January 5, 2022

January 5th, 2022

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.04 % 3.51 % 37,558 20.07 1 0.6484 % 2,874.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7750 % 5,315.4
Floater 3.00 % 3.02 % 57,310 19.70 3 0.7750 % 3,063.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1435 % 3,650.9
SplitShare 4.70 % 4.27 % 34,184 3.59 6 -0.1435 % 4,360.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1435 % 3,401.9
Perpetual-Premium 5.15 % -13.15 % 41,194 0.09 23 0.0237 % 3,265.2
Perpetual-Discount 4.74 % 4.80 % 50,295 15.81 11 -0.0735 % 3,874.1
FixedReset Disc 3.96 % 3.92 % 102,298 16.86 42 -1.1102 % 2,841.7
Insurance Straight 4.89 % 4.49 % 81,444 3.38 18 -0.1035 % 3,672.3
FloatingReset 2.65 % 3.01 % 32,090 19.74 2 1.4956 % 2,809.1
FixedReset Prem 4.69 % 2.82 % 118,468 1.78 28 -0.0166 % 2,743.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.1102 % 2,904.8
FixedReset Ins Non 4.09 % 3.78 % 71,087 17.29 17 -0.1422 % 2,968.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.25 %
CU.PR.F Perpetual-Discount -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 4.75 %
BAM.PR.T FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.60 %
BAM.PF.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.68 %
SLF.PR.G FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.68 %
MFC.PR.N FixedReset Ins Non -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.95 %
BMO.PR.W FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 3.76 %
TRP.PR.D FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.50 %
GWO.PR.I Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 4.67 %
SLF.PR.E Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.58 %
FTS.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.10 %
SLF.PR.C Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.51
Evaluated at bid price : 24.76
Bid-YTW : 4.51 %
NA.PR.W FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.09
Evaluated at bid price : 24.30
Bid-YTW : 3.68 %
BAM.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.60
Evaluated at bid price : 24.95
Bid-YTW : 4.38 %
BAM.PF.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.71
Evaluated at bid price : 25.15
Bid-YTW : 4.26 %
TD.PF.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
SLF.PR.H FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.48
Evaluated at bid price : 23.35
Bid-YTW : 3.62 %
PWF.PF.A Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.78
Evaluated at bid price : 25.20
Bid-YTW : 4.52 %
BAM.PR.X FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 4.32 %
TD.PF.D FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.23 %
BMO.PR.F FixedReset Prem 1.89 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 2.08 %
CU.PR.G Perpetual-Discount 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.56
Evaluated at bid price : 24.80
Bid-YTW : 4.57 %
SLF.PR.J FloatingReset 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 2.31 %
PWF.PR.P FixedReset Disc 7.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 248,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.58 %
NA.PR.C FixedReset Prem 173,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 1.92 %
TD.PF.A FixedReset Disc 60,409 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
GWO.PR.Y Insurance Straight 26,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.49 %
BAM.PF.G FixedReset Disc 24,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.39 %
CU.PR.J Perpetual-Discount 22,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-05
Maturity Price : 24.61
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 25.85 – 28.00
Spot Rate : 2.1500
Average : 1.4227

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

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

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

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

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

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

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January 4, 2022

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

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

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

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

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

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

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

Posted in Market Action | 1 Comment »

December 31, 2021

December 31st, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.05 % 3.53 % 35,854 20.05 1 0.6516 % 2,860.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4855 % 5,175.4
Floater 3.08 % 3.00 % 58,998 19.70 3 -1.4855 % 2,982.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1497 % 3,659.8
SplitShare 4.69 % 4.22 % 35,413 3.60 6 -0.1497 % 4,370.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1497 % 3,410.1
Perpetual-Premium 5.16 % -11.27 % 41,877 0.09 23 -0.1287 % 3,257.5
Perpetual-Discount 4.74 % 4.80 % 53,172 15.78 11 -0.6209 % 3,875.9
FixedReset Disc 3.97 % 3.96 % 104,297 17.08 42 0.0021 % 2,838.4
Insurance Straight 4.95 % 4.46 % 81,308 13.82 19 -0.3796 % 3,664.3
FloatingReset 2.70 % 3.01 % 31,356 19.69 2 0.0593 % 2,740.2
FixedReset Prem 4.70 % 2.90 % 119,387 1.80 28 -0.2180 % 2,735.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0021 % 2,901.4
FixedReset Ins Non 4.13 % 3.83 % 82,783 17.40 18 0.0024 % 2,942.6
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.23 %
BNS.PR.I FixedReset Prem -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
CU.PR.G Perpetual-Discount -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.72 %
BAM.PR.R FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.54 %
GWO.PR.S Insurance Straight -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.74
Evaluated at bid price : 25.00
Bid-YTW : 5.27 %
MFC.PR.N FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.88 %
GWO.PR.F Insurance Straight -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.05 %
SLF.PR.E Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.73 %
SLF.PR.J FloatingReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 2.37 %
IFC.PR.G FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.63
Evaluated at bid price : 24.75
Bid-YTW : 3.92 %
BAM.PF.E FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.59 %
BAM.PR.M Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.84 %
BMO.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.89
Evaluated at bid price : 24.00
Bid-YTW : 3.96 %
TD.PF.I FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 3.62 %
BIP.PR.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.85
Evaluated at bid price : 23.88
Bid-YTW : 4.88 %
TRP.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 4.31 %
BAM.PR.T FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.55 %
BAM.PR.N Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 4.85 %
FTS.PR.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.98 %
BAM.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.61
Evaluated at bid price : 24.14
Bid-YTW : 4.43 %
TRP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.39 %
CM.PR.Q FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.57 %
BAM.PR.X FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 4.40 %
BAM.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.76
Evaluated at bid price : 23.06
Bid-YTW : 4.34 %
TRP.PR.F FloatingReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.01 %
BAM.PR.C Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 3.00 %
MFC.PR.L FixedReset Ins Non 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.18
Evaluated at bid price : 22.51
Bid-YTW : 3.90 %
PWF.PR.P FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.87 %
MFC.PR.F FixedReset Ins Non 4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 68,778 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.40 %
RY.PR.S FixedReset Prem 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.72
Evaluated at bid price : 25.50
Bid-YTW : 3.64 %
FTS.PR.M FixedReset Disc 36,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 22.35
Evaluated at bid price : 22.85
Bid-YTW : 4.17 %
BNS.PR.H FixedReset Prem 24,403 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 2.79 %
TD.PF.C FixedReset Disc 21,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 23.10
Evaluated at bid price : 24.30
Bid-YTW : 3.67 %
TRP.PR.C FixedReset Disc 19,537 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-31
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.30 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Ins Non Quote: 17.25 – 19.00
Spot Rate : 1.7500
Average : 1.0594

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

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

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

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

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

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

Posted in Market Action | No Comments »

December 30, 2021

December 30th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.07 % 3.56 % 36,353 20.01 1 -0.9926 % 2,842.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2838 % 5,253.5
Floater 3.03 % 3.02 % 59,734 19.66 3 0.2838 % 3,027.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1107 % 3,665.3
SplitShare 4.69 % 4.18 % 36,883 3.61 6 0.1107 % 4,377.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1107 % 3,415.2
Perpetual-Premium 5.15 % -11.37 % 41,871 0.09 23 0.1968 % 3,261.7
Perpetual-Discount 4.71 % 4.74 % 52,483 15.87 11 0.9252 % 3,900.1
FixedReset Disc 3.97 % 3.99 % 104,403 17.05 42 1.3152 % 2,838.4
Insurance Straight 4.93 % 0.94 % 79,262 0.09 19 0.3411 % 3,678.3
FloatingReset 2.70 % 3.06 % 29,564 19.57 2 3.1804 % 2,738.5
FixedReset Prem 4.69 % 2.90 % 119,316 2.18 28 0.3860 % 2,741.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.3152 % 2,901.4
FixedReset Ins Non 4.11 % 3.75 % 82,325 17.38 18 0.4507 % 2,942.6
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.00 %
MFC.PR.F FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.85 %
MFC.PR.Q FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.88
Evaluated at bid price : 25.37
Bid-YTW : 3.78 %
FTS.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.36
Evaluated at bid price : 22.86
Bid-YTW : 4.17 %
ELF.PR.H Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : -19.46 %
TD.PF.J FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 2.98 %
RY.PR.S FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.68
Evaluated at bid price : 25.40
Bid-YTW : 3.66 %
BAM.PF.F FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.45
Evaluated at bid price : 22.97
Bid-YTW : 4.50 %
TRP.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 4.27 %
TRP.PR.G FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.77
Evaluated at bid price : 23.80
Bid-YTW : 4.25 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.21
Evaluated at bid price : 24.40
Bid-YTW : 3.61 %
BMO.PR.W FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.11
Evaluated at bid price : 24.26
Bid-YTW : 3.63 %
BIP.PR.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.99
Evaluated at bid price : 24.19
Bid-YTW : 4.81 %
BAM.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.80 %
BMO.PR.S FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.25
Evaluated at bid price : 24.38
Bid-YTW : 3.71 %
PWF.PR.T FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.20
Evaluated at bid price : 24.14
Bid-YTW : 3.86 %
TD.PF.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.67 %
BAM.PR.M Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.68
Evaluated at bid price : 24.96
Bid-YTW : 4.77 %
FTS.PR.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.02 %
BAM.PF.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.53 %
NA.PR.S FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.38
Evaluated at bid price : 24.69
Bid-YTW : 3.74 %
SLF.PR.E Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 0.94 %
BAM.PR.R FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 4.41 %
RS.PR.A SplitShare 1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.46
Bid-YTW : 4.02 %
MFC.PR.N FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.78
Evaluated at bid price : 23.67
Bid-YTW : 3.78 %
CU.PR.G Perpetual-Discount 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.54
Evaluated at bid price : 24.79
Bid-YTW : 4.57 %
TRP.PR.E FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.39 %
SLF.PR.J FloatingReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 2.34 %
TRP.PR.D FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 4.38 %
SLF.PR.H FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.06
Evaluated at bid price : 22.61
Bid-YTW : 3.69 %
BMO.PR.T FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.64 %
BAM.PF.B FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.38
Evaluated at bid price : 22.76
Bid-YTW : 4.39 %
PWF.PR.P FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.99 %
SLF.PR.G FixedReset Ins Non 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.68 %
TRP.PR.A FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.44 %
CU.PR.F Perpetual-Discount 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 24.50
Evaluated at bid price : 24.77
Bid-YTW : 4.57 %
TRP.PR.F FloatingReset 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 3.06 %
CU.PR.C FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.30
Evaluated at bid price : 23.07
Bid-YTW : 4.00 %
BAM.PF.G FixedReset Disc 6.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 22.07
Evaluated at bid price : 22.50
Bid-YTW : 4.42 %
BAM.PR.T FixedReset Disc 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 21,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 0.88 %
FTS.PR.H FixedReset Disc 18,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.05 %
BMO.PR.S FixedReset Disc 12,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 23.25
Evaluated at bid price : 24.38
Bid-YTW : 3.71 %
BAM.PR.B Floater 12,818 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 3.01 %
BMO.PR.B FixedReset Prem 12,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.92 %
TRP.PR.A FixedReset Disc 12,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-30
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.44 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 25.65 – 28.00
Spot Rate : 2.3500
Average : 1.3069

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

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

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

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

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

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

Posted in Market Action | No Comments »

December 29, 2021

December 29th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.04 % 3.53 % 37,823 20.01 1 1.0025 % 2,870.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0514 % 5,238.6
Floater 3.04 % 3.04 % 61,876 19.62 3 1.0514 % 3,019.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2858 % 3,661.2
SplitShare 4.69 % 4.37 % 37,516 3.56 6 -0.2858 % 4,372.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2858 % 3,411.4
Perpetual-Premium 5.16 % -11.59 % 42,393 0.09 23 0.1223 % 3,255.3
Perpetual-Discount 4.76 % 4.80 % 52,391 15.79 11 0.2550 % 3,864.4
FixedReset Disc 4.02 % 4.05 % 106,089 16.99 42 0.1227 % 2,801.5
Insurance Straight 4.95 % 4.49 % 80,495 0.50 19 0.1236 % 3,665.8
FloatingReset 2.79 % 2.39 % 33,657 21.35 2 -0.7587 % 2,654.1
FixedReset Prem 4.71 % 3.19 % 119,408 2.21 28 0.3272 % 2,731.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1227 % 2,863.7
FixedReset Ins Non 4.13 % 3.81 % 79,515 17.40 18 -0.0654 % 2,929.4
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.82 %
MFC.PR.F FixedReset Ins Non -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.80 %
BMO.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.77
Evaluated at bid price : 23.50
Bid-YTW : 3.77 %
TRP.PR.F FloatingReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.19 %
SLF.PR.H FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 3.81 %
RS.PR.A SplitShare -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.40
Bid-YTW : 4.53 %
SLF.PR.E Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.35
Evaluated at bid price : 24.66
Bid-YTW : 4.57 %
TD.PF.D FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.07
Evaluated at bid price : 24.40
Bid-YTW : 3.99 %
CU.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 4.28 %
TD.PF.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.91
Evaluated at bid price : 23.82
Bid-YTW : 3.72 %
BAM.PF.B FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.52 %
BMO.PR.Y FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.00
Evaluated at bid price : 24.25
Bid-YTW : 3.91 %
MFC.PR.N FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.55
Evaluated at bid price : 23.24
Bid-YTW : 3.87 %
CU.PR.J Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.68 %
BAM.PR.B Floater 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 3.03 %
BAM.PR.E Ratchet 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 3.53 %
GWO.PR.Y Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.49 %
IFC.PR.I Perpetual-Premium 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 4.42 %
NA.PR.G FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.76
Evaluated at bid price : 25.40
Bid-YTW : 4.04 %
CM.PR.T FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.63 %
TD.PF.K FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.75
Evaluated at bid price : 25.35
Bid-YTW : 3.87 %
CU.PR.G Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.02
Evaluated at bid price : 24.30
Bid-YTW : 4.66 %
BAM.PR.K Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.04 %
FTS.PR.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.09 %
TRP.PR.G FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 4.31 %
TD.PF.M FixedReset Prem 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.79 %
BIP.PR.A FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.85
Evaluated at bid price : 23.88
Bid-YTW : 4.88 %
BAM.PF.F FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 22.27
Evaluated at bid price : 22.69
Bid-YTW : 4.57 %
RY.PR.J FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.62 %
BAM.PF.A FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 23.75
Evaluated at bid price : 24.10
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.57 %
TRP.PR.C FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 4.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 26,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.68 %
PWF.PF.A Perpetual-Discount 21,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.56 %
GWO.PR.Y Insurance Straight 16,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 4.49 %
BAM.PR.B Floater 14,655 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 3.03 %
MFC.PR.R FixedReset Ins Non 12,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.08 %
GWO.PR.F Insurance Straight 12,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-29
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 5.93 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 21.75 – 24.97
Spot Rate : 3.2200
Average : 1.9137

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

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

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

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

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

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

Posted in Market Action | No Comments »

December 24, 2021

December 25th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.07 % 3.57 % 37,754 19.96 1 0.2513 % 2,842.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3809 % 5,184.1
Floater 3.07 % 3.07 % 64,098 19.55 3 -0.3809 % 2,987.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0649 % 3,671.7
SplitShare 4.68 % 4.14 % 38,858 3.58 6 -0.0649 % 4,384.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0649 % 3,421.2
Perpetual-Premium 5.17 % -10.89 % 42,266 0.09 23 -0.0255 % 3,251.4
Perpetual-Discount 4.77 % 4.81 % 52,398 15.84 11 -0.1329 % 3,854.6
FixedReset Disc 4.03 % 3.94 % 105,867 17.23 42 0.0409 % 2,798.1
Insurance Straight 4.96 % 4.49 % 81,209 0.51 19 0.0189 % 3,661.3
FloatingReset 2.60 % 2.96 % 28,567 19.82 2 0.6107 % 2,674.4
FixedReset Prem 4.72 % 3.55 % 121,860 2.41 28 -0.0908 % 2,722.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0409 % 2,860.2
FixedReset Ins Non 4.13 % 3.68 % 80,165 17.67 18 0.0557 % 2,931.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 3.94 %
TD.PF.E FixedReset Disc -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.91
Evaluated at bid price : 24.10
Bid-YTW : 3.99 %
BAM.PF.F FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.00
Evaluated at bid price : 22.31
Bid-YTW : 4.51 %
RY.PR.J FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.84 %
MFC.PR.L FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 3.74 %
TRP.PR.C FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.33 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.38 %
CM.PR.Y FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.55 %
CM.PR.T FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.72 %
CM.PR.R FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 24.73
Evaluated at bid price : 25.13
Bid-YTW : 4.56 %
BAM.PR.B Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.06 %
TD.PF.K FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.64
Evaluated at bid price : 25.05
Bid-YTW : 3.80 %
BIP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.66
Evaluated at bid price : 23.50
Bid-YTW : 4.85 %
BMO.PR.F FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 2.79 %
IFC.PR.F Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.64 %
CU.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 21.64
Evaluated at bid price : 22.02
Bid-YTW : 4.06 %
BAM.PR.X FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.30 %
IFC.PR.A FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.48 %
BAM.PR.Z FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.08
Evaluated at bid price : 23.63
Bid-YTW : 4.38 %
SLF.PR.J FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 2.22 %
TD.PF.D FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.66 %
BAM.PR.R FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.32 %
TD.PF.J FixedReset Prem 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 23.94
Evaluated at bid price : 25.44
Bid-YTW : 3.80 %
BAM.PF.B FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 22.09
Evaluated at bid price : 22.36
Bid-YTW : 4.33 %
MFC.PR.F FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.55 %
BAM.PR.T FixedReset Disc 5.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-24
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 4.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 129,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.51 %
TRP.PR.K FixedReset Prem 53,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 1.86 %
BNS.PR.H FixedReset Prem 36,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.41 %
NA.PR.C FixedReset Prem 25,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 2.92 %
BMO.PR.D FixedReset Prem 21,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 2.91 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 21.00 – 23.99
Spot Rate : 2.9900
Average : 2.4701

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

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

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

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

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

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

Posted in Market Action | No Comments »

December 23, 2021

December 23rd, 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 %

Posted in Market Action | 4 Comments »

December 22, 2021

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 %

Posted in Market Action | No Comments »

December 21, 2021

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 %

Posted in Market Action | No Comments »

December 20, 2021

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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