Canada Prime

BoC Hikes Overnight to 0.50%; Prime Follows

The Bank of Canada has announced it has:

increased its target for the overnight rate to ½ %, with the Bank Rate at ¾ % and the deposit rate at ½ %. The Bank is continuing its reinvestment phase, keeping its overall holdings of Government of Canada bonds on its balance sheet roughly constant until such time as it becomes appropriate to allow the size of its balance sheet to decline.

The unprovoked invasion of Ukraine by Russia is a major new source of uncertainty. Prices for oil and other commodities have risen sharply. This will add to inflation around the world, and negative impacts on confidence and new supply disruptions could weigh on global growth. Financial market volatility has increased. The situation remains fluid and we are following events closely.

Global economic data has come in broadly in line with projections in the Bank’s January Monetary Policy Report (MPR). Economies are emerging from the impact of the Omicron variant of COVID-19 more quickly than expected, although the virus continues to circulate and the possibility of new variants remains a concern. Demand is robust, particularly in the United States. Global supply bottlenecks remain challenging, although there are indications that some constraints have eased.

Economic growth in Canada was very strong in the fourth quarter of last year at 6.7%. This is stronger than the Bank’s projection and confirms its view that economic slack has been absorbed. Both exports and imports have picked up, consistent with solid global demand. In January, the recovery in Canada’s labour market suffered a setback due to the Omicron variant, with temporary layoffs in service sectors and elevated employee absenteeism. However, the rebound from Omicron now appears to be well in train: household spending is proving resilient and should strengthen further with the lifting of public health restrictions. Housing market activity is more elevated, adding further pressure to house prices. Overall, first-quarter growth is now looking more solid than previously projected.

CPI inflation is currently at 5.1%, as expected in January, and remains well above the Bank’s target range. Price increases have become more pervasive, and measures of core inflation have all risen. Poor harvests and higher transportation costs have pushed up food prices. The invasion of Ukraine is putting further upward pressure on prices for both energy and food-related commodities. All told, inflation is now expected to be higher in the near term than projected in January. Persistently elevated inflation is increasing the risk that longer-run inflation expectations could drift upwards. The Bank will use its monetary policy tools to return inflation to the 2% target and keep inflation expectations well-anchored.

The policy rate is the Bank’s primary monetary policy instrument. As the economy continues to expand and inflation pressures remain elevated, the Governing Council expects interest rates will need to rise further. The Governing Council will also be considering when to end the reinvestment phase and allow its holdings of Government of Canada bonds to begin to shrink. The resulting quantitative tightening (QT) would complement increases in the policy interest rate. The timing and pace of further increases in the policy rate, and the start of QT, will be guided by the Bank’s ongoing assessment of the economy and its commitment to achieving the 2% inflation target.

Prime followed:

Market Action

March 2, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.17 % 3.73 % 39,701 19.82 1 0.0518 % 2,750.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2846 % 5,238.6
Floater 3.04 % 3.07 % 58,059 19.49 3 0.2846 % 3,019.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0919 % 3,639.1
SplitShare 4.66 % 4.26 % 32,537 3.62 6 -0.0919 % 4,345.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0919 % 3,390.8
Perpetual-Premium 5.25 % 3.19 % 62,618 0.49 21 0.2555 % 3,214.0
Perpetual-Discount 4.91 % 5.00 % 62,754 15.45 11 0.7719 % 3,751.3
FixedReset Disc 4.19 % 4.43 % 119,669 16.59 43 -2.0349 % 2,669.3
Insurance Straight 5.04 % 4.74 % 90,071 15.61 18 -0.0250 % 3,560.0
FloatingReset 2.92 % 2.52 % 66,556 21.03 2 9.4427 % 2,869.2
FixedReset Prem 4.79 % 4.09 % 137,127 2.26 26 -0.1255 % 2,698.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -2.0349 % 2,728.5
FixedReset Ins Non 4.26 % 4.31 % 83,703 16.60 17 -0.1136 % 2,854.4
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 6.68 %
CM.PR.Q FixedReset Disc -17.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.37 %
BAM.PR.T FixedReset Disc -14.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.63 %
BAM.PF.H FixedReset Prem -3.88 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.12 %
PWF.PR.P FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.78 %
BAM.PF.E FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.09 %
BAM.PF.B FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.96 %
BMO.PR.T FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.40 %
IFC.PR.G FixedReset Ins Non -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.55
Evaluated at bid price : 24.00
Bid-YTW : 4.49 %
TD.PF.D FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 22.80
Evaluated at bid price : 23.75
Bid-YTW : 4.43 %
BAM.PR.X FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.99 %
IFC.PR.A FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.26 %
BAM.PF.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 22.16
Evaluated at bid price : 22.50
Bid-YTW : 5.01 %
MFC.PR.J FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.84
Evaluated at bid price : 24.33
Bid-YTW : 4.40 %
RY.PR.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 22.94
Evaluated at bid price : 24.00
Bid-YTW : 4.34 %
PWF.PR.K Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.04 %
GWO.PR.G Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -4.80 %
CU.PR.E Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 4.95 %
GWO.PR.M Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -22.71 %
NA.PR.W FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 22.29
Evaluated at bid price : 22.75
Bid-YTW : 4.29 %
MFC.PR.B Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.87 %
BAM.PR.R FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.88 %
GWO.PR.S Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.63 %
GWO.PR.T Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.84 %
BAM.PR.M Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.11 %
IAF.PR.B Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 4.84 %
BAM.PR.B Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.07 %
CM.PR.O FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 22.48
Evaluated at bid price : 22.95
Bid-YTW : 4.32 %
PWF.PF.A Perpetual-Discount 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.41
Evaluated at bid price : 23.75
Bid-YTW : 4.77 %
CIU.PR.A Perpetual-Discount 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.93 %
MFC.PR.M FixedReset Ins Non 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 22.10
Evaluated at bid price : 22.45
Bid-YTW : 4.44 %
SLF.PR.J FloatingReset 20.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 2.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 373,350 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.69 %
BAM.PF.A FixedReset Prem 91,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 24.19
Evaluated at bid price : 24.52
Bid-YTW : 4.76 %
BMO.PR.C FixedReset Prem 42,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.91 %
RY.PR.S FixedReset Prem 33,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 23.61
Evaluated at bid price : 25.05
Bid-YTW : 4.04 %
BAM.PF.I FixedReset Prem 31,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 3.73 %
BMO.PR.D FixedReset Prem 31,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.27 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 15.06 – 23.95
Spot Rate : 8.8900
Average : 5.9999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 6.68 %
CM.PR.Q FixedReset Disc Quote: 19.70 – 24.46
Spot Rate : 4.7600
Average : 2.6496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.37 %
BAM.PR.T FixedReset Disc Quote: 18.00 – 21.50
Spot Rate : 3.5000
Average : 2.0553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.63 %
MFC.PR.K FixedReset Ins Non Quote: 23.40 – 24.99
Spot Rate : 1.5900
Average : 0.9775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 22.98
Evaluated at bid price : 23.40
Bid-YTW : 4.18 %
BAM.PF.H FixedReset Prem Quote: 26.00 – 27.05
Spot Rate : 1.0500
Average : 0.6188

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.12 %
TRP.PR.G FixedReset Disc Quote: 12.29 – 23.80
Spot Rate : 11.5100
Average : 11.1264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-02
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.75 %
Market Action

March 1, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.17 % 3.73 % 39,909 19.82 1 -2.0305 % 2,749.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -4.0064 % 5,223.7
Floater 3.05 % 3.07 % 59,012 19.50 3 -4.0064 % 3,010.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0131 % 3,642.5
SplitShare 4.65 % 4.24 % 31,276 3.62 6 -0.0131 % 4,349.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0131 % 3,394.0
Perpetual-Premium 5.26 % 3.74 % 62,984 0.50 21 0.1194 % 3,205.8
Perpetual-Discount 4.95 % 5.02 % 63,749 15.40 11 -0.4511 % 3,722.6
FixedReset Disc 4.10 % 4.36 % 120,229 16.54 43 0.2294 % 2,724.7
Insurance Straight 5.04 % 4.91 % 90,644 15.39 18 -0.4504 % 3,560.9
FloatingReset 3.20 % 3.32 % 49,060 18.98 2 -9.8269 % 2,621.7
FixedReset Prem 4.78 % 4.17 % 126,994 2.26 26 -0.0287 % 2,701.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2294 % 2,785.2
FixedReset Ins Non 4.25 % 4.31 % 82,073 16.62 17 -1.6217 % 2,857.6
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -16.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.02 %
MFC.PR.M FixedReset Ins Non -6.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 4.63 %
BAM.PR.B Floater -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
BAM.PR.C Floater -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.05 %
MFC.PR.F FixedReset Ins Non -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.26 %
PWF.PF.A Perpetual-Discount -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.72
Evaluated at bid price : 23.12
Bid-YTW : 4.89 %
BAM.PR.K Floater -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.07 %
MFC.PR.N FixedReset Ins Non -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.86
Evaluated at bid price : 22.15
Bid-YTW : 4.42 %
MFC.PR.L FixedReset Ins Non -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.40 %
BAM.PR.T FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.80 %
NA.PR.W FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.11
Evaluated at bid price : 22.49
Bid-YTW : 4.35 %
MFC.PR.K FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.98
Evaluated at bid price : 23.40
Bid-YTW : 4.18 %
BAM.PF.B FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.34
Evaluated at bid price : 22.63
Bid-YTW : 4.83 %
BAM.PR.E Ratchet -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 3.73 %
IFC.PR.C FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.62
Evaluated at bid price : 23.60
Bid-YTW : 4.36 %
CM.PR.O FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.41 %
BMO.PR.W FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.17
Evaluated at bid price : 22.54
Bid-YTW : 4.31 %
BAM.PR.X FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.89 %
TRP.PR.D FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 5.08 %
TRP.PR.B FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 5.11 %
TRP.PR.F FloatingReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.32 %
MFC.PR.Q FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 24.17
Evaluated at bid price : 24.55
Bid-YTW : 4.31 %
TRP.PR.E FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.03 %
SLF.PR.C Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 23.00
Evaluated at bid price : 23.27
Bid-YTW : 4.77 %
CM.PR.Q FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.92
Evaluated at bid price : 24.00
Bid-YTW : 4.35 %
BAM.PF.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 4.95 %
CIU.PR.A Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.47
Evaluated at bid price : 22.73
Bid-YTW : 5.07 %
BAM.PF.A FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 4.77 %
IAF.PR.B Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 4.91 %
IFC.PR.G FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 24.18
Evaluated at bid price : 24.55
Bid-YTW : 4.39 %
IAF.PR.G FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 23.74
Evaluated at bid price : 24.56
Bid-YTW : 4.61 %
GWO.PR.N FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.17 %
MFC.PR.J FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 24.17
Evaluated at bid price : 24.60
Bid-YTW : 4.35 %
FTS.PR.M FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.67 %
FTS.PR.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 4.53 %
BIP.PR.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.55
Evaluated at bid price : 23.25
Bid-YTW : 5.34 %
TD.PF.B FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.38
Evaluated at bid price : 22.80
Bid-YTW : 4.30 %
PWF.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.90
Evaluated at bid price : 23.25
Bid-YTW : 4.38 %
SLF.PR.E Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 23.16
Evaluated at bid price : 23.42
Bid-YTW : 4.79 %
MFC.PR.I FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 23.90
Evaluated at bid price : 24.55
Bid-YTW : 4.58 %
GWO.PR.Y Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 4.68 %
BAM.PF.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.95 %
SLF.PR.H FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.29 %
BIP.PR.B FixedReset Prem 2.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.25 %
RY.PR.M FixedReset Disc 57.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.72
Evaluated at bid price : 23.65
Bid-YTW : 4.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 64,262 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.43 %
TRP.PR.K FixedReset Prem 59,891 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.95 %
MFC.PR.R FixedReset Ins Non 38,938 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-18
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.98 %
TRP.PR.A FixedReset Disc 33,741 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.96 %
BMO.PR.F FixedReset Prem 32,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 2.91 %
BIP.PR.F FixedReset Prem 27,354 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.47 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 14.90 – 18.05
Spot Rate : 3.1500
Average : 1.7158

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.02 %
PWF.PF.A Perpetual-Discount Quote: 23.12 – 24.50
Spot Rate : 1.3800
Average : 0.9567

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 22.72
Evaluated at bid price : 23.12
Bid-YTW : 4.89 %
BAM.PR.B Floater Quote: 13.90 – 15.10
Spot Rate : 1.2000
Average : 0.8310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
TRP.PR.G FixedReset Disc Quote: 12.29 – 23.35
Spot Rate : 11.0600
Average : 10.7058

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.75 %
MFC.PR.M FixedReset Ins Non Quote: 21.52 – 23.00
Spot Rate : 1.4800
Average : 1.1361

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 4.63 %
CU.PR.G Perpetual-Discount Quote: 23.40 – 24.88
Spot Rate : 1.4800
Average : 1.1458

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-01
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.82 %
Market Action

February 28, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.11 % 3.63 % 41,339 19.94 1 3.6842 % 2,806.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3696 % 5,441.7
Floater 2.93 % 2.96 % 59,494 19.76 3 -1.3696 % 3,136.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1314 % 3,642.9
SplitShare 4.65 % 4.21 % 30,717 3.62 6 0.1314 % 4,350.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1314 % 3,394.4
Perpetual-Premium 5.26 % 3.08 % 62,383 0.50 21 0.2679 % 3,202.0
Perpetual-Discount 4.93 % 5.00 % 60,864 15.48 11 0.2184 % 3,739.4
FixedReset Disc 4.11 % 4.36 % 114,192 16.34 43 -0.6562 % 2,718.5
Insurance Straight 5.01 % 4.85 % 90,848 15.42 18 0.5302 % 3,577.0
FloatingReset 2.88 % 2.51 % 64,030 20.97 2 0.0838 % 2,907.4
FixedReset Prem 4.78 % 3.82 % 122,985 2.12 26 0.1651 % 2,702.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6562 % 2,778.8
FixedReset Ins Non 4.18 % 4.26 % 80,855 16.79 17 0.1953 % 2,904.7
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 6.67 %
BIP.PR.B FixedReset Prem -3.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.93 %
BAM.PR.B Floater -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 14.54
Evaluated at bid price : 14.54
Bid-YTW : 2.97 %
BAM.PR.R FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.94 %
SLF.PR.H FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 4.37 %
FTS.PR.H FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 4.50 %
TRP.PR.A FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.96 %
GWO.PR.Y Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.66
Evaluated at bid price : 24.00
Bid-YTW : 4.74 %
TRP.PR.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.00 %
BAM.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %
BIP.PR.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.69
Evaluated at bid price : 23.51
Bid-YTW : 5.27 %
TD.PF.J FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.89
Evaluated at bid price : 25.10
Bid-YTW : 4.34 %
TRP.PR.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 13.54
Evaluated at bid price : 13.54
Bid-YTW : 5.03 %
GWO.PR.I Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.85 %
BAM.PF.D Perpetual-Premium 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.92
Evaluated at bid price : 24.18
Bid-YTW : 5.14 %
CM.PR.Y FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 2.97 %
MFC.PR.M FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.46
Evaluated at bid price : 22.99
Bid-YTW : 4.32 %
FTS.PR.J Perpetual-Premium 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 5.01 %
IAF.PR.B Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.85 %
BMO.PR.F FixedReset Prem 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 2.82 %
BMO.PR.E FixedReset Prem 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.67
Evaluated at bid price : 25.03
Bid-YTW : 4.32 %
IFC.PR.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.83
Evaluated at bid price : 24.05
Bid-YTW : 4.26 %
SLF.PR.E Insurance Straight 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.76 %
SLF.PR.C Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.72 %
CU.PR.J Perpetual-Premium 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 24.60
Evaluated at bid price : 25.00
Bid-YTW : 4.75 %
BMO.PR.Y FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.86
Evaluated at bid price : 23.90
Bid-YTW : 4.29 %
BAM.PF.G FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.56 %
BAM.PR.E Ratchet 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 3.63 %
BAM.PR.T FixedReset Disc 6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 4.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 63,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 3.95 %
RY.PR.S FixedReset Prem 35,671 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.66
Evaluated at bid price : 25.20
Bid-YTW : 4.01 %
BIP.PR.D FixedReset Prem 28,478 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.26 %
NA.PR.C FixedReset Prem 22,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.81 %
TRP.PR.K FixedReset Prem 19,870 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.08 %
CM.PR.R FixedReset Prem 19,495 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.62 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 15.06 – 24.38
Spot Rate : 9.3200
Average : 5.7158

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 6.67 %
TRP.PR.G FixedReset Disc Quote: 12.29 – 23.80
Spot Rate : 11.5100
Average : 10.3174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.74 %
CU.PR.G Perpetual-Discount Quote: 23.55 – 24.88
Spot Rate : 1.3300
Average : 0.7793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 4.78 %
GWO.PR.R Insurance Straight Quote: 24.35 – 25.50
Spot Rate : 1.1500
Average : 0.7386

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.00 %
BIP.PR.B FixedReset Prem Quote: 25.40 – 26.40
Spot Rate : 1.0000
Average : 0.6668

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.93 %
BAM.PR.R FixedReset Disc Quote: 19.50 – 20.40
Spot Rate : 0.9000
Average : 0.6338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.94 %
Issue Comments

BCE.PR.O To Be Redeemed

BCE Inc. has announced (on February 24):

that it intends to redeem all of its outstanding Cumulative Redeemable First Preferred Shares, Series AO (the “Series AO Preferred Shares”) on March 31, 2022 at a redemption price of $25.00 per Series AO Preferred Share, less any taxes required to be deducted and withheld by the Corporation.

On February 2, 2022, the board of directors of the Corporation declared a quarterly dividend of $0.26625 per Series AO Preferred Share. This will be the final dividend on the Series AO Preferred Shares and will be paid in the usual manner on March 31, 2022 to shareholders of record as of February 28, 2022. After March 31, 2022, the Series AO Preferred Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

A notice of the redemption of the Series AO Preferred Shares will be provided in accordance with the rights, privileges and conditions attached to the Series AO Preferred Shares. Beneficial holders of Series AO Preferred Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds.

BCE.PR.O was issued as BAF.PR.C, a FixedReset, 4.55%+309, that commenced trading 2011-12-7 after being announced 2011-11-21. BCE privatized Bell Aliant in 2014 and included an Exchange Offer for its preferreds. The offer was successful and later became mandatory. After the first round, the ticker symbol, etc., was changed. BCE.PR.O reset to 4.26% in 2017; I recommended against conversion; and there was no conversion.

Thanks to Peculiar_Investor and CanSiamCyp for bringing this to my attention!

Market Action

February 25, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.22 % 3.81 % 40,569 19.73 1 -1.0417 % 2,706.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1353 % 5,517.3
Floater 2.89 % 2.92 % 61,912 19.87 3 1.1353 % 3,179.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1378 % 3,638.2
SplitShare 4.66 % 4.27 % 30,821 3.63 6 -0.1378 % 4,344.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1378 % 3,389.9
Perpetual-Premium 5.28 % 3.10 % 60,782 0.51 21 0.1675 % 3,193.4
Perpetual-Discount 4.94 % 5.01 % 63,208 15.47 11 0.2381 % 3,731.3
FixedReset Disc 4.13 % 4.45 % 115,722 16.30 44 0.8241 % 2,736.4
Insurance Straight 5.04 % 4.92 % 90,529 15.38 18 0.1527 % 3,558.1
FloatingReset 2.80 % 2.44 % 66,394 21.17 2 -0.4451 % 2,904.9
FixedReset Prem 4.79 % 3.96 % 121,323 2.12 26 0.2186 % 2,698.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8241 % 2,797.2
FixedReset Ins Non 4.19 % 4.36 % 80,008 16.57 17 0.6236 % 2,899.0
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -4.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.25 %
GWO.PR.I Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.90 %
TD.PF.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.87
Evaluated at bid price : 23.95
Bid-YTW : 4.52 %
MFC.PR.N FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.26
Evaluated at bid price : 22.73
Bid-YTW : 4.37 %
PWF.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.11
Evaluated at bid price : 23.46
Bid-YTW : 4.43 %
GWO.PR.Y Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.90
Evaluated at bid price : 24.25
Bid-YTW : 4.69 %
CM.PR.S FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.02
Evaluated at bid price : 24.51
Bid-YTW : 4.32 %
IAF.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.16
Evaluated at bid price : 24.85
Bid-YTW : 4.65 %
FTS.PR.F Perpetual-Premium 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.16
Evaluated at bid price : 24.42
Bid-YTW : 5.03 %
TRP.PR.D FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.04 %
NA.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.20
Evaluated at bid price : 23.51
Bid-YTW : 4.42 %
CU.PR.I FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.25 %
TRP.PR.B FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
TRP.PR.A FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.99 %
IFC.PR.A FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.26 %
BAM.PF.C Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.25 %
RY.PR.Z FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.80
Evaluated at bid price : 23.10
Bid-YTW : 4.27 %
BIP.PR.B FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.96 %
BMO.PR.D FixedReset Prem 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.99 %
CU.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 4.58 %
TRP.PR.E FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.03 %
TD.PF.D FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 4.01 %
CU.PR.E Perpetual-Premium 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.01 %
MFC.PR.K FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.46
Evaluated at bid price : 23.87
Bid-YTW : 4.18 %
BMO.PR.S FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.80
Evaluated at bid price : 23.10
Bid-YTW : 4.40 %
NA.PR.W FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.49
Evaluated at bid price : 23.08
Bid-YTW : 4.30 %
BIP.PR.A FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 5.28 %
SLF.PR.H FixedReset Ins Non 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.36 %
BAM.PR.B Floater 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 2.88 %
BAM.PR.Z FixedReset Disc 4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.46
Evaluated at bid price : 24.05
Bid-YTW : 4.95 %
TD.PF.B FixedReset Disc 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.54
Evaluated at bid price : 23.05
Bid-YTW : 4.33 %
TD.PF.A FixedReset Disc 9.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.42
Evaluated at bid price : 22.91
Bid-YTW : 4.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Prem 221,385 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.46 %
TD.PF.A FixedReset Disc 142,895 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.42
Evaluated at bid price : 22.91
Bid-YTW : 4.32 %
NA.PR.C FixedReset Prem 75,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.42 %
BMO.PR.D FixedReset Prem 34,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.99 %
BMO.PR.C FixedReset Prem 32,722 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.02 %
TD.PF.J FixedReset Prem 32,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.51
Evaluated at bid price : 24.85
Bid-YTW : 4.52 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.29 – 23.70
Spot Rate : 11.4100
Average : 9.0099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.86 %
MFC.PR.B Insurance Straight Quote: 23.60 – 25.40
Spot Rate : 1.8000
Average : 1.0974

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.32
Evaluated at bid price : 23.60
Bid-YTW : 4.92 %
BAM.PF.G FixedReset Disc Quote: 21.00 – 22.80
Spot Rate : 1.8000
Average : 1.1160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.25 %
MFC.PR.M FixedReset Ins Non Quote: 22.73 – 24.40
Spot Rate : 1.6700
Average : 1.0320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.29
Evaluated at bid price : 22.73
Bid-YTW : 4.46 %
MFC.PR.L FixedReset Ins Non Quote: 22.20 – 23.50
Spot Rate : 1.3000
Average : 0.8178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 4.39 %
MFC.PR.N FixedReset Ins Non Quote: 22.73 – 23.95
Spot Rate : 1.2200
Average : 0.7390

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.26
Evaluated at bid price : 22.73
Bid-YTW : 4.37 %
Market Action

February 24, 2022

Well, 77 years of peace in Europe has come to an end, complete with a speech about historical indignities and strong overtones of nationalism-by-language. I’m only surprised that Putin hasn’t declared he has no further territorial ambitions in Europe.

Market implications are as murky as might be expected, but Mark Rendell provides a quick survey in the Globe:

Russia’s invasion of Ukraine is pushing up global energy and food prices, adding to inflationary pressures and putting central banks around the world in a delicate position as they embark on a much-anticipated rate hike cycle.
…
In a volatile day of trading, the price of West Texas Intermediate crude oil shot past US$100 a barrel on Thursday for the first time since 2014, before ending the trading day around US$93. The price of natural gas in Europe rose sharply on fears that supply could be choked off, with the benchmark Dutch futures contract up more than 40 per cent. Russia supplies nearly 40 per cent of Europe’s natural gas, and several critical pipelines run through Ukraine.

Meanwhile, the price of wheat futures contracts in the United States was up around 5.5 per cent by Thursday afternoon.
…
The U.S. Federal Reserve, the world’s most important central bank, is still expected to start raising interest rates at its upcoming policy meeting on March 15. At the same time, markets are no longer pricing in a high likelihood that the Fed will start its rate hike cycle with a 0.5-percentage-point increase instead of the usual 0.25-percentage-point increase.

There wasn’t much of a flight to quality on the day, with GOC-5 remaining constant at 1.75%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.19 % 3.77 % 37,610 19.73 1 -5.1852 % 2,735.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9447 % 5,455.4
Floater 2.92 % 2.93 % 62,726 19.85 3 -0.9447 % 3,144.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1446 % 3,643.2
SplitShare 4.65 % 4.20 % 32,088 3.64 6 0.1446 % 4,350.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1446 % 3,394.6
Perpetual-Premium 5.29 % 3.09 % 59,562 0.51 21 -0.4497 % 3,188.1
Perpetual-Discount 4.95 % 5.01 % 60,322 15.44 11 -0.6790 % 3,722.4
FixedReset Disc 4.14 % 4.50 % 113,507 16.38 44 -1.5121 % 2,714.1
Insurance Straight 5.05 % 4.93 % 89,794 15.40 18 -0.6341 % 3,552.7
FloatingReset 2.79 % 2.44 % 68,791 21.17 2 -1.0732 % 2,917.9
FixedReset Prem 4.80 % 4.22 % 112,356 2.27 26 -0.2513 % 2,692.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.5121 % 2,774.3
FixedReset Ins Non 4.22 % 4.39 % 78,927 16.57 17 -0.9473 % 2,881.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.85 %
TD.PF.A FixedReset Disc -8.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.75 %
BAM.PR.Z FixedReset Disc -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.54
Evaluated at bid price : 23.10
Bid-YTW : 5.16 %
BAM.PR.E Ratchet -5.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 3.77 %
TD.PF.B FixedReset Disc -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.54 %
BAM.PR.T FixedReset Disc -4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.09 %
SLF.PR.H FixedReset Ins Non -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 4.50 %
CU.PR.E Perpetual-Premium -3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.11 %
BAM.PR.B Floater -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
IFC.PR.A FixedReset Ins Non -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.31 %
TRP.PR.C FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.03 %
TRP.PR.E FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 5.11 %
IFC.PR.C FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.57
Evaluated at bid price : 23.51
Bid-YTW : 4.45 %
BMO.PR.S FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.27
Evaluated at bid price : 22.60
Bid-YTW : 4.50 %
PWF.PR.T FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.87
Evaluated at bid price : 23.22
Bid-YTW : 4.48 %
NA.PR.W FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.12
Evaluated at bid price : 22.51
Bid-YTW : 4.43 %
PWF.PR.K Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.14 %
TRP.PR.D FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.10 %
POW.PR.B Perpetual-Premium -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.46 %
MFC.PR.M FixedReset Ins Non -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.29
Evaluated at bid price : 22.73
Bid-YTW : 4.46 %
CU.PR.C FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 4.65 %
BAM.PF.F FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.49
Evaluated at bid price : 23.01
Bid-YTW : 4.97 %
BAM.PR.N Perpetual-Discount -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.14 %
FTS.PR.G FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.56 %
NA.PR.S FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.94
Evaluated at bid price : 23.24
Bid-YTW : 4.47 %
IAF.PR.B Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.89 %
BIP.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.58
Evaluated at bid price : 23.31
Bid-YTW : 5.46 %
TRP.PR.F FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.18 %
GWO.PR.T Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.59
Evaluated at bid price : 25.10
Bid-YTW : 5.19 %
POW.PR.D Perpetual-Premium -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.17 %
CM.PR.P FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.12
Evaluated at bid price : 22.50
Bid-YTW : 4.44 %
IFC.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.49
Evaluated at bid price : 24.80
Bid-YTW : 4.43 %
BAM.PF.C Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 5.18 %
BAM.PR.R FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.89 %
BMO.PR.T FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.15
Evaluated at bid price : 22.48
Bid-YTW : 4.39 %
MFC.PR.N FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.11
Evaluated at bid price : 22.50
Bid-YTW : 4.42 %
SLF.PR.E Insurance Straight -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 4.85 %
BMO.PR.D FixedReset Prem -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.11
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
SLF.PR.C Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.81 %
RY.PR.H FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.45
Evaluated at bid price : 22.91
Bid-YTW : 4.32 %
TRP.PR.A FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.06 %
GWO.PR.Q Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.26 %
PWF.PR.S Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.82
Evaluated at bid price : 24.11
Bid-YTW : 5.01 %
FTS.PR.M FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.00
Evaluated at bid price : 22.31
Bid-YTW : 4.70 %
TD.PF.C FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.29
Evaluated at bid price : 22.75
Bid-YTW : 4.39 %
ELF.PR.G Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.62
Evaluated at bid price : 23.89
Bid-YTW : 5.02 %
CM.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.71
Evaluated at bid price : 24.25
Bid-YTW : 4.37 %
NA.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.92
Evaluated at bid price : 24.35
Bid-YTW : 4.48 %
BIP.PR.B FixedReset Prem -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.34 %
RY.PR.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.99
Evaluated at bid price : 24.10
Bid-YTW : 4.39 %
MFC.PR.K FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.96
Evaluated at bid price : 23.38
Bid-YTW : 4.27 %
BAM.PR.K Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 2.93 %
BAM.PF.D Perpetual-Premium 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.79
Evaluated at bid price : 24.05
Bid-YTW : 5.16 %
TD.PF.E FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 4.26 %
PWF.PR.P FixedReset Disc 6.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 4.74 %
RY.PR.M FixedReset Disc 70.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.73
Evaluated at bid price : 23.68
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Prem 152,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.45
Evaluated at bid price : 24.80
Bid-YTW : 4.53 %
TRP.PR.C FixedReset Disc 107,991 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.03 %
BMO.PR.C FixedReset Prem 64,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.81 %
BMO.PR.D FixedReset Prem 56,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.11
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
RY.PR.J FixedReset Disc 34,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.99
Evaluated at bid price : 24.10
Bid-YTW : 4.39 %
TD.PF.I FixedReset Prem 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.58
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.29 – 23.70
Spot Rate : 11.4100
Average : 6.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.85 %
TD.PF.A FixedReset Disc Quote: 21.00 – 22.90
Spot Rate : 1.9000
Average : 1.0605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.75 %
BAM.PR.Z FixedReset Disc Quote: 23.10 – 24.71
Spot Rate : 1.6100
Average : 0.9533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.54
Evaluated at bid price : 23.10
Bid-YTW : 5.16 %
TRP.PR.A FixedReset Disc Quote: 18.30 – 19.45
Spot Rate : 1.1500
Average : 0.6716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.06 %
BAM.PR.E Ratchet Quote: 19.20 – 20.42
Spot Rate : 1.2200
Average : 0.7447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 3.77 %
CU.PR.E Perpetual-Premium Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.5747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.11 %
Market Action

February 23, 2022

PerpetualDiscounts now yield 4.97%, equivalent to 6.46% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.89%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 260bp, the same as reported February 16.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.50 % 36,972 20.05 1 -0.0987 % 2,884.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0674 % 5,507.4
Floater 2.89 % 2.91 % 63,585 19.91 3 -0.0674 % 3,173.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0066 % 3,637.9
SplitShare 4.66 % 4.24 % 32,321 3.64 6 -0.0066 % 4,344.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0066 % 3,389.7
Perpetual-Premium 5.26 % -0.83 % 58,441 0.09 22 -0.3061 % 3,202.5
Perpetual-Discount 4.92 % 4.97 % 59,505 15.51 11 -0.3762 % 3,747.9
FixedReset Disc 4.07 % 4.48 % 114,220 16.37 44 -1.0937 % 2,755.7
Insurance Straight 5.02 % 4.82 % 84,754 15.41 18 -0.2800 % 3,575.4
FloatingReset 2.76 % 2.42 % 63,645 21.22 2 0.0000 % 2,949.6
FixedReset Prem 4.79 % 3.94 % 107,825 2.06 26 0.5282 % 2,698.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0937 % 2,816.9
FixedReset Ins Non 4.18 % 4.45 % 80,243 16.36 17 -0.1969 % 2,908.6
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -42.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.33 %
TD.PF.E FixedReset Disc -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.53
Evaluated at bid price : 23.29
Bid-YTW : 4.67 %
BAM.PF.D Perpetual-Premium -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.03
Evaluated at bid price : 23.29
Bid-YTW : 5.33 %
BAM.PR.M Perpetual-Discount -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.21 %
RY.PR.Z FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.41
Evaluated at bid price : 22.80
Bid-YTW : 4.31 %
SLF.PR.G FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.34 %
SLF.PR.H FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 21.33
Evaluated at bid price : 21.62
Bid-YTW : 4.31 %
SLF.PR.D Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.16
Evaluated at bid price : 23.42
Bid-YTW : 4.81 %
FTS.PR.K FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.65 %
CU.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.02
Evaluated at bid price : 23.30
Bid-YTW : 4.83 %
BAM.PR.R FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.83 %
TRP.PR.B FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.24 %
BAM.PR.T FixedReset Disc 4.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.86 %
TD.PF.K FixedReset Prem 17.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.51
Evaluated at bid price : 24.60
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Y FixedReset Prem 66,515 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 3.74 %
PWF.PR.R Perpetual-Premium 57,371 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -7.29 %
BMO.PR.F FixedReset Prem 43,232 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 3.40 %
PWF.PR.L Perpetual-Premium 32,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.13 %
PWF.PR.F Perpetual-Premium 32,584 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -5.38 %
BAM.PF.J FixedReset Prem 28,165 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.12 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 13.88 – 24.08
Spot Rate : 10.2000
Average : 6.5966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.33 %
BAM.PF.D Perpetual-Premium Quote: 23.29 – 24.29
Spot Rate : 1.0000
Average : 0.6498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.03
Evaluated at bid price : 23.29
Bid-YTW : 5.33 %
BAM.PR.M Perpetual-Discount Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.5719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.21 %
TD.PF.E FixedReset Disc Quote: 23.29 – 24.29
Spot Rate : 1.0000
Average : 0.6851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.53
Evaluated at bid price : 23.29
Bid-YTW : 4.67 %
RY.PR.Z FixedReset Disc Quote: 22.80 – 23.33
Spot Rate : 0.5300
Average : 0.3019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.41
Evaluated at bid price : 22.80
Bid-YTW : 4.31 %
SLF.PR.D Insurance Straight Quote: 23.42 – 23.78
Spot Rate : 0.3600
Average : 0.2588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.16
Evaluated at bid price : 23.42
Bid-YTW : 4.81 %
Market Action

February 22, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.49 % 37,488 20.05 1 0.0000 % 2,887.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9793 % 5,511.1
Floater 2.89 % 2.91 % 65,764 19.91 3 -0.9793 % 3,176.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2033 % 3,638.2
SplitShare 4.66 % 4.24 % 33,650 3.64 6 -0.2033 % 4,344.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2033 % 3,389.9
Perpetual-Premium 5.24 % -5.27 % 54,130 0.09 22 -0.0576 % 3,212.3
Perpetual-Discount 4.90 % 4.96 % 60,224 15.51 11 0.0799 % 3,762.0
FixedReset Disc 4.03 % 4.42 % 114,902 16.37 44 1.1457 % 2,786.2
Insurance Straight 5.00 % 4.76 % 84,548 15.42 18 -0.1083 % 3,585.4
FloatingReset 2.76 % 2.42 % 61,432 21.22 2 -0.0275 % 2,949.6
FixedReset Prem 4.81 % 3.75 % 109,257 2.05 26 -0.5284 % 2,684.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1457 % 2,848.1
FixedReset Ins Non 4.17 % 4.45 % 76,391 16.36 17 -0.3588 % 2,914.4
Performance Highlights
Issue Index Change Notes
TD.PF.K FixedReset Prem -14.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.28 %
BAM.PR.K Floater -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 2.96 %
MFC.PR.L FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.48 %
MFC.PR.B Insurance Straight -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 4.99 %
FTS.PR.J Perpetual-Premium -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.08 %
MFC.PR.F FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.27 %
MFC.PR.C Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 4.85 %
MFC.PR.Q FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.31
Evaluated at bid price : 24.66
Bid-YTW : 4.45 %
MFC.PR.R FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.10
Evaluated at bid price : 24.98
Bid-YTW : 5.66 %
MFC.PR.H FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.08
Evaluated at bid price : 24.97
Bid-YTW : 4.93 %
PWF.PF.A Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.60
Evaluated at bid price : 23.95
Bid-YTW : 4.72 %
BAM.PF.F FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.65
Evaluated at bid price : 23.27
Bid-YTW : 4.90 %
SLF.PR.H FixedReset Ins Non 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 4.22 %
BAM.PF.B FixedReset Disc 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.71
Evaluated at bid price : 23.03
Bid-YTW : 4.82 %
RY.PR.M FixedReset Disc 73.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 123,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.10
Evaluated at bid price : 24.98
Bid-YTW : 5.66 %
MFC.PR.Q FixedReset Ins Non 29,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.31
Evaluated at bid price : 24.66
Bid-YTW : 4.45 %
PWF.PR.L Perpetual-Premium 28,518 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.13 %
NA.PR.W FixedReset Disc 25,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.53
Evaluated at bid price : 23.15
Bid-YTW : 4.29 %
POW.PR.G Perpetual-Premium 24,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-24
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -17.78 %
CM.PR.P FixedReset Disc 16,545 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.38
Evaluated at bid price : 22.90
Bid-YTW : 4.36 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.K FixedReset Prem Quote: 21.01 – 24.63
Spot Rate : 3.6200
Average : 1.9583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.28 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.70
Spot Rate : 2.3500
Average : 1.7591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.04 %
CM.PR.O FixedReset Disc Quote: 23.30 – 24.13
Spot Rate : 0.8300
Average : 0.4780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.69
Evaluated at bid price : 23.30
Bid-YTW : 4.32 %
MFC.PR.K FixedReset Ins Non Quote: 23.52 – 24.40
Spot Rate : 0.8800
Average : 0.6528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.10
Evaluated at bid price : 23.52
Bid-YTW : 4.31 %
GWO.PR.N FixedReset Ins Non Quote: 17.00 – 17.88
Spot Rate : 0.8800
Average : 0.6760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.16 %
CU.PR.C FixedReset Disc Quote: 22.70 – 23.30
Spot Rate : 0.6000
Average : 0.4012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.09
Evaluated at bid price : 22.70
Bid-YTW : 4.56 %
Market Action

February 18, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.49 % 39,018 20.06 1 0.3465 % 2,887.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0889 % 5,565.6
Floater 2.86 % 2.89 % 68,067 19.98 3 -0.0889 % 3,207.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4570 % 3,645.6
SplitShare 4.65 % 4.49 % 31,143 3.34 6 -0.4570 % 4,353.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4570 % 3,396.8
Perpetual-Premium 5.24 % 1.67 % 54,933 0.09 22 0.2254 % 3,214.2
Perpetual-Discount 4.90 % 4.96 % 59,245 15.52 11 -0.0950 % 3,759.0
FixedReset Disc 4.08 % 4.47 % 115,446 16.26 44 0.1176 % 2,754.6
Insurance Straight 5.00 % 4.74 % 84,152 15.43 18 0.3986 % 3,589.3
FloatingReset 2.72 % 2.38 % 61,093 21.36 2 0.0551 % 2,950.4
FixedReset Prem 4.79 % 3.75 % 108,495 2.07 26 0.1349 % 2,699.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1176 % 2,815.8
FixedReset Ins Non 4.15 % 4.45 % 76,610 16.31 17 -0.1958 % 2,924.9
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -42.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.40 %
PWF.PR.P FixedReset Disc -11.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.11 %
CIU.PR.A Perpetual-Discount -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.00 %
SLF.PR.H FixedReset Ins Non -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.45 %
BAM.PR.T FixedReset Disc -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.16 %
BAM.PF.B FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.09 %
TRP.PR.B FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.40 %
TRP.PR.C FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.97 %
SLF.PR.G FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
BMO.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 4.42 %
PVS.PR.J SplitShare -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.46 %
BAM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 4.94 %
FTS.PR.H FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.55 %
CU.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.18
Evaluated at bid price : 22.85
Bid-YTW : 4.58 %
GWO.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.23 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.03 %
PWF.PR.K Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 5.04 %
RY.PR.J FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.06 %
FTS.PR.J Perpetual-Premium 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.99 %
BAM.PR.Z FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 24.24
Evaluated at bid price : 24.70
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.89 %
MFC.PR.M FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.58
Evaluated at bid price : 23.20
Bid-YTW : 4.47 %
PWF.PR.L Perpetual-Premium 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-20
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.13 %
SLF.PR.E Insurance Straight 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 4.79 %
EMA.PR.L Perpetual-Discount 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.52
Evaluated at bid price : 23.85
Bid-YTW : 4.83 %
NA.PR.W FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.62
Evaluated at bid price : 23.30
Bid-YTW : 4.31 %
BAM.PF.G FixedReset Disc 6.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %
BAM.PF.F FixedReset Disc 6.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.49
Evaluated at bid price : 23.00
Bid-YTW : 5.02 %
TRP.PR.G FixedReset Disc 92.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.69
Evaluated at bid price : 23.60
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 119,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.39 %
CM.PR.R FixedReset Prem 36,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.49 %
CM.PR.T FixedReset Prem 35,099 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.75 %
POW.PR.G Perpetual-Premium 19,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-20
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -16.29 %
SLF.PR.E Insurance Straight 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 4.79 %
PVS.PR.J SplitShare 13,659 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.46 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 13.88 – 24.18
Spot Rate : 10.3000
Average : 5.4696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.40 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.28
Spot Rate : 1.9300
Average : 1.1111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.11 %
BAM.PR.T FixedReset Disc Quote: 20.32 – 22.34
Spot Rate : 2.0200
Average : 1.3839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.16 %
SLF.PR.H FixedReset Ins Non Quote: 21.30 – 22.25
Spot Rate : 0.9500
Average : 0.5708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.45 %
IAF.PR.B Insurance Straight Quote: 24.04 – 25.00
Spot Rate : 0.9600
Average : 0.6155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 4.83 %
MFC.PR.N FixedReset Ins Non Quote: 22.75 – 23.75
Spot Rate : 1.0000
Average : 0.6643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.27
Evaluated at bid price : 22.75
Bid-YTW : 4.48 %