Market Action

July 8, 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 -0.2518 % 2,674.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2518 % 4,907.9
Floater 3.25 % 3.26 % 101,967 19.11 3 -0.2518 % 2,828.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,695.6
SplitShare 4.63 % 3.86 % 41,092 3.88 6 0.0000 % 4,413.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,443.5
Perpetual-Premium 5.15 % -6.38 % 62,252 0.09 30 -0.5456 % 3,286.7
Perpetual-Discount 4.63 % 4.68 % 45,678 16.04 4 -0.0706 % 3,933.9
FixedReset Disc 4.06 % 3.72 % 134,001 17.92 40 -0.5154 % 2,768.2
Insurance Straight 4.90 % -1.22 % 79,405 0.09 22 -0.1104 % 3,717.9
FloatingReset 2.80 % 3.06 % 35,985 19.59 2 -0.5247 % 2,596.1
FixedReset Prem 4.84 % 2.99 % 181,579 1.43 33 -0.5543 % 2,749.4
FixedReset Bank Non 1.80 % 2.28 % 90,054 0.56 1 -0.0798 % 2,895.4
FixedReset Ins Non 4.08 % 3.60 % 120,865 17.83 20 -0.5962 % 2,924.5
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.52 %
BAM.PR.X FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 4.16 %
CM.PR.Y FixedReset Prem -1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.29
Bid-YTW : 3.29 %
TRP.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.21 %
TRP.PR.D FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.21 %
BAM.PF.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 22.10
Evaluated at bid price : 22.61
Bid-YTW : 4.10 %
CU.PR.I FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 2.90 %
IFC.PR.C FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.49
Evaluated at bid price : 24.46
Bid-YTW : 3.69 %
GWO.PR.N FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 3.46 %
BAM.PF.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.07
Evaluated at bid price : 23.92
Bid-YTW : 4.18 %
TRP.PR.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
IFC.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 3.54 %
SLF.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 22.51
Evaluated at bid price : 23.45
Bid-YTW : 3.32 %
MFC.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 2.72 %
BMO.PR.T FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 22.57
Evaluated at bid price : 23.25
Bid-YTW : 3.53 %
TRP.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.12 %
CU.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.95 %
TRP.PR.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.05 %
NA.PR.S FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.07
Evaluated at bid price : 24.15
Bid-YTW : 3.51 %
PWF.PR.P FixedReset Disc 5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 218,607 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.93 %
IFC.PR.G FixedReset Ins Non 70,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 3.54 %
NA.PR.A FixedReset Prem 52,775 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.16 %
BIP.PR.C FixedReset Prem 42,368 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.50 %
NA.PR.S FixedReset Disc 41,214 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.07
Evaluated at bid price : 24.15
Bid-YTW : 3.51 %
TRP.PR.D FixedReset Disc 39,974 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.21 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 25.25 – 26.69
Spot Rate : 1.4400
Average : 0.8346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 3.54 %
TRP.PR.D FixedReset Disc Quote: 20.52 – 21.00
Spot Rate : 0.4800
Average : 0.3165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.21 %
TRP.PR.C FixedReset Disc Quote: 14.61 – 15.24
Spot Rate : 0.6300
Average : 0.4707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.12 %
IFC.PR.E Insurance Straight Quote: 26.03 – 26.71
Spot Rate : 0.6800
Average : 0.5518

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.03
Bid-YTW : 4.36 %
TRP.PR.E FixedReset Disc Quote: 20.32 – 20.70
Spot Rate : 0.3800
Average : 0.2541

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-08
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.21 %
IFC.PR.I Perpetual-Premium Quote: 26.60 – 27.45
Spot Rate : 0.8500
Average : 0.7290

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 4.46 %
Market Action

July 7, 2021

PerpetualDiscounts now yield 4.63%, equivalent to 6.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.21%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is narrower at 281bp than the 315bp reported March 17.

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 -0.3762 % 2,681.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3762 % 4,920.2
Floater 3.24 % 3.26 % 97,724 19.12 3 -0.3762 % 2,835.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,695.6
SplitShare 4.63 % 3.82 % 42,673 3.37 6 0.0902 % 4,413.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,443.5
Perpetual-Premium 5.12 % -7.79 % 62,727 0.09 30 0.1714 % 3,304.7
Perpetual-Discount 4.63 % 4.68 % 47,543 16.03 4 0.0808 % 3,936.7
FixedReset Disc 4.04 % 3.74 % 133,742 17.85 40 0.1972 % 2,782.5
Insurance Straight 4.89 % -1.62 % 80,550 0.09 22 0.1570 % 3,722.0
FloatingReset 2.79 % 3.04 % 36,173 19.66 2 0.3096 % 2,609.8
FixedReset Prem 4.81 % 2.66 % 183,008 1.43 33 0.2095 % 2,764.7
FixedReset Bank Non 1.80 % 1.90 % 91,434 0.13 1 0.0799 % 2,897.8
FixedReset Ins Non 4.05 % 3.59 % 121,326 17.91 20 0.3976 % 2,942.0
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.09 %
CU.PR.E Perpetual-Premium -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 24.72
Evaluated at bid price : 25.00
Bid-YTW : 4.94 %
RY.PR.J FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 3.74 %
SLF.PR.G FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.63 %
IFC.PR.I Perpetual-Premium -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.52 %
BIP.PR.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 21.80
Evaluated at bid price : 22.16
Bid-YTW : 5.01 %
PWF.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 23.00
Evaluated at bid price : 23.92
Bid-YTW : 3.62 %
TRP.PR.B FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 4.02 %
MFC.PR.H FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 1.16 %
GWO.PR.N FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.42 %
TRP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.01 %
MFC.PR.F FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 3.42 %
CU.PR.H Perpetual-Premium 3.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.93
Bid-YTW : 3.81 %
BAM.PR.X FixedReset Disc 13.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 4.06 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 167,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 21.48
Evaluated at bid price : 21.82
Bid-YTW : 3.91 %
CIU.PR.A Perpetual-Discount 72,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 24.54
Evaluated at bid price : 24.79
Bid-YTW : 4.68 %
PWF.PR.P FixedReset Disc 50,984 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 3.81 %
TRP.PR.D FixedReset Disc 44,362 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.14 %
TRP.PR.E FixedReset Disc 40,588 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.14 %
BAM.PF.E FixedReset Disc 39,072 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.20 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.I Perpetual-Premium Quote: 26.50 – 27.45
Spot Rate : 0.9500
Average : 0.5963

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.52 %
BIP.PR.B FixedReset Prem Quote: 26.86 – 27.86
Spot Rate : 1.0000
Average : 0.7353

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.73 %
TRP.PR.G FixedReset Disc Quote: 23.25 – 24.06
Spot Rate : 0.8100
Average : 0.5626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.09 %
RY.PR.J FixedReset Disc Quote: 24.00 – 24.60
Spot Rate : 0.6000
Average : 0.3932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 3.74 %
CU.PR.E Perpetual-Premium Quote: 25.00 – 25.45
Spot Rate : 0.4500
Average : 0.3074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 24.72
Evaluated at bid price : 25.00
Bid-YTW : 4.94 %
TD.PF.J FixedReset Prem Quote: 25.40 – 25.80
Spot Rate : 0.4000
Average : 0.2747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-07
Maturity Price : 23.77
Evaluated at bid price : 25.40
Bid-YTW : 3.67 %
Market Action

July 6, 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 0.5549 % 2,691.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5549 % 4,938.8
Floater 3.23 % 3.24 % 93,259 19.17 3 0.5549 % 2,846.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1871 % 3,692.3
SplitShare 4.63 % 3.91 % 43,167 3.89 6 0.1871 % 4,409.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1871 % 3,440.4
Perpetual-Premium 5.13 % -4.84 % 61,262 0.09 30 -0.0013 % 3,299.1
Perpetual-Discount 4.63 % 4.69 % 47,494 16.02 4 0.2531 % 3,933.5
FixedReset Disc 4.05 % 3.76 % 133,536 17.83 40 0.1324 % 2,777.1
Insurance Straight 4.90 % -0.32 % 80,999 0.09 22 0.0946 % 3,716.1
FloatingReset 2.79 % 3.06 % 36,479 19.60 2 1.0638 % 2,601.8
FixedReset Prem 4.82 % 2.71 % 183,994 1.43 33 0.0707 % 2,758.9
FixedReset Bank Non 1.80 % 2.26 % 94,585 0.57 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.58 % 118,986 17.85 20 0.0281 % 2,930.3
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -11.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.59 %
CU.PR.H Perpetual-Premium -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.30 %
MFC.PR.F FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.51 %
NA.PR.G FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.52
Evaluated at bid price : 25.05
Bid-YTW : 3.77 %
TRP.PR.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.06 %
RY.PR.M FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 22.71
Evaluated at bid price : 23.76
Bid-YTW : 3.63 %
BAM.PR.Z FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.36
Evaluated at bid price : 23.79
Bid-YTW : 4.22 %
RY.PR.J FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.04
Evaluated at bid price : 24.40
Bid-YTW : 3.66 %
BAM.PR.K Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 3.23 %
NA.PR.C FixedReset Prem 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 1.42 %
TRP.PR.F FloatingReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.06 %
SLF.PR.G FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 3.59 %
TRP.PR.G FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 22.82
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
TRP.PR.C FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 265,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.46 %
PWF.PR.P FixedReset Disc 54,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 3.81 %
MFC.PR.G FixedReset Ins Non 30,651 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 24.41
Evaluated at bid price : 24.96
Bid-YTW : 3.90 %
TRP.PR.D FixedReset Disc 29,997 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.13 %
BMO.PR.E FixedReset Prem 27,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 23.61
Evaluated at bid price : 25.32
Bid-YTW : 3.69 %
TRP.PR.E FixedReset Disc 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.14 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 15.32 – 17.55
Spot Rate : 2.2300
Average : 1.4083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.59 %
CU.PR.H Perpetual-Premium Quote: 25.00 – 26.18
Spot Rate : 1.1800
Average : 0.7694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.30 %
TRP.PR.F FloatingReset Quote: 16.90 – 17.90
Spot Rate : 1.0000
Average : 0.7887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.06 %
BAM.PR.R FixedReset Disc Quote: 19.15 – 19.85
Spot Rate : 0.7000
Average : 0.4957

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.34 %
NA.PR.C FixedReset Prem Quote: 25.90 – 26.48
Spot Rate : 0.5800
Average : 0.4046

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 1.42 %
MFC.PR.F FixedReset Ins Non Quote: 17.26 – 17.75
Spot Rate : 0.4900
Average : 0.3792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-06
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.51 %
Market Action

July 5, 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 1.7449 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7449 % 4,911.6
Floater 3.24 % 3.26 % 93,365 19.11 3 1.7449 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1289 % 3,685.4
SplitShare 4.64 % 3.98 % 42,827 3.37 6 -0.1289 % 4,401.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1289 % 3,433.9
Perpetual-Premium 5.13 % -4.07 % 62,083 0.09 30 0.0286 % 3,299.1
Perpetual-Discount 4.65 % 4.59 % 53,817 16.20 4 0.7241 % 3,923.6
FixedReset Disc 4.05 % 3.78 % 135,410 17.81 40 0.3693 % 2,773.4
Insurance Straight 4.90 % 0.50 % 81,703 0.09 22 -0.1017 % 3,712.6
FloatingReset 2.82 % 3.12 % 37,925 19.45 2 -0.8992 % 2,574.4
FixedReset Prem 4.82 % 2.81 % 186,828 1.44 33 -0.2631 % 2,757.0
FixedReset Bank Non 1.80 % 2.25 % 98,068 0.57 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.59 % 118,215 17.85 20 0.0151 % 2,929.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 3.12 %
NA.PR.G FixedReset Prem -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.43
Evaluated at bid price : 24.80
Bid-YTW : 3.83 %
GWO.PR.T Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.21
Bid-YTW : 4.10 %
TRP.PR.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
CM.PR.Q FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 3.83 %
NA.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.96
Evaluated at bid price : 23.92
Bid-YTW : 3.56 %
NA.PR.W FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.70
Evaluated at bid price : 23.60
Bid-YTW : 3.47 %
TRP.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 4.04 %
CM.PR.P FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.71
Evaluated at bid price : 23.60
Bid-YTW : 3.49 %
BAM.PR.X FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.08 %
BAM.PF.A FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.21
Evaluated at bid price : 24.23
Bid-YTW : 4.11 %
TRP.PR.D FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.13 %
BMO.PR.Y FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.93
Evaluated at bid price : 24.20
Bid-YTW : 3.64 %
CIU.PR.A Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.72 %
BAM.PF.G FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.29
Evaluated at bid price : 22.91
Bid-YTW : 4.04 %
BAM.PF.F FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.94
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
TRP.PR.A FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.11 %
BAM.PR.K Floater 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.C Perpetual-Premium 91,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 24.61
Evaluated at bid price : 24.86
Bid-YTW : 4.90 %
RY.PR.Z FixedReset Disc 38,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.73
Evaluated at bid price : 23.49
Bid-YTW : 3.47 %
W.PR.M FixedReset Prem 28,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.10 %
TRP.PR.B FixedReset Disc 27,752 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
TD.PF.K FixedReset Prem 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.58
Evaluated at bid price : 25.20
Bid-YTW : 3.63 %
PWF.PR.P FixedReset Disc 25,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.81 %
There were 12 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: 16.38 – 24.68
Spot Rate : 8.3000
Average : 4.6373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.81 %
BIP.PR.A FixedReset Disc Quote: 22.35 – 23.20
Spot Rate : 0.8500
Average : 0.5691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 21.93
Evaluated at bid price : 22.35
Bid-YTW : 4.96 %
NA.PR.G FixedReset Prem Quote: 24.80 – 25.39
Spot Rate : 0.5900
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.43
Evaluated at bid price : 24.80
Bid-YTW : 3.83 %
CM.PR.Q FixedReset Disc Quote: 23.45 – 23.99
Spot Rate : 0.5400
Average : 0.3509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 3.83 %
IFC.PR.A FixedReset Ins Non Quote: 20.80 – 21.90
Spot Rate : 1.1000
Average : 0.9170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.35 %
TRP.PR.C FixedReset Disc Quote: 14.42 – 15.24
Spot Rate : 0.8200
Average : 0.6561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.17 %
Market Action

July 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 -0.5360 % 2,630.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5360 % 4,827.3
Floater 3.30 % 3.27 % 93,533 19.09 3 -0.5360 % 2,782.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1549 % 3,690.2
SplitShare 4.63 % 3.84 % 44,263 3.38 6 0.1549 % 4,406.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1549 % 3,438.4
Perpetual-Premium 5.13 % -3.16 % 64,643 0.09 30 0.0195 % 3,298.2
Perpetual-Discount 4.68 % 4.60 % 54,271 16.19 4 -1.1094 % 3,895.4
FixedReset Disc 4.07 % 3.75 % 139,029 17.86 40 -0.1226 % 2,763.2
Insurance Straight 4.90 % -0.41 % 82,911 0.09 22 -0.0071 % 3,716.4
FloatingReset 2.81 % 3.07 % 37,716 19.57 2 -0.3399 % 2,597.7
FixedReset Prem 4.81 % 2.79 % 194,476 1.45 33 0.1423 % 2,764.3
FixedReset Bank Non 1.80 % 2.18 % 101,597 0.58 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.52 % 122,812 17.92 20 -0.0713 % 2,929.1
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.12 %
CIU.PR.A Perpetual-Discount -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.84 %
TRP.PR.A FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.18 %
BAM.PF.A FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.02
Evaluated at bid price : 23.84
Bid-YTW : 4.15 %
GWO.PR.N FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 3.41 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.25 %
BAM.PR.Z FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.24
Evaluated at bid price : 23.67
Bid-YTW : 4.20 %
TRP.PR.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 4.05 %
BMO.PR.F FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 2.49 %
MIC.PR.A Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 4.51 %
NA.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.60
Evaluated at bid price : 24.95
Bid-YTW : 3.59 %
BMO.PR.E FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.66
Evaluated at bid price : 25.50
Bid-YTW : 3.61 %
TD.PF.K FixedReset Prem 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.57
Evaluated at bid price : 25.18
Bid-YTW : 3.60 %
IFC.PR.A FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.31 %
BAM.PF.F FixedReset Disc 5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 22.62
Evaluated at bid price : 23.36
Bid-YTW : 4.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 339,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 3.76 %
BMO.PR.C FixedReset Prem 321,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 2.92 %
BNS.PR.H FixedReset Prem 28,581 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 1.66 %
RY.PR.R FixedReset Prem 12,794 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 0.99 %
PWF.PR.R Perpetual-Premium 12,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-01
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : -15.26 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Discount Quote: 23.95 – 24.95
Spot Rate : 1.0000
Average : 0.5927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.84 %
BAM.PR.X FixedReset Disc Quote: 17.00 – 18.00
Spot Rate : 1.0000
Average : 0.6908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.08 %
TRP.PR.A FixedReset Disc Quote: 18.01 – 18.94
Spot Rate : 0.9300
Average : 0.6262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.18 %
TRP.PR.C FixedReset Disc Quote: 14.42 – 15.15
Spot Rate : 0.7300
Average : 0.4765

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.12 %
SLF.PR.G FixedReset Ins Non Quote: 15.88 – 16.50
Spot Rate : 0.6200
Average : 0.4511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-02
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 3.58 %
PWF.PR.R Perpetual-Premium Quote: 25.68 – 26.39
Spot Rate : 0.7100
Average : 0.5479

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-01
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : -15.26 %
Market Action

June 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 -0.5836 % 2,644.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5836 % 4,853.3
Floater 3.28 % 3.24 % 97,084 19.11 3 -0.5836 % 2,797.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2383 % 3,684.4
SplitShare 4.64 % 4.02 % 45,759 3.39 6 -0.2383 % 4,400.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2383 % 3,433.1
Perpetual-Premium 5.13 % -3.50 % 65,269 0.09 30 -0.0805 % 3,297.5
Perpetual-Discount 4.63 % 4.56 % 56,485 16.25 4 0.2224 % 3,939.1
FixedReset Disc 4.06 % 3.77 % 142,285 17.90 40 -0.2904 % 2,766.6
Insurance Straight 4.90 % 0.47 % 85,998 0.09 22 0.2288 % 3,716.7
FloatingReset 2.80 % 3.04 % 39,196 19.61 2 0.2168 % 2,606.6
FixedReset Prem 4.82 % 2.95 % 202,069 1.45 33 -0.2546 % 2,760.3
FixedReset Bank Non 1.80 % 2.16 % 103,211 0.58 1 -0.0399 % 2,895.4
FixedReset Ins Non 4.07 % 3.51 % 123,936 17.97 20 0.1276 % 2,931.2
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 21.86
Evaluated at bid price : 22.17
Bid-YTW : 4.35 %
BAM.PR.K Floater -4.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.41 %
TRP.PR.A FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.07 %
BMO.PR.E FixedReset Prem -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.54
Evaluated at bid price : 25.15
Bid-YTW : 3.68 %
TD.PF.K FixedReset Prem -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.40
Evaluated at bid price : 24.71
Bid-YTW : 3.71 %
TRP.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.12 %
BAM.PR.X FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 4.04 %
TRP.PR.D FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 4.16 %
BIP.PR.B FixedReset Prem -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.58
Bid-YTW : 3.98 %
EIT.PR.A SplitShare -1.16 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.02 %
NA.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.49
Evaluated at bid price : 24.67
Bid-YTW : 3.64 %
IFC.PR.C FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.91
Evaluated at bid price : 24.75
Bid-YTW : 3.61 %
SLF.PR.D Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.45 %
MFC.PR.F FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 3.34 %
BAM.PR.Z FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.54
Evaluated at bid price : 23.95
Bid-YTW : 4.15 %
BAM.PR.B Floater 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 3.19 %
TRP.PR.G FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 132,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.01 %
BMO.PR.S FixedReset Disc 123,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 22.87
Evaluated at bid price : 23.75
Bid-YTW : 3.51 %
TRP.PR.K FixedReset Prem 88,883 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 3.36 %
CU.PR.C FixedReset Disc 52,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 3.86 %
TD.PF.C FixedReset Disc 36,839 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 3.49 %
MFC.PR.K FixedReset Ins Non 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.03
Evaluated at bid price : 23.85
Bid-YTW : 3.42 %
There were 16 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: 22.17 – 24.02
Spot Rate : 1.8500
Average : 1.2628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 21.86
Evaluated at bid price : 22.17
Bid-YTW : 4.35 %
GWO.PR.M Insurance Straight Quote: 25.80 – 26.80
Spot Rate : 1.0000
Average : 0.6436

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -30.05 %
BAM.PR.K Floater Quote: 12.57 – 13.30
Spot Rate : 0.7300
Average : 0.4638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.41 %
TD.PF.K FixedReset Prem Quote: 24.71 – 25.27
Spot Rate : 0.5600
Average : 0.3427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 23.40
Evaluated at bid price : 24.71
Bid-YTW : 3.71 %
IFC.PR.A FixedReset Ins Non Quote: 20.31 – 21.24
Spot Rate : 0.9300
Average : 0.7780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-30
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 3.39 %
BIP.PR.B FixedReset Prem Quote: 26.58 – 27.43
Spot Rate : 0.8500
Average : 0.7217

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.58
Bid-YTW : 3.98 %
Market Action

June 29, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5802 % 2,660.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5802 % 4,881.8
Floater 3.26 % 3.24 % 98,584 19.11 3 -0.5802 % 2,813.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,693.2
SplitShare 4.63 % 3.88 % 44,417 3.91 6 0.0451 % 4,410.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,441.3
Perpetual-Premium 5.13 % -3.68 % 66,181 0.09 30 -0.0324 % 3,300.2
Perpetual-Discount 4.64 % 4.68 % 54,214 16.05 4 -0.3124 % 3,930.3
FixedReset Disc 4.04 % 3.74 % 146,433 17.92 40 0.1426 % 2,774.6
Insurance Straight 4.91 % 2.97 % 87,951 0.10 22 -0.0357 % 3,708.2
FloatingReset 2.81 % 3.06 % 40,736 19.56 2 0.4042 % 2,600.9
FixedReset Prem 4.80 % 2.84 % 197,008 1.45 33 0.1222 % 2,767.4
FixedReset Bank Non 1.80 % 1.89 % 107,466 0.16 1 0.1200 % 2,896.6
FixedReset Ins Non 4.07 % 3.49 % 125,096 17.95 20 0.0888 % 2,927.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.13
Evaluated at bid price : 22.69
Bid-YTW : 4.17 %
BAM.PR.Z FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 23.10
Evaluated at bid price : 23.53
Bid-YTW : 4.23 %
TRP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 3.96 %
TRP.PR.K FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 2.38 %
GWO.PR.N FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.36 %
BIP.PR.B FixedReset Prem 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.67 %
MFC.PR.N FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.71
Evaluated at bid price : 23.64
Bid-YTW : 3.47 %
CM.PR.S FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 23.54
Evaluated at bid price : 24.60
Bid-YTW : 3.47 %
BAM.PF.F FixedReset Disc 6.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.74
Evaluated at bid price : 23.60
Bid-YTW : 4.04 %
BAM.PF.G FixedReset Disc 7.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.10
Evaluated at bid price : 22.60
Bid-YTW : 4.06 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CIU.PR.A Perpetual-Discount 45,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 24.52
Evaluated at bid price : 24.77
Bid-YTW : 4.68 %
SLF.PR.E Insurance Straight 31,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 4.52 %
W.PR.M FixedReset Prem 17,201 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 0.64 %
TRP.PR.K FixedReset Prem 15,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 2.38 %
MFC.PR.H FixedReset Ins Non 14,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.23 %
BMO.PR.Q FixedReset Bank Non 11,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 1.89 %
There were 8 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: 22.69 – 24.22
Spot Rate : 1.5300
Average : 0.8765

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.13
Evaluated at bid price : 22.69
Bid-YTW : 4.17 %
BMO.PR.Y FixedReset Disc Quote: 23.92 – 24.40
Spot Rate : 0.4800
Average : 0.2839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.80
Evaluated at bid price : 23.92
Bid-YTW : 3.65 %
BIP.PR.A FixedReset Disc Quote: 22.65 – 23.25
Spot Rate : 0.6000
Average : 0.4194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 4.85 %
SLF.PR.G FixedReset Ins Non Quote: 15.98 – 16.50
Spot Rate : 0.5200
Average : 0.3490

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 3.56 %
GWO.PR.Q Insurance Straight Quote: 25.30 – 25.70
Spot Rate : 0.4000
Average : 0.2660

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 0.38 %
TD.PF.E FixedReset Disc Quote: 24.10 – 24.50
Spot Rate : 0.4000
Average : 0.2705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-29
Maturity Price : 22.87
Evaluated at bid price : 24.10
Bid-YTW : 3.79 %
Market Action

June 28, 2021

Getting back into the swing of things! It’s been a while!

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 1.8238 % 2,676.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8238 % 4,910.3
Floater 3.24 % 3.23 % 99,894 19.14 3 1.8238 % 2,829.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0967 % 3,691.6
SplitShare 4.63 % 3.93 % 45,054 3.91 6 0.0967 % 4,408.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0967 % 3,439.7
Perpetual-Premium 5.12 % -3.57 % 67,159 0.09 30 0.0883 % 3,301.3
Perpetual-Discount 4.62 % 4.68 % 50,176 16.04 4 0.0706 % 3,942.7
FixedReset Disc 4.05 % 3.73 % 147,638 17.87 40 -0.0651 % 2,770.7
Insurance Straight 4.91 % -2.84 % 88,692 0.10 22 0.0644 % 3,709.5
FloatingReset 2.82 % 3.07 % 40,654 19.55 2 -0.2172 % 2,590.5
FixedReset Prem 4.81 % 3.01 % 199,254 1.46 33 0.1718 % 2,764.0
FixedReset Bank Non 1.80 % 2.27 % 103,593 0.59 1 -0.0799 % 2,893.1
FixedReset Ins Non 4.08 % 3.54 % 125,622 17.90 20 0.4021 % 2,924.8
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -6.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.41 %
BAM.PF.F FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 4.35 %
CM.PR.S FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.01
Bid-YTW : 3.61 %
SLF.PR.J FloatingReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 2.54 %
GWO.PR.N FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 3.41 %
BAM.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.23 %
BMO.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.96
Evaluated at bid price : 23.95
Bid-YTW : 3.47 %
BAM.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.36
Evaluated at bid price : 23.78
Bid-YTW : 4.18 %
BAM.PR.C Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 3.23 %
SLF.PR.H FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.52
Evaluated at bid price : 23.49
Bid-YTW : 3.26 %
TRP.PR.E FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.09 %
IFC.PR.A FixedReset Ins Non 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 3.38 %
BAM.PR.K Floater 5.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.H Insurance Straight 183,827 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-28
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.07 %
SLF.PR.I FixedReset Ins Non 91,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 2.73 %
RY.PR.H FixedReset Disc 49,243 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.80
Evaluated at bid price : 23.68
Bid-YTW : 3.43 %
CM.PR.S FixedReset Disc 28,803 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.01
Bid-YTW : 3.61 %
TRP.PR.E FixedReset Disc 20,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.09 %
BMO.PR.S FixedReset Disc 11,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 22.96
Evaluated at bid price : 23.95
Bid-YTW : 3.47 %
There were 8 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: 21.01 – 22.91
Spot Rate : 1.9000
Average : 1.1147

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.41 %
BAM.PF.F FixedReset Disc Quote: 22.15 – 23.78
Spot Rate : 1.6300
Average : 1.1659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 4.35 %
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.5550

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.65 %
CM.PR.S FixedReset Disc Quote: 24.01 – 24.79
Spot Rate : 0.7800
Average : 0.4627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.01
Bid-YTW : 3.61 %
BIP.PR.B FixedReset Prem Quote: 26.55 – 27.45
Spot Rate : 0.9000
Average : 0.6150

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.00 %
IFC.PR.E Insurance Straight Quote: 25.95 – 26.71
Spot Rate : 0.7600
Average : 0.5164

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.95
Bid-YTW : 4.41 %
Market Action

June 25, 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 -1.4680 % 2,628.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4680 % 4,822.4
Floater 3.30 % 3.27 % 100,913 19.05 3 -1.4680 % 2,779.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0323 % 3,688.0
SplitShare 4.64 % 4.02 % 46,906 3.91 6 0.0323 % 4,404.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0323 % 3,436.4
Perpetual-Premium 5.13 % -1.26 % 67,579 0.09 30 -0.0480 % 3,298.4
Perpetual-Discount 4.63 % 4.68 % 50,727 16.04 4 0.0908 % 3,939.9
FixedReset Disc 4.05 % 3.75 % 148,598 17.87 40 -0.2340 % 2,772.5
Insurance Straight 4.91 % -1.03 % 89,768 0.09 22 -0.0340 % 3,707.1
FloatingReset 2.77 % 3.05 % 40,960 19.59 2 0.2800 % 2,596.1
FixedReset Prem 4.82 % 2.92 % 205,711 1.46 33 -0.1293 % 2,759.3
FixedReset Bank Non 1.80 % 2.01 % 101,305 0.17 1 0.0400 % 2,895.4
FixedReset Ins Non 4.09 % 3.58 % 129,279 17.88 20 -0.1953 % 2,913.1
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 3.57 %
BAM.PR.K Floater -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 3.39 %
BAM.PF.F FixedReset Disc -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 22.32
Evaluated at bid price : 22.85
Bid-YTW : 4.22 %
IFC.PR.G FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 23.63
Evaluated at bid price : 25.12
Bid-YTW : 3.54 %
RY.PR.J FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 22.91
Evaluated at bid price : 24.10
Bid-YTW : 3.70 %
IAF.PR.I FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 23.59
Evaluated at bid price : 24.85
Bid-YTW : 3.78 %
SLF.PR.H FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 22.37
Evaluated at bid price : 23.20
Bid-YTW : 3.33 %
ELF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 4.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 320,761 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.56 %
GWO.PR.H Insurance Straight 81,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.08 %
BMO.PR.C FixedReset Prem 42,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.46 %
PWF.PR.T FixedReset Disc 42,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 22.77
Evaluated at bid price : 23.47
Bid-YTW : 3.70 %
TD.PF.D FixedReset Disc 31,579 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 22.85
Evaluated at bid price : 24.02
Bid-YTW : 3.76 %
TRP.PR.E FixedReset Disc 30,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.19 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 19.41 – 20.73
Spot Rate : 1.3200
Average : 0.7931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 3.57 %
BAM.PF.F FixedReset Disc Quote: 22.85 – 23.85
Spot Rate : 1.0000
Average : 0.6570

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 22.32
Evaluated at bid price : 22.85
Bid-YTW : 4.22 %
CU.PR.I FixedReset Prem Quote: 26.74 – 27.35
Spot Rate : 0.6100
Average : 0.4009

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 2.90 %
BAM.PR.R FixedReset Disc Quote: 19.05 – 19.62
Spot Rate : 0.5700
Average : 0.3621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.32 %
CM.PR.Y FixedReset Prem Quote: 26.31 – 26.89
Spot Rate : 0.5800
Average : 0.3944

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 3.22 %
BAM.PR.K Floater Quote: 12.65 – 13.20
Spot Rate : 0.5500
Average : 0.3695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-25
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 3.39 %
Market Action

June 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 0.9195 % 2,667.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9195 % 4,894.2
Floater 3.26 % 3.26 % 101,881 19.09 3 0.9195 % 2,820.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0516 % 3,686.8
SplitShare 4.64 % 3.98 % 47,383 3.92 6 0.0516 % 4,402.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0516 % 3,435.3
Perpetual-Premium 5.13 % -1.18 % 67,261 0.09 30 0.0701 % 3,299.9
Perpetual-Discount 4.63 % 4.57 % 60,054 16.25 4 0.3240 % 3,936.3
FixedReset Disc 4.04 % 3.77 % 148,528 17.85 40 0.2638 % 2,779.0
Insurance Straight 4.91 % -1.35 % 88,100 0.11 22 -0.0107 % 3,708.4
FloatingReset 2.78 % 3.05 % 41,508 19.60 2 0.2183 % 2,588.9
FixedReset Prem 4.81 % 2.92 % 202,113 1.47 33 0.0094 % 2,762.8
FixedReset Bank Non 1.80 % 2.18 % 102,504 0.60 1 0.0000 % 2,894.3
FixedReset Ins Non 4.09 % 3.55 % 134,448 17.85 20 0.4336 % 2,918.8
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.04
Evaluated at bid price : 22.51
Bid-YTW : 4.90 %
TD.PF.E FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.90
Evaluated at bid price : 24.17
Bid-YTW : 3.79 %
BIP.PR.E FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.80 %
BAM.PF.F FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.74
Evaluated at bid price : 23.59
Bid-YTW : 4.06 %
BAM.PF.B FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.25
Evaluated at bid price : 22.66
Bid-YTW : 4.11 %
BAM.PR.B Floater 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 3.24 %
SLF.PR.H FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.25
Evaluated at bid price : 22.97
Bid-YTW : 3.38 %
NA.PR.G FixedReset Prem 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 23.74
Evaluated at bid price : 25.76
Bid-YTW : 3.67 %
RY.PR.H FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.73
Evaluated at bid price : 23.55
Bid-YTW : 3.47 %
BAM.PR.Z FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 23.08
Evaluated at bid price : 23.51
Bid-YTW : 4.25 %
PWF.PR.E Perpetual-Premium 2.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-24
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : -30.20 %
BAM.PF.A FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 23.26
Evaluated at bid price : 24.34
Bid-YTW : 4.06 %
GWO.PR.N FixedReset Ins Non 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 124,936 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.01 %
TD.PF.K FixedReset Prem 54,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 23.52
Evaluated at bid price : 25.05
Bid-YTW : 3.65 %
SLF.PR.I FixedReset Ins Non 53,125 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.46 %
TD.PF.I FixedReset Prem 43,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 2.99 %
IFC.PR.G FixedReset Ins Non 32,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 23.77
Evaluated at bid price : 25.56
Bid-YTW : 3.46 %
MFC.PR.C Insurance Straight 27,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 4.52 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 23.51 – 24.50
Spot Rate : 0.9900
Average : 0.7834

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 23.08
Evaluated at bid price : 23.51
Bid-YTW : 4.25 %
MFC.PR.L FixedReset Ins Non Quote: 22.90 – 23.36
Spot Rate : 0.4600
Average : 0.2971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.38
Evaluated at bid price : 22.90
Bid-YTW : 3.50 %
BAM.PF.H FixedReset Prem Quote: 27.50 – 27.99
Spot Rate : 0.4900
Average : 0.3563

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 2.63 %
TRP.PR.E FixedReset Disc Quote: 20.83 – 21.20
Spot Rate : 0.3700
Average : 0.2522

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.15 %
CM.PR.Q FixedReset Disc Quote: 23.81 – 24.27
Spot Rate : 0.4600
Average : 0.3606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.76
Evaluated at bid price : 23.81
Bid-YTW : 3.78 %
MFC.PR.N FixedReset Ins Non Quote: 23.30 – 23.99
Spot Rate : 0.6900
Average : 0.5982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-24
Maturity Price : 22.53
Evaluated at bid price : 23.30
Bid-YTW : 3.55 %