2.46 % 2.81 % 27,271 20.18 2 -0.9573 % 2,939.0
FixedReset Prem 4.64 % 3.04 % 123,757 2.29 33 -0.0826 % 2,750.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1312 % 2,993.1
FixedReset Ins Non 4.01 % 3.76 % 89,266 16.94 19 -0.0868 % 3,003.1
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.74 %
TRP.PR.F FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
BAM.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TD.PF.I FixedReset Prem -1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
CU.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
BIP.PR.A FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.01
Evaluated at bid price : 24.26
Bid-YTW : 4.97 %
GWO.PR.Y Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 24.28
Evaluated at bid price : 24.66
Bid-YTW : 4.60 %
FTS.PR.K FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.04 %
GWO.PR.S Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
CM.PR.O FixedReset Disc 122,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.31
Evaluated at bid price : 24.66
Bid-YTW : 3.77 %
CM.PR.R FixedReset Prem 111,665 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.42 %
BAM.PR.C Floater 107,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater 80,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 %
TD.PF.M FixedReset Prem 38,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.44 %
There were 13 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: 23.07 – 23.75
Spot Rate : 0.6800
Average : 0.4976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.32
Evaluated at bid price : 23.07
Bid-YTW : 3.76 %

CU.PR.C FixedReset Disc Quote: 23.16 – 23.70
Spot Rate : 0.5400
Average : 0.3581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %

TD.PF.I FixedReset Prem Quote: 25.12 – 25.57
Spot Rate : 0.4500
Average : 0.2730

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %

TRP.PR.F FloatingReset Quote: 18.31 – 18.80
Spot Rate : 0.4900
Average : 0.3220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %

TRP.PR.A FixedReset Disc Quote: 19.91 – 20.53
Spot Rate : 0.6200
Average : 0.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.35 %

RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.4595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %

November 18, 2021

Thursday, November 18th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 47,394 20.16 1 0.0971 % 2,937.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2528 % 5,377.3
Floater 2.96 % 2.98 % 80,809 19.73 3 -0.2528 % 3,099.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,688.0
SplitShare 4.65 % 4.32 % 57,199 3.81 5 -0.0077 % 4,404.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,436.4
Perpetual-Premium 5.13 % -11.05 % 48,638 0.09 29 -0.0013 % 3,277.9
Perpetual-Discount 4.66 % 4.59 % 70,905 15.80 6 -0.1811 % 3,885.6
FixedReset Disc 3.77 % 3.85 % 120,359 17.20 37 0.0674 % 2,932.0
Insurance Straight 4.92 % 4.25 % 88,445 3.47 20 0.0079 % 3,693.6
FloatingReset 2.44 % 2.75 % 28,365 20.32 2 -0.4628 % 2,967.4
FixedReset Prem 4.64 % 3.02 % 123,306 2.29 33 0.1217 % 2,753.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0674 % 2,997.0
FixedReset Ins Non 4.01 % 3.77 % 90,094 16.97 19 0.2611 % 3,005.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %
FTS.PR.H FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.00 %
SLF.PR.H FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.34
Evaluated at bid price : 23.10
Bid-YTW : 3.76 %
BAM.PF.F FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %
TRP.PR.B FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.11
Evaluated at bid price : 22.41
Bid-YTW : 4.33 %
BAM.PR.Z FixedReset Prem 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.63
Evaluated at bid price : 24.95
Bid-YTW : 4.51 %
SLF.PR.G FixedReset Ins Non 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non 6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 66,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.73 %
TRP.PR.K FixedReset Prem 60,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.02 %
RY.PR.Z FixedReset Disc 39,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.26
Evaluated at bid price : 24.45
Bid-YTW : 3.70 %
MFC.PR.Q FixedReset Ins Non 34,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.81
Evaluated at bid price : 25.28
Bid-YTW : 4.00 %
TRP.PR.E FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.76
Evaluated at bid price : 22.00
Bid-YTW : 4.36 %
NA.PR.S FixedReset Disc 23,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.85 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 25.18 – 25.93
Spot Rate : 0.7500
Average : 0.4112

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.93 %

BAM.PF.F FixedReset Disc Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %

CU.PR.F Perpetual-Discount Quote: 24.50 – 24.90
Spot Rate : 0.4000
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.23
Evaluated at bid price : 24.50
Bid-YTW : 4.59 %

MIC.PR.A Perpetual-Premium Quote: 27.41 – 27.85
Spot Rate : 0.4400
Average : 0.3148

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.41
Bid-YTW : 4.03 %

BAM.PR.B Floater Quote: 14.50 – 15.30
Spot Rate : 0.8000
Average : 0.6864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %

IFC.PR.A FixedReset Ins Non Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %

November 17, 2021

Thursday, November 18th, 2021

PerpetualDiscounts now yield 4.56%, equivalent to 5.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.46%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 245bp from the 230bp reported August 25 (which was affected by technical factors as virtually all so-called PerpetualDiscounts were trading at a premium at that time).

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 2.97 % 3.41 % 45,624 20.16 1 0.0000 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1150 % 5,391.0
Floater 2.96 % 2.98 % 78,926 19.74 3 0.1150 % 3,106.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2857 % 3,688.3
SplitShare 4.65 % 4.31 % 56,795 3.82 5 -0.2857 % 4,404.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2857 % 3,436.7
Perpetual-Premium 5.13 % -8.77 % 48,335 0.09 29 0.0606 % 3,277.9
Perpetual-Discount 4.65 % 4.56 % 73,817 15.84 6 0.2218 % 3,892.7
FixedReset Disc 3.77 % 3.85 % 121,485 17.17 37 0.1030 % 2,930.0
Insurance Straight 4.92 % 4.13 % 89,333 3.27 20 0.0532 % 3,693.4
FloatingReset 2.43 % 2.73 % 28,717 20.39 2 -0.3256 % 2,981.2
FixedReset Prem 4.65 % 3.13 % 124,822 2.30 33 -0.0874 % 2,749.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1030 % 2,995.0
FixedReset Ins Non 4.02 % 3.78 % 93,677 16.98 19 -0.4067 % 2,997.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -7.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset Prem -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
FTS.PR.K FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 4.01 %
PVS.PR.J SplitShare -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 %
SLF.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 %
FTS.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.46
Evaluated at bid price : 22.81
Bid-YTW : 4.02 %
BAM.PF.D Perpetual-Premium -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.56 %
TRP.PR.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.37 %
BAM.PR.R FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 4.34 %
PWF.PR.P FixedReset Disc 9.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.G FixedReset Ins Non 224,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.47 %
TRP.PR.B FixedReset Disc 105,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 %
BMO.PR.S FixedReset Disc 62,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.34
Evaluated at bid price : 24.65
Bid-YTW : 3.79 %
TD.PF.C FixedReset Disc 60,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.19
Evaluated at bid price : 24.57
Bid-YTW : 3.74 %
BAM.PR.R FixedReset Disc 46,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 %
RY.PR.H FixedReset Disc 43,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.24
Evaluated at bid price : 24.52
Bid-YTW : 3.72 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Ins Non Quote: 16.10 – 17.65
Spot Rate : 1.5500
Average : 0.9404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 %

BAM.PR.Z FixedReset Prem Quote: 24.20 – 25.05
Spot Rate : 0.8500
Average : 0.4903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %

CU.PR.E Perpetual-Premium Quote: 25.27 – 25.90
Spot Rate : 0.6300
Average : 0.3862

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -10.20 %

SLF.PR.G FixedReset Ins Non Quote: 18.05 – 18.75
Spot Rate : 0.7000
Average : 0.4986

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 %

BAM.PR.B Floater Quote: 14.55 – 15.30
Spot Rate : 0.7500
Average : 0.5618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 2.97 %

PVS.PR.J SplitShare Quote: 25.01 – 25.50
Spot Rate : 0.4900
Average : 0.3258

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 %

November 16, 2021

Tuesday, November 16th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 1 -1.0471 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0471 % 5,384.8
Floater 2.96 % 2.98 % 79,934 19.74 3 -1.0471 % 3,103.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,698.9
SplitShare 4.63 % 4.29 % 57,593 3.82 5 -0.1542 % 4,417.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,446.5
Perpetual-Premium 5.13 % -8.20 % 50,332 0.09 29 -0.0363 % 3,276.0
Perpetual-Discount 4.66 % 4.58 % 74,929 15.78 6 0.2358 % 3,884.0
FixedReset Disc 3.77 % 3.85 % 119,694 17.17 37 -0.6082 % 2,927.0
Insurance Straight 4.92 % 4.51 % 93,030 3.47 20 0.0079 % 3,691.4
FloatingReset 2.42 % 2.72 % 26,537 20.40 2 0.4361 % 2,991.0
FixedReset Prem 4.64 % 3.00 % 122,112 1.99 33 -0.0743 % 2,752.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6082 % 2,991.9
FixedReset Ins Non 4.00 % 3.73 % 92,600 16.98 19 0.1424 % 3,010.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TRP.PR.B FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 %
BAM.PF.A FixedReset Prem -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
BAM.PR.R FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.41 %
NA.PR.S FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.84 %
SLF.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.73 %
TRP.PR.D FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.40 %
BAM.PR.C Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 2.95 %
TRP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %
MFC.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.06
Evaluated at bid price : 24.29
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.H FixedReset Ins Non 315,344 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.91 %
PWF.PR.I Perpetual-Premium 141,195 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 6.05 %
BNS.PR.H FixedReset Prem 89,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.68 %
TD.PF.C FixedReset Disc 62,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.21
Evaluated at bid price : 24.63
Bid-YTW : 3.73 %
RY.PR.S FixedReset Prem 57,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.80 %
BMO.PR.S FixedReset Disc 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.36
Evaluated at bid price : 24.71
Bid-YTW : 3.77 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.70
Spot Rate : 2.0500
Average : 1.3786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %

TRP.PR.C FixedReset Disc Quote: 15.90 – 16.48
Spot Rate : 0.5800
Average : 0.3593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %

RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.3856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %

BAM.PF.A FixedReset Prem Quote: 25.20 – 25.70
Spot Rate : 0.5000
Average : 0.3010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %

FTS.PR.F Perpetual-Premium Quote: 25.25 – 25.90
Spot Rate : 0.6500
Average : 0.5131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -9.44 %

TRP.PR.A FixedReset Disc Quote: 20.00 – 20.53
Spot Rate : 0.5300
Average : 0.4040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %

November 15, 2021

Monday, November 15th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 2.9288 % 2,965.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.9288 % 5,441.7
Floater 2.93 % 2.96 % 80,670 19.79 3 2.9288 % 3,136.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2318 % 3,704.6
SplitShare 4.63 % 4.28 % 57,091 3.82 5 0.2318 % 4,424.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2318 % 3,451.8
Perpetual-Premium 5.08 % -4.89 % 52,254 0.09 32 -0.1113 % 3,277.2
Perpetual-Discount 4.71 % 4.59 % 2,017,802 16.17 2 -0.2032 % 3,874.9
FixedReset Disc 3.77 % 3.85 % 116,367 16.99 40 0.2472 % 2,944.9
Insurance Straight 4.92 % 4.51 % 93,546 3.47 20 -0.1280 % 3,691.1
FloatingReset 2.43 % 2.73 % 26,310 20.40 2 1.6343 % 2,978.0
FixedReset Prem 4.70 % 2.75 % 119,616 1.77 30 -0.0285 % 2,754.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2472 % 3,010.3
FixedReset Ins Non 4.01 % 3.72 % 92,798 16.93 19 -0.1711 % 3,005.8
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 3.94 %
PWF.PR.L Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.09 %
MFC.PR.N FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.89 %
TRP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.44 %
IFC.PR.A FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 3.72 %
IFC.PR.F Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.51 %
BAM.PR.N Perpetual-Premium -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 4.82 %
TRP.PR.G FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.96 %
FTS.PR.H FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 3.94 %
BAM.PR.C Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 %
BAM.PR.B Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 2.92 %
CU.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.82
Evaluated at bid price : 23.55
Bid-YTW : 4.07 %
TRP.PR.B FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.79
Evaluated at bid price : 14.79
Bid-YTW : 4.37 %
TRP.PR.F FloatingReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.73 %
TRP.PR.D FixedReset Disc 5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.03
Evaluated at bid price : 22.30
Bid-YTW : 4.35 %
BAM.PR.K Floater 6.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 32,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.28
Evaluated at bid price : 24.63
Bid-YTW : 3.69 %
TD.PF.A FixedReset Disc 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.17
Evaluated at bid price : 24.43
Bid-YTW : 3.73 %
PWF.PF.A Perpetual-Discount 27,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 24.23
Evaluated at bid price : 24.62
Bid-YTW : 4.59 %
CM.PR.Q FixedReset Disc 23,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.49 %
RY.PR.Z FixedReset Disc 22,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.26
Evaluated at bid price : 24.46
Bid-YTW : 3.69 %
TD.PF.J FixedReset Prem 15,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.56 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 25.21 – 25.75
Spot Rate : 0.5400
Average : 0.3677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.77
Evaluated at bid price : 25.21
Bid-YTW : 4.02 %

BAM.PR.B Floater Quote: 14.80 – 15.50
Spot Rate : 0.7000
Average : 0.5478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 2.92 %

MFC.PR.N FixedReset Ins Non Quote: 24.00 – 24.45
Spot Rate : 0.4500
Average : 0.3059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.89 %

IFC.PR.E Insurance Straight Quote: 26.30 – 26.99
Spot Rate : 0.6900
Average : 0.5501

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.75
Evaluated at bid price : 26.30
Bid-YTW : 4.12 %

PWF.PR.P FixedReset Disc Quote: 18.22 – 19.00
Spot Rate : 0.7800
Average : 0.6425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 3.94 %

PWF.PR.L Perpetual-Premium Quote: 25.35 – 25.75
Spot Rate : 0.4000
Average : 0.2724

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.09 %

November 12, 2021

Saturday, November 13th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1878 % 2,881.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1878 % 5,286.9
Floater 3.01 % 3.01 % 79,551 19.67 3 0.1878 % 3,046.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2005 % 3,696.0
SplitShare 4.64 % 4.30 % 58,000 3.83 5 -0.2005 % 4,413.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2005 % 3,443.8
Perpetual-Premium 5.07 % -3.99 % 52,246 0.09 32 0.1028 % 3,280.8
Perpetual-Discount 4.70 % 4.59 % 2,045,606 16.18 2 0.0406 % 3,882.8
FixedReset Disc 3.78 % 3.85 % 117,274 17.00 40 -0.2336 % 2,937.6
Insurance Straight 4.91 % 3.46 % 92,581 0.62 20 0.0986 % 3,695.8
FloatingReset 2.47 % 2.80 % 27,337 20.20 2 1.1204 % 2,930.1
FixedReset Prem 4.70 % 2.78 % 121,159 1.94 30 -0.0685 % 2,755.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2336 % 3,002.8
FixedReset Ins Non 4.00 % 3.72 % 92,362 16.98 19 -0.0666 % 3,011.0
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.60 %
CU.PR.C FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 22.33
Evaluated at bid price : 23.15
Bid-YTW : 4.13 %
BIP.PR.A FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.69 %
TD.PF.K FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 4.01 %
TRP.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.80 %
CU.PR.F Perpetual-Premium 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 24.28
Evaluated at bid price : 24.55
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 141,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.23
Evaluated at bid price : 24.51
Bid-YTW : 3.72 %
SLF.PR.J FloatingReset 124,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 2.16 %
NA.PR.W FixedReset Disc 49,089 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.21
Evaluated at bid price : 24.65
Bid-YTW : 3.71 %
PWF.PR.S Perpetual-Premium 33,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.80 %
PWF.PR.P FixedReset Disc 23,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.88 %
RY.PR.Z FixedReset Disc 23,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.25
Evaluated at bid price : 24.45
Bid-YTW : 3.69 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 21.17 – 22.54
Spot Rate : 1.3700
Average : 0.7556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.60 %

CU.PR.I FixedReset Prem Quote: 26.70 – 27.49
Spot Rate : 0.7900
Average : 0.5131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.67 %

IFC.PR.I Perpetual-Premium Quote: 26.64 – 27.70
Spot Rate : 1.0600
Average : 0.8846

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 4.48 %

FTS.PR.F Perpetual-Premium Quote: 25.61 – 26.10
Spot Rate : 0.4900
Average : 0.3226

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-12
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -12.41 %

BAM.PR.K Floater Quote: 13.75 – 15.00
Spot Rate : 1.2500
Average : 1.1150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 %

TD.PF.E FixedReset Disc Quote: 25.00 – 25.35
Spot Rate : 0.3500
Average : 0.2464

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.28 %

November 11, 2021

Friday, November 12th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.7918 % 2,875.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7918 % 5,277.0
Floater 3.02 % 3.01 % 79,950 19.67 3 -0.7918 % 3,041.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0077 % 3,703.4
SplitShare 4.63 % 4.23 % 60,407 3.84 5 0.0077 % 4,422.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0077 % 3,450.8
Perpetual-Premium 5.08 % -4.15 % 53,567 0.09 32 0.0331 % 3,277.4
Perpetual-Discount 4.70 % 4.85 % 33,709 15.73 2 0.1221 % 3,881.2
FixedReset Disc 3.77 % 3.73 % 114,456 17.11 40 0.0671 % 2,944.5
Insurance Straight 4.92 % 4.09 % 91,566 1.55 20 0.0434 % 3,692.2
FloatingReset 2.51 % 2.87 % 26,510 20.04 2 -1.1080 % 2,897.6
FixedReset Prem 4.70 % 2.86 % 123,117 1.87 30 -0.0530 % 2,756.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0671 % 3,009.9
FixedReset Ins Non 4.00 % 3.64 % 91,816 17.15 19 0.0867 % 3,013.0
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 %
TRP.PR.F FloatingReset -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.87 %
CU.PR.F Perpetual-Premium -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.75
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %
CM.PR.Y FixedReset Prem -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.04 %
BAM.PR.C Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
SLF.PR.J FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 2.19 %
BIP.PR.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.26 %
PWF.PR.T FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.53
Evaluated at bid price : 25.00
Bid-YTW : 3.73 %
IFC.PR.A FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 21.63
Evaluated at bid price : 22.03
Bid-YTW : 3.57 %
BAM.PF.E FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 21.97
Evaluated at bid price : 22.34
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PF.A Perpetual-Discount 54,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 24.16
Evaluated at bid price : 24.55
Bid-YTW : 4.60 %
CM.PR.O FixedReset Disc 32,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.31
Evaluated at bid price : 24.67
Bid-YTW : 3.69 %
TRP.PR.F FloatingReset 25,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.87 %
GWO.PR.F Insurance Straight 24,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-11
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -1.40 %
IFC.PR.G FixedReset Ins Non 23,648 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.85
Evaluated at bid price : 25.47
Bid-YTW : 3.89 %
BMO.PR.C FixedReset Prem 22,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.13 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 23.50 – 24.97
Spot Rate : 1.4700
Average : 0.9059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 3.99 %

TRP.PR.F FloatingReset Quote: 18.00 – 18.87
Spot Rate : 0.8700
Average : 0.5708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.87 %

BAM.PR.K Floater Quote: 13.75 – 15.00
Spot Rate : 1.2500
Average : 0.9671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 %

BAM.PR.B Floater Quote: 14.50 – 15.50
Spot Rate : 1.0000
Average : 0.7218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %

BAM.PR.R FixedReset Disc Quote: 21.29 – 22.00
Spot Rate : 0.7100
Average : 0.4845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.26 %

IFC.PR.I Perpetual-Premium Quote: 26.80 – 27.70
Spot Rate : 0.9000
Average : 0.6922

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.50
Evaluated at bid price : 26.80
Bid-YTW : 4.38 %

November 10, 2021

Thursday, November 11th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.3453 % 2,898.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3453 % 5,319.1
Floater 3.00 % 3.03 % 82,801 19.61 3 1.3453 % 3,065.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1777 % 3,703.2
SplitShare 4.63 % 4.27 % 59,444 3.84 5 0.1777 % 4,422.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1777 % 3,450.5
Perpetual-Premium 5.08 % -4.73 % 53,859 0.09 32 0.0380 % 3,276.3
Perpetual-Discount 4.71 % 4.59 % 2,134,216 16.18 2 -0.1016 % 3,876.5
FixedReset Disc 3.77 % 3.78 % 116,327 17.14 40 0.0823 % 2,942.5
Insurance Straight 4.92 % 4.09 % 91,944 1.56 20 0.0375 % 3,690.6
FloatingReset 2.49 % 2.77 % 24,524 20.28 2 0.1387 % 2,930.1
FixedReset Prem 4.69 % 2.93 % 124,974 1.87 30 -0.0207 % 2,758.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0823 % 3,007.8
FixedReset Ins Non 4.00 % 3.64 % 92,087 17.13 19 0.9059 % 3,010.4
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.87 %
FTS.PR.G FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.13
Evaluated at bid price : 23.50
Bid-YTW : 3.88 %
CU.PR.G Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 24.00
Evaluated at bid price : 24.30
Bid-YTW : 4.62 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %
CU.PR.F Perpetual-Premium 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 24.15
Evaluated at bid price : 24.41
Bid-YTW : 4.60 %
PWF.PR.P FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 3.78 %
BAM.PR.K Floater 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 3.03 %
MFC.PR.F FixedReset Ins Non 25.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.F FixedReset Ins Non 113,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 3.64 %
PWF.PF.A Perpetual-Discount 80,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 24.23
Evaluated at bid price : 24.62
Bid-YTW : 4.59 %
TD.PF.C FixedReset Disc 71,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.21
Evaluated at bid price : 24.63
Bid-YTW : 3.66 %
GWO.PR.F Insurance Straight 55,589 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -1.60 %
BAM.PR.R FixedReset Disc 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 4.27 %
RY.PR.H FixedReset Disc 33,556 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.20
Evaluated at bid price : 24.44
Bid-YTW : 3.66 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.S FixedReset Disc Quote: 25.10 – 25.79
Spot Rate : 0.6900
Average : 0.4041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.50
Evaluated at bid price : 25.10
Bid-YTW : 3.71 %

BAM.PF.F FixedReset Disc Quote: 24.45 – 24.84
Spot Rate : 0.3900
Average : 0.2465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.19
Evaluated at bid price : 24.45
Bid-YTW : 4.29 %

IFC.PR.E Insurance Straight Quote: 26.30 – 26.94
Spot Rate : 0.6400
Average : 0.5008

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.75
Evaluated at bid price : 26.30
Bid-YTW : 4.09 %

BAM.PF.E FixedReset Disc Quote: 21.80 – 22.75
Spot Rate : 0.9500
Average : 0.8208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.47 %

SLF.PR.H FixedReset Ins Non Quote: 23.12 – 23.65
Spot Rate : 0.5300
Average : 0.4013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 22.35
Evaluated at bid price : 23.12
Bid-YTW : 3.68 %

FTS.PR.G FixedReset Disc Quote: 23.50 – 23.84
Spot Rate : 0.3400
Average : 0.2198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.13
Evaluated at bid price : 23.50
Bid-YTW : 3.88 %