Market Action

December 23, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.08 % 3.59 % 39,281 19.95 1 0.9128 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.4634 % 5,203.9
Floater 3.06 % 3.07 % 64,365 19.55 3 2.4634 % 2,999.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1593 % 3,674.1
SplitShare 4.67 % 4.13 % 41,222 3.58 6 0.1593 % 4,387.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1593 % 3,423.4
Perpetual-Premium 5.17 % -10.58 % 43,899 0.09 23 -0.0950 % 3,252.2
Perpetual-Discount 4.76 % 4.80 % 54,587 15.85 11 0.1441 % 3,859.7
FixedReset Disc 4.03 % 3.89 % 109,555 17.24 42 0.8133 % 2,796.9
Insurance Straight 4.96 % 4.48 % 84,457 4.20 19 0.2058 % 3,660.6
FloatingReset 2.62 % 2.94 % 29,782 19.87 2 1.3932 % 2,658.2
FixedReset Prem 4.72 % 3.21 % 116,990 2.27 28 0.5803 % 2,724.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8133 % 2,859.0
FixedReset Ins Non 4.13 % 3.64 % 80,585 17.65 18 0.2721 % 2,929.6
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.62 %
IFC.PR.F Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.93 %
BAM.PF.D Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-22
Maturity Price : 25.25
Evaluated at bid price : 25.35
Bid-YTW : -1.26 %
RS.PR.A SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.56
Bid-YTW : 4.08 %
BMO.PR.T FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.01
Evaluated at bid price : 23.96
Bid-YTW : 3.54 %
MFC.PR.L FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 22.50
Evaluated at bid price : 22.99
Bid-YTW : 3.66 %
GWO.PR.R Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 24.71
Evaluated at bid price : 24.95
Bid-YTW : 4.82 %
GWO.PR.H Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-22
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : -1.79 %
CM.PR.Y FixedReset Prem 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.00 %
TRP.PR.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 4.35 %
TRP.PR.B FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 4.32 %
CM.PR.T FixedReset Prem 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.12 %
RY.PR.M FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 22.92
Evaluated at bid price : 24.13
Bid-YTW : 3.71 %
CM.PR.S FixedReset Prem 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.90
Evaluated at bid price : 25.05
Bid-YTW : 3.64 %
TRP.PR.D FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 4.34 %
CM.PR.O FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.02
Evaluated at bid price : 23.96
Bid-YTW : 3.65 %
FTS.PR.K FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.02 %
BAM.PF.F FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 22.31
Evaluated at bid price : 22.75
Bid-YTW : 4.42 %
BIP.PR.A FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 22.79
Evaluated at bid price : 23.75
Bid-YTW : 4.79 %
BAM.PR.B Floater 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.02 %
TRP.PR.F FloatingReset 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 2.94 %
BMO.PR.Y FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.06
Evaluated at bid price : 24.40
Bid-YTW : 3.75 %
NA.PR.S FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.28
Evaluated at bid price : 24.45
Bid-YTW : 3.65 %
BAM.PF.E FixedReset Disc 4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.43 %
BAM.PR.K Floater 4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.08 %
TRP.PR.C FixedReset Disc 5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.26 %
BNS.PR.I FixedReset Prem 6.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.75
Evaluated at bid price : 25.55
Bid-YTW : 3.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 28,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.76 %
PWF.PF.A Perpetual-Discount 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 24.69
Evaluated at bid price : 25.10
Bid-YTW : 4.53 %
GWO.PR.Y Insurance Straight 24,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 24.41
Evaluated at bid price : 24.80
Bid-YTW : 4.53 %
RY.PR.Z FixedReset Disc 16,145 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.14
Evaluated at bid price : 24.15
Bid-YTW : 3.49 %
POW.PR.C Perpetual-Premium 14,025 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-22
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -21.51 %
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 – 24.00
Spot Rate : 3.0000
Average : 1.9000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.63 %
BAM.PF.B FixedReset Disc Quote: 21.80 – 23.70
Spot Rate : 1.9000
Average : 1.3331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.44 %
MFC.PR.K FixedReset Ins Non Quote: 23.77 – 24.50
Spot Rate : 0.7300
Average : 0.5092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 23.39
Evaluated at bid price : 23.77
Bid-YTW : 3.64 %
BAM.PR.T FixedReset Disc Quote: 18.90 – 19.94
Spot Rate : 1.0400
Average : 0.8254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.62 %
SLF.PR.J FloatingReset Quote: 16.05 – 16.80
Spot Rate : 0.7500
Average : 0.5712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-23
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 2.27 %
IFC.PR.F Insurance Straight Quote: 25.40 – 26.00
Spot Rate : 0.6000
Average : 0.4459

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.93 %
Market Action

December 22, 2021

A little bit of good news alongside the Christmas gloom … settlement times may decrease:

Industry measures mitigate these risks. Notably, the clearinghouse that guarantees trade completion collects collateral from the dealers that are party to the transaction. These collateral requirements reached unprecedented levels during the frenzied trading of 2020 when Canada’s central securities depository, CDS Clearing and Depository Services Inc., cleared 637 million trades — 31% more than in 2019.

A simpler defence against settlement risk is to shorten the settlement cycle itself, thereby narrowing the window of opportunity for default. In doing so, the industry would benefit, including through lower collateral needs, while further protecting investors.
…
When the U.S. House Committee on Financial Services examined events of last January that prompted some U.S. dealers to curtail trading in GameStop and other meme stocks, the clearing and settlement process was a key area of focus. Embroiled U.S. industry executives who testified before the committee described a flawed settlement system and pointed to the billions of dollars in additional collateral that their firms needed to sustain customers’ trading. These witnesses suggested eliminating collateral requirements altogether by moving to real-time settlement.
…
While real-time settlement was considered during the U.S.’s recent deliberations, it would have introduced many complications to current market structure, potentially reducing some of the efficiencies dealers and investors benefit from today. Hence the decision to move to T+1 instead.

The U.S. can autonomously amend its settlement cycle, having one of the world’s deepest, most liquid and efficient financial markets. Canadian markets are so interconnected with those south of the border that failing to align our settlement practices risks severe disruption and inefficiencies to Canadian investors and capital markets. Therefore, as in 2017, Canada will need to mirror the U.S. approach.

PerpetualDiscounts now yield 4.81%, equivalent to 6.25% 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 widened a little to 285bp from the 275bp reported December 15.

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 % 39,738 19.90 1 0.9729 % 2,809.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.7493 % 5,078.8
Floater 3.14 % 3.09 % 66,642 19.50 3 -1.7493 % 2,926.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0455 % 3,668.2
SplitShare 4.68 % 4.35 % 42,779 3.58 6 0.0455 % 4,380.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0455 % 3,418.0
Perpetual-Premium 5.16 % -8.16 % 43,490 0.09 23 0.2705 % 3,255.3
Perpetual-Discount 4.77 % 4.81 % 56,572 15.83 11 0.1666 % 3,854.1
FixedReset Disc 4.06 % 3.90 % 110,566 17.18 42 1.3281 % 2,774.4
Insurance Straight 4.97 % 4.53 % 85,390 15.70 19 0.0862 % 3,653.1
FloatingReset 2.65 % 3.02 % 30,281 19.69 2 0.0000 % 2,621.7
FixedReset Prem 4.75 % 3.53 % 117,850 2.27 28 -0.1277 % 2,709.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.3281 % 2,836.0
FixedReset Ins Non 4.14 % 3.71 % 83,911 17.65 18 0.0754 % 2,921.7
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
BNS.PR.I FixedReset Prem -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 23.13
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
BAM.PF.G FixedReset Disc -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.62 %
BAM.PF.E FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.64 %
MFC.PR.F FixedReset Ins Non -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.64 %
FTS.PR.H FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 3.90 %
TD.PF.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 23.01
Evaluated at bid price : 24.25
Bid-YTW : 3.90 %
CM.PR.Y FixedReset Prem -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.53 %
CM.PR.T FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.78 %
IFC.PR.I Perpetual-Premium 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 4.60 %
CM.PR.O FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 3.74 %
FTS.PR.M FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 22.15
Evaluated at bid price : 22.55
Bid-YTW : 4.10 %
BAM.PR.T FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 4.46 %
BAM.PF.C Perpetual-Premium 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.43 %
SLF.PR.H FixedReset Ins Non 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 21.83
Evaluated at bid price : 22.26
Bid-YTW : 3.63 %
TD.PF.A FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 22.97
Evaluated at bid price : 23.95
Bid-YTW : 3.56 %
PWF.PR.P FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.77 %
TRP.PR.G FixedReset Disc 90.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 22.43
Evaluated at bid price : 23.15
Bid-YTW : 4.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 150,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.68 %
BNS.PR.H FixedReset Prem 130,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.33 %
NA.PR.C FixedReset Prem 52,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 2.90 %
TRP.PR.E FixedReset Disc 46,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.41 %
CU.PR.J Perpetual-Discount 37,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 24.60
Evaluated at bid price : 24.99
Bid-YTW : 4.77 %
PWF.PF.A Perpetual-Discount 19,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 24.69
Evaluated at bid price : 25.10
Bid-YTW : 4.53 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.I FixedReset Prem Quote: 24.00 – 25.60
Spot Rate : 1.6000
Average : 1.1308

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 23.13
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
BAM.PR.K Floater Quote: 13.26 – 14.30
Spot Rate : 1.0400
Average : 0.7988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
TD.PF.D FixedReset Disc Quote: 24.25 – 24.90
Spot Rate : 0.6500
Average : 0.4232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 23.01
Evaluated at bid price : 24.25
Bid-YTW : 3.90 %
BAM.PF.G FixedReset Disc Quote: 21.00 – 21.90
Spot Rate : 0.9000
Average : 0.6939

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.62 %
TRP.PR.F FloatingReset Quote: 16.30 – 18.50
Spot Rate : 2.2000
Average : 2.0093

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.02 %
MFC.PR.F FixedReset Ins Non Quote: 17.45 – 18.24
Spot Rate : 0.7900
Average : 0.6266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-22
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.64 %
Market Action

December 21, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.14 % 3.68 % 39,542 19.84 1 -0.9132 % 2,782.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.0293 % 5,169.2
Floater 3.08 % 3.07 % 68,962 19.55 3 2.0293 % 2,979.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2936 % 3,666.6
SplitShare 4.68 % 4.34 % 43,393 3.77 6 0.2936 % 4,378.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2936 % 3,416.4
Perpetual-Premium 5.18 % -6.02 % 43,978 0.09 23 -0.0918 % 3,246.5
Perpetual-Discount 4.78 % 4.84 % 57,215 15.79 11 0.1446 % 3,847.7
FixedReset Disc 4.11 % 3.93 % 114,770 17.23 42 1.3030 % 2,738.0
Insurance Straight 4.97 % 4.52 % 88,539 15.70 19 0.1136 % 3,649.9
FloatingReset 2.65 % 3.02 % 30,313 19.69 2 -1.0720 % 2,621.7
FixedReset Prem 4.74 % 3.49 % 118,735 2.27 28 0.3139 % 2,712.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.3030 % 2,798.8
FixedReset Ins Non 4.14 % 3.76 % 85,744 17.67 18 0.5280 % 2,919.5
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -4.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.45
Evaluated at bid price : 23.00
Bid-YTW : 3.75 %
CM.PR.O FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.61
Evaluated at bid price : 23.21
Bid-YTW : 3.80 %
SLF.PR.J FloatingReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 2.27 %
PWF.PR.P FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 3.94 %
IFC.PR.I Perpetual-Premium -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 4.81 %
TD.PF.J FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 23.73
Evaluated at bid price : 24.86
Bid-YTW : 3.92 %
BAM.PF.C Perpetual-Premium -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 24.29
Evaluated at bid price : 24.56
Bid-YTW : 4.94 %
PWF.PF.A Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 24.69
Evaluated at bid price : 25.10
Bid-YTW : 4.53 %
BAM.PR.C Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 3.07 %
CM.PR.T FixedReset Prem 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 3.31 %
CM.PR.Y FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.07 %
TRP.PR.E FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.42 %
BMO.PR.T FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.93
Evaluated at bid price : 23.80
Bid-YTW : 3.57 %
BAM.PF.H FixedReset Prem 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.38 %
CU.PR.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 4.06 %
PWF.PR.T FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 23.28
Evaluated at bid price : 23.60
Bid-YTW : 3.85 %
BAM.PR.X FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.35 %
FTS.PR.H FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.84 %
PVS.PR.J SplitShare 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.12 %
TRP.PR.B FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 4.39 %
GWO.PR.N FixedReset Ins Non 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 3.61 %
MFC.PR.N FixedReset Ins Non 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.55
Evaluated at bid price : 23.23
Bid-YTW : 3.73 %
MFC.PR.L FixedReset Ins Non 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.41
Evaluated at bid price : 22.85
Bid-YTW : 3.69 %
BAM.PF.G FixedReset Disc 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.45 %
RY.PR.J FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 3.71 %
BAM.PR.R FixedReset Disc 4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.46 %
BNS.PR.I FixedReset Prem 5.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 23.63
Evaluated at bid price : 25.21
Bid-YTW : 3.63 %
BAM.PR.K Floater 5.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 3.07 %
BAM.PF.A FixedReset Disc 14.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 23.02
Evaluated at bid price : 23.40
Bid-YTW : 4.44 %
BAM.PF.E FixedReset Disc 14.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 4.51 %
TRP.PR.D FixedReset Disc 14.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.42 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 62,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 3.71 %
BAM.PR.B Floater 30,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.09 %
TD.PF.K FixedReset Prem 27,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 23.67
Evaluated at bid price : 25.14
Bid-YTW : 3.77 %
CM.PR.P FixedReset Disc 23,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.89
Evaluated at bid price : 23.86
Bid-YTW : 3.63 %
PWF.PF.A Perpetual-Discount 13,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 24.69
Evaluated at bid price : 25.10
Bid-YTW : 4.53 %
BNS.PR.H FixedReset Prem 13,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.29 %
There were 2 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: 12.17 – 23.45
Spot Rate : 11.2800
Average : 10.0328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.13 %
BAM.PR.Z FixedReset Disc Quote: 22.93 – 24.35
Spot Rate : 1.4200
Average : 0.8761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.43
Evaluated at bid price : 22.93
Bid-YTW : 4.52 %
TRP.PR.F FloatingReset Quote: 16.30 – 18.50
Spot Rate : 2.2000
Average : 1.8003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.02 %
CM.PR.O FixedReset Disc Quote: 23.21 – 24.21
Spot Rate : 1.0000
Average : 0.6562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.61
Evaluated at bid price : 23.21
Bid-YTW : 3.80 %
TD.PF.A FixedReset Disc Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.6709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 22.45
Evaluated at bid price : 23.00
Bid-YTW : 3.75 %
TRP.PR.C FixedReset Disc Quote: 14.37 – 15.50
Spot Rate : 1.1300
Average : 0.9009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-21
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.48 %
Market Action

December 20, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.11 % 3.63 % 39,352 19.90 1 -0.6552 % 2,807.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.2934 % 5,066.4
Floater 3.14 % 3.10 % 71,765 19.47 3 -2.2934 % 2,919.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1208 % 3,655.8
SplitShare 4.70 % 4.33 % 43,997 3.59 6 0.1208 % 4,365.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1208 % 3,406.4
Perpetual-Premium 5.17 % -6.19 % 44,117 0.09 23 0.1208 % 3,249.5
Perpetual-Discount 4.78 % 4.82 % 57,275 15.80 11 0.1188 % 3,842.2
FixedReset Disc 4.17 % 3.93 % 116,785 17.36 42 -1.1078 % 2,702.8
Insurance Straight 4.98 % 4.56 % 92,201 15.71 19 0.1011 % 3,645.8
FloatingReset 2.63 % 2.22 % 34,046 21.83 2 -1.5083 % 2,650.1
FixedReset Prem 4.76 % 3.73 % 120,051 2.27 28 0.0183 % 2,704.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.1078 % 2,762.8
FixedReset Ins Non 4.17 % 3.79 % 85,734 17.59 18 -0.0483 % 2,904.2
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -12.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.07 %
BAM.PF.A FixedReset Disc -12.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.10 %
BAM.PF.E FixedReset Disc -10.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.15 %
BNS.PR.I FixedReset Prem -5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 23.13
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
BAM.PR.K Floater -5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
TRP.PR.C FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.48 %
BAM.PF.G FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.62 %
SLF.PR.H FixedReset Ins Non -3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 3.79 %
TRP.PR.F FloatingReset -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.01 %
TRP.PR.E FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.47 %
FTS.PR.G FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.04 %
MFC.PR.L FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 21.92
Evaluated at bid price : 22.17
Bid-YTW : 3.82 %
TRP.PR.B FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 4.46 %
BAM.PF.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 21.49
Evaluated at bid price : 21.86
Bid-YTW : 4.42 %
MFC.PR.N FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 22.16
Evaluated at bid price : 22.61
Bid-YTW : 3.86 %
BAM.PR.R FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 4.66 %
FTS.PR.M FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 21.87
Evaluated at bid price : 22.15
Bid-YTW : 4.18 %
PWF.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 22.93
Evaluated at bid price : 23.25
Bid-YTW : 3.91 %
FTS.PR.K FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.13 %
BMO.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 22.77
Evaluated at bid price : 23.51
Bid-YTW : 3.63 %
CU.PR.I FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.47 %
RS.PR.A SplitShare 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.51
Bid-YTW : 4.21 %
BAM.PF.C Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 24.59
Evaluated at bid price : 24.82
Bid-YTW : 4.89 %
CM.PR.Y FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.54 %
TD.PF.M FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.23 %
TD.PF.L FixedReset Prem 2.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.40 %
TD.PF.E FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.72 %
MFC.PR.F FixedReset Ins Non 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 3.54 %
MFC.PR.M FixedReset Ins Non 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 22.78
Evaluated at bid price : 23.60
Bid-YTW : 3.74 %
BIP.PR.A FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 22.38
Evaluated at bid price : 23.00
Bid-YTW : 4.96 %
TD.PF.A FixedReset Disc 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 22.98
Evaluated at bid price : 23.96
Bid-YTW : 3.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Prem 26,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 23.66
Evaluated at bid price : 25.11
Bid-YTW : 3.78 %
TD.PF.J FixedReset Prem 19,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 23.84
Evaluated at bid price : 25.15
Bid-YTW : 3.86 %
TD.PF.I FixedReset Prem 17,312 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.06 %
RY.PR.Z FixedReset Disc 15,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 23.05
Evaluated at bid price : 23.96
Bid-YTW : 3.52 %
RY.PR.J FixedReset Disc 13,006 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 22.84
Evaluated at bid price : 23.83
Bid-YTW : 3.93 %
TRP.PR.K FixedReset Prem 12,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 2.44 %
There were 3 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: 12.17 – 23.25
Spot Rate : 11.0800
Average : 8.6653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.13 %
BAM.PF.A FixedReset Disc Quote: 20.50 – 23.50
Spot Rate : 3.0000
Average : 1.6739

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.10 %
TRP.PR.D FixedReset Disc Quote: 18.00 – 20.99
Spot Rate : 2.9900
Average : 1.7704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.07 %
TRP.PR.F FloatingReset Quote: 16.30 – 18.50
Spot Rate : 2.2000
Average : 1.3621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.01 %
BAM.PF.E FixedReset Disc Quote: 18.00 – 21.05
Spot Rate : 3.0500
Average : 2.2146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.15 %
BNS.PR.I FixedReset Prem Quote: 24.00 – 25.55
Spot Rate : 1.5500
Average : 0.9194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-20
Maturity Price : 23.13
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
Market Action

December 17, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.09 % 3.60 % 40,955 19.94 1 1.2762 % 2,826.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7996 % 5,185.3
Floater 3.07 % 3.06 % 70,143 19.58 3 1.7996 % 2,988.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1793 % 3,651.4
SplitShare 4.70 % 4.32 % 44,595 3.59 6 -0.1793 % 4,360.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1793 % 3,402.3
Perpetual-Premium 5.18 % -4.62 % 44,715 0.08 23 -0.0459 % 3,245.6
Perpetual-Discount 4.79 % 4.83 % 59,374 15.81 11 0.0817 % 3,837.6
FixedReset Disc 4.12 % 4.12 % 120,727 17.17 42 -1.6810 % 2,733.1
Insurance Straight 4.98 % 4.53 % 95,380 15.72 19 -0.0674 % 3,642.1
FloatingReset 2.53 % 2.86 % 32,004 20.08 2 -0.1807 % 2,690.6
FixedReset Prem 4.76 % 3.79 % 113,577 2.28 28 -0.0788 % 2,703.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.6810 % 2,793.7
FixedReset Ins Non 4.15 % 3.91 % 86,393 17.26 19 -0.3419 % 2,905.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.35 %
BIP.PR.A FixedReset Disc -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 21.86
Evaluated at bid price : 22.20
Bid-YTW : 5.30 %
TD.PF.A FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.45
Evaluated at bid price : 23.00
Bid-YTW : 3.90 %
MFC.PR.F FixedReset Ins Non -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.82 %
BAM.PF.E FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.80 %
GWO.PR.N FixedReset Ins Non -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 3.91 %
NA.PR.S FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.97
Evaluated at bid price : 23.80
Bid-YTW : 3.93 %
RY.PR.M FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.72
Evaluated at bid price : 23.70
Bid-YTW : 3.93 %
PWF.PR.T FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 23.18
Evaluated at bid price : 23.50
Bid-YTW : 4.02 %
TRP.PR.A FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.61 %
BAM.PF.G FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.58 %
BAM.PF.C Perpetual-Premium -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 24.27
Evaluated at bid price : 24.56
Bid-YTW : 4.94 %
MFC.PR.L FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 3.91 %
BAM.PR.Z FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.54
Evaluated at bid price : 23.05
Bid-YTW : 4.66 %
BAM.PR.R FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.77 %
TD.PF.D FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.94 %
BAM.PR.E Ratchet 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 25.00
Evaluated at bid price : 19.84
Bid-YTW : 3.60 %
PWF.PR.P FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.05 %
BAM.PF.F FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.22
Evaluated at bid price : 22.62
Bid-YTW : 4.59 %
BAM.PR.C Floater 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 13.89
Evaluated at bid price : 13.89
Bid-YTW : 3.08 %
BAM.PR.B Floater 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 3.06 %
BAM.PR.X FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 35,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 2.40 %
TD.PF.A FixedReset Disc 35,037 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.45
Evaluated at bid price : 23.00
Bid-YTW : 3.90 %
CU.PR.J Perpetual-Discount 31,193 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 24.59
Evaluated at bid price : 24.98
Bid-YTW : 4.76 %
CM.PR.O FixedReset Disc 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.93
Evaluated at bid price : 23.79
Bid-YTW : 3.83 %
PWF.PF.A Perpetual-Discount 19,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.55 %
GWO.PR.Y Insurance Straight 18,755 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 24.41
Evaluated at bid price : 24.80
Bid-YTW : 4.53 %
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: 12.17 – 23.25
Spot Rate : 11.0800
Average : 6.0177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.35 %
TRP.PR.B FixedReset Disc Quote: 13.20 – 15.00
Spot Rate : 1.8000
Average : 1.4084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.63 %
BIP.PR.A FixedReset Disc Quote: 22.20 – 23.40
Spot Rate : 1.2000
Average : 0.8484

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 21.86
Evaluated at bid price : 22.20
Bid-YTW : 5.30 %
TD.PF.A FixedReset Disc Quote: 23.00 – 23.95
Spot Rate : 0.9500
Average : 0.6061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.45
Evaluated at bid price : 23.00
Bid-YTW : 3.90 %
RY.PR.M FixedReset Disc Quote: 23.70 – 24.75
Spot Rate : 1.0500
Average : 0.7258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-17
Maturity Price : 22.72
Evaluated at bid price : 23.70
Bid-YTW : 3.93 %
POW.PR.B Perpetual-Premium Quote: 25.48 – 26.20
Spot Rate : 0.7200
Average : 0.4138

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-16
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : -6.69 %
Market Action

December 16, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.13 % 3.66 % 42,614 19.87 1 0.4615 % 2,790.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8326 % 5,093.7
Floater 3.13 % 3.15 % 70,813 19.36 3 1.8326 % 2,935.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2353 % 3,658.0
SplitShare 4.69 % 4.30 % 43,324 3.60 6 0.2353 % 4,368.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2353 % 3,408.4
Perpetual-Premium 5.17 % -5.91 % 44,980 0.09 23 0.0510 % 3,247.1
Perpetual-Discount 4.79 % 4.84 % 60,078 15.81 11 -0.0594 % 3,834.5
FixedReset Disc 4.05 % 4.08 % 116,227 17.31 42 -0.4918 % 2,779.8
Insurance Straight 4.98 % 4.51 % 95,738 4.23 19 0.0990 % 3,644.6
FloatingReset 2.52 % 2.85 % 32,443 20.11 2 -0.1503 % 2,695.5
FixedReset Prem 4.75 % 3.83 % 113,150 2.28 28 -0.0084 % 2,705.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4918 % 2,841.5
FixedReset Ins Non 4.13 % 3.92 % 84,866 17.27 19 -0.0482 % 2,915.5
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.72 %
BAM.PR.X FixedReset Disc -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 4.80 %
RY.PR.J FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.84
Evaluated at bid price : 23.83
Bid-YTW : 4.07 %
BAM.PF.F FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 21.92
Evaluated at bid price : 22.20
Bid-YTW : 4.69 %
TD.PF.E FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.93
Evaluated at bid price : 24.15
Bid-YTW : 4.11 %
BAM.PF.A FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 23.13
Evaluated at bid price : 23.50
Bid-YTW : 4.57 %
ELF.PR.G Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 4.98 %
FTS.PR.M FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.08
Evaluated at bid price : 22.45
Bid-YTW : 4.27 %
BMO.PR.Y FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.89
Evaluated at bid price : 24.00
Bid-YTW : 3.97 %
FTS.PR.H FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.08 %
FTS.PR.K FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.22 %
BAM.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.77
Evaluated at bid price : 23.30
Bid-YTW : 4.60 %
TRP.PR.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 4.50 %
BAM.PF.G FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 21.79
Evaluated at bid price : 22.10
Bid-YTW : 4.52 %
TRP.PR.E FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.56 %
BAM.PF.E FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.68 %
BAM.PF.B FixedReset Disc 4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 21.98
Evaluated at bid price : 22.22
Bid-YTW : 4.52 %
BAM.PR.K Floater 5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Q FixedReset Disc 113,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.90
Evaluated at bid price : 24.02
Bid-YTW : 4.05 %
BAM.PR.Z FixedReset Disc 69,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.77
Evaluated at bid price : 23.30
Bid-YTW : 4.60 %
BMO.PR.F FixedReset Prem 57,645 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.95 %
TD.PF.M FixedReset Prem 56,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.83 %
CM.PR.R FixedReset Prem 53,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.30 %
BNS.PR.I FixedReset Prem 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 23.64
Evaluated at bid price : 25.25
Bid-YTW : 3.77 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.E FixedReset Disc Quote: 24.15 – 25.20
Spot Rate : 1.0500
Average : 0.6740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.93
Evaluated at bid price : 24.15
Bid-YTW : 4.11 %
BAM.PR.R FixedReset Disc Quote: 18.80 – 20.25
Spot Rate : 1.4500
Average : 1.2211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.72 %
RY.PR.J FixedReset Disc Quote: 23.83 – 24.83
Spot Rate : 1.0000
Average : 0.7914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.84
Evaluated at bid price : 23.83
Bid-YTW : 4.07 %
BAM.PF.F FixedReset Disc Quote: 22.20 – 22.97
Spot Rate : 0.7700
Average : 0.5674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 21.92
Evaluated at bid price : 22.20
Bid-YTW : 4.69 %
TD.PF.B FixedReset Disc Quote: 23.91 – 24.84
Spot Rate : 0.9300
Average : 0.7497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 22.99
Evaluated at bid price : 23.91
Bid-YTW : 3.75 %
BAM.PR.C Floater Quote: 13.54 – 14.09
Spot Rate : 0.5500
Average : 0.3729

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-16
Maturity Price : 13.54
Evaluated at bid price : 13.54
Bid-YTW : 3.16 %
Issue Comments

POW.PR.F To Be Redeemed

Power Corporation of Canada has announced:

that it intends to redeem all 86,100 of its outstanding Cumulative Redeemable First Preferred Shares, 1986 Series (the “1986 Series Shares”) on January 15, 2022.

In accordance with the terms of the 1986 Series Shares, the redemption price will be $50.00 per 1986 Series Share together with all accrued and unpaid dividends, net of any tax required to be withheld by the Corporation. On November 10, 2021, the board of directors of the Corporation declared a quarterly dividend on the 1986 Series Shares, payable January 15, 2022 to shareholders of record December 24, 2021, of $0.2144 [1]. A notice of the redemption of the 1986 Series Shares will be provided in accordance with the rights, privileges and conditions attached to the 1986 Series Shares.

POW.PR.F is a Floater, paying 70% of Canada Prime. It has been notable mainly for its unusual $50 par value, for its sinking fund and for the lackadaisical efforts to give effect to the sinking fund. It has been tracked by HIMIPref™ since the beginning of the database 1993-11-30 and has been assigned to the Scraps index for a long time due to volume concerns – at $340 daily, it has the lowest Average Daily Trading Value of any current issue. But it was in the BMO-CM “50” index as late as 1996!

Market Action

December 15, 2021

The big news today was the FOMC announcement:

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. In support of these goals, the Committee decided to keep the target range for the federal funds rate at 0 to 1/4 percent. With inflation having exceeded 2 percent for some time, the Committee expects it will be appropriate to maintain this target range until labor market conditions have reached levels consistent with the Committee’s assessments of maximum employment. In light of inflation developments and the further improvement in the labor market, the Committee decided to reduce the monthly pace of its net asset purchases by $20 billion for Treasury securities and $10 billion for agency mortgage-backed securities. Beginning in January, the Committee will increase its holdings of Treasury securities by at least $40 billion per month and of agency mortgage‑backed securities by at least $20 billion per month. The Committee judges that similar reductions in the pace of net asset purchases will likely be appropriate each month, but it is prepared to adjust the pace of purchases if warranted by changes in the economic outlook. The Federal Reserve’s ongoing purchases and holdings of securities will continue to foster smooth market functioning and accommodative financial conditions, thereby supporting the flow of credit to households and businesses.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on public health, labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Thomas I. Barkin; Raphael W. Bostic; Michelle W. Bowman; Lael Brainard; Richard H. Clarida; Mary C. Daly; Charles L. Evans; Randal K. Quarles; and Christopher J. Waller.

Jeanna Smialek reports in the NYT:

The central bank’s policy statement set up a more rapid end to the monthly bond-buying program that the Fed has been using throughout the pandemic to keep money chugging through markets and to bolster growth. A fresh set of economic projections released on Wednesday showed that officials expect to raise interest rates, which are now set near-zero, three times next year.

“Economic developments and changes in the outlook warrant this evolution,” Jerome H. Powell, the Fed chair, said of the decision to pull back on bond purchases more quickly.

By tapering off its bond buying faster, the Fed is doing less to stimulate the economy with each passing month, and putting the program on track to end completely in March.

Equity markets loved it:

Wall Street ended sharply higher on Wednesday after the Federal Reserve said it would end its pandemic-era bond purchases in March as it exits from policies enacted at the start of the health crisis. The TSX also rose, but gains were less impressive as many resource stocks lost ground.

Following its two-day policy meeting, the Fed signaled its inflation target has been met, and its announcement on ending the bond purchases paved the way for three quarter-percentage-point interest rate increases by the end of 2022.

All three main U.S. stock indexes reversed earlier losses and climbed into positive territory. Wall Street extended those gains as Fed Chair Jerome Powell during his news conference struck an upbeat tone about the U.S. economic recovery and expressed willingness to raise interest rates as necessary to control inflation.

“What the markets are saying is, because the Fed is increasing their taper, maybe they feel inflation is under control,” said Tom Martin, senior portfolio manager at Globalt Investments in Atlanta. “They did what was expected. It’s going to add to the credibility for the Fed and that will be – on balance – neutral to positive for the markets.”

PerpetualDiscounts now yield 4.81%, equivalent to 6.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.50%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined slightly (and perhaps spuriously) to 275bp from the 280bp reported December 8.

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 3.14 % 3.69 % 42,994 19.85 1 1.5625 % 2,777.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9566 % 5,002.0
Floater 3.19 % 3.16 % 70,126 19.34 3 -0.9566 % 2,882.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1305 % 3,649.4
SplitShare 4.71 % 4.35 % 43,320 3.60 6 -0.1305 % 4,358.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1305 % 3,400.4
Perpetual-Premium 5.18 % -5.60 % 44,449 0.09 23 0.1158 % 3,245.4
Perpetual-Discount 4.79 % 4.81 % 60,008 15.81 11 0.2606 % 3,836.8
FixedReset Disc 4.03 % 4.06 % 111,780 16.99 42 -0.1013 % 2,793.5
Insurance Straight 4.98 % 4.51 % 99,024 4.23 19 -0.0274 % 3,640.9
FloatingReset 2.52 % 2.83 % 30,375 20.17 2 -0.1201 % 2,699.6
FixedReset Prem 4.75 % 3.76 % 116,496 2.29 28 -0.0759 % 2,705.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1013 % 2,855.5
FixedReset Ins Non 4.13 % 3.88 % 83,961 17.29 19 0.0872 % 2,916.9
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -5.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.80 %
BAM.PF.B FixedReset Disc -5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.74 %
BAM.PR.T FixedReset Disc -4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.73 %
BAM.PR.K Floater -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 3.22 %
TRP.PR.D FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.59 %
BAM.PF.H FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.73 %
CM.PR.Y FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.06 %
TRP.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.56 %
TD.PF.J FixedReset Prem 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 23.83
Evaluated at bid price : 25.15
Bid-YTW : 4.01 %
FTS.PR.K FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.17 %
BAM.PR.E Ratchet 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 3.69 %
CU.PR.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 4.25 %
BAM.PF.C Perpetual-Premium 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.14 %
CU.PR.G Perpetual-Discount 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.72 %
RY.PR.J FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 3.86 %
BAM.PR.X FixedReset Disc 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.61 %
BAM.PR.R FixedReset Disc 6.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 43,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.12 %
CU.PR.J Perpetual-Discount 34,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 24.52
Evaluated at bid price : 24.91
Bid-YTW : 4.78 %
PWF.PF.A Perpetual-Discount 33,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 24.45
Evaluated at bid price : 24.85
Bid-YTW : 4.57 %
RY.PR.M FixedReset Disc 25,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 22.90
Evaluated at bid price : 24.09
Bid-YTW : 3.85 %
BMO.PR.D FixedReset Prem 23,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.74 %
NA.PR.W FixedReset Disc 19,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 22.92
Evaluated at bid price : 23.93
Bid-YTW : 3.74 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 21.25 – 23.45
Spot Rate : 2.2000
Average : 1.4831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.74 %
BAM.PF.E FixedReset Disc Quote: 20.00 – 21.49
Spot Rate : 1.4900
Average : 1.0115

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.80 %
TRP.PR.E FixedReset Disc Quote: 20.20 – 22.00
Spot Rate : 1.8000
Average : 1.3623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.63 %
BAM.PR.T FixedReset Disc Quote: 19.30 – 20.75
Spot Rate : 1.4500
Average : 1.0571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.73 %
TRP.PR.A FixedReset Disc Quote: 18.08 – 19.00
Spot Rate : 0.9200
Average : 0.5831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 4.56 %
BAM.PR.K Floater Quote: 13.29 – 14.30
Spot Rate : 1.0100
Average : 0.7544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-15
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 3.22 %
Market Action

December 14, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.19 % 3.77 % 44,756 19.76 1 -3.5176 % 2,735.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6337 % 5,050.3
Floater 3.15 % 3.14 % 72,468 19.38 3 -0.6337 % 2,910.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1369 % 3,654.2
SplitShare 4.70 % 4.40 % 48,370 3.60 6 -0.1369 % 4,363.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1369 % 3,404.9
Perpetual-Premium 5.18 % -5.30 % 44,789 0.08 23 -0.0749 % 3,241.6
Perpetual-Discount 4.80 % 4.84 % 62,537 15.77 11 -0.5405 % 3,826.8
FixedReset Disc 4.03 % 4.08 % 111,305 17.31 42 -0.2193 % 2,796.4
Insurance Straight 4.98 % 4.52 % 100,295 15.72 19 -0.1766 % 3,641.9
FloatingReset 2.52 % 2.82 % 29,191 20.19 2 0.7564 % 2,702.8
FixedReset Prem 4.75 % 3.76 % 118,029 2.29 28 -0.2426 % 2,707.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2193 % 2,858.4
FixedReset Ins Non 4.14 % 3.86 % 86,860 17.27 19 -0.2153 % 2,914.4
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.82 %
BAM.PF.G FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 21.45
Evaluated at bid price : 21.79
Bid-YTW : 4.58 %
BAM.PR.E Ratchet -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 3.77 %
CU.PR.G Perpetual-Discount -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.01
Evaluated at bid price : 23.28
Bid-YTW : 4.86 %
MFC.PR.N FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 22.35
Evaluated at bid price : 22.90
Bid-YTW : 3.95 %
TD.PF.J FixedReset Prem -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.72
Evaluated at bid price : 24.85
Bid-YTW : 4.07 %
GWO.PR.N FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.84 %
NA.PR.W FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 22.81
Evaluated at bid price : 23.70
Bid-YTW : 3.79 %
BAM.PF.B FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 22.19
Evaluated at bid price : 22.50
Bid-YTW : 4.45 %
MFC.PR.F FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.69 %
TRP.PR.A FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 4.56 %
BAM.PF.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.71
Evaluated at bid price : 24.06
Bid-YTW : 4.46 %
FTS.PR.K FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.22 %
BNS.PR.I FixedReset Prem -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.65
Evaluated at bid price : 25.27
Bid-YTW : 3.77 %
BAM.PR.K Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 3.14 %
FTS.PR.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.08 %
BMO.PR.W FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.02
Evaluated at bid price : 24.08
Bid-YTW : 3.68 %
CM.PR.Y FixedReset Prem 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 3.61 %
TRP.PR.F FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 2.82 %
TRP.PR.D FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.50 %
IFC.PR.A FixedReset Ins Non 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.78 %
BAM.PR.T FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.51 %
BAM.PF.E FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.53 %
CM.PR.P FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.00
Evaluated at bid price : 24.10
Bid-YTW : 3.72 %
BAM.PF.F FixedReset Disc 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 22.32
Evaluated at bid price : 22.77
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 51,465 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.90 %
RY.PR.J FixedReset Disc 51,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 22.82
Evaluated at bid price : 23.80
Bid-YTW : 4.08 %
BNS.PR.H FixedReset Prem 42,835 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.42 %
NA.PR.G FixedReset Prem 37,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.64
Evaluated at bid price : 25.10
Bid-YTW : 4.11 %
CU.PR.J Perpetual-Discount 34,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 24.53
Evaluated at bid price : 24.92
Bid-YTW : 4.77 %
TD.PF.K FixedReset Prem 23,469 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.62
Evaluated at bid price : 25.00
Bid-YTW : 3.95 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 18.38 – 20.25
Spot Rate : 1.8700
Average : 1.3759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.82 %
TRP.PR.F FloatingReset Quote: 17.05 – 18.50
Spot Rate : 1.4500
Average : 1.0504

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 2.82 %
BAM.PF.B FixedReset Disc Quote: 22.50 – 23.50
Spot Rate : 1.0000
Average : 0.6971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 22.19
Evaluated at bid price : 22.50
Bid-YTW : 4.45 %
BAM.PR.E Ratchet Quote: 19.20 – 20.20
Spot Rate : 1.0000
Average : 0.6994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 3.77 %
CU.PR.G Perpetual-Discount Quote: 23.28 – 24.00
Spot Rate : 0.7200
Average : 0.4542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-14
Maturity Price : 23.01
Evaluated at bid price : 23.28
Bid-YTW : 4.86 %
PWF.PR.L Perpetual-Premium Quote: 25.37 – 26.17
Spot Rate : 0.8000
Average : 0.5449

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-13
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : -5.30 %
Market Action

December 13, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.08 % 3.58 % 45,401 19.97 1 0.0000 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1946 % 5,082.5
Floater 3.13 % 3.17 % 75,234 19.21 3 -0.1946 % 2,929.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1594 % 3,659.2
SplitShare 4.69 % 4.22 % 47,773 3.61 6 -0.1594 % 4,369.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1594 % 3,409.5
Perpetual-Premium 5.18 % -1.16 % 45,214 0.08 23 -0.0323 % 3,244.1
Perpetual-Discount 4.78 % 4.82 % 65,074 15.80 11 0.5435 % 3,847.6
FixedReset Disc 4.02 % 4.11 % 113,594 17.30 42 -0.6271 % 2,802.5
Insurance Straight 4.97 % 4.51 % 98,433 0.54 19 0.0042 % 3,648.4
FloatingReset 2.53 % 2.86 % 27,082 20.09 2 -3.0792 % 2,682.5
FixedReset Prem 4.74 % 3.71 % 113,324 2.29 28 -0.0673 % 2,714.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6271 % 2,864.7
FixedReset Ins Non 4.13 % 3.86 % 89,854 17.27 19 0.0137 % 2,920.7
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 21.84
Evaluated at bid price : 22.10
Bid-YTW : 4.78 %
RY.PR.J FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 22.74
Evaluated at bid price : 23.64
Bid-YTW : 4.11 %
TRP.PR.F FloatingReset -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.86 %
TRP.PR.E FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.64 %
SLF.PR.J FloatingReset -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 2.18 %
TRP.PR.C FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 4.54 %
CM.PR.P FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 22.71
Evaluated at bid price : 23.50
Bid-YTW : 3.85 %
BAM.PR.K Floater -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 3.17 %
BMO.PR.W FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 22.89
Evaluated at bid price : 23.80
Bid-YTW : 3.73 %
TRP.PR.B FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.63 %
TD.PF.A FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 22.93
Evaluated at bid price : 23.87
Bid-YTW : 3.72 %
BMO.PR.T FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 23.02
Evaluated at bid price : 24.00
Bid-YTW : 3.68 %
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 : 25.70
Bid-YTW : 4.02 %
TD.PF.L FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.07 %
RS.PR.A SplitShare -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.51
Bid-YTW : 4.18 %
BMO.PR.Y FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 23.00
Evaluated at bid price : 24.25
Bid-YTW : 3.91 %
GWO.PR.H Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : -0.49 %
NA.PR.G FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 23.64
Evaluated at bid price : 25.10
Bid-YTW : 4.11 %
BAM.PF.H FixedReset Prem 2.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.37 %
BAM.PR.B Floater 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 3.19 %
RY.PR.M FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 22.90
Evaluated at bid price : 24.09
Bid-YTW : 3.85 %
BAM.PF.G FixedReset Disc 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 22.32
Evaluated at bid price : 22.90
Bid-YTW : 4.39 %
CIU.PR.A Perpetual-Discount 7.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 23.69
Evaluated at bid price : 23.96
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 29,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 24.56
Evaluated at bid price : 24.95
Bid-YTW : 4.77 %
BMO.PR.S FixedReset Disc 27,635 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 23.20
Evaluated at bid price : 24.29
Bid-YTW : 3.74 %
CM.PR.S FixedReset Prem 24,409 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 23.86
Evaluated at bid price : 24.97
Bid-YTW : 3.80 %
PWF.PF.A Perpetual-Discount 20,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 24.40
Evaluated at bid price : 24.80
Bid-YTW : 4.58 %
BMO.PR.E FixedReset Prem 19,794 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 23.62
Evaluated at bid price : 25.05
Bid-YTW : 4.02 %
MFC.PR.C Insurance Straight 17,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.60 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 20.00 – 21.50
Spot Rate : 1.5000
Average : 0.9293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.63 %
BAM.PF.F FixedReset Disc Quote: 22.10 – 23.15
Spot Rate : 1.0500
Average : 0.6890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 21.84
Evaluated at bid price : 22.10
Bid-YTW : 4.78 %
TRP.PR.B FixedReset Disc Quote: 13.20 – 15.00
Spot Rate : 1.8000
Average : 1.4634

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.63 %
RY.PR.J FixedReset Disc Quote: 23.64 – 24.64
Spot Rate : 1.0000
Average : 0.6871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 22.74
Evaluated at bid price : 23.64
Bid-YTW : 4.11 %
TRP.PR.E FixedReset Disc Quote: 20.16 – 21.59
Spot Rate : 1.4300
Average : 1.1372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.64 %
TRP.PR.C FixedReset Disc Quote: 14.85 – 15.60
Spot Rate : 0.7500
Average : 0.5016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-13
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 4.54 %