Market Action

May 27, 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 -0.9247 % 2,603.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9247 % 4,777.8
Floater 3.33 % 3.33 % 93,275 18.86 3 -0.9247 % 2,753.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0636 % 3,684.9
SplitShare 4.70 % 3.94 % 36,411 4.00 7 -0.0636 % 4,400.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0636 % 3,433.5
Perpetual-Premium 5.22 % -14.13 % 64,557 0.09 24 0.0194 % 3,293.5
Perpetual-Discount 4.77 % 4.76 % 101,842 15.61 10 0.3561 % 3,865.5
FixedReset Disc 4.11 % 3.57 % 211,476 18.02 45 0.5213 % 2,793.1
Insurance Straight 4.91 % 2.48 % 82,528 0.09 22 0.0375 % 3,708.9
FloatingReset 2.81 % 3.08 % 55,578 19.47 2 0.6733 % 2,529.3
FixedReset Prem 4.84 % 2.55 % 207,040 1.38 29 0.1589 % 2,765.4
FixedReset Bank Non 1.80 % 1.69 % 114,991 0.25 1 0.0800 % 2,893.1
FixedReset Ins Non 4.21 % 3.57 % 159,127 18.02 21 -0.0730 % 2,874.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 21.99
Evaluated at bid price : 22.23
Bid-YTW : 3.63 %
BAM.PR.K Floater -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
IFC.PR.A FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.53 %
BAM.PR.N Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
TRP.PR.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.45
Evaluated at bid price : 23.26
Bid-YTW : 3.96 %
CM.PR.T FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.13 %
BAM.PF.F FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.52
Evaluated at bid price : 23.20
Bid-YTW : 4.09 %
TD.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.83
Evaluated at bid price : 23.75
Bid-YTW : 3.36 %
SLF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 24.26
Evaluated at bid price : 24.80
Bid-YTW : 3.60 %
TRP.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.99 %
BAM.PF.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.45
Evaluated at bid price : 24.86
Bid-YTW : 3.92 %
TD.PF.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.83
Evaluated at bid price : 23.82
Bid-YTW : 3.32 %
CM.PR.Y FixedReset Prem 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.18
Bid-YTW : 2.43 %
BMO.PR.T FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.75
Evaluated at bid price : 23.60
Bid-YTW : 3.33 %
CU.PR.I FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.37 %
IFC.PR.C FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.44
Evaluated at bid price : 24.30
Bid-YTW : 3.62 %
BAM.PR.Z FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.66
Evaluated at bid price : 24.05
Bid-YTW : 4.11 %
BAM.PF.B FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.25
Evaluated at bid price : 22.68
Bid-YTW : 4.06 %
SLF.PR.J FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 2.53 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 446,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
BAM.PR.B Floater 154,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.33 %
TRP.PR.G FixedReset Disc 144,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.45
Evaluated at bid price : 23.26
Bid-YTW : 3.96 %
TD.PF.H FixedReset Prem 114,489 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 1.47 %
BNS.PR.H FixedReset Prem 94,389 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 2.18 %
RY.PR.M FixedReset Disc 82,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.83
Evaluated at bid price : 24.05
Bid-YTW : 3.45 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.R FixedReset Prem Quote: 25.79 – 26.79
Spot Rate : 1.0000
Average : 0.5735

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 1.99 %
MFC.PR.K FixedReset Ins Non Quote: 22.23 – 23.60
Spot Rate : 1.3700
Average : 0.9587

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 21.99
Evaluated at bid price : 22.23
Bid-YTW : 3.63 %
IAF.PR.I FixedReset Ins Non Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.6505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.63
Evaluated at bid price : 25.00
Bid-YTW : 3.64 %
IFC.PR.A FixedReset Ins Non Quote: 19.20 – 19.98
Spot Rate : 0.7800
Average : 0.4776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.53 %
TRP.PR.D FixedReset Disc Quote: 20.92 – 22.00
Spot Rate : 1.0800
Average : 0.8533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.05 %
BAM.PR.K Floater Quote: 12.57 – 13.14
Spot Rate : 0.5700
Average : 0.3745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
Market Action

May 26, 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 0.0000 % 2,628.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,822.4
Floater 3.30 % 3.33 % 86,205 18.86 3 0.0000 % 2,779.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0801 % 3,687.2
SplitShare 4.70 % 3.74 % 36,954 3.48 7 -0.0801 % 4,403.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0801 % 3,435.7
Perpetual-Premium 5.22 % -14.93 % 64,102 0.09 24 0.1458 % 3,292.9
Perpetual-Discount 4.79 % 4.83 % 101,258 15.67 10 0.0932 % 3,851.8
FixedReset Disc 4.13 % 3.57 % 213,165 18.02 45 0.9525 % 2,778.6
Insurance Straight 4.91 % 2.31 % 83,839 0.10 22 0.1683 % 3,707.5
FloatingReset 2.83 % 3.06 % 55,925 19.53 2 0.7104 % 2,512.3
FixedReset Prem 4.85 % 2.56 % 199,919 1.38 29 0.6814 % 2,761.1
FixedReset Bank Non 1.81 % 1.99 % 116,718 0.25 1 0.0400 % 2,890.8
FixedReset Ins Non 4.21 % 3.50 % 161,395 18.05 21 1.0245 % 2,876.7
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.95
Evaluated at bid price : 24.26
Bid-YTW : 3.61 %
IAF.PR.I FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.65
Evaluated at bid price : 25.06
Bid-YTW : 3.69 %
BAM.PF.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.32
Evaluated at bid price : 24.53
Bid-YTW : 3.98 %
TD.PF.L FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.98 %
TRP.PR.K FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 2.20 %
CM.PR.P FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.72
Evaluated at bid price : 23.65
Bid-YTW : 3.41 %
RY.PR.Z FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.85
Evaluated at bid price : 23.75
Bid-YTW : 3.28 %
CM.PR.R FixedReset Prem 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 2.05 %
IFC.PR.A FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.48 %
NA.PR.G FixedReset Prem 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.69
Evaluated at bid price : 25.64
Bid-YTW : 3.59 %
BIP.PR.E FixedReset Prem 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.11 %
BMO.PR.S FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.90
Evaluated at bid price : 23.84
Bid-YTW : 3.40 %
TD.PF.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.03
Evaluated at bid price : 24.51
Bid-YTW : 3.63 %
MFC.PR.M FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.71
Evaluated at bid price : 23.60
Bid-YTW : 3.46 %
BAM.PR.T FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.13 %
RY.PR.J FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.08
Evaluated at bid price : 24.54
Bid-YTW : 3.51 %
TRP.PR.A FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem 1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 2.54 %
GWO.PR.N FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 3.35 %
IAF.PR.G FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 24.65
Evaluated at bid price : 24.97
Bid-YTW : 3.76 %
PWF.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.87 %
RY.PR.M FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.80
Evaluated at bid price : 23.98
Bid-YTW : 3.46 %
RY.PR.H FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.88
Evaluated at bid price : 23.87
Bid-YTW : 3.30 %
IFC.PR.F Insurance Straight 2.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 3.51 %
SLF.PR.G FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 3.65 %
TD.PF.J FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.69
Evaluated at bid price : 25.24
Bid-YTW : 3.56 %
BAM.PR.Z FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.24
Evaluated at bid price : 23.65
Bid-YTW : 4.18 %
TRP.PR.D FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 4.05 %
SLF.PR.H FixedReset Ins Non 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.57 %
MFC.PR.K FixedReset Ins Non 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.57
Evaluated at bid price : 23.07
Bid-YTW : 3.47 %
MFC.PR.N FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.44
Evaluated at bid price : 23.14
Bid-YTW : 3.48 %
TRP.PR.E FixedReset Disc 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.04 %
BIP.PR.D FixedReset Prem 3.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 1.93 %
BAM.PF.E FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 152,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.87 %
MFC.PR.L FixedReset Ins Non 126,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.18
Evaluated at bid price : 22.60
Bid-YTW : 3.45 %
BNS.PR.H FixedReset Prem 80,220 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.12 %
NA.PR.E FixedReset Disc 77,236 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.57
Evaluated at bid price : 24.94
Bid-YTW : 3.49 %
TD.PF.B FixedReset Disc 68,811 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.69
Evaluated at bid price : 23.47
Bid-YTW : 3.41 %
RY.PR.R FixedReset Prem 64,929 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 0.42 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 20.98 – 22.00
Spot Rate : 1.0200
Average : 0.6980

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.18 %
IFC.PR.I Perpetual-Premium Quote: 27.00 – 27.99
Spot Rate : 0.9900
Average : 0.6951

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.34 %
PWF.PR.Z Perpetual-Premium Quote: 26.15 – 26.60
Spot Rate : 0.4500
Average : 0.3254

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.15
Bid-YTW : 4.28 %
BAM.PF.F FixedReset Disc Quote: 22.93 – 23.22
Spot Rate : 0.2900
Average : 0.2057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.36
Evaluated at bid price : 22.93
Bid-YTW : 4.15 %
BAM.PR.N Perpetual-Discount Quote: 24.75 – 25.06
Spot Rate : 0.3100
Average : 0.2273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.86 %
ELF.PR.G Perpetual-Discount Quote: 24.19 – 24.50
Spot Rate : 0.3100
Average : 0.2286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.93
Evaluated at bid price : 24.19
Bid-YTW : 4.96 %
Market Action

May 25, 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 1.1957 % 2,628.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1957 % 4,822.4
Floater 3.30 % 3.33 % 86,744 18.86 3 1.1957 % 2,779.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3249 % 3,690.2
SplitShare 4.70 % 3.85 % 36,704 4.00 7 -0.3249 % 4,406.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3249 % 3,438.4
Perpetual-Premium 5.23 % -14.34 % 64,227 0.09 24 0.1542 % 3,288.1
Perpetual-Discount 4.79 % 4.86 % 101,748 15.66 10 0.0851 % 3,848.2
FixedReset Disc 4.17 % 3.61 % 198,807 17.98 45 -0.1641 % 2,752.4
Insurance Straight 4.92 % 3.88 % 85,187 1.06 22 -0.0626 % 3,701.2
FloatingReset 2.85 % 3.08 % 56,631 19.48 2 -0.4820 % 2,494.6
FixedReset Prem 4.88 % 3.26 % 195,185 1.42 29 -0.1061 % 2,742.4
FixedReset Bank Non 1.81 % 2.08 % 118,254 0.68 1 -0.0400 % 2,889.7
FixedReset Ins Non 4.25 % 3.61 % 153,254 18.01 21 -0.5909 % 2,847.6
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.94 %
MFC.PR.N FixedReset Ins Non -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 3.60 %
SLF.PR.G FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.72 %
MFC.PR.K FixedReset Ins Non -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.15
Evaluated at bid price : 22.45
Bid-YTW : 3.59 %
BIP.PR.D FixedReset Prem -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 24.70
Evaluated at bid price : 25.05
Bid-YTW : 5.05 %
BAM.PF.E FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.34 %
TD.PF.J FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 23.49
Evaluated at bid price : 24.71
Bid-YTW : 3.67 %
RY.PR.H FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.63
Evaluated at bid price : 23.38
Bid-YTW : 3.39 %
TRP.PR.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.20 %
RY.PR.M FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.57
Evaluated at bid price : 23.50
Bid-YTW : 3.55 %
MFC.PR.C Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 4.51 %
BAM.PF.B FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 21.88
Evaluated at bid price : 22.15
Bid-YTW : 4.17 %
MFC.PR.F FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.41 %
BAM.PR.K Floater 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 1,911,255 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.19 %
TRP.PR.J FixedReset Prem 310,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 23.95
Evaluated at bid price : 24.98
Bid-YTW : 5.55 %
TRP.PR.D FixedReset Disc 76,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.15 %
BAM.PF.G FixedReset Disc 63,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 21.69
Evaluated at bid price : 22.02
Bid-YTW : 4.14 %
TD.PF.D FixedReset Disc 63,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.84
Evaluated at bid price : 24.01
Bid-YTW : 3.66 %
TRP.PR.E FixedReset Disc 57,693 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.17 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 19.40 – 20.75
Spot Rate : 1.3500
Average : 0.8327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.19 %
TRP.PR.D FixedReset Disc Quote: 20.41 – 22.00
Spot Rate : 1.5900
Average : 1.1690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.15 %
SLF.PR.G FixedReset Ins Non Quote: 14.75 – 15.95
Spot Rate : 1.2000
Average : 0.8303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.72 %
MFC.PR.K FixedReset Ins Non Quote: 22.45 – 23.60
Spot Rate : 1.1500
Average : 0.8121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.15
Evaluated at bid price : 22.45
Bid-YTW : 3.59 %
MFC.PR.N FixedReset Ins Non Quote: 22.50 – 23.49
Spot Rate : 0.9900
Average : 0.6547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 3.60 %
TRP.PR.B FixedReset Disc Quote: 13.50 – 14.49
Spot Rate : 0.9900
Average : 0.6574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.87 %
Market Action

May 21, 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 -1.0291 % 2,597.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0291 % 4,765.4
Floater 3.34 % 3.34 % 86,345 18.85 3 -1.0291 % 2,746.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0441 % 3,702.2
SplitShare 4.68 % 3.44 % 36,377 2.64 7 0.0441 % 4,421.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0441 % 3,449.6
Perpetual-Premium 5.23 % -9.21 % 65,513 0.09 24 0.0747 % 3,283.0
Perpetual-Discount 4.80 % 4.84 % 102,973 15.64 10 -0.0162 % 3,844.9
FixedReset Disc 4.20 % 3.66 % 198,047 17.88 46 0.0792 % 2,756.9
Insurance Straight 4.91 % 3.84 % 86,376 0.11 22 0.0645 % 3,703.6
FloatingReset 2.82 % 3.07 % 58,747 19.51 2 -0.1284 % 2,506.7
FixedReset Prem 4.88 % 3.27 % 199,131 1.23 29 0.1317 % 2,745.3
FixedReset Bank Non 1.81 % 1.89 % 123,023 0.26 1 0.0000 % 2,890.8
FixedReset Ins Non 4.23 % 3.60 % 158,154 17.81 21 0.1763 % 2,864.5
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
TRP.PR.E FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.23 %
MFC.PR.F FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 3.54 %
GWO.PR.T Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.50
Bid-YTW : 3.84 %
BMO.PR.T FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 22.58
Evaluated at bid price : 23.30
Bid-YTW : 3.44 %
IAF.PR.G FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 24.31
Evaluated at bid price : 24.70
Bid-YTW : 3.86 %
IFC.PR.I Perpetual-Premium 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 353,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
MFC.PR.O FixedReset Ins Non 89,195 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-19
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.62 %
PWF.PR.S Perpetual-Discount 71,053 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 24.72
Evaluated at bid price : 25.03
Bid-YTW : 4.82 %
MFC.PR.G FixedReset Ins Non 60,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 24.32
Evaluated at bid price : 24.85
Bid-YTW : 3.83 %
GWO.PR.T Insurance Straight 55,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.50
Bid-YTW : 3.84 %
BAM.PR.R FixedReset Disc 53,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.30 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 12.95 – 13.99
Spot Rate : 1.0400
Average : 0.5766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 3.34 %
TRP.PR.F FloatingReset Quote: 16.52 – 17.50
Spot Rate : 0.9800
Average : 0.6674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 3.07 %
MFC.PR.K FixedReset Ins Non Quote: 22.96 – 23.60
Spot Rate : 0.6400
Average : 0.4416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 22.50
Evaluated at bid price : 22.96
Bid-YTW : 3.55 %
IAF.PR.I FixedReset Ins Non Quote: 24.71 – 25.26
Spot Rate : 0.5500
Average : 0.4084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 23.51
Evaluated at bid price : 24.71
Bid-YTW : 3.82 %
TD.PF.J FixedReset Disc Quote: 25.08 – 25.50
Spot Rate : 0.4200
Average : 0.2823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 23.63
Evaluated at bid price : 25.08
Bid-YTW : 3.65 %
PWF.PR.F Perpetual-Premium Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2264

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-20
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -16.85 %
Market Action

May 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 1.1449 % 2,624.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1449 % 4,814.9
Floater 3.31 % 3.33 % 79,781 18.87 3 1.1449 % 2,774.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3034 % 3,700.6
SplitShare 4.68 % 3.49 % 37,857 2.64 7 -0.3034 % 4,419.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3034 % 3,448.1
Perpetual-Premium 5.24 % -7.60 % 64,830 0.09 24 0.0065 % 3,280.6
Perpetual-Discount 4.80 % 4.84 % 103,845 15.67 10 0.0689 % 3,845.5
FixedReset Disc 4.20 % 3.66 % 195,995 17.87 46 0.2830 % 2,754.7
Insurance Straight 4.92 % 4.28 % 86,082 3.67 22 -0.0054 % 3,701.2
FloatingReset 2.82 % 3.06 % 59,015 19.53 2 0.9721 % 2,509.9
FixedReset Prem 4.88 % 3.38 % 199,552 1.23 29 0.0081 % 2,741.7
FixedReset Bank Non 1.81 % 1.87 % 123,793 0.26 1 0.1202 % 2,890.8
FixedReset Ins Non 4.24 % 3.58 % 146,588 17.83 21 -0.0944 % 2,859.5
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.44
Evaluated at bid price : 24.54
Bid-YTW : 3.85 %
IAF.PR.G FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.71
Evaluated at bid price : 24.20
Bid-YTW : 3.93 %
IFC.PR.I Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.66 %
BAM.PR.R FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.74
Evaluated at bid price : 23.85
Bid-YTW : 3.53 %
IFC.PR.A FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 3.58 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 3.06 %
TRP.PR.C FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 4.08 %
PVS.PR.F SplitShare 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : 3.36 %
SLF.PR.G FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 3.72 %
BAM.PR.B Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.31 %
PWF.PR.P FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 3.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 170,826 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.82
Evaluated at bid price : 23.96
Bid-YTW : 3.71 %
PWF.PR.R Perpetual-Premium 61,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : -28.00 %
CM.PR.Q FixedReset Disc 52,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.91
Evaluated at bid price : 24.16
Bid-YTW : 3.66 %
GWO.PR.P Insurance Straight 46,674 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -18.24 %
PVS.PR.H SplitShare 46,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.98 %
RY.PR.S FixedReset Disc 43,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.42
Evaluated at bid price : 25.00
Bid-YTW : 3.40 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 20.50 – 22.00
Spot Rate : 1.5000
Average : 1.2857

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.19 %
IFC.PR.I Perpetual-Premium Quote: 26.45 – 27.25
Spot Rate : 0.8000
Average : 0.6152

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.66 %
MFC.PR.M FixedReset Ins Non Quote: 23.45 – 24.00
Spot Rate : 0.5500
Average : 0.3806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.63
Evaluated at bid price : 23.45
Bid-YTW : 3.54 %
TRP.PR.E FixedReset Disc Quote: 20.45 – 21.25
Spot Rate : 0.8000
Average : 0.6345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.16 %
IAF.PR.G FixedReset Ins Non Quote: 24.20 – 24.70
Spot Rate : 0.5000
Average : 0.3529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.71
Evaluated at bid price : 24.20
Bid-YTW : 3.93 %
CU.PR.E Perpetual-Premium Quote: 25.02 – 25.33
Spot Rate : 0.3100
Average : 0.1948

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.07 %
Market Action

May 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 0.2086 % 2,594.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2086 % 4,760.4
Floater 3.35 % 3.38 % 75,013 18.75 3 0.2086 % 2,743.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0289 % 3,711.8
SplitShare 4.76 % 4.01 % 35,036 3.97 8 -0.0289 % 4,432.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0289 % 3,458.6
Perpetual-Premium 5.24 % -7.33 % 64,428 0.09 24 -0.0032 % 3,280.4
Perpetual-Discount 4.80 % 4.85 % 98,603 15.68 10 -0.1215 % 3,842.9
FixedReset Disc 4.21 % 3.66 % 194,234 17.85 46 -0.3111 % 2,746.9
Insurance Straight 4.92 % 4.29 % 81,194 0.60 22 0.0950 % 3,701.4
FloatingReset 2.84 % 3.10 % 59,591 19.44 2 -0.6759 % 2,485.8
FixedReset Prem 4.88 % 3.45 % 206,064 1.23 29 -0.1691 % 2,741.4
FixedReset Bank Non 1.81 % 2.19 % 125,549 0.70 1 0.0000 % 2,887.3
FixedReset Ins Non 4.23 % 3.61 % 148,539 17.84 21 -0.1466 % 2,862.2
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset Prem -2.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.55 %
PWF.PR.P FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 4.01 %
TRP.PR.E FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.20 %
TRP.PR.F FloatingReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 3.10 %
RY.PR.J FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 22.94
Evaluated at bid price : 24.20
Bid-YTW : 3.62 %
BIK.PR.A FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.75 %
RY.PR.M FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 22.62
Evaluated at bid price : 23.60
Bid-YTW : 3.58 %
TRP.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 4.10 %
CU.PR.I FixedReset Prem -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.45 %
BAM.PR.C Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 3.36 %
CM.PR.Y FixedReset Prem 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.H FixedReset Ins Non 163,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.29 %
TRP.PR.D FixedReset Disc 100,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.19 %
TRP.PR.K FixedReset Prem 60,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.82 %
MFC.PR.I FixedReset Ins Non 52,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 23.78
Evaluated at bid price : 24.97
Bid-YTW : 3.75 %
CM.PR.T FixedReset Prem 48,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.83 %
SLF.PR.I FixedReset Ins Non 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 24.07
Evaluated at bid price : 24.65
Bid-YTW : 3.73 %
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.D FixedReset Disc Quote: 20.50 – 22.00
Spot Rate : 1.5000
Average : 1.0507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.19 %
TD.PF.I FixedReset Prem Quote: 25.26 – 25.83
Spot Rate : 0.5700
Average : 0.3284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 23.84
Evaluated at bid price : 25.26
Bid-YTW : 3.89 %
EIT.PR.B SplitShare Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.7829

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.81 %
PWF.PR.P FixedReset Disc Quote: 15.11 – 15.94
Spot Rate : 0.8300
Average : 0.6539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 4.01 %
BIK.PR.A FixedReset Prem Quote: 25.95 – 26.46
Spot Rate : 0.5100
Average : 0.3577

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.75 %
TRP.PR.F FloatingReset Quote: 16.36 – 16.97
Spot Rate : 0.6100
Average : 0.4615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 3.10 %
Market Action

May 18, 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 0.5770 % 2,588.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5770 % 4,750.5
Floater 3.35 % 3.39 % 74,104 18.73 3 0.5770 % 2,737.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1302 % 3,712.9
SplitShare 4.75 % 4.01 % 36,472 3.97 8 0.1302 % 4,434.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1302 % 3,459.6
Perpetual-Premium 5.24 % -7.48 % 67,062 0.09 24 0.0065 % 3,280.5
Perpetual-Discount 4.80 % 4.85 % 98,355 15.69 10 0.0365 % 3,847.6
FixedReset Disc 4.20 % 3.66 % 194,719 17.86 46 0.2876 % 2,755.5
Insurance Straight 4.92 % 4.41 % 84,014 3.67 22 -0.0018 % 3,697.9
FloatingReset 2.82 % 3.04 % 61,887 19.58 2 0.1289 % 2,502.7
FixedReset Prem 4.87 % 3.38 % 205,163 1.23 29 0.1357 % 2,746.1
FixedReset Bank Non 1.81 % 2.18 % 126,809 0.70 1 0.0401 % 2,887.3
FixedReset Ins Non 4.23 % 3.59 % 149,970 17.87 21 0.1594 % 2,866.4
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.60 %
CM.PR.Y FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.78 %
TRP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.12 %
BAM.PF.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.31 %
TRP.PR.G FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 22.35
Evaluated at bid price : 23.09
Bid-YTW : 4.04 %
BAM.PR.B Floater 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 12.87
Evaluated at bid price : 12.87
Bid-YTW : 3.36 %
BIP.PR.B FixedReset Prem 2.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.89 %
PWF.PR.P FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.91 %
SLF.PR.G FixedReset Ins Non 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset Disc 150,604 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.04 %
CM.PR.R FixedReset Prem 107,064 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.57 %
TD.PF.M FixedReset Prem 64,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.37 %
RY.PR.M FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 22.77
Evaluated at bid price : 23.91
Bid-YTW : 3.52 %
MFC.PR.I FixedReset Ins Non 44,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 23.78
Evaluated at bid price : 24.97
Bid-YTW : 3.75 %
SLF.PR.C Insurance Straight 42,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 4.53 %
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.D FixedReset Prem Quote: 25.42 – 25.95
Spot Rate : 0.5300
Average : 0.3615

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.83 %
CM.PR.Y FixedReset Prem Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2485

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.78 %
GWO.PR.Q Insurance Straight Quote: 25.51 – 26.00
Spot Rate : 0.4900
Average : 0.3489

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-17
Maturity Price : 25.25
Evaluated at bid price : 25.51
Bid-YTW : 0.88 %
BAM.PR.X FixedReset Disc Quote: 16.63 – 17.08
Spot Rate : 0.4500
Average : 0.3349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 4.17 %
GWO.PR.S Insurance Straight Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1611

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : -5.48 %
PWF.PR.Z Perpetual-Premium Quote: 26.10 – 26.34
Spot Rate : 0.2400
Average : 0.1631

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.31 %
Market Action

May 17, 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 0.4214 % 2,574.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4214 % 4,723.3
Floater 3.37 % 3.41 % 73,818 18.69 3 0.4214 % 2,722.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0651 % 3,708.1
SplitShare 4.76 % 4.00 % 35,383 3.46 8 0.0651 % 4,428.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0651 % 3,455.1
Perpetual-Premium 5.24 % -11.05 % 68,125 0.09 24 0.0439 % 3,280.3
Perpetual-Discount 4.80 % 4.86 % 99,180 15.66 10 0.0608 % 3,846.2
FixedReset Disc 4.25 % 3.67 % 203,416 17.80 47 0.3036 % 2,747.6
Insurance Straight 4.92 % 4.24 % 81,928 0.12 22 0.1238 % 3,697.9
FloatingReset 2.83 % 3.03 % 63,866 19.60 2 0.9106 % 2,499.5
FixedReset Prem 4.88 % 3.38 % 208,913 1.24 29 0.0430 % 2,742.4
FixedReset Bank Non 1.81 % 2.23 % 128,074 0.70 1 -0.2000 % 2,886.2
FixedReset Ins Non 4.23 % 3.57 % 151,452 17.84 21 -0.1362 % 2,861.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 3.92 %
BAM.PR.B Floater -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 3.43 %
BAM.PF.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.38 %
MFC.PR.Q FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 23.41
Evaluated at bid price : 24.61
Bid-YTW : 3.57 %
TRP.PR.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
TRP.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 4.10 %
IFC.PR.A FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 3.55 %
MFC.PR.B Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-16
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 1.98 %
IAF.PR.G FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 24.14
Evaluated at bid price : 24.56
Bid-YTW : 3.87 %
RY.PR.M FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.77
Evaluated at bid price : 23.91
Bid-YTW : 3.52 %
MFC.PR.N FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.46
Evaluated at bid price : 23.19
Bid-YTW : 3.52 %
BAM.PR.K Floater 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 3.37 %
PWF.PR.T FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.66
Evaluated at bid price : 23.31
Bid-YTW : 3.66 %
MFC.PR.F FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 3.45 %
MFC.PR.L FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.25
Evaluated at bid price : 22.71
Bid-YTW : 3.48 %
TRP.PR.F FloatingReset 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 3.03 %
BAM.PF.G FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 21.55
Evaluated at bid price : 21.82
Bid-YTW : 4.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.I FixedReset Prem 115,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.21 %
TRP.PR.D FixedReset Disc 94,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
SLF.PR.G FixedReset Ins Non 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 3.92 %
TD.PF.B FixedReset Disc 56,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.62
Evaluated at bid price : 23.35
Bid-YTW : 3.48 %
MFC.PR.Q FixedReset Ins Non 50,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 23.41
Evaluated at bid price : 24.61
Bid-YTW : 3.57 %
BMO.PR.F FixedReset Prem 40,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.19 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 20.59 – 22.00
Spot Rate : 1.4100
Average : 0.8081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
SLF.PR.G FixedReset Ins Non Quote: 14.44 – 15.44
Spot Rate : 1.0000
Average : 0.6225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 3.92 %
TRP.PR.E FixedReset Disc Quote: 20.43 – 21.25
Spot Rate : 0.8200
Average : 0.5287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.16 %
BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.20
Spot Rate : 0.5500
Average : 0.3738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %
BAM.PF.F FixedReset Disc Quote: 22.71 – 23.15
Spot Rate : 0.4400
Average : 0.2883

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.22
Evaluated at bid price : 22.71
Bid-YTW : 4.25 %
MFC.PR.K FixedReset Ins Non Quote: 23.00 – 23.51
Spot Rate : 0.5100
Average : 0.3675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 3.54 %
Market Action

May 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 1.0378 % 2,563.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0378 % 4,703.5
Floater 3.39 % 3.43 % 74,333 18.64 3 1.0378 % 2,710.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0627 % 3,705.7
SplitShare 4.76 % 4.02 % 36,624 3.47 8 -0.0627 % 4,425.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0627 % 3,452.8
Perpetual-Premium 5.24 % -7.81 % 69,987 0.09 24 0.1302 % 3,278.8
Perpetual-Discount 4.80 % 4.86 % 100,191 15.69 10 -0.0243 % 3,843.8
FixedReset Disc 4.26 % 3.69 % 204,777 17.80 47 0.0294 % 2,739.3
Insurance Straight 4.93 % 4.54 % 85,305 3.69 22 -0.0018 % 3,693.3
FloatingReset 2.85 % 3.11 % 64,467 19.43 2 -0.8384 % 2,476.9
FixedReset Prem 4.88 % 3.40 % 214,505 1.24 29 -0.1329 % 2,741.2
FixedReset Bank Non 1.80 % 1.62 % 129,209 0.28 1 -0.0400 % 2,892.0
FixedReset Ins Non 4.23 % 3.67 % 156,894 17.64 21 -0.3090 % 2,865.7
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.42 %
GWO.PR.N FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 3.52 %
IAF.PR.G FixedReset Ins Non -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.69
Evaluated at bid price : 24.17
Bid-YTW : 3.93 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 4.16 %
MFC.PR.F FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 3.54 %
SLF.PR.J FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 2.61 %
SLF.PR.I FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.95
Evaluated at bid price : 24.55
Bid-YTW : 3.74 %
MFC.PR.C Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.55 %
BNS.PR.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.47
Evaluated at bid price : 25.12
Bid-YTW : 3.44 %
PWF.PR.Z Perpetual-Premium 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 4.13 %
TD.PF.A FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 22.63
Evaluated at bid price : 23.43
Bid-YTW : 3.44 %
BAM.PR.B Floater 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
TRP.PR.A FixedReset Disc 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 55,116 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 22.55
Evaluated at bid price : 23.20
Bid-YTW : 3.44 %
NA.PR.C FixedReset Prem 30,118 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.58 %
CU.PR.C FixedReset Disc 21,748 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 21.62
Evaluated at bid price : 22.01
Bid-YTW : 3.77 %
CM.PR.Y FixedReset Prem 18,535 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.46 %
TRP.PR.J FixedReset Prem 18,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.52 %
NA.PR.E FixedReset Disc 17,529 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.36
Evaluated at bid price : 24.45
Bid-YTW : 3.64 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 21.00 – 22.01
Spot Rate : 1.0100
Average : 0.7041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.42 %
IAF.PR.G FixedReset Ins Non Quote: 24.17 – 24.79
Spot Rate : 0.6200
Average : 0.3873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.69
Evaluated at bid price : 24.17
Bid-YTW : 3.93 %
SLF.PR.J FloatingReset Quote: 14.45 – 15.20
Spot Rate : 0.7500
Average : 0.5582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 2.61 %
PWF.PR.P FixedReset Disc Quote: 15.10 – 15.94
Spot Rate : 0.8400
Average : 0.6779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.01 %
MFC.PR.N FixedReset Ins Non Quote: 23.01 – 23.60
Spot Rate : 0.5900
Average : 0.4418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 22.36
Evaluated at bid price : 23.01
Bid-YTW : 3.60 %
TRP.PR.F FloatingReset Quote: 16.30 – 17.00
Spot Rate : 0.7000
Average : 0.5660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.11 %
Market Action

May 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 0.6158 % 2,536.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6158 % 4,655.2
Floater 3.42 % 3.44 % 74,237 18.61 3 0.6158 % 2,682.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0820 % 3,708.0
SplitShare 4.76 % 3.94 % 36,371 3.47 8 0.0820 % 4,428.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0820 % 3,455.0
Perpetual-Premium 5.25 % -8.90 % 70,316 0.09 24 -0.2030 % 3,274.6
Perpetual-Discount 4.80 % 4.86 % 100,246 15.69 10 -0.0527 % 3,844.8
FixedReset Disc 4.26 % 3.63 % 204,366 17.92 47 -0.1033 % 2,738.5
Insurance Straight 4.93 % 4.54 % 86,416 3.68 22 0.0287 % 3,693.4
FloatingReset 2.85 % 3.10 % 66,940 19.44 2 1.0427 % 2,497.8
FixedReset Prem 4.88 % 3.36 % 215,000 1.25 29 0.1156 % 2,744.8
FixedReset Bank Non 1.80 % 1.46 % 131,118 0.28 1 0.2405 % 2,893.1
FixedReset Ins Non 4.21 % 3.57 % 162,881 17.77 21 0.1275 % 2,874.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.30 %
SLF.PR.H FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.65 %
PWF.PR.P FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.94 %
IFC.PR.I Perpetual-Premium -1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.61 %
RY.PR.M FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.57
Evaluated at bid price : 23.50
Bid-YTW : 3.54 %
TD.PF.A FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.37
Evaluated at bid price : 22.97
Bid-YTW : 3.47 %
TD.PF.E FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.81
Evaluated at bid price : 24.00
Bid-YTW : 3.72 %
BNS.PR.I FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 23.37
Evaluated at bid price : 24.83
Bid-YTW : 3.44 %
POW.PR.C Perpetual-Premium -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-12
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : -14.32 %
MFC.PR.J FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 23.51
Evaluated at bid price : 24.70
Bid-YTW : 3.61 %
PWF.PR.T FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.36
Evaluated at bid price : 22.83
Bid-YTW : 3.70 %
GWO.PR.N FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 3.36 %
BAM.PR.B Floater 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 3.47 %
IFC.PR.A FixedReset Ins Non 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 3.50 %
TRP.PR.F FloatingReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.S Perpetual-Discount 280,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 24.62
Evaluated at bid price : 24.91
Bid-YTW : 4.84 %
TD.PF.D FixedReset Disc 188,089 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.84
Evaluated at bid price : 24.00
Bid-YTW : 3.65 %
CM.PR.T FixedReset Prem 56,279 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.73 %
BAM.PF.G FixedReset Disc 49,661 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 4.26 %
SLF.PR.A Insurance Straight 48,782 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-12
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -0.45 %
CM.PR.S FixedReset Disc 41,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 23.46
Evaluated at bid price : 24.50
Bid-YTW : 3.45 %
There were 29 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: 21.10 – 22.00
Spot Rate : 0.9000
Average : 0.5470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.65 %
TRP.PR.A FixedReset Disc Quote: 17.31 – 18.08
Spot Rate : 0.7700
Average : 0.4933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.30 %
TD.PF.E FixedReset Disc Quote: 24.00 – 24.70
Spot Rate : 0.7000
Average : 0.4406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.81
Evaluated at bid price : 24.00
Bid-YTW : 3.72 %
RY.PR.M FixedReset Disc Quote: 23.50 – 24.00
Spot Rate : 0.5000
Average : 0.3173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.57
Evaluated at bid price : 23.50
Bid-YTW : 3.54 %
PWF.PR.T FixedReset Disc Quote: 22.83 – 23.99
Spot Rate : 1.1600
Average : 1.0040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.36
Evaluated at bid price : 22.83
Bid-YTW : 3.70 %
TD.PF.A FixedReset Disc Quote: 22.97 – 23.53
Spot Rate : 0.5600
Average : 0.4077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.37
Evaluated at bid price : 22.97
Bid-YTW : 3.47 %