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Archive for December, 2021

December 22, 2021

Wednesday, December 22nd, 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 %

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December 21, 2021

Tuesday, December 21st, 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 %

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December 20, 2021

Monday, December 20th, 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 %

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December 17, 2021

Friday, December 17th, 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 %

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December 16, 2021

Friday, December 17th, 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 %

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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.

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