Market Action

July 23, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5535 % 2,698.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5535 % 4,951.2
Floater 3.22 % 3.24 % 110,602 19.13 3 0.5535 % 2,853.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,696.6
SplitShare 4.62 % 4.00 % 34,521 3.84 6 0.0129 % 4,414.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,444.4
Perpetual-Premium 5.19 % -13.94 % 58,249 0.09 25 -0.0233 % 3,286.6
Perpetual-Discount 4.71 % 4.78 % 95,830 15.83 8 0.1506 % 3,956.7
FixedReset Disc 4.05 % 3.51 % 137,951 18.30 40 0.1674 % 2,773.7
Insurance Straight 4.90 % 2.73 % 77,181 0.09 22 0.0286 % 3,713.8
FloatingReset 2.88 % 3.16 % 34,623 19.32 2 1.3355 % 2,567.1
FixedReset Prem 4.85 % 3.24 % 158,794 1.39 33 -0.0106 % 2,744.8
FixedReset Bank Non 1.80 % 1.49 % 102,391 0.09 1 0.0000 % 2,901.2
FixedReset Ins Non 4.09 % 3.44 % 126,852 18.17 20 0.0000 % 2,917.0
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.49
Evaluated at bid price : 23.31
Bid-YTW : 3.51 %
SLF.PR.G FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 3.52 %
GWO.PR.N FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.35 %
BMO.PR.D FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 2.50 %
PWF.PR.Z Perpetual-Premium 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-07-31
Maturity Price : 25.75
Evaluated at bid price : 26.20
Bid-YTW : 4.06 %
BAM.PR.K Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 3.23 %
MIC.PR.A Perpetual-Premium 1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.24
Bid-YTW : 4.17 %
CU.PR.C FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 21.63
Evaluated at bid price : 22.02
Bid-YTW : 3.65 %
TD.PF.I FixedReset Prem 1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.66 %
SLF.PR.J FloatingReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 2.60 %
MFC.PR.F FixedReset Ins Non 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.26 %
PWF.PR.P FixedReset Disc 7.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 3.52 %
BAM.PR.X FixedReset Disc 8.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset Prem 473,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 0.92 %
BAM.PR.X FixedReset Disc 46,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.93 %
SLF.PR.A Insurance Straight 34,542 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-22
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 1.57 %
BMO.PR.T FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.81
Evaluated at bid price : 23.68
Bid-YTW : 3.27 %
BAM.PR.T FixedReset Disc 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.05 %
BAM.PR.N Perpetual-Discount 19,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.80 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 26.35 – 28.93
Spot Rate : 2.5800
Average : 1.7975

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

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

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

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

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

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

July 22, 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 -0.5753 % 2,683.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5753 % 4,924.0
Floater 3.24 % 3.26 % 114,980 19.10 3 -0.5753 % 2,837.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0322 % 3,696.1
SplitShare 4.62 % 4.00 % 35,942 3.84 6 0.0322 % 4,413.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0322 % 3,443.9
Perpetual-Premium 5.19 % -14.62 % 60,020 0.09 25 0.0591 % 3,287.4
Perpetual-Discount 4.72 % 4.82 % 94,206 15.79 8 0.3627 % 3,950.8
FixedReset Disc 4.05 % 3.52 % 142,482 18.27 40 -0.0169 % 2,769.1
Insurance Straight 4.90 % 2.13 % 77,616 0.09 22 0.0822 % 3,712.7
FloatingReset 2.92 % 3.18 % 36,029 19.29 2 -0.4747 % 2,533.3
FixedReset Prem 4.85 % 3.27 % 160,084 1.61 33 0.0627 % 2,745.1
FixedReset Bank Non 1.80 % 1.45 % 103,764 0.09 1 0.0000 % 2,901.2
FixedReset Ins Non 4.09 % 3.44 % 131,244 18.14 20 0.2808 % 2,917.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.78 %
BAM.PR.X FixedReset Disc -7.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.28 %
MFC.PR.F FixedReset Ins Non -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.37 %
TD.PF.I FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 23.87
Evaluated at bid price : 25.15
Bid-YTW : 3.75 %
BAM.PR.B Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.24 %
BMO.PR.F FixedReset Prem 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.04 %
CU.PR.G Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 24.67
Evaluated at bid price : 25.00
Bid-YTW : 4.54 %
TRP.PR.G FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 22.62
Evaluated at bid price : 23.56
Bid-YTW : 3.87 %
TRP.PR.A FixedReset Disc 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 4.17 %
GWO.PR.N FixedReset Ins Non 4.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.B FixedReset Disc 25,014 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 22.11
Evaluated at bid price : 22.45
Bid-YTW : 3.99 %
BMO.PR.Q FixedReset Bank Non 24,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.45 %
TRP.PR.A FixedReset Disc 23,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.87 %
CU.PR.C FixedReset Disc 21,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 21.38
Evaluated at bid price : 21.68
Bid-YTW : 3.72 %
CU.PR.G Perpetual-Discount 20,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 24.67
Evaluated at bid price : 25.00
Bid-YTW : 4.54 %
SLF.PR.B Insurance Straight 15,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-21
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 0.04 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 15.35 – 16.91
Spot Rate : 1.5600
Average : 1.0206

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.28 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 18.00
Spot Rate : 2.6500
Average : 2.1779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.78 %
MFC.PR.F FixedReset Ins Non Quote: 16.80 – 17.95
Spot Rate : 1.1500
Average : 0.9226

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.37 %
SLF.PR.J FloatingReset Quote: 14.90 – 15.50
Spot Rate : 0.6000
Average : 0.3971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 2.66 %
BAM.PR.T FixedReset Disc Quote: 19.30 – 19.99
Spot Rate : 0.6900
Average : 0.4922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.08 %
TRP.PR.F FloatingReset Quote: 16.55 – 17.00
Spot Rate : 0.4500
Average : 0.2742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.18 %
Market Action

July 21, 2021

PerpetualDiscounts now yield 4.82%, equivalent to 6.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is wider at 315bp than the 281bp reported July 7.

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 0.8323 % 2,699.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8323 % 4,952.4
Floater 3.22 % 3.25 % 115,883 19.13 3 0.8323 % 2,854.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,694.9
SplitShare 4.63 % 3.99 % 36,144 3.84 6 0.0000 % 4,412.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,442.8
Perpetual-Premium 5.19 % -13.92 % 60,466 0.09 25 0.0903 % 3,285.4
Perpetual-Discount 4.74 % 4.82 % 94,735 15.80 8 -0.0352 % 3,936.5
FixedReset Disc 4.05 % 3.53 % 147,755 18.28 40 0.3880 % 2,769.5
Insurance Straight 4.91 % 2.46 % 78,473 0.09 22 -0.0625 % 3,709.6
FloatingReset 2.90 % 3.18 % 36,116 19.29 2 -0.1580 % 2,545.4
FixedReset Prem 4.85 % 3.28 % 166,368 1.39 33 0.1030 % 2,743.4
FixedReset Bank Non 1.80 % 1.40 % 96,075 0.10 1 0.0000 % 2,901.2
FixedReset Ins Non 4.10 % 3.46 % 136,560 18.18 20 0.1286 % 2,908.8
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 3.47 %
BAM.PR.R FixedReset Disc -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 4.32 %
TRP.PR.G FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.98 %
IFC.PR.A FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.13 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.32 %
BAM.PR.K Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 3.25 %
TRP.PR.D FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.99 %
TD.PF.D FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.90
Evaluated at bid price : 24.11
Bid-YTW : 3.56 %
MIC.PR.A Perpetual-Premium 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.35 %
MFC.PR.L FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.35
Evaluated at bid price : 22.84
Bid-YTW : 3.35 %
BAM.PF.F FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.76
Evaluated at bid price : 23.61
Bid-YTW : 3.91 %
TRP.PR.A FixedReset Disc 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.01 %
MFC.PR.F FixedReset Ins Non 6.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 3.25 %
PWF.PR.P FixedReset Disc 8.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 107,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.84
Evaluated at bid price : 23.85
Bid-YTW : 3.27 %
CM.PR.R FixedReset Prem 73,199 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.86 %
MFC.PR.K FixedReset Ins Non 62,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 23.51
Evaluated at bid price : 23.81
Bid-YTW : 3.33 %
SLF.PR.A Insurance Straight 40,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-20
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 0.77 %
CU.PR.C FixedReset Disc 32,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 21.39
Evaluated at bid price : 21.69
Bid-YTW : 3.72 %
CM.PR.S FixedReset Disc 24,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 3.39 %
There were 7 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: 14.67 – 16.10
Spot Rate : 1.4300
Average : 1.1104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 3.47 %
TRP.PR.E FixedReset Disc Quote: 20.30 – 21.10
Spot Rate : 0.8000
Average : 0.5848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.02 %
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.8066

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.72 %
BAM.PR.R FixedReset Disc Quote: 18.28 – 18.97
Spot Rate : 0.6900
Average : 0.5105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 4.32 %
CM.PR.Y FixedReset Prem Quote: 26.00 – 26.50
Spot Rate : 0.5000
Average : 0.3441

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.73 %
TRP.PR.B FixedReset Disc Quote: 13.23 – 13.95
Spot Rate : 0.7200
Average : 0.5714

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 3.82 %
Market Action

July 20, 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 -0.2767 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2767 % 4,911.6
Floater 3.24 % 3.28 % 119,941 19.05 3 -0.2767 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2711 % 3,694.9
SplitShare 4.63 % 3.99 % 37,525 3.85 6 0.2711 % 4,412.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2711 % 3,442.8
Perpetual-Premium 5.19 % -13.75 % 61,337 0.09 25 0.0966 % 3,282.4
Perpetual-Discount 4.73 % 4.83 % 98,012 15.79 8 0.1715 % 3,937.9
FixedReset Disc 4.07 % 3.54 % 144,330 18.22 40 0.0643 % 2,758.8
Insurance Straight 4.90 % 1.49 % 79,144 0.09 22 0.2470 % 3,712.0
FloatingReset 2.90 % 3.17 % 37,452 19.30 2 -0.7837 % 2,549.4
FixedReset Prem 4.86 % 3.34 % 168,899 1.61 33 0.1245 % 2,740.5
FixedReset Bank Non 1.80 % 1.36 % 89,368 0.10 1 0.0399 % 2,901.2
FixedReset Ins Non 4.10 % 3.48 % 129,693 18.18 20 0.1026 % 2,905.1
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -7.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.22 %
PWF.PR.P FixedReset Disc -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.77 %
SLF.PR.J FloatingReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 2.63 %
MFC.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 3.44 %
TRP.PR.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.84 %
BIP.PR.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.49
Evaluated at bid price : 23.25
Bid-YTW : 4.59 %
BAM.PF.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 21.94
Evaluated at bid price : 22.35
Bid-YTW : 3.99 %
IFC.PR.F Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.25
Bid-YTW : 4.31 %
IFC.PR.E Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.48
Bid-YTW : 3.33 %
TD.PF.I FixedReset Prem 2.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.R Perpetual-Premium 207,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -20.03 %
TRP.PR.D FixedReset Disc 85,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.04 %
MFC.PR.K FixedReset Ins Non 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 23.50
Evaluated at bid price : 23.80
Bid-YTW : 3.33 %
CM.PR.S FixedReset Disc 52,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 3.39 %
RY.PR.S FixedReset Prem 37,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 23.53
Evaluated at bid price : 25.22
Bid-YTW : 3.27 %
IFC.PR.G FixedReset Ins Non 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 23.69
Evaluated at bid price : 25.25
Bid-YTW : 3.36 %
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.PR.P FixedReset Disc Quote: 15.35 – 18.00
Spot Rate : 2.6500
Average : 2.0003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.77 %
TRP.PR.A FixedReset Disc Quote: 17.10 – 18.48
Spot Rate : 1.3800
Average : 0.8649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.22 %
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.5945

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.71 %
BIP.PR.A FixedReset Disc Quote: 23.25 – 24.70
Spot Rate : 1.4500
Average : 1.0535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.49
Evaluated at bid price : 23.25
Bid-YTW : 4.59 %
TD.PF.D FixedReset Disc Quote: 23.82 – 25.00
Spot Rate : 1.1800
Average : 0.7869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.77
Evaluated at bid price : 23.82
Bid-YTW : 3.62 %
MFC.PR.F FixedReset Ins Non Quote: 16.26 – 17.78
Spot Rate : 1.5200
Average : 1.1813

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 3.48 %
Market Action

July 19, 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 -1.6085 % 2,684.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6085 % 4,925.2
Floater 3.24 % 3.26 % 121,705 19.10 3 -1.6085 % 2,838.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2254 % 3,684.9
SplitShare 4.64 % 4.04 % 38,023 3.85 6 -0.2254 % 4,400.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2254 % 3,433.5
Perpetual-Premium 5.20 % -13.38 % 63,865 0.09 25 -0.0794 % 3,279.3
Perpetual-Discount 4.74 % 4.83 % 97,350 15.79 8 -0.0454 % 3,931.1
FixedReset Disc 4.07 % 3.54 % 150,057 18.24 40 -0.8017 % 2,757.0
Insurance Straight 4.92 % 2.57 % 79,573 0.09 22 -0.1858 % 3,702.8
FloatingReset 2.88 % 3.17 % 37,006 19.30 2 -1.1772 % 2,569.5
FixedReset Prem 4.86 % 3.51 % 173,372 2.50 33 0.0130 % 2,737.1
FixedReset Bank Non 1.80 % 1.72 % 89,048 0.10 1 0.1598 % 2,900.1
FixedReset Ins Non 4.11 % 3.50 % 134,104 18.18 20 -0.4605 % 2,902.1
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -7.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.48 %
PWF.PR.P FixedReset Disc -5.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.62 %
TRP.PR.C FixedReset Disc -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
TRP.PR.B FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.88 %
BIP.PR.A FixedReset Disc -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 4.65 %
BAM.PF.F FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
SLF.PR.G FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 3.45 %
BAM.PR.X FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.98 %
TRP.PR.G FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 3.93 %
TRP.PR.E FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
TRP.PR.F FloatingReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.17 %
GWO.PR.N FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 3.26 %
TRP.PR.D FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.05 %
BAM.PR.C Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 3.26 %
BAM.PF.G FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 21.76
Evaluated at bid price : 22.10
Bid-YTW : 4.04 %
BAM.PR.B Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.22 %
BAM.PF.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.09 %
IFC.PR.C FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.24
Evaluated at bid price : 24.28
Bid-YTW : 3.51 %
IFC.PR.F Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.88
Bid-YTW : 4.69 %
BAM.PR.K Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 3.29 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 3.28 %
TD.PF.I FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.83
Evaluated at bid price : 25.05
Bid-YTW : 3.76 %
BIP.PR.E FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.69
Evaluated at bid price : 25.06
Bid-YTW : 4.95 %
TD.PF.M FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.51 %
NA.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.00
Evaluated at bid price : 24.00
Bid-YTW : 3.36 %
TD.PF.L FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.28 %
TD.PF.B FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.78
Evaluated at bid price : 23.61
Bid-YTW : 3.28 %
NA.PR.C FixedReset Prem 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.94 %
SLF.PR.H FixedReset Ins Non 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 3.12 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 63,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.75 %
IFC.PR.C FixedReset Ins Non 45,087 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.24
Evaluated at bid price : 24.28
Bid-YTW : 3.51 %
NA.PR.A FixedReset Prem 39,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-14
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.64 %
CM.PR.P FixedReset Disc 32,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 3.28 %
BMO.PR.C FixedReset Prem 30,221 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 2.52 %
TD.PF.L FixedReset Prem 26,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.28 %
There were 15 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: 16.00 – 18.00
Spot Rate : 2.0000
Average : 1.2879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.62 %
MFC.PR.F FixedReset Ins Non Quote: 16.25 – 17.60
Spot Rate : 1.3500
Average : 0.8100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.48 %
IFC.PR.F Insurance Straight Quote: 25.88 – 27.00
Spot Rate : 1.1200
Average : 0.7705

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.88
Bid-YTW : 4.69 %
BAM.PR.T FixedReset Disc Quote: 19.20 – 19.99
Spot Rate : 0.7900
Average : 0.5233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.10 %
TRP.PR.B FixedReset Disc Quote: 13.01 – 13.95
Spot Rate : 0.9400
Average : 0.7467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.88 %
BAM.PF.F FixedReset Disc Quote: 23.05 – 23.60
Spot Rate : 0.5500
Average : 0.4121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
Market Action

July 16, 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 0.9745 % 2,728.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9745 % 5,005.7
Floater 3.18 % 3.20 % 123,333 19.25 3 0.9745 % 2,884.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,693.2
SplitShare 4.63 % 3.99 % 36,692 3.86 6 0.0000 % 4,410.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,441.3
Perpetual-Premium 5.20 % -14.25 % 62,783 0.09 25 -0.3971 % 3,281.9
Perpetual-Discount 4.74 % 4.84 % 101,135 15.79 8 -0.1058 % 3,932.9
FixedReset Disc 4.04 % 3.64 % 155,124 18.04 40 -0.3892 % 2,779.3
Insurance Straight 4.91 % 0.08 % 80,319 0.09 22 -0.2886 % 3,709.7
FloatingReset 2.78 % 3.05 % 37,195 19.61 2 -0.3396 % 2,600.1
FixedReset Prem 4.86 % 3.41 % 171,521 1.62 33 -0.4851 % 2,736.8
FixedReset Bank Non 1.80 % 2.31 % 87,652 0.54 1 -0.1197 % 2,895.4
FixedReset Ins Non 4.09 % 3.59 % 134,308 17.91 20 -0.7202 % 2,915.5
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 21.98
Evaluated at bid price : 22.52
Bid-YTW : 3.42 %
TD.PF.B FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.59
Evaluated at bid price : 23.27
Bid-YTW : 3.46 %
BMO.PR.Y FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.71
Evaluated at bid price : 23.70
Bid-YTW : 3.68 %
NA.PR.C FixedReset Prem -1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.16 %
BIP.PR.B FixedReset Prem -1.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.91 %
BMO.PR.F FixedReset Prem -1.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.90 %
IFC.PR.A FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.21 %
NA.PR.S FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.88
Evaluated at bid price : 23.75
Bid-YTW : 3.53 %
MFC.PR.N FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.25
Evaluated at bid price : 22.80
Bid-YTW : 3.62 %
TD.PF.M FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.85 %
TRP.PR.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.06 %
IFC.PR.I Perpetual-Premium -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.53
Bid-YTW : 4.52 %
TRP.PR.C FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.93 %
GWO.PR.P Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -10.77 %
RY.PR.N Perpetual-Premium -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-24
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 3.86 %
SLF.PR.D Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.51 %
MFC.PR.L FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.29
Evaluated at bid price : 22.75
Bid-YTW : 3.49 %
CU.PR.H Perpetual-Premium -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.62
Bid-YTW : 4.82 %
BAM.PF.B FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 4.13 %
CM.PR.P FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.95
Evaluated at bid price : 24.10
Bid-YTW : 3.34 %
BAM.PR.B Floater 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 3.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 296,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.56 %
BAM.PR.B Floater 294,834 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 3.16 %
TRP.PR.G FixedReset Disc 250,691 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.74
Evaluated at bid price : 23.82
Bid-YTW : 3.92 %
BAM.PR.K Floater 250,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.24 %
CU.PR.H Perpetual-Premium 134,597 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.62
Bid-YTW : 4.82 %
TD.PF.K FixedReset Disc 112,171 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 23.51
Evaluated at bid price : 24.99
Bid-YTW : 3.55 %
MFC.PR.J FixedReset Ins Non 111,706 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 23.62
Evaluated at bid price : 24.85
Bid-YTW : 3.60 %
CM.PR.P FixedReset Disc 102,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.95
Evaluated at bid price : 24.10
Bid-YTW : 3.34 %
There were 109 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: 22.52 – 23.93
Spot Rate : 1.4100
Average : 0.8424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 21.98
Evaluated at bid price : 22.52
Bid-YTW : 3.42 %
IFC.PR.I Perpetual-Premium Quote: 26.53 – 27.59
Spot Rate : 1.0600
Average : 0.7116

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.53
Bid-YTW : 4.52 %
BMO.PR.F FixedReset Prem Quote: 26.00 – 26.77
Spot Rate : 0.7700
Average : 0.4773

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.90 %
TD.PF.B FixedReset Disc Quote: 23.27 – 23.94
Spot Rate : 0.6700
Average : 0.3982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.59
Evaluated at bid price : 23.27
Bid-YTW : 3.46 %
BMO.PR.Y FixedReset Disc Quote: 23.70 – 24.35
Spot Rate : 0.6500
Average : 0.3939

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 22.71
Evaluated at bid price : 23.70
Bid-YTW : 3.68 %
TRP.PR.E FixedReset Disc Quote: 20.59 – 21.20
Spot Rate : 0.6100
Average : 0.3733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-16
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.09 %
Market Action

July 15, 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 -0.4725 % 2,701.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4725 % 4,957.4
Floater 3.21 % 3.23 % 114,009 19.18 3 -0.4725 % 2,857.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0193 % 3,693.2
SplitShare 4.63 % 3.96 % 38,085 3.86 6 -0.0193 % 4,410.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0193 % 3,441.3
Perpetual-Premium 5.13 % -7.96 % 62,330 0.09 30 0.0989 % 3,295.0
Perpetual-Discount 4.63 % 4.68 % 41,809 16.01 4 0.0808 % 3,937.1
FixedReset Disc 4.03 % 3.69 % 139,770 18.05 40 0.2918 % 2,790.2
Insurance Straight 4.89 % -0.77 % 76,706 0.09 22 0.0463 % 3,720.5
FloatingReset 2.77 % 3.03 % 34,762 19.66 2 -0.2157 % 2,609.0
FixedReset Prem 4.83 % 3.21 % 168,991 1.41 33 0.1644 % 2,750.1
FixedReset Bank Non 1.80 % 1.91 % 83,502 0.11 1 0.0799 % 2,898.9
FixedReset Ins Non 4.06 % 3.54 % 124,239 17.95 20 0.3788 % 2,936.7
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 22.47
Evaluated at bid price : 23.17
Bid-YTW : 3.54 %
SLF.PR.G FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 3.54 %
TRP.PR.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 22.82
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
MFC.PR.F FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 3.33 %
BIP.PR.A FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 22.74
Evaluated at bid price : 23.75
Bid-YTW : 4.58 %
TRP.PR.C FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.88 %
CM.PR.P FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 22.84
Evaluated at bid price : 23.86
Bid-YTW : 3.38 %
IFC.PR.A FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 3.13 %
BIP.PR.B FixedReset Prem 2.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.22
Bid-YTW : 3.41 %
TRP.PR.A FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 4.00 %
GWO.PR.N FixedReset Ins Non 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 152,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 22.89
Evaluated at bid price : 23.86
Bid-YTW : 3.38 %
NA.PR.A FixedReset Prem 107,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.42 %
TRP.PR.E FixedReset Disc 84,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.07 %
BNS.PR.G FixedReset Prem 83,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.25 %
BMO.PR.S FixedReset Disc 77,970 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 23.02
Evaluated at bid price : 24.05
Bid-YTW : 3.43 %
BAM.PR.T FixedReset Disc 73,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.21 %
There were 17 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: 23.75 – 24.70
Spot Rate : 0.9500
Average : 0.7761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 22.74
Evaluated at bid price : 23.75
Bid-YTW : 4.58 %
GWO.PR.R Insurance Straight Quote: 25.15 – 25.50
Spot Rate : 0.3500
Average : 0.2227

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.92 %
GWO.PR.N FixedReset Ins Non Quote: 16.00 – 16.50
Spot Rate : 0.5000
Average : 0.3981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.34 %
GWO.PR.G Insurance Straight Quote: 25.32 – 25.65
Spot Rate : 0.3300
Average : 0.2359

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-14
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -7.56 %
TRP.PR.B FixedReset Disc Quote: 13.55 – 14.10
Spot Rate : 0.5500
Average : 0.4633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.92 %
BAM.PR.B Floater Quote: 13.30 – 13.85
Spot Rate : 0.5500
Average : 0.4696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-15
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.24 %
Market Action

July 14, 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 2.4198 % 2,714.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.4198 % 4,980.9
Floater 3.20 % 3.21 % 111,284 19.22 3 2.4198 % 2,870.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0258 % 3,694.0
SplitShare 4.63 % 3.98 % 38,592 3.86 6 0.0258 % 4,411.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0258 % 3,441.9
Perpetual-Premium 5.14 % -7.24 % 63,215 0.09 30 0.0729 % 3,291.7
Perpetual-Discount 4.63 % 4.69 % 42,197 16.00 4 0.2836 % 3,933.9
FixedReset Disc 4.04 % 3.70 % 133,305 18.04 40 0.1400 % 2,782.1
Insurance Straight 4.89 % -0.27 % 76,429 0.09 22 0.1231 % 3,718.7
FloatingReset 2.76 % 3.05 % 35,192 19.63 2 0.2780 % 2,614.6
FixedReset Prem 4.84 % 3.24 % 169,864 1.41 33 -0.0248 % 2,745.6
FixedReset Bank Non 1.80 % 2.21 % 84,695 0.54 1 0.0400 % 2,896.6
FixedReset Ins Non 4.07 % 3.54 % 114,907 17.92 20 -0.0995 % 2,925.6
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 3.43 %
BAM.PR.B Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.21 %
GWO.PR.S Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-13
Maturity Price : 25.50
Evaluated at bid price : 26.60
Bid-YTW : -39.41 %
TRP.PR.G FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.66
Evaluated at bid price : 23.65
Bid-YTW : 3.95 %
BIP.PR.A FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 4.66 %
BAM.PR.K Floater 5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 3.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 95,765 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.54 %
SLF.PR.D Insurance Straight 52,547 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.46 %
BMO.PR.S FixedReset Disc 38,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 3.44 %
TD.PF.B FixedReset Disc 32,338 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.83
Evaluated at bid price : 23.71
Bid-YTW : 3.38 %
RY.PR.J FixedReset Disc 31,634 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 22.96
Evaluated at bid price : 24.20
Bid-YTW : 3.65 %
GWO.PR.N FixedReset Ins Non 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 3.43 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.F Perpetual-Premium Quote: 25.45 – 26.15
Spot Rate : 0.7000
Average : 0.4124

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-13
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -18.53 %
TRP.PR.B FixedReset Disc Quote: 13.56 – 14.10
Spot Rate : 0.5400
Average : 0.3682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 3.91 %
CM.PR.T FixedReset Prem Quote: 25.84 – 26.25
Spot Rate : 0.4100
Average : 0.2588

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc Quote: 19.09 – 19.65
Spot Rate : 0.5600
Average : 0.4293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.26 %
BIP.PR.F FixedReset Prem Quote: 25.35 – 25.80
Spot Rate : 0.4500
Average : 0.3229

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.61 %
IFC.PR.A FixedReset Ins Non Quote: 21.15 – 21.90
Spot Rate : 0.7500
Average : 0.6325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-14
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.22 %
Market Action

July 13, 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 -1.0834 % 2,650.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0834 % 4,863.3
Floater 3.28 % 3.25 % 107,837 19.13 3 -1.0834 % 2,802.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0064 % 3,693.0
SplitShare 4.63 % 3.98 % 39,858 3.87 6 0.0064 % 4,410.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0064 % 3,441.0
Perpetual-Premium 5.14 % -6.82 % 63,176 0.09 30 0.0925 % 3,289.3
Perpetual-Discount 4.65 % 4.61 % 49,820 16.15 4 -0.0708 % 3,922.8
FixedReset Disc 4.05 % 3.69 % 127,676 18.04 40 0.2132 % 2,778.2
Insurance Straight 4.90 % -0.35 % 78,934 0.09 22 -0.0285 % 3,714.2
FloatingReset 2.77 % 3.03 % 34,614 19.66 2 -0.0309 % 2,607.4
FixedReset Prem 4.84 % 3.23 % 176,114 1.41 33 -0.0614 % 2,746.3
FixedReset Bank Non 1.80 % 2.27 % 88,084 0.55 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.55 % 113,962 17.91 20 0.1082 % 2,928.5
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 3.41 %
SLF.PR.G FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 3.58 %
TRP.PR.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.04 %
TRP.PR.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.11 %
GWO.PR.S Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-12
Maturity Price : 25.50
Evaluated at bid price : 26.20
Bid-YTW : -24.04 %
BMO.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.71
Evaluated at bid price : 23.50
Bid-YTW : 3.42 %
BIP.PR.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 4.34 %
BIP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 4.84 %
GWO.PR.N FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 3.37 %
TRP.PR.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.90 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 267,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 21.46
Evaluated at bid price : 21.79
Bid-YTW : 3.84 %
BAM.PR.X FixedReset Disc 212,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.04 %
NA.PR.A FixedReset Prem 166,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.33 %
IFC.PR.G FixedReset Ins Non 124,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 23.77
Evaluated at bid price : 25.50
Bid-YTW : 3.43 %
SLF.PR.C Insurance Straight 70,389 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 4.48 %
SLF.PR.I FixedReset Ins Non 67,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.80 %
There were 27 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: 23.25 – 24.27
Spot Rate : 1.0200
Average : 0.7014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.04 %
BAM.PR.K Floater Quote: 12.65 – 13.51
Spot Rate : 0.8600
Average : 0.5684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 3.41 %
GWO.PR.S Insurance Straight Quote: 26.20 – 26.80
Spot Rate : 0.6000
Average : 0.3839

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-12
Maturity Price : 25.50
Evaluated at bid price : 26.20
Bid-YTW : -24.04 %
TRP.PR.A FixedReset Disc Quote: 18.20 – 18.80
Spot Rate : 0.6000
Average : 0.4233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.11 %
BAM.PF.C Perpetual-Premium Quote: 24.90 – 25.29
Spot Rate : 0.3900
Average : 0.2464

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.89 %
CM.PR.P FixedReset Disc Quote: 23.42 – 23.87
Spot Rate : 0.4500
Average : 0.3197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-13
Maturity Price : 22.62
Evaluated at bid price : 23.42
Bid-YTW : 3.47 %
Market Action

July 12, 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 -0.1258 % 2,679.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1258 % 4,916.5
Floater 3.24 % 3.25 % 104,681 19.12 3 -0.1258 % 2,833.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1993 % 3,692.8
SplitShare 4.63 % 3.98 % 40,244 3.87 6 -0.1993 % 4,410.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1993 % 3,440.8
Perpetual-Premium 5.15 % -7.56 % 62,411 0.09 30 -0.0638 % 3,286.3
Perpetual-Discount 4.64 % 4.60 % 50,371 16.16 4 0.2740 % 3,925.6
FixedReset Disc 4.05 % 3.71 % 128,118 18.01 40 -0.0359 % 2,772.3
Insurance Straight 4.90 % 1.43 % 78,180 0.09 22 -0.0303 % 3,715.2
FloatingReset 2.77 % 3.05 % 35,857 19.62 2 -0.0617 % 2,608.2
FixedReset Prem 4.84 % 3.08 % 176,105 1.42 33 -0.1322 % 2,748.0
FixedReset Bank Non 1.80 % 2.26 % 89,017 0.55 1 -0.0798 % 2,895.4
FixedReset Ins Non 4.07 % 3.55 % 115,593 17.93 20 -0.0022 % 2,925.3
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset Prem -1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 4.03 %
BIP.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 23.67
Evaluated at bid price : 25.01
Bid-YTW : 4.96 %
CU.PR.F Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 24.53
Evaluated at bid price : 24.80
Bid-YTW : 4.58 %
SLF.PR.G FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 3.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.D FixedReset Prem 156,594 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.00 %
BIP.PR.C FixedReset Prem 149,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.12 %
RY.PR.R FixedReset Prem 84,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 0.88 %
TD.PF.H FixedReset Prem 47,169 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.64 %
TD.PF.I FixedReset Prem 43,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.60 %
BAM.PF.E FixedReset Disc 41,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.14 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.7434

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.29 %
TD.PF.J FixedReset Prem Quote: 25.09 – 25.80
Spot Rate : 0.7100
Average : 0.4564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 23.67
Evaluated at bid price : 25.09
Bid-YTW : 3.61 %
BAM.PR.R FixedReset Disc Quote: 18.97 – 19.65
Spot Rate : 0.6800
Average : 0.4463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.29 %
MFC.PR.M FixedReset Ins Non Quote: 23.20 – 23.90
Spot Rate : 0.7000
Average : 0.4702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 22.51
Evaluated at bid price : 23.20
Bid-YTW : 3.61 %
BAM.PR.X FixedReset Disc Quote: 17.00 – 18.00
Spot Rate : 1.0000
Average : 0.7761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.04 %
PWF.PR.T FixedReset Disc Quote: 23.42 – 23.99
Spot Rate : 0.5700
Average : 0.3743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-12
Maturity Price : 22.74
Evaluated at bid price : 23.42
Bid-YTW : 3.59 %