Issue Comments

LCS.PR.A To Get Bigger

Brompton Group has announced:

Brompton Lifeco Split Corp. (the “Company”) is pleased to announce it is undertaking an overnight treasury offering of class A and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively).

The sales period for this overnight offering will end at 9:00 a.m. (ET) on Friday, January 7, 2022. The offering is expected to close on or about January 13, 2022 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (“TSX”).

The Class A Shares will be offered at a price of $6.95 per Class A Share for a distribution rate of 12.9% on the issue price, and the Preferred Shares will be offered at a price of $10.05 per Preferred Share for a yield to maturity of 6.6%.(1) The closing market price on the TSX for each of the Class A Shares and Preferred Shares on January 5, 2022 was $7.06 and $10.30, respectively. The Class A Share and Preferred Share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (“Unit”) (calculated as at December 30, 2021), as adjusted for dividends and certain expenses to be accrued
prior to or upon settlement of the offering. The offering is being led by RBC Capital Markets.

The Company invests in a portfolio (the “Portfolio”) of common shares of the four Canadian life insurance companies on an approximately equal weight basis: Great-West Lifeco Inc., iA Financial Corporation Inc., Manulife Financial Corporation and Sun Life Financial Inc.

Over the last 3 years, the Class A Shares have delivered a 42.0% per annum total return based on net asset value (“NAV”) and the Preferred Shares have returned 6.4% per annum, as of December 31, 2021.(1)

The investment objectives for the Class A Shares are to provide holders with regular monthly cash distributions targeted to be at least $0.075 per Class A Share and to provide the opportunity for growth in the net asset value per Class A Share.

The investment objectives for the Preferred Shares are to provide holders with fixed cumulative preferential quarterly cash distributions, currently in the amount of $0.15625 per Preferred Share, and to return the original issue price to holders of Preferred Shares on April 29, 2024.

The NAVPU of the fund was 16.40 per whole unit on 2021-12-30 so the new issue comes at a premium of 3.7% over the December 30 price.

Update, 2022-1-7:They raised $40.5-million:

Brompton Lifeco Split Corp. (the “Company”) is pleased to announce a successful overnight treasury offering of class A shares and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively). Gross proceeds of the offering are expected to be approximately $40.5 million. The offering is expected to close on or about January 13, 2022 and is subject to certain closing conditions. The Company has granted the Agents (as defined below) an over-allotment option, exercisable for 30 days following the closing date of the offering, to purchase up to an additional 15% of the number of Class A Shares and Preferred Shares issued at the closing of the offering.

Issue Comments

ALA.PR.K : Intent To Redeem

AltaGas Ltd. has announced:

that it has priced an offering of $300 million of 5.25% Fixed-to-Fixed Rate Subordinated Notes, Series 1 due January 11, 2082 (the “Offering”).

The Offering is expected to close on or about January 11, 2022. The Company intends to use the net proceeds of the offering to redeem or repurchase its outstanding cumulative redeemable five-year rate reset preferred shares, series K (TSX: ALA.PR.K).

The subordinated notes are being offered through a syndicate of underwriters, co-led by CIBC Capital Markets, BMO Capital Markets and RBC Capital Markets, under AltaGas’ short form base shelf prospectus dated February 22, 2021, as supplemented by a prospectus supplement dated January 5, 2022.

ALA.PR.K is a FixedReset, 5.00%+380M500, that commenced trading 2017-2-22 after being announced 2017-2-13. It is tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

Thanks to Assiduous Reader CanSiamCyp for bringing this to my attention!

Update, 2022-1-16: The sub-debt offering closed:

AltaGas Ltd. (“AltaGas” or the “Company”) (TSX: ALA) today announced that it has closed its previously announced offering of $300 million of 5.25% Fixed-to-Fixed Rate Subordinated Notes, Series 1 due January 11, 2082 (the “Offering”).

The Company intends to use the net proceeds of the offering to redeem or repurchase its outstanding cumulative redeemable five-year rate reset preferred shares, series K (TSX: ALA.PR.K). As a result of the Offering, based on current rates, AltaGas expects to save approximately $66 million in the initial ten-year term of the Offering due to lower taxes and financing charges. The Offering also continues to stagger, extend and de-risk AltaGas’ capital structure.

The subordinated notes are being offered through a syndicate of underwriters, co-led by CIBC Capital Markets, BMO Capital Markets and RBC Capital Markets, under AltaGas’ short form base shelf prospectus dated February 22, 2021, as supplemented by a prospectus supplement dated January 5, 2022.

Market Action

January 6, 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 3.04 % 3.52 % 40,599 20.05 1 -0.2973 % 2,866.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0932 % 5,320.3
Floater 2.99 % 3.01 % 55,203 19.72 3 0.0932 % 3,066.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1045 % 3,647.1
SplitShare 4.71 % 4.32 % 32,820 3.59 6 -0.1045 % 4,355.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1045 % 3,398.3
Perpetual-Premium 5.15 % -13.44 % 42,518 0.09 23 -0.0930 % 3,262.1
Perpetual-Discount 4.77 % 4.84 % 51,085 15.76 11 -0.4853 % 3,855.3
FixedReset Disc 3.96 % 3.93 % 102,026 16.97 42 0.0042 % 2,841.8
Insurance Straight 4.89 % 4.53 % 80,539 15.72 18 -0.1190 % 3,667.9
FloatingReset 2.63 % 2.97 % 33,268 19.82 2 0.8090 % 2,831.9
FixedReset Prem 4.69 % 2.94 % 117,688 1.31 28 -0.0735 % 2,741.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0042 % 2,904.9
FixedReset Ins Non 4.08 % 3.74 % 68,270 17.29 17 0.3840 % 2,980.1
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
BAM.PR.Z FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.62
Evaluated at bid price : 24.15
Bid-YTW : 4.51 %
FTS.PR.H FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.04 %
CIU.PR.A Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.88 %
BAM.PF.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.42
Evaluated at bid price : 22.82
Bid-YTW : 4.46 %
SLF.PR.H FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
SLF.PR.C Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 4.57 %
BMO.PR.F FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.58 %
TD.PF.D FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.57 %
CU.PR.E Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-05
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.99 %
TRP.PR.F FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 2.97 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.45 %
FTS.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.03 %
TD.PF.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.16 %
BMO.PR.W FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.15
Evaluated at bid price : 24.36
Bid-YTW : 3.69 %
FTS.PR.M FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
FTS.PR.K FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.05 %
MFC.PR.N FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.82
Evaluated at bid price : 23.74
Bid-YTW : 3.84 %
SLF.PR.G FixedReset Ins Non 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.56 %
MFC.PR.F FixedReset Ins Non 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Prem 79,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.81 %
NA.PR.S FixedReset Disc 33,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.37
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
TRP.PR.A FixedReset Disc 31,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.48 %
BMO.PR.B FixedReset Prem 26,472 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.90 %
FTS.PR.M FixedReset Disc 25,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
SLF.PR.H FixedReset Ins Non 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
There were 9 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: 12.50 – 24.19
Spot Rate : 11.6900
Average : 6.5488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.25 %
TRP.PR.A FixedReset Disc Quote: 18.75 – 20.70
Spot Rate : 1.9500
Average : 1.3347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.48 %
BAM.PR.Z FixedReset Disc Quote: 24.15 – 24.94
Spot Rate : 0.7900
Average : 0.4981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.62
Evaluated at bid price : 24.15
Bid-YTW : 4.51 %
CU.PR.G Perpetual-Discount Quote: 24.00 – 24.91
Spot Rate : 0.9100
Average : 0.6629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
IFC.PR.I Perpetual-Premium Quote: 26.37 – 27.60
Spot Rate : 1.2300
Average : 1.0240

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.55 %
BAM.PF.E FixedReset Disc Quote: 20.87 – 22.30
Spot Rate : 1.4300
Average : 1.2764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-06
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 4.68 %
Issue Comments

BEP.PR.E To Be Redeemed

Brookfield Renewable Partners L.P. has announced:

that it intends to redeem all of its outstanding Class A Preferred Limited Partnership Units, Series 5 (the “Series 5 Preferred Units”) (TSX: BEP.PR.E) for cash on January 31, 2022. The redemption price for each Series 5 Preferred Unit will be C$25.25. Holders of Series 5 Preferred Units of record as of January 14, 2022 will receive the previously declared final quarterly distribution of C$0.3494 per Series 5 Preferred Unit.

BEP.PR.E is a Straight Perpetual, 5.59%, that commenced trading 2016-2-11 (with complex distributions) following a 41% conversion from BRF.PR.E.

Market Action

January 5, 2022

PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.40%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 285bp reported December 22.

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 3.04 % 3.51 % 37,558 20.07 1 0.6484 % 2,874.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7750 % 5,315.4
Floater 3.00 % 3.02 % 57,310 19.70 3 0.7750 % 3,063.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1435 % 3,650.9
SplitShare 4.70 % 4.27 % 34,184 3.59 6 -0.1435 % 4,360.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1435 % 3,401.9
Perpetual-Premium 5.15 % -13.15 % 41,194 0.09 23 0.0237 % 3,265.2
Perpetual-Discount 4.74 % 4.80 % 50,295 15.81 11 -0.0735 % 3,874.1
FixedReset Disc 3.96 % 3.92 % 102,298 16.86 42 -1.1102 % 2,841.7
Insurance Straight 4.89 % 4.49 % 81,444 3.38 18 -0.1035 % 3,672.3
FloatingReset 2.65 % 3.01 % 32,090 19.74 2 1.4956 % 2,809.1
FixedReset Prem 4.69 % 2.82 % 118,468 1.78 28 -0.0166 % 2,743.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.1102 % 2,904.8
FixedReset Ins Non 4.09 % 3.78 % 71,087 17.29 17 -0.1422 % 2,968.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.25 %
CU.PR.F Perpetual-Discount -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.75 %
BAM.PR.T FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.60 %
BAM.PF.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.68 %
SLF.PR.G FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.68 %
MFC.PR.N FixedReset Ins Non -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.95 %
BMO.PR.W FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 3.76 %
TRP.PR.D FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.50 %
GWO.PR.I Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 4.67 %
SLF.PR.E Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.58 %
FTS.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.10 %
SLF.PR.C Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.51
Evaluated at bid price : 24.76
Bid-YTW : 4.51 %
NA.PR.W FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.09
Evaluated at bid price : 24.30
Bid-YTW : 3.68 %
BAM.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.60
Evaluated at bid price : 24.95
Bid-YTW : 4.38 %
BAM.PF.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.71
Evaluated at bid price : 25.15
Bid-YTW : 4.26 %
TD.PF.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
SLF.PR.H FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.48
Evaluated at bid price : 23.35
Bid-YTW : 3.62 %
PWF.PF.A Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.78
Evaluated at bid price : 25.20
Bid-YTW : 4.52 %
BAM.PR.X FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 4.32 %
TD.PF.D FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.23 %
BMO.PR.F FixedReset Prem 1.89 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 2.08 %
CU.PR.G Perpetual-Discount 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.56
Evaluated at bid price : 24.80
Bid-YTW : 4.57 %
SLF.PR.J FloatingReset 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 2.31 %
PWF.PR.P FixedReset Disc 7.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 248,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.58 %
NA.PR.C FixedReset Prem 173,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 1.92 %
TD.PF.A FixedReset Disc 60,409 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
GWO.PR.Y Insurance Straight 26,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.49 %
BAM.PF.G FixedReset Disc 24,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.39 %
CU.PR.J Perpetual-Discount 22,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.61
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 25.85 – 28.00
Spot Rate : 2.1500
Average : 1.4227

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-04
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : -10.33 %
BAM.PR.K Floater Quote: 14.25 – 15.50
Spot Rate : 1.2500
Average : 0.8476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 3.02 %
CU.PR.F Perpetual-Discount Quote: 23.90 – 25.00
Spot Rate : 1.1000
Average : 0.7375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.75 %
IFC.PR.I Perpetual-Premium Quote: 26.45 – 27.60
Spot Rate : 1.1500
Average : 0.7981

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.49 %
BAM.PF.E FixedReset Disc Quote: 20.85 – 22.30
Spot Rate : 1.4500
Average : 1.1080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.68 %
BAM.PF.F FixedReset Disc Quote: 23.50 – 24.70
Spot Rate : 1.2000
Average : 0.8590

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.76
Evaluated at bid price : 23.50
Bid-YTW : 4.47 %
Market Action

January 4, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.06 % 3.54 % 36,880 20.03 1 -0.1494 % 2,856.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9148 % 5,274.5
Floater 3.02 % 3.04 % 59,158 19.65 3 1.9148 % 3,039.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0978 % 3,656.2
SplitShare 4.70 % 4.25 % 34,000 3.59 6 -0.0978 % 4,366.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0978 % 3,406.7
Perpetual-Premium 5.15 % -13.08 % 42,896 0.09 23 0.2102 % 3,264.4
Perpetual-Discount 4.74 % 4.75 % 51,960 15.88 11 0.0257 % 3,876.9
FixedReset Disc 3.92 % 3.96 % 103,753 16.90 42 1.2408 % 2,873.6
Insurance Straight 4.88 % 4.47 % 76,897 3.38 18 0.3203 % 3,676.1
FloatingReset 2.69 % 3.02 % 31,182 19.72 2 1.0071 % 2,767.7
FixedReset Prem 4.69 % 2.87 % 119,916 1.79 28 0.2991 % 2,743.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2408 % 2,937.4
FixedReset Ins Non 4.09 % 3.73 % 72,245 17.26 17 1.0300 % 2,972.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -5.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.21 %
SLF.PR.C Insurance Straight -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.55 %
CU.PR.I FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 2.81 %
NA.PR.E FixedReset Prem 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.86
Evaluated at bid price : 25.22
Bid-YTW : 3.93 %
MFC.PR.M FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 3.90 %
TD.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.05
Evaluated at bid price : 24.10
Bid-YTW : 3.75 %
SLF.PR.J FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 2.37 %
SLF.PR.E Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 4.52 %
BMO.PR.T FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.17
Evaluated at bid price : 24.30
Bid-YTW : 3.69 %
BMO.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.36
Evaluated at bid price : 24.65
Bid-YTW : 3.73 %
MFC.PR.J FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.93
Evaluated at bid price : 25.25
Bid-YTW : 3.94 %
SLF.PR.H FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.31
Evaluated at bid price : 23.03
Bid-YTW : 3.68 %
IFC.PR.G FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.78
Evaluated at bid price : 25.11
Bid-YTW : 3.92 %
TRP.PR.G FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.31 %
BAM.PR.N Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.79 %
PWF.PR.Z Perpetual-Premium 1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 1.09 %
FTS.PR.M FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.57
Evaluated at bid price : 23.20
Bid-YTW : 4.18 %
BIP.PR.A FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.02
Evaluated at bid price : 24.25
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.43 %
MFC.PR.L FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.46
Evaluated at bid price : 22.92
Bid-YTW : 3.90 %
TRP.PR.E FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.41 %
MFC.PR.N FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.78
Evaluated at bid price : 23.65
Bid-YTW : 3.86 %
BMO.PR.Y FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
BAM.PR.Z FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.24
Evaluated at bid price : 24.67
Bid-YTW : 4.42 %
BAM.PF.E FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 4.58 %
NA.PR.W FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.08
Evaluated at bid price : 24.27
Bid-YTW : 3.74 %
BAM.PF.A FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.60
Evaluated at bid price : 24.85
Bid-YTW : 4.33 %
BAM.PF.F FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.83
Evaluated at bid price : 23.63
Bid-YTW : 4.44 %
BAM.PR.X FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.39 %
GWO.PR.N FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.73 %
BAM.PF.G FixedReset Disc 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 22.45
Evaluated at bid price : 23.10
Bid-YTW : 4.37 %
GWO.PR.S Insurance Straight 3.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-03
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : -10.49 %
BAM.PR.T FixedReset Disc 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.45 %
BAM.PR.R FixedReset Disc 4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.42 %
FTS.PR.H FixedReset Disc 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.96 %
TRP.PR.C FixedReset Disc 4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.20 %
BNS.PR.I FixedReset Prem 6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 23.73
Evaluated at bid price : 25.46
Bid-YTW : 3.73 %
TRP.PR.B FixedReset Disc 6.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 4.45 %
BAM.PR.K Floater 6.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 3.05 %
SLF.PR.G FixedReset Ins Non 6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 30,879 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.71
Evaluated at bid price : 25.11
Bid-YTW : 4.75 %
PWF.PR.K Perpetual-Discount 22,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-03
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.20 %
TRP.PR.A FixedReset Disc 12,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 4.48 %
NA.PR.G FixedReset Prem 11,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.77 %
BAM.PR.X FixedReset Disc 10,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.39 %
PWF.PR.P FixedReset Disc 10,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.21 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 18.74 – 20.70
Spot Rate : 1.9600
Average : 1.2192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 4.48 %
PWF.PR.P FixedReset Disc Quote: 16.75 – 18.50
Spot Rate : 1.7500
Average : 1.2155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.21 %
GWO.PR.Y Insurance Straight Quote: 25.01 – 26.10
Spot Rate : 1.0900
Average : 0.6300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.61
Evaluated at bid price : 25.01
Bid-YTW : 4.50 %
BAM.PR.M Perpetual-Discount Quote: 24.60 – 25.49
Spot Rate : 0.8900
Average : 0.6466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.84 %
PWF.PF.A Perpetual-Discount Quote: 24.85 – 25.50
Spot Rate : 0.6500
Average : 0.4124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.45
Evaluated at bid price : 24.85
Bid-YTW : 4.59 %
SLF.PR.C Insurance Straight Quote: 24.50 – 25.05
Spot Rate : 0.5500
Average : 0.3421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-04
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.55 %
Market Action

December 31, 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 3.05 % 3.53 % 35,854 20.05 1 0.6516 % 2,860.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4855 % 5,175.4
Floater 3.08 % 3.00 % 58,998 19.70 3 -1.4855 % 2,982.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1497 % 3,659.8
SplitShare 4.69 % 4.22 % 35,413 3.60 6 -0.1497 % 4,370.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1497 % 3,410.1
Perpetual-Premium 5.16 % -11.27 % 41,877 0.09 23 -0.1287 % 3,257.5
Perpetual-Discount 4.74 % 4.80 % 53,172 15.78 11 -0.6209 % 3,875.9
FixedReset Disc 3.97 % 3.96 % 104,297 17.08 42 0.0021 % 2,838.4
Insurance Straight 4.95 % 4.46 % 81,308 13.82 19 -0.3796 % 3,664.3
FloatingReset 2.70 % 3.01 % 31,356 19.69 2 0.0593 % 2,740.2
FixedReset Prem 4.70 % 2.90 % 119,387 1.80 28 -0.2180 % 2,735.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0021 % 2,901.4
FixedReset Ins Non 4.13 % 3.83 % 82,783 17.40 18 0.0024 % 2,942.6
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
BNS.PR.I FixedReset Prem -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
CU.PR.G Perpetual-Discount -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.72 %
BAM.PR.R FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.54 %
GWO.PR.S Insurance Straight -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.74
Evaluated at bid price : 25.00
Bid-YTW : 5.27 %
MFC.PR.N FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.88 %
GWO.PR.F Insurance Straight -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.05 %
SLF.PR.E Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.73 %
SLF.PR.J FloatingReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 2.37 %
IFC.PR.G FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.63
Evaluated at bid price : 24.75
Bid-YTW : 3.92 %
BAM.PF.E FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.59 %
BAM.PR.M Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.84 %
BMO.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.89
Evaluated at bid price : 24.00
Bid-YTW : 3.96 %
TD.PF.I FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 3.62 %
BIP.PR.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.85
Evaluated at bid price : 23.88
Bid-YTW : 4.88 %
TRP.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 4.31 %
BAM.PR.T FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.55 %
BAM.PR.N Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 4.85 %
FTS.PR.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.98 %
BAM.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.61
Evaluated at bid price : 24.14
Bid-YTW : 4.43 %
TRP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.39 %
CM.PR.Q FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.57 %
BAM.PR.X FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 4.40 %
BAM.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.76
Evaluated at bid price : 23.06
Bid-YTW : 4.34 %
TRP.PR.F FloatingReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.01 %
BAM.PR.C Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 3.00 %
MFC.PR.L FixedReset Ins Non 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.18
Evaluated at bid price : 22.51
Bid-YTW : 3.90 %
PWF.PR.P FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.87 %
MFC.PR.F FixedReset Ins Non 4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 68,778 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.40 %
RY.PR.S FixedReset Prem 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.72
Evaluated at bid price : 25.50
Bid-YTW : 3.64 %
FTS.PR.M FixedReset Disc 36,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.35
Evaluated at bid price : 22.85
Bid-YTW : 4.17 %
BNS.PR.H FixedReset Prem 24,403 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 2.79 %
TD.PF.C FixedReset Disc 21,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.10
Evaluated at bid price : 24.30
Bid-YTW : 3.67 %
TRP.PR.C FixedReset Disc 19,537 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.30 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Ins Non Quote: 17.25 – 19.00
Spot Rate : 1.7500
Average : 1.0594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.73 %
BNS.PR.I FixedReset Prem Quote: 24.00 – 25.65
Spot Rate : 1.6500
Average : 1.0042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
GWO.PR.F Insurance Straight Quote: 24.50 – 25.50
Spot Rate : 1.0000
Average : 0.5278

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.05 %
GWO.PR.L Insurance Straight Quote: 25.55 – 26.55
Spot Rate : 1.0000
Average : 0.5457

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -19.81 %
BAM.PR.K Floater Quote: 13.26 – 14.30
Spot Rate : 1.0400
Average : 0.6438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
TRP.PR.E FixedReset Disc Quote: 20.85 – 21.85
Spot Rate : 1.0000
Average : 0.6284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.41 %
Market Action

December 30, 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 3.07 % 3.56 % 36,353 20.01 1 -0.9926 % 2,842.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2838 % 5,253.5
Floater 3.03 % 3.02 % 59,734 19.66 3 0.2838 % 3,027.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1107 % 3,665.3
SplitShare 4.69 % 4.18 % 36,883 3.61 6 0.1107 % 4,377.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1107 % 3,415.2
Perpetual-Premium 5.15 % -11.37 % 41,871 0.09 23 0.1968 % 3,261.7
Perpetual-Discount 4.71 % 4.74 % 52,483 15.87 11 0.9252 % 3,900.1
FixedReset Disc 3.97 % 3.99 % 104,403 17.05 42 1.3152 % 2,838.4
Insurance Straight 4.93 % 0.94 % 79,262 0.09 19 0.3411 % 3,678.3
FloatingReset 2.70 % 3.06 % 29,564 19.57 2 3.1804 % 2,738.5
FixedReset Prem 4.69 % 2.90 % 119,316 2.18 28 0.3860 % 2,741.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.3152 % 2,901.4
FixedReset Ins Non 4.11 % 3.75 % 82,325 17.38 18 0.4507 % 2,942.6
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.00 %
MFC.PR.F FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.85 %
MFC.PR.Q FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.88
Evaluated at bid price : 25.37
Bid-YTW : 3.78 %
FTS.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.36
Evaluated at bid price : 22.86
Bid-YTW : 4.17 %
ELF.PR.H Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : -19.46 %
TD.PF.J FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 2.98 %
RY.PR.S FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.68
Evaluated at bid price : 25.40
Bid-YTW : 3.66 %
BAM.PF.F FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.45
Evaluated at bid price : 22.97
Bid-YTW : 4.50 %
TRP.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 4.27 %
TRP.PR.G FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.77
Evaluated at bid price : 23.80
Bid-YTW : 4.25 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.21
Evaluated at bid price : 24.40
Bid-YTW : 3.61 %
BMO.PR.W FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.11
Evaluated at bid price : 24.26
Bid-YTW : 3.63 %
BIP.PR.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.99
Evaluated at bid price : 24.19
Bid-YTW : 4.81 %
BAM.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.80 %
BMO.PR.S FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.25
Evaluated at bid price : 24.38
Bid-YTW : 3.71 %
PWF.PR.T FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.20
Evaluated at bid price : 24.14
Bid-YTW : 3.86 %
TD.PF.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.67 %
BAM.PR.M Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.68
Evaluated at bid price : 24.96
Bid-YTW : 4.77 %
FTS.PR.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.02 %
BAM.PF.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.53 %
NA.PR.S FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.38
Evaluated at bid price : 24.69
Bid-YTW : 3.74 %
SLF.PR.E Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 0.94 %
BAM.PR.R FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 4.41 %
RS.PR.A SplitShare 1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.46
Bid-YTW : 4.02 %
MFC.PR.N FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.78
Evaluated at bid price : 23.67
Bid-YTW : 3.78 %
CU.PR.G Perpetual-Discount 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.54
Evaluated at bid price : 24.79
Bid-YTW : 4.57 %
TRP.PR.E FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.39 %
SLF.PR.J FloatingReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 2.34 %
TRP.PR.D FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 4.38 %
SLF.PR.H FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.06
Evaluated at bid price : 22.61
Bid-YTW : 3.69 %
BMO.PR.T FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.64 %
BAM.PF.B FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.38
Evaluated at bid price : 22.76
Bid-YTW : 4.39 %
PWF.PR.P FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.99 %
SLF.PR.G FixedReset Ins Non 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.68 %
TRP.PR.A FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.44 %
CU.PR.F Perpetual-Discount 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.50
Evaluated at bid price : 24.77
Bid-YTW : 4.57 %
TRP.PR.F FloatingReset 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 3.06 %
CU.PR.C FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.30
Evaluated at bid price : 23.07
Bid-YTW : 4.00 %
BAM.PF.G FixedReset Disc 6.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.07
Evaluated at bid price : 22.50
Bid-YTW : 4.42 %
BAM.PR.T FixedReset Disc 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 21,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 0.88 %
FTS.PR.H FixedReset Disc 18,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.05 %
BMO.PR.S FixedReset Disc 12,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.25
Evaluated at bid price : 24.38
Bid-YTW : 3.71 %
BAM.PR.B Floater 12,818 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 3.01 %
BMO.PR.B FixedReset Prem 12,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.92 %
TRP.PR.A FixedReset Disc 12,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.44 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 25.65 – 28.00
Spot Rate : 2.3500
Average : 1.3069

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.50
Evaluated at bid price : 25.65
Bid-YTW : -2.16 %
CU.PR.D Perpetual-Premium Quote: 25.27 – 26.27
Spot Rate : 1.0000
Average : 0.6049

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -3.45 %
MFC.PR.L FixedReset Ins Non Quote: 21.90 – 23.14
Spot Rate : 1.2400
Average : 0.8651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.00 %
PWF.PR.E Perpetual-Premium Quote: 25.66 – 26.50
Spot Rate : 0.8400
Average : 0.4775

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : -14.77 %
TRP.PR.B FixedReset Disc Quote: 13.26 – 15.00
Spot Rate : 1.7400
Average : 1.4454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.59 %
IAF.PR.G FixedReset Ins Non Quote: 25.15 – 25.80
Spot Rate : 0.6500
Average : 0.4170

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.56 %
Market Action

December 29, 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 3.04 % 3.53 % 37,823 20.01 1 1.0025 % 2,870.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0514 % 5,238.6
Floater 3.04 % 3.04 % 61,876 19.62 3 1.0514 % 3,019.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2858 % 3,661.2
SplitShare 4.69 % 4.37 % 37,516 3.56 6 -0.2858 % 4,372.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2858 % 3,411.4
Perpetual-Premium 5.16 % -11.59 % 42,393 0.09 23 0.1223 % 3,255.3
Perpetual-Discount 4.76 % 4.80 % 52,391 15.79 11 0.2550 % 3,864.4
FixedReset Disc 4.02 % 4.05 % 106,089 16.99 42 0.1227 % 2,801.5
Insurance Straight 4.95 % 4.49 % 80,495 0.50 19 0.1236 % 3,665.8
FloatingReset 2.79 % 2.39 % 33,657 21.35 2 -0.7587 % 2,654.1
FixedReset Prem 4.71 % 3.19 % 119,408 2.21 28 0.3272 % 2,731.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1227 % 2,863.7
FixedReset Ins Non 4.13 % 3.81 % 79,515 17.40 18 -0.0654 % 2,929.4
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.82 %
MFC.PR.F FixedReset Ins Non -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.80 %
BMO.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.77
Evaluated at bid price : 23.50
Bid-YTW : 3.77 %
TRP.PR.F FloatingReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.19 %
SLF.PR.H FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 3.81 %
RS.PR.A SplitShare -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.40
Bid-YTW : 4.53 %
SLF.PR.E Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.35
Evaluated at bid price : 24.66
Bid-YTW : 4.57 %
TD.PF.D FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.07
Evaluated at bid price : 24.40
Bid-YTW : 3.99 %
CU.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 4.28 %
TD.PF.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.91
Evaluated at bid price : 23.82
Bid-YTW : 3.72 %
BAM.PF.B FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.52 %
BMO.PR.Y FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.00
Evaluated at bid price : 24.25
Bid-YTW : 3.91 %
MFC.PR.N FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.55
Evaluated at bid price : 23.24
Bid-YTW : 3.87 %
CU.PR.J Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.68 %
BAM.PR.B Floater 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 3.03 %
BAM.PR.E Ratchet 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 3.53 %
GWO.PR.Y Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.49 %
IFC.PR.I Perpetual-Premium 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 4.42 %
NA.PR.G FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.76
Evaluated at bid price : 25.40
Bid-YTW : 4.04 %
CM.PR.T FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.63 %
TD.PF.K FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.75
Evaluated at bid price : 25.35
Bid-YTW : 3.87 %
CU.PR.G Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.02
Evaluated at bid price : 24.30
Bid-YTW : 4.66 %
BAM.PR.K Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.04 %
FTS.PR.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.09 %
TRP.PR.G FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 4.31 %
TD.PF.M FixedReset Prem 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.79 %
BIP.PR.A FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.85
Evaluated at bid price : 23.88
Bid-YTW : 4.88 %
BAM.PF.F FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.27
Evaluated at bid price : 22.69
Bid-YTW : 4.57 %
RY.PR.J FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.62 %
BAM.PF.A FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.75
Evaluated at bid price : 24.10
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.57 %
TRP.PR.C FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 4.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 26,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.68 %
PWF.PF.A Perpetual-Discount 21,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.56 %
GWO.PR.Y Insurance Straight 16,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.49 %
BAM.PR.B Floater 14,655 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 3.03 %
MFC.PR.R FixedReset Ins Non 12,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.08 %
GWO.PR.F Insurance Straight 12,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 5.93 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 21.75 – 24.97
Spot Rate : 3.2200
Average : 1.9137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 4.28 %
TRP.PR.B FixedReset Disc Quote: 13.25 – 15.00
Spot Rate : 1.7500
Average : 1.1225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.59 %
SLF.PR.E Insurance Straight Quote: 24.66 – 25.66
Spot Rate : 1.0000
Average : 0.5802

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.35
Evaluated at bid price : 24.66
Bid-YTW : 4.57 %
BAM.PR.T FixedReset Disc Quote: 18.90 – 20.15
Spot Rate : 1.2500
Average : 0.8939

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.82 %
BAM.PF.B FixedReset Disc Quote: 22.10 – 23.65
Spot Rate : 1.5500
Average : 1.2736

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.52 %
TRP.PR.F FloatingReset Quote: 16.30 – 17.49
Spot Rate : 1.1900
Average : 0.9627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.19 %
Market Action

December 24, 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 3.07 % 3.57 % 37,754 19.96 1 0.2513 % 2,842.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3809 % 5,184.1
Floater 3.07 % 3.07 % 64,098 19.55 3 -0.3809 % 2,987.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0649 % 3,671.7
SplitShare 4.68 % 4.14 % 38,858 3.58 6 -0.0649 % 4,384.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0649 % 3,421.2
Perpetual-Premium 5.17 % -10.89 % 42,266 0.09 23 -0.0255 % 3,251.4
Perpetual-Discount 4.77 % 4.81 % 52,398 15.84 11 -0.1329 % 3,854.6
FixedReset Disc 4.03 % 3.94 % 105,867 17.23 42 0.0409 % 2,798.1
Insurance Straight 4.96 % 4.49 % 81,209 0.51 19 0.0189 % 3,661.3
FloatingReset 2.60 % 2.96 % 28,567 19.82 2 0.6107 % 2,674.4
FixedReset Prem 4.72 % 3.55 % 121,860 2.41 28 -0.0908 % 2,722.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0409 % 2,860.2
FixedReset Ins Non 4.13 % 3.68 % 80,165 17.67 18 0.0557 % 2,931.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 3.94 %
TD.PF.E FixedReset Disc -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.91
Evaluated at bid price : 24.10
Bid-YTW : 3.99 %
BAM.PF.F FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.00
Evaluated at bid price : 22.31
Bid-YTW : 4.51 %
RY.PR.J FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.84 %
MFC.PR.L FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 3.74 %
TRP.PR.C FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.33 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.38 %
CM.PR.Y FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.55 %
CM.PR.T FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.72 %
CM.PR.R FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 24.73
Evaluated at bid price : 25.13
Bid-YTW : 4.56 %
BAM.PR.B Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.06 %
TD.PF.K FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.64
Evaluated at bid price : 25.05
Bid-YTW : 3.80 %
BIP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.66
Evaluated at bid price : 23.50
Bid-YTW : 4.85 %
BMO.PR.F FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 2.79 %
IFC.PR.F Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.64 %
CU.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 21.64
Evaluated at bid price : 22.02
Bid-YTW : 4.06 %
BAM.PR.X FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.30 %
IFC.PR.A FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.48 %
BAM.PR.Z FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.08
Evaluated at bid price : 23.63
Bid-YTW : 4.38 %
SLF.PR.J FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 2.22 %
TD.PF.D FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.66 %
BAM.PR.R FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.32 %
TD.PF.J FixedReset Prem 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.94
Evaluated at bid price : 25.44
Bid-YTW : 3.80 %
BAM.PF.B FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.09
Evaluated at bid price : 22.36
Bid-YTW : 4.33 %
MFC.PR.F FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.55 %
BAM.PR.T FixedReset Disc 5.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 4.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 129,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.51 %
TRP.PR.K FixedReset Prem 53,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 1.86 %
BNS.PR.H FixedReset Prem 36,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.41 %
NA.PR.C FixedReset Prem 25,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 2.92 %
BMO.PR.D FixedReset Prem 21,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 2.91 %
There were 0 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 – 23.99
Spot Rate : 2.9900
Average : 2.4701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.63 %
TD.PF.E FixedReset Disc Quote: 24.10 – 25.10
Spot Rate : 1.0000
Average : 0.6438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.91
Evaluated at bid price : 24.10
Bid-YTW : 3.99 %
BAM.PF.F FixedReset Disc Quote: 22.31 – 23.00
Spot Rate : 0.6900
Average : 0.5444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.00
Evaluated at bid price : 22.31
Bid-YTW : 4.51 %
CM.PR.Y FixedReset Prem Quote: 26.20 – 26.69
Spot Rate : 0.4900
Average : 0.3526

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.55 %
CU.PR.G Perpetual-Discount Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.72 %
NA.PR.W FixedReset Disc Quote: 23.70 – 24.08
Spot Rate : 0.3800
Average : 0.2758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.81
Evaluated at bid price : 23.70
Bid-YTW : 3.65 %