Issue Comments

BIP.PR.C To Be Redeemed

Brookfield Infrastructure Partners L.P. has announced (on 2021-9-1):

that it intends to redeem all of its outstanding Cumulative Class A Preferred Limited Partnership Units, Series 5 (the “Series 5 Preferred Units”) (TSX: BIP.PR.C) for cash on September 30, 2021. The redemption price for each Series 5 Preferred Unit will be C$25.00. Holders of Series 5 Preferred Units of record as of August 31, 2021 will receive the previously declared final quarterly distribution of C$0.334375 per Series 5 Preferred Unit.

BIP.PR.C is a FixedReset 5.35%+464M535 issue that commenced trading 2016-8-2 after being announced 2016-7-25.

Market Action

September 3, 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 0.00 % 0.00 % 0 0.00 0 -1.5385 % 2,549.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5385 % 4,677.4
Floater 3.41 % 3.41 % 62,903 18.65 3 -1.5385 % 2,695.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2274 % 3,693.9
SplitShare 4.59 % 3.67 % 27,201 3.25 7 0.2274 % 4,411.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2274 % 3,441.9
Perpetual-Premium 5.11 % -20.14 % 56,342 0.09 25 0.0337 % 3,333.7
Perpetual-Discount 4.64 % 3.26 % 73,875 0.15 8 0.1038 % 4,014.4
FixedReset Disc 3.94 % 3.34 % 116,586 18.07 40 -0.0131 % 2,848.7
Insurance Straight 4.87 % -8.58 % 81,460 0.08 22 0.3506 % 3,737.7
FloatingReset 2.89 % 3.20 % 31,209 19.26 2 0.1576 % 2,559.9
FixedReset Prem 4.74 % 2.55 % 131,869 1.58 30 -0.0616 % 2,772.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,911.9
FixedReset Ins Non 4.05 % 3.28 % 102,567 18.31 20 -0.0925 % 2,942.1
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
TRP.PR.G FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.95 %
BIP.PR.A FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 %
PWF.PR.P FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.53 %
CM.PR.T FixedReset Prem -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.21 %
BMO.PR.E FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.65
Evaluated at bid price : 25.35
Bid-YTW : 3.47 %
CM.PR.O FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.93
Evaluated at bid price : 23.88
Bid-YTW : 3.32 %
MFC.PR.Q FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.62
Evaluated at bid price : 24.94
Bid-YTW : 3.38 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.24 %
TRP.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.97 %
PVS.PR.G SplitShare 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 26.00
Evaluated at bid price : 26.05
Bid-YTW : 1.75 %
TRP.PR.C FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.87 %
IFC.PR.E Insurance Straight 1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 1.39 %
BAM.PR.R FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.87 %
IAF.PR.B Insurance Straight 5.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -7.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 124,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
BMO.PR.Y FixedReset Disc 56,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.08 %
TRP.PR.A FixedReset Disc 36,204 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.89 %
TRP.PR.K FixedReset Prem 28,765 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 1.43 %
BIP.PR.E FixedReset Prem 24,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.74 %
BAM.PR.M Perpetual-Discount 17,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -6.77 %
There were 6 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: 23.10 – 24.05
Spot Rate : 0.9500
Average : 0.6399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.95 %
POW.PR.C Perpetual-Premium Quote: 26.16 – 26.82
Spot Rate : 0.6600
Average : 0.3906

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : -36.13 %
MFC.PR.N FixedReset Ins Non Quote: 23.41 – 24.45
Spot Rate : 1.0400
Average : 0.8844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 %
BMO.PR.E FixedReset Prem Quote: 25.35 – 25.90
Spot Rate : 0.5500
Average : 0.3979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.65
Evaluated at bid price : 25.35
Bid-YTW : 3.47 %
BAM.PR.K Floater Quote: 12.30 – 12.99
Spot Rate : 0.6900
Average : 0.5483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
CM.PR.T FixedReset Prem Quote: 26.40 – 26.80
Spot Rate : 0.4000
Average : 0.2705

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.21 %
Market Action

September 2, 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 0.00 % 0.00 % 0 0.00 0 1.5356 % 2,588.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5356 % 4,750.5
Floater 3.35 % 3.38 % 58,308 18.72 3 1.5356 % 2,737.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2048 % 3,685.5
SplitShare 4.60 % 3.92 % 26,082 3.77 7 -0.2048 % 4,401.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2048 % 3,434.1
Perpetual-Premium 5.12 % -19.46 % 56,988 0.09 25 -0.0628 % 3,332.5
Perpetual-Discount 4.65 % 2.33 % 72,139 0.08 8 -0.1037 % 4,010.3
FixedReset Disc 3.94 % 3.35 % 116,740 18.14 40 -0.0371 % 2,849.0
Insurance Straight 4.89 % -8.26 % 80,663 0.09 22 0.0463 % 3,724.6
FloatingReset 2.89 % 3.20 % 32,503 19.26 2 -1.1834 % 2,555.8
FixedReset Prem 4.74 % 2.54 % 133,154 2.19 30 -0.1333 % 2,773.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0371 % 2,912.3
FixedReset Ins Non 4.05 % 3.28 % 103,115 18.38 20 0.0065 % 2,944.8
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 3.20 %
BAM.PR.R FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.95 %
BAM.PF.G FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.43
Evaluated at bid price : 23.13
Bid-YTW : 3.86 %
BAM.PF.F FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.03
Evaluated at bid price : 24.15
Bid-YTW : 3.83 %
PVS.PR.G SplitShare -1.15 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 %
BIP.PR.F FixedReset Prem -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.32 %
BAM.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
TD.PF.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.21 %
TRP.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 3.90 %
BIP.PR.A FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.04
Evaluated at bid price : 24.38
Bid-YTW : 4.31 %
BAM.PR.K Floater 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 204,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.35 %
TD.PF.A FixedReset Disc 201,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.96
Evaluated at bid price : 24.01
Bid-YTW : 3.21 %
SLF.PR.H FixedReset Ins Non 113,109 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 3.17 %
GWO.PR.I Insurance Straight 59,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-02
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : -6.39 %
TD.PF.C FixedReset Disc 53,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.21 %
TD.PF.M FixedReset Prem 46,740 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.91
Bid-YTW : 2.54 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 16.30 – 17.75
Spot Rate : 1.4500
Average : 1.2474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 %
BAM.PR.R FixedReset Disc Quote: 20.20 – 20.73
Spot Rate : 0.5300
Average : 0.3791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.95 %
PVS.PR.G SplitShare Quote: 25.70 – 26.20
Spot Rate : 0.5000
Average : 0.3584

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 %
IFC.PR.F Insurance Straight Quote: 26.52 – 27.20
Spot Rate : 0.6800
Average : 0.5676

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.52
Bid-YTW : 4.06 %
BAM.PF.G FixedReset Disc Quote: 23.13 – 23.55
Spot Rate : 0.4200
Average : 0.3092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.43
Evaluated at bid price : 23.13
Bid-YTW : 3.86 %
BAM.PR.X FixedReset Disc Quote: 17.83 – 18.20
Spot Rate : 0.3700
Average : 0.2632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 3.72 %
Market Action

September 1, 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 0.00 % 0.00 % 0 0.00 0 -2.0233 % 2,549.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.0233 % 4,678.7
Floater 3.41 % 3.42 % 60,714 18.64 3 -2.0233 % 2,696.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.3388 % 3,693.1
SplitShare 4.59 % 3.80 % 26,194 3.25 7 0.3388 % 4,410.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3388 % 3,441.1
Perpetual-Premium 5.11 % -19.87 % 56,882 0.09 25 -0.0414 % 3,334.6
Perpetual-Discount 4.64 % 2.05 % 71,255 0.08 8 0.0395 % 4,014.4
FixedReset Disc 3.94 % 3.33 % 121,072 18.16 40 -0.2038 % 2,850.1
Insurance Straight 4.89 % -7.08 % 75,303 0.09 22 -0.6158 % 3,722.9
FloatingReset 2.86 % 3.13 % 33,006 19.44 2 -0.5266 % 2,586.4
FixedReset Prem 4.73 % 2.48 % 134,549 1.59 30 -0.0768 % 2,777.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2038 % 2,913.4
FixedReset Ins Non 4.05 % 3.27 % 99,917 18.34 20 -0.5709 % 2,944.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -6.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 %
BIP.PR.A FixedReset Disc -4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 %
BAM.PR.K Floater -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
TRP.PR.A FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 3.97 %
MFC.PR.N FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 %
BAM.PR.B Floater -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 3.42 %
BAM.PR.T FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 3.89 %
IFC.PR.F Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.59
Bid-YTW : 3.79 %
IAF.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 24.49
Evaluated at bid price : 24.90
Bid-YTW : 3.65 %
IFC.PR.A FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 3.18 %
GWO.PR.F Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : -61.19 %
TRP.PR.D FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 4.02 %
BAM.PF.F FixedReset Disc 6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 155,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.46 %
GWO.PR.R Insurance Straight 110,725 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : -9.68 %
SLF.PR.A Insurance Straight 46,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.63 %
RY.PR.P Perpetual-Premium 44,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 26.00
Evaluated at bid price : 27.02
Bid-YTW : -36.64 %
SLF.PR.B Insurance Straight 28,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.63 %
RY.PR.J FixedReset Disc 18,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.26 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 16.30 – 17.88
Spot Rate : 1.5800
Average : 1.0252

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 %
BIP.PR.A FixedReset Disc Quote: 23.85 – 24.90
Spot Rate : 1.0500
Average : 0.6622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 %
MFC.PR.N FixedReset Ins Non Quote: 23.41 – 24.38
Spot Rate : 0.9700
Average : 0.6304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 %
TRP.PR.C FixedReset Disc Quote: 14.53 – 15.31
Spot Rate : 0.7800
Average : 0.5371

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 3.93 %
IAF.PR.G FixedReset Ins Non Quote: 24.90 – 25.50
Spot Rate : 0.6000
Average : 0.4046

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 24.49
Evaluated at bid price : 24.90
Bid-YTW : 3.65 %
IAF.PR.B Insurance Straight Quote: 23.90 – 25.30
Spot Rate : 1.4000
Average : 1.2104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
Market Action

August 31, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7053 % 2,602.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7053 % 4,775.3
Floater 3.34 % 3.37 % 63,000 18.76 3 0.7053 % 2,752.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4038 % 3,680.6
SplitShare 4.60 % 3.95 % 27,266 3.78 7 -0.4038 % 4,395.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4038 % 3,429.5
Perpetual-Premium 5.11 % -22.56 % 53,955 0.09 25 0.2396 % 3,336.0
Perpetual-Discount 4.64 % 1.40 % 70,914 0.08 8 0.1881 % 4,012.8
FixedReset Disc 3.93 % 3.33 % 125,963 18.16 40 0.0851 % 2,855.9
Insurance Straight 4.86 % -7.89 % 75,627 0.09 22 -0.1361 % 3,746.0
FloatingReset 2.84 % 3.10 % 34,353 19.50 2 0.6862 % 2,600.1
FixedReset Prem 4.73 % 2.27 % 133,170 1.59 30 -0.0793 % 2,779.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0851 % 2,919.3
FixedReset Ins Non 4.02 % 3.22 % 99,868 18.35 20 0.0449 % 2,961.6
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.05 %
IAF.PR.B Insurance Straight -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
TRP.PR.D FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.08 %
MFC.PR.F FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 3.22 %
TRP.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 3.92 %
BAM.PF.B FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.83
Evaluated at bid price : 23.59
Bid-YTW : 3.80 %
BAM.PR.K Floater 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.37 %
IFC.PR.I Perpetual-Premium 2.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.80
Bid-YTW : 3.41 %
TRP.PR.G FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.76
Evaluated at bid price : 23.85
Bid-YTW : 3.79 %
PWF.PR.P FixedReset Disc 11.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ELF.PR.H Perpetual-Premium 108,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -18.99 %
PWF.PR.P FixedReset Disc 58,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.43 %
RY.PR.M FixedReset Disc 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.12
Evaluated at bid price : 24.70
Bid-YTW : 3.28 %
TRP.PR.A FixedReset Disc 31,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.87 %
TRP.PR.F FloatingReset 29,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 3.10 %
BAM.PF.H FixedReset Prem 24,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.70
Bid-YTW : 2.57 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 23.10 – 24.70
Spot Rate : 1.6000
Average : 1.0344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.05 %
GWO.PR.L Insurance Straight Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.5687

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : -32.29 %
IAF.PR.B Insurance Straight Quote: 23.90 – 25.30
Spot Rate : 1.4000
Average : 1.0025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
TRP.PR.D FixedReset Disc Quote: 20.37 – 21.57
Spot Rate : 1.2000
Average : 0.9975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.08 %
PVS.PR.I SplitShare Quote: 25.76 – 26.34
Spot Rate : 0.5800
Average : 0.4676

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.95 %
TRP.PR.C FixedReset Disc Quote: 14.57 – 14.95
Spot Rate : 0.3800
Average : 0.2708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 3.92 %
Market Action

August 30, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8804 % 2,584.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8804 % 4,741.9
Floater 3.36 % 3.38 % 65,595 18.74 3 -0.8804 % 2,732.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2662 % 3,695.5
SplitShare 4.58 % 3.56 % 26,293 2.39 7 0.2662 % 4,413.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2662 % 3,443.4
Perpetual-Premium 5.12 % -23.55 % 54,359 0.09 25 -0.1579 % 3,328.0
Perpetual-Discount 4.65 % 2.72 % 73,812 0.08 8 0.1835 % 4,005.3
FixedReset Disc 3.93 % 3.33 % 129,854 18.17 40 0.0185 % 2,853.5
Insurance Straight 4.85 % -8.84 % 75,865 0.08 22 0.2462 % 3,751.1
FloatingReset 2.86 % 3.13 % 31,787 19.44 2 -0.3419 % 2,582.4
FixedReset Prem 4.72 % 2.15 % 136,843 1.59 30 -0.1010 % 2,781.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0185 % 2,916.8
FixedReset Ins Non 4.03 % 3.22 % 99,039 18.34 20 0.1993 % 2,960.2
Performance Highlights
Issue Index Change Notes
IFC.PR.I Perpetual-Premium -2.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.20 %
IFC.PR.A FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.15 %
BAM.PF.H FixedReset Prem -1.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.55
Bid-YTW : 2.71 %
RY.PR.M FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 23.04
Evaluated at bid price : 24.50
Bid-YTW : 3.31 %
GWO.PR.N FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 3.24 %
BAM.PF.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 21.78
Evaluated at bid price : 22.10
Bid-YTW : 3.88 %
BAM.PR.K Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.43 %
TRP.PR.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 3.83 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.22 %
BMO.PR.F FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.35
Bid-YTW : 1.61 %
BAM.PR.Z FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 23.75
Evaluated at bid price : 24.91
Bid-YTW : 3.83 %
TRP.PR.D FixedReset Disc 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 3.92 %
BAM.PR.R FixedReset Disc 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.84 %
IAF.PR.B Insurance Straight 5.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -11.90 %
MFC.PR.F FixedReset Ins Non 8.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 3.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 211,090 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 0.59 %
BAM.PR.R FixedReset Disc 99,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.84 %
RY.PR.Z FixedReset Disc 55,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 23.06
Evaluated at bid price : 24.09
Bid-YTW : 3.15 %
SLF.PR.G FixedReset Ins Non 54,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.18 %
BAM.PR.B Floater 37,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.37 %
TD.PF.B FixedReset Disc 31,508 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 22.96
Evaluated at bid price : 23.95
Bid-YTW : 3.25 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 26.21 – 28.99
Spot Rate : 2.7800
Average : 2.1796

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -14.86 %
IFC.PR.I Perpetual-Premium Quote: 27.10 – 28.45
Spot Rate : 1.3500
Average : 0.9926

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.20 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.45
Spot Rate : 2.1000
Average : 1.8311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.81 %
CU.PR.C FixedReset Disc Quote: 22.10 – 22.80
Spot Rate : 0.7000
Average : 0.5085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 3.62 %
IFC.PR.A FixedReset Ins Non Quote: 20.90 – 21.59
Spot Rate : 0.6900
Average : 0.5267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.15 %
MFC.PR.L FixedReset Ins Non Quote: 23.43 – 23.96
Spot Rate : 0.5300
Average : 0.3685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-30
Maturity Price : 22.71
Evaluated at bid price : 23.43
Bid-YTW : 3.22 %
Market Action

August 27, 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 0.00 % 0.00 % 0 0.00 0 0.2336 % 2,607.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2336 % 4,784.0
Floater 3.33 % 3.36 % 65,299 18.80 3 0.2336 % 2,757.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0222 % 3,685.7
SplitShare 4.60 % 3.73 % 27,265 3.26 7 -0.0222 % 4,401.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0222 % 3,434.3
Perpetual-Premium 5.12 % -24.01 % 54,941 0.09 25 0.3076 % 3,333.3
Perpetual-Discount 4.66 % 3.32 % 74,988 0.58 8 0.1043 % 3,998.0
FixedReset Disc 3.93 % 3.36 % 130,391 17.96 40 0.0666 % 2,853.0
Insurance Straight 4.86 % -7.50 % 74,550 0.09 22 -0.1132 % 3,741.9
FloatingReset 2.87 % 3.16 % 32,053 19.27 2 -0.4641 % 2,591.3
FixedReset Prem 4.72 % 2.36 % 139,186 1.60 30 -0.0294 % 2,784.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0666 % 2,916.3
FixedReset Ins Non 4.03 % 3.23 % 99,702 18.34 20 -0.0129 % 2,954.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -9.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.84 %
MFC.PR.F FixedReset Ins Non -7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 3.47 %
IAF.PR.B Insurance Straight -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.00 %
TRP.PR.D FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 4.07 %
BMO.PR.D FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.36 %
NA.PR.C FixedReset Prem -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.54 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.46 %
BAM.PR.C Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.36 %
CU.PR.H Perpetual-Premium 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -13.63 %
POW.PR.D Perpetual-Premium 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-26
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : -35.37 %
BAM.PF.J FixedReset Prem 1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 1.70 %
TRP.PR.A FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 3.83 %
BAM.PR.T FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.82 %
BAM.PF.E FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 3.83 %
BIP.PR.A FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.15 %
IFC.PR.A FixedReset Ins Non 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.11 %
SLF.PR.G FixedReset Ins Non 5.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.20 %
BAM.PF.F FixedReset Disc 6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.G FixedReset Ins Non 69,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 2.73 %
ELF.PR.H Perpetual-Premium 51,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -17.49 %
CM.PR.O FixedReset Disc 46,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.08
Evaluated at bid price : 24.20
Bid-YTW : 3.28 %
RY.PR.J FixedReset Disc 31,938 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.27 %
BMO.PR.F FixedReset Prem 29,882 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.03 %
RY.PR.M FixedReset Disc 29,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 3.18 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 26.21 – 28.89
Spot Rate : 2.6800
Average : 1.5212

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.75
Evaluated at bid price : 26.21
Bid-YTW : -13.63 %
IAF.PR.B Insurance Straight Quote: 23.90 – 25.50
Spot Rate : 1.6000
Average : 0.9139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
TRP.PR.D FixedReset Disc Quote: 20.48 – 22.00
Spot Rate : 1.5200
Average : 0.8474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 4.07 %
MFC.PR.F FixedReset Ins Non Quote: 16.31 – 17.89
Spot Rate : 1.5800
Average : 0.9963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 3.47 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.45
Spot Rate : 2.1000
Average : 1.5363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.84 %
TD.PF.J FixedReset Prem Quote: 25.88 – 26.88
Spot Rate : 1.0000
Average : 0.5759

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 2.75 %
Market Action

August 26, 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 0.00 % 0.00 % 0 0.00 0 -0.1037 % 2,601.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1037 % 4,772.8
Floater 3.34 % 3.39 % 66,289 18.73 3 -0.1037 % 2,750.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2780 % 3,686.6
SplitShare 4.60 % 3.74 % 26,507 3.27 7 0.2780 % 4,402.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2780 % 3,435.0
Perpetual-Premium 5.13 % -22.34 % 54,148 0.09 25 0.1972 % 3,323.1
Perpetual-Discount 4.67 % 3.65 % 78,068 0.58 8 0.1691 % 3,993.8
FixedReset Disc 3.94 % 3.32 % 129,876 17.93 40 0.8143 % 2,851.1
Insurance Straight 4.86 % -6.46 % 72,299 0.08 22 0.0974 % 3,746.1
FloatingReset 2.85 % 3.13 % 33,293 19.34 2 1.4757 % 2,603.4
FixedReset Prem 4.72 % 2.22 % 138,564 1.60 30 0.5810 % 2,785.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8143 % 2,914.4
FixedReset Ins Non 4.03 % 3.22 % 100,295 18.33 20 0.0901 % 2,954.7
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.06 %
IFC.PR.A FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.22 %
TD.PF.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.32 %
BMO.PR.W FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.04
Evaluated at bid price : 24.22
Bid-YTW : 3.19 %
TD.PF.L FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 2.25 %
BAM.PF.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.67
Evaluated at bid price : 23.58
Bid-YTW : 3.79 %
BIP.PR.B FixedReset Prem 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.02
Bid-YTW : 3.71 %
TD.PF.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.78
Evaluated at bid price : 25.74
Bid-YTW : 3.33 %
NA.PR.S FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.31
Evaluated at bid price : 24.67
Bid-YTW : 3.28 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.83
Evaluated at bid price : 25.36
Bid-YTW : 3.51 %
BMO.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.21
Evaluated at bid price : 24.45
Bid-YTW : 3.23 %
BMO.PR.D FixedReset Prem 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 1.11 %
PWF.PR.T FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.28
Evaluated at bid price : 24.48
Bid-YTW : 3.32 %
RY.PR.M FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 3.18 %
CU.PR.I FixedReset Prem 2.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.35
Bid-YTW : 2.17 %
IFC.PR.E Insurance Straight 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 1.35 %
MFC.PR.F FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 3.21 %
BAM.PR.R FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.88 %
TRP.PR.F FloatingReset 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.13 %
TRP.PR.A FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 3.91 %
PWF.PR.P FixedReset Disc 11.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.I Insurance Straight 293,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.31 %
CM.PR.R FixedReset Prem 181,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 1.61 %
RY.PR.J FixedReset Disc 116,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.27 %
TD.PF.D FixedReset Disc 115,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.32 %
CM.PR.S FixedReset Disc 96,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 23.84
Evaluated at bid price : 25.24
Bid-YTW : 3.26 %
SLF.PR.D Insurance Straight 73,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-25
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -6.46 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 23.10 – 24.67
Spot Rate : 1.5700
Average : 0.8967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.06 %
TD.PF.E FixedReset Disc Quote: 25.07 – 26.10
Spot Rate : 1.0300
Average : 0.5635

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 3.24 %
BIP.PR.A FixedReset Disc Quote: 24.20 – 25.12
Spot Rate : 0.9200
Average : 0.7348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.96
Evaluated at bid price : 24.20
Bid-YTW : 4.43 %
BMO.PR.D FixedReset Prem Quote: 25.82 – 26.30
Spot Rate : 0.4800
Average : 0.3039

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 1.11 %
BMO.PR.T FixedReset Disc Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-26
Maturity Price : 22.97
Evaluated at bid price : 24.00
Bid-YTW : 3.20 %
BAM.PF.J FixedReset Prem Quote: 25.75 – 26.35
Spot Rate : 0.6000
Average : 0.4400

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.04 %
Market Action

August 25, 2021

PerpetualDiscounts now yield 4.04%, equivalent to 5.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.97%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 230bp, a dramatic narrowing from the 250bp reported August 18.

The dramatic change in the PerpetualDiscount reported yield is due to a few of the remaining elements of the PerpetualDiscount subindex going to sufficient premia to trigger a change in the YTW scenario with significant effects on the calculated YTW.

Ticker Bid
8/18		 YTW
8/18		 Bid
8/25		 YTW
8/25
BAM.PF.C 25.23 4.45% 25.31 4.04%
BAM.PF.D 25.35 4.24% 25.36 4.28%
BAM.PR.M 25.25 0.33% 25.00 4.80%
BAM.PR.N 25.15 4.78% 25.18 4.77%
CIU.PR.A 25.00 2.46% 25.00 3.55%
CU.PR.F 25.20 3.28% 25.15 3.63%
CU.PR.G 25.20 3.57% 25.20 3.64%
ELF.PR.G 25.00 4.78% 24.87 4.82%

With so few constituents in the sub-index (and all of them near-par), small changes can have disproportionate effects! This measure can no longer be considered reliable, but I’ll keep reporting it … who knows, maybe we’ll get a batch of new issues!

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 0.00 % 0.00 % 0 0.00 0 -0.3102 % 2,603.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3102 % 4,777.8
Floater 3.33 % 3.38 % 68,977 18.74 3 -0.3102 % 2,753.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0334 % 3,676.3
SplitShare 4.61 % 3.73 % 26,521 3.27 7 -0.0334 % 4,390.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0334 % 3,425.5
Perpetual-Premium 5.14 % -22.65 % 56,160 0.09 25 -0.0077 % 3,316.5
Perpetual-Discount 4.67 % 4.04 % 81,171 0.99 8 -0.1391 % 3,987.1
FixedReset Disc 3.97 % 3.39 % 120,148 18.08 40 -0.2470 % 2,828.0
Insurance Straight 4.86 % -6.43 % 70,544 0.09 22 0.1579 % 3,742.5
FloatingReset 2.90 % 3.23 % 33,180 19.10 2 -1.1484 % 2,565.5
FixedReset Prem 4.74 % 2.67 % 139,119 2.19 30 -0.0206 % 2,769.3
FixedReset Bank Non 1.98 % 2.00 % 98,218 0.43 1 0.0000 % 2,890.8
FixedReset Ins Non 4.04 % 3.29 % 104,131 18.33 20 -0.2482 % 2,952.1
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.38 %
TRP.PR.A FixedReset Disc -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.06 %
TRP.PR.G FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.23 %
MFC.PR.F FixedReset Ins Non -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.29 %
CM.PR.P FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 22.97
Evaluated at bid price : 24.11
Bid-YTW : 3.27 %
CU.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 3.68 %
BAM.PR.M Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.80 %
IFC.PR.A FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.18 %
TRP.PR.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.D Insurance Straight 739,631 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -8.01 %
SLF.PR.A Insurance Straight 733,164 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 0.51 %
GWO.PR.I Insurance Straight 254,831 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 24.87
Evaluated at bid price : 25.16
Bid-YTW : 4.52 %
GWO.PR.R Insurance Straight 254,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : -3.19 %
MFC.PR.B Insurance Straight 190,253 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -8.73 %
SLF.PR.E Insurance Straight 144,409 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : -6.15 %
There were 22 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: 23.10 – 24.12
Spot Rate : 1.0200
Average : 0.6436

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.96 %
TRP.PR.A FixedReset Disc Quote: 18.02 – 18.90
Spot Rate : 0.8800
Average : 0.5250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.06 %
GWO.PR.G Insurance Straight Quote: 25.90 – 26.90
Spot Rate : 1.0000
Average : 0.6495

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : -26.34 %
TRP.PR.F FloatingReset Quote: 16.40 – 17.45
Spot Rate : 1.0500
Average : 0.7732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.23 %
BMO.PR.E FixedReset Prem Quote: 25.21 – 25.99
Spot Rate : 0.7800
Average : 0.5107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 23.60
Evaluated at bid price : 25.21
Bid-YTW : 3.52 %
SLF.PR.G FixedReset Ins Non Quote: 16.00 – 17.00
Spot Rate : 1.0000
Average : 0.7372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.38 %
Market Action

August 24, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5980 % 2,611.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5980 % 4,792.6
Floater 3.32 % 3.36 % 69,429 18.80 3 0.5980 % 2,762.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1615 % 3,677.6
SplitShare 4.61 % 3.77 % 26,851 3.27 7 0.1615 % 4,391.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1615 % 3,426.6
Perpetual-Premium 5.14 % -17.35 % 56,333 0.09 25 0.0524 % 3,316.8
Perpetual-Discount 4.67 % 3.79 % 80,775 0.58 8 -0.0050 % 3,992.6
FixedReset Disc 3.96 % 3.40 % 118,662 18.24 40 0.4244 % 2,835.0
Insurance Straight 4.87 % -3.92 % 71,047 0.09 22 -0.1276 % 3,736.6
FloatingReset 2.86 % 3.15 % 32,824 19.30 2 1.4803 % 2,595.3
FixedReset Prem 4.74 % 2.65 % 135,448 2.19 30 0.2509 % 2,769.9
FixedReset Bank Non 1.81 % 1.98 % 101,650 0.43 1 0.0000 % 2,890.8
FixedReset Ins Non 4.03 % 3.24 % 105,870 18.31 20 0.0771 % 2,959.4
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -9.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.83 %
BIP.PR.A FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.28
Bid-YTW : 4.41 %
IFC.PR.A FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 3.22 %
BAM.PR.B Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 12.98
Evaluated at bid price : 12.98
Bid-YTW : 3.33 %
MFC.PR.M FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.33 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.13
Evaluated at bid price : 24.64
Bid-YTW : 3.49 %
BMO.PR.W FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.98
Evaluated at bid price : 24.09
Bid-YTW : 3.21 %
BIK.PR.A FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.11 %
CM.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.83
Evaluated at bid price : 25.21
Bid-YTW : 3.26 %
BAM.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.96 %
PVS.PR.J SplitShare 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.04 %
TRP.PR.A FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.92 %
TRP.PR.D FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 3.99 %
NA.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.71
Evaluated at bid price : 25.12
Bid-YTW : 3.40 %
CM.PR.O FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.02
Bid-YTW : 3.31 %
SLF.PR.G FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.24 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 2.57 %
CU.PR.C FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 21.75
Evaluated at bid price : 22.19
Bid-YTW : 3.62 %
MFC.PR.N FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.87
Evaluated at bid price : 23.94
Bid-YTW : 3.28 %
TRP.PR.E FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.00 %
TRP.PR.F FloatingReset 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.S Insurance Straight 129,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.50
Evaluated at bid price : 26.45
Bid-YTW : -27.89 %
TRP.PR.K FixedReset Prem 113,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 1.64 %
CIU.PR.A Perpetual-Discount 105,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.40 %
TRP.PR.C FixedReset Disc 103,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 3.90 %
SLF.PR.A Insurance Straight 101,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 0.35 %
CM.PR.O FixedReset Disc 69,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.02
Bid-YTW : 3.31 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.33
Spot Rate : 1.9800
Average : 1.4931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.83 %
CU.PR.C FixedReset Disc Quote: 22.19 – 23.19
Spot Rate : 1.0000
Average : 0.6874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 21.75
Evaluated at bid price : 22.19
Bid-YTW : 3.62 %
BIP.PR.F FixedReset Prem Quote: 25.75 – 26.45
Spot Rate : 0.7000
Average : 0.4162

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.12 %
IFC.PR.I Perpetual-Premium Quote: 27.30 – 28.00
Spot Rate : 0.7000
Average : 0.4871

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.30
Bid-YTW : 3.95 %
MFC.PR.Q FixedReset Ins Non Quote: 25.08 – 25.60
Spot Rate : 0.5200
Average : 0.3600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 23.66
Evaluated at bid price : 25.08
Bid-YTW : 3.37 %
BIP.PR.A FixedReset Disc Quote: 24.28 – 24.84
Spot Rate : 0.5600
Average : 0.4131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-24
Maturity Price : 22.99
Evaluated at bid price : 24.28
Bid-YTW : 4.41 %