Archive for the ‘Market Action’ Category

March 26, 2021

Friday, March 26th, 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 0.5764 % 2,374.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5764 % 4,356.9
Floater 3.69 % 3.68 % 59,222 18.12 3 0.5764 % 2,510.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1777 % 3,684.1
SplitShare 4.76 % 4.15 % 44,647 3.60 9 0.1777 % 4,399.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1777 % 3,432.7
Perpetual-Premium 5.31 % -5.29 % 84,093 0.09 21 0.1190 % 3,258.5
Perpetual-Discount 4.94 % 4.99 % 77,338 15.49 13 0.0950 % 3,754.8
FixedReset Disc 4.39 % 3.88 % 205,794 17.21 52 -0.1524 % 2,649.9
Insurance Straight 4.98 % 4.57 % 98,118 4.01 22 -0.0326 % 3,657.3
FloatingReset 2.93 % 3.25 % 51,418 19.10 2 0.4719 % 2,401.2
FixedReset Prem 5.07 % 3.42 % 255,127 0.99 26 -0.0456 % 2,728.9
FixedReset Bank Non 1.81 % 2.42 % 208,858 0.84 1 -0.1201 % 2,886.2
FixedReset Ins Non 4.41 % 3.84 % 142,846 17.48 22 0.1227 % 2,790.2
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -6.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.83 %
TD.PF.J FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %
TRP.PR.G FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.49 %
TRP.PR.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.60 %
CM.PR.Q FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.40
Evaluated at bid price : 23.15
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.59 %
CU.PR.E Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 24.47
Evaluated at bid price : 24.74
Bid-YTW : 4.99 %
IFC.PR.C FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.31
Evaluated at bid price : 23.10
Bid-YTW : 3.90 %
BAM.PF.F FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 21.64
Evaluated at bid price : 21.90
Bid-YTW : 4.43 %
TRP.PR.D FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.58 %
BAM.PR.Z FixedReset Disc 8.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 21.86
Evaluated at bid price : 22.40
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Disc 109,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.10 %
NA.PR.W FixedReset Disc 72,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.27
Evaluated at bid price : 22.87
Bid-YTW : 3.66 %
BAM.PF.A FixedReset Disc 67,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.34
Evaluated at bid price : 22.75
Bid-YTW : 4.44 %
TD.PF.A FixedReset Disc 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.25
Evaluated at bid price : 22.80
Bid-YTW : 3.63 %
RY.PR.R FixedReset Prem 59,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 2.59 %
TD.PF.H FixedReset Prem 57,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.37 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.91 – 26.91
Spot Rate : 1.0000
Average : 0.6354

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 3.86 %

TRP.PR.E FixedReset Disc Quote: 18.01 – 19.30
Spot Rate : 1.2900
Average : 0.9748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.83 %

BAM.PR.K Floater Quote: 11.58 – 15.88
Spot Rate : 4.3000
Average : 4.0192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 11.58
Evaluated at bid price : 11.58
Bid-YTW : 3.70 %

CM.PR.Q FixedReset Disc Quote: 23.15 – 23.75
Spot Rate : 0.6000
Average : 0.4051

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.40
Evaluated at bid price : 23.15
Bid-YTW : 3.87 %

TD.PF.J FixedReset Disc Quote: 24.27 – 24.87
Spot Rate : 0.6000
Average : 0.4161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %

BIP.PR.B FixedReset Prem Quote: 25.55 – 26.75
Spot Rate : 1.2000
Average : 1.0452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.99 %

March 25, 2021

Thursday, March 25th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1443 % 2,360.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1443 % 4,332.0
Floater 3.71 % 3.70 % 61,123 18.08 3 0.1443 % 2,496.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0087 % 3,677.5
SplitShare 4.77 % 4.21 % 41,337 3.61 9 -0.0087 % 4,391.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0087 % 3,426.6
Perpetual-Premium 5.30 % -2.52 % 79,124 0.09 21 -0.0372 % 3,254.7
Perpetual-Discount 4.95 % 5.00 % 77,781 15.52 13 -0.2717 % 3,751.2
FixedReset Disc 4.37 % 3.83 % 201,218 17.25 52 -0.3089 % 2,653.9
Insurance Straight 4.98 % 4.56 % 97,876 3.82 22 0.1179 % 3,658.5
FloatingReset 2.94 % 3.25 % 51,404 19.10 2 0.0675 % 2,389.9
FixedReset Prem 5.06 % 3.46 % 246,401 0.99 26 -0.1996 % 2,730.2
FixedReset Bank Non 1.81 % 2.27 % 211,802 0.84 1 0.0000 % 2,889.7
FixedReset Ins Non 4.42 % 3.86 % 144,469 17.42 22 -0.2366 % 2,786.8
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -7.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.67 %
CU.PR.E Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 24.24
Evaluated at bid price : 24.49
Bid-YTW : 5.04 %
BAM.PF.B FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.48 %
BIP.PR.B FixedReset Prem -1.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.98 %
IFC.PR.A FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.95 %
TRP.PR.A FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 4.53 %
BAM.PF.F FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.49 %
NA.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.70 %
SLF.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.86 %
TD.PF.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.35
Evaluated at bid price : 22.99
Bid-YTW : 3.65 %
NA.PR.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 23.17
Evaluated at bid price : 24.10
Bid-YTW : 3.79 %
BAM.PR.R FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.54 %
TRP.PR.G FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.54 %
TD.PF.J FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 23.49
Evaluated at bid price : 24.80
Bid-YTW : 3.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 201,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.12 %
TD.PF.A FixedReset Disc 122,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.25
Evaluated at bid price : 22.80
Bid-YTW : 3.63 %
BMO.PR.E FixedReset Disc 98,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 23.35
Evaluated at bid price : 24.76
Bid-YTW : 3.80 %
RY.PR.Z FixedReset Disc 96,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.41
Evaluated at bid price : 22.98
Bid-YTW : 3.55 %
RY.PR.Q FixedReset Prem 90,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.79 %
TRP.PR.B FixedReset Disc 72,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.35 %
There were 36 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: 20.73 – 22.53
Spot Rate : 1.8000
Average : 1.1077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.87 %

BAM.PR.K Floater Quote: 11.51 – 15.88
Spot Rate : 4.3700
Average : 3.7112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 3.72 %

BAM.PF.A FixedReset Disc Quote: 22.78 – 24.25
Spot Rate : 1.4700
Average : 0.8738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.36
Evaluated at bid price : 22.78
Bid-YTW : 4.43 %

BIP.PR.B FixedReset Prem Quote: 25.55 – 26.70
Spot Rate : 1.1500
Average : 0.8756

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.98 %

MFC.PR.F FixedReset Ins Non Quote: 17.00 – 17.99
Spot Rate : 0.9900
Average : 0.7449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.55 %

CU.PR.E Perpetual-Discount Quote: 24.49 – 25.10
Spot Rate : 0.6100
Average : 0.3904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 24.24
Evaluated at bid price : 24.49
Bid-YTW : 5.04 %

March 24, 2021

Wednesday, March 24th, 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 0.2314 % 2,357.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2314 % 4,325.7
Floater 3.71 % 3.70 % 61,784 18.08 3 0.2314 % 2,492.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1389 % 3,677.8
SplitShare 4.77 % 4.21 % 40,644 3.61 9 0.1389 % 4,392.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1389 % 3,426.9
Perpetual-Premium 5.30 % -1.87 % 79,992 0.09 21 0.0987 % 3,255.9
Perpetual-Discount 4.93 % 4.94 % 80,864 15.51 13 0.0632 % 3,761.4
FixedReset Disc 4.36 % 3.88 % 194,063 17.18 52 -0.1827 % 2,662.2
Insurance Straight 4.98 % 4.56 % 90,605 4.02 22 0.0890 % 3,654.2
FloatingReset 2.94 % 3.25 % 50,728 19.10 2 -0.2355 % 2,388.3
FixedReset Prem 5.05 % 3.39 % 247,508 0.99 26 -0.1289 % 2,735.6
FixedReset Bank Non 1.81 % 2.26 % 218,785 0.85 1 0.0400 % 2,889.7
FixedReset Ins Non 4.41 % 3.82 % 147,109 17.45 22 0.0653 % 2,793.4
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 3.70 %
TD.PF.J FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %
TD.PF.K FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.10
Evaluated at bid price : 24.13
Bid-YTW : 3.85 %
NA.PR.E FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %
TD.PF.M FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.00 %
BAM.PR.R FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.61 %
BIP.PR.B FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.50 %
SLF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.82 %
MFC.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.07
Evaluated at bid price : 22.55
Bid-YTW : 3.71 %
CU.PR.D Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 24.64
Evaluated at bid price : 24.95
Bid-YTW : 4.94 %
TRP.PR.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.A FixedReset Disc 115,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.45 %
TRP.PR.J FixedReset Prem 107,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.24 %
CM.PR.O FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.37
Evaluated at bid price : 22.95
Bid-YTW : 3.69 %
SLF.PR.A Insurance Straight 57,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.77 %
MFC.PR.O FixedReset Ins Non 53,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.05 %
NA.PR.E FixedReset Disc 43,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.47 – 15.88
Spot Rate : 4.4100
Average : 2.9889

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 11.47
Evaluated at bid price : 11.47
Bid-YTW : 3.74 %

POW.PR.A Perpetual-Premium Quote: 25.70 – 26.70
Spot Rate : 1.0000
Average : 0.5455

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-23
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -14.71 %

TRP.PR.D FixedReset Disc Quote: 19.35 – 19.95
Spot Rate : 0.6000
Average : 0.4075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.54 %

TD.PF.J FixedReset Disc Quote: 24.27 – 24.80
Spot Rate : 0.5300
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %

NA.PR.E FixedReset Disc Quote: 23.84 – 24.25
Spot Rate : 0.4100
Average : 0.2467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %

TD.PF.C FixedReset Disc Quote: 22.75 – 23.23
Spot Rate : 0.4800
Average : 0.3211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 3.70 %

March 23, 2021

Wednesday, March 24th, 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 0.9933 % 2,352.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9933 % 4,315.7
Floater 3.72 % 3.71 % 61,507 18.05 3 0.9933 % 2,487.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0130 % 3,672.7
SplitShare 4.77 % 4.33 % 42,211 3.61 9 -0.0130 % 4,386.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0130 % 3,422.2
Perpetual-Premium 5.30 % -3.11 % 80,212 0.09 21 0.0764 % 3,252.7
Perpetual-Discount 4.94 % 4.99 % 82,106 15.53 13 0.5403 % 3,759.0
FixedReset Disc 4.35 % 3.80 % 196,340 17.30 52 0.1084 % 2,667.0
Insurance Straight 4.99 % 4.57 % 91,082 15.45 22 0.2384 % 3,650.9
FloatingReset 2.94 % 3.24 % 52,591 19.14 2 -0.2685 % 2,393.9
FixedReset Prem 5.05 % 3.44 % 237,401 1.00 26 0.3082 % 2,739.2
FixedReset Bank Non 1.81 % 2.30 % 227,495 0.85 1 0.0802 % 2,888.5
FixedReset Ins Non 4.41 % 3.83 % 144,278 17.48 22 0.1636 % 2,791.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.62 %
TRP.PR.A FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.53 %
BAM.PR.Z FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.46 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.65
Evaluated at bid price : 23.40
Bid-YTW : 3.71 %
SLF.PR.I FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.48
Evaluated at bid price : 24.10
Bid-YTW : 3.83 %
CIU.PR.A Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.78 %
TD.PF.I FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.85 %
BAM.PF.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.57 %
TD.PF.M FixedReset Prem 1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.57 %
BAM.PR.R FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.56 %
CU.PR.F Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.49
Evaluated at bid price : 23.75
Bid-YTW : 4.77 %
BAM.PF.B FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.39 %
CU.PR.G Perpetual-Discount 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.55
Evaluated at bid price : 23.82
Bid-YTW : 4.75 %
BAM.PF.G FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.53 %
BAM.PR.K Floater 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 3.75 %
BIP.PR.B FixedReset Prem 3.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.24 %
IFC.PR.C FixedReset Ins Non 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.08
Evaluated at bid price : 22.70
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset Ins Non 103,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.94
Evaluated at bid price : 24.32
Bid-YTW : 3.99 %
RY.PR.J FixedReset Disc 75,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.04
Evaluated at bid price : 24.49
Bid-YTW : 3.62 %
BAM.PR.B Floater 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 3.71 %
BAM.PF.J FixedReset Prem 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.65
Evaluated at bid price : 25.00
Bid-YTW : 4.69 %
BAM.PF.B FixedReset Disc 42,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.39 %
BAM.PR.C Floater 36,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 11.59
Evaluated at bid price : 11.59
Bid-YTW : 3.70 %
There were 36 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: 16.92 – 17.99
Spot Rate : 1.0700
Average : 0.6912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 3.56 %

TRP.PR.G FixedReset Disc Quote: 20.71 – 21.43
Spot Rate : 0.7200
Average : 0.4617

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.62 %

TRP.PR.E FixedReset Disc Quote: 19.31 – 20.50
Spot Rate : 1.1900
Average : 0.9868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.50 %

CU.PR.D Perpetual-Discount Quote: 24.55 – 25.11
Spot Rate : 0.5600
Average : 0.4335

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 24.29
Evaluated at bid price : 24.55
Bid-YTW : 5.02 %

POW.PR.G Perpetual-Premium Quote: 25.58 – 25.99
Spot Rate : 0.4100
Average : 0.2971

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -3.11 %

BAM.PF.A FixedReset Disc Quote: 22.91 – 23.35
Spot Rate : 0.4400
Average : 0.3298

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.44
Evaluated at bid price : 22.91
Bid-YTW : 4.40 %

March 22, 2021

Monday, March 22nd, 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 1.0629 % 2,328.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0629 % 4,273.3
Floater 3.76 % 3.71 % 60,620 18.06 3 1.0629 % 2,462.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0304 % 3,673.2
SplitShare 4.77 % 4.20 % 42,604 3.62 9 -0.0304 % 4,386.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0304 % 3,422.6
Perpetual-Premium 5.30 % -1.73 % 79,223 0.09 21 -0.0037 % 3,250.2
Perpetual-Discount 4.96 % 5.01 % 80,819 15.46 13 0.3028 % 3,738.8
FixedReset Disc 4.36 % 3.87 % 196,563 17.26 52 -0.0944 % 2,664.1
Insurance Straight 5.00 % 4.66 % 91,775 15.46 22 -0.0437 % 3,642.2
FloatingReset 2.93 % 3.22 % 48,471 19.18 2 -0.9967 % 2,400.4
FixedReset Prem 5.06 % 3.50 % 233,394 1.00 26 -0.0015 % 2,730.7
FixedReset Bank Non 1.81 % 2.39 % 228,117 0.85 1 0.1606 % 2,886.2
FixedReset Ins Non 4.42 % 3.83 % 145,244 17.46 22 -0.0347 % 2,787.0
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.66 %
TRP.PR.B FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 4.32 %
SLF.PR.J FloatingReset -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 2.60 %
IAF.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.76
Evaluated at bid price : 24.20
Bid-YTW : 3.94 %
SLF.PR.E Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.57 %
BIP.PR.B FixedReset Prem -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.97 %
TD.PF.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 22.71
Evaluated at bid price : 23.80
Bid-YTW : 3.87 %
BAM.PR.X FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.40 %
BAM.PF.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 22.47
Evaluated at bid price : 22.95
Bid-YTW : 4.39 %
SLF.PR.I FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.77
Evaluated at bid price : 24.35
Bid-YTW : 3.79 %
TRP.PR.A FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.45 %
BAM.PR.Z FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 22.50
Evaluated at bid price : 22.85
Bid-YTW : 4.39 %
MFC.PR.L FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.81 %
BAM.PR.C Floater 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.59
Evaluated at bid price : 11.59
Bid-YTW : 3.70 %
BAM.PR.B Floater 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 3.71 %
CU.PR.E Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 24.62
Evaluated at bid price : 24.93
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.X FixedReset Prem 64,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 1.10 %
TRP.PR.E FixedReset Disc 52,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.49 %
RY.PR.J FixedReset Disc 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.01
Evaluated at bid price : 24.41
Bid-YTW : 3.63 %
TRP.PR.K FixedReset Prem 49,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
BAM.PR.B Floater 47,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 3.71 %
PWF.PR.S Perpetual-Discount 44,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.96
Evaluated at bid price : 24.22
Bid-YTW : 5.01 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.09 – 15.88
Spot Rate : 4.7900
Average : 2.7804

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 3.86 %

TRP.PR.E FixedReset Disc Quote: 19.31 – 20.50
Spot Rate : 1.1900
Average : 0.7639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.49 %

BAM.PF.G FixedReset Disc Quote: 19.91 – 20.70
Spot Rate : 0.7900
Average : 0.5394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.66 %

BAM.PR.R FixedReset Disc Quote: 17.81 – 18.80
Spot Rate : 0.9900
Average : 0.7613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.64 %

BAM.PF.E FixedReset Disc Quote: 19.25 – 19.90
Spot Rate : 0.6500
Average : 0.4245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.62 %

RY.PR.P Perpetual-Premium Quote: 26.20 – 26.78
Spot Rate : 0.5800
Average : 0.3618

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-21
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : 0.06 %

March 19, 2021

Friday, March 19th, 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 -1.4261 % 2,304.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4261 % 4,228.3
Floater 3.80 % 3.77 % 59,501 17.94 3 -1.4261 % 2,436.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0239 % 3,674.3
SplitShare 4.77 % 4.19 % 39,529 3.62 9 0.0239 % 4,387.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0239 % 3,423.6
Perpetual-Premium 5.30 % -0.91 % 77,719 0.09 21 0.0354 % 3,250.3
Perpetual-Discount 4.98 % 5.01 % 81,731 15.46 13 -0.1273 % 3,727.6
FixedReset Disc 4.35 % 3.87 % 197,074 17.20 52 -0.0035 % 2,666.7
Insurance Straight 5.00 % 4.66 % 92,280 15.46 22 -0.0473 % 3,643.8
FloatingReset 2.95 % 3.27 % 49,832 19.07 2 0.7363 % 2,424.5
FixedReset Prem 5.06 % 3.66 % 242,543 1.01 26 0.0331 % 2,730.8
FixedReset Bank Non 1.81 % 2.57 % 227,586 0.86 1 -0.3201 % 2,881.6
FixedReset Ins Non 4.42 % 3.86 % 149,195 17.43 22 -0.4497 % 2,788.0
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 4.19 %
BAM.PR.K Floater -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 3.86 %
MFC.PR.L FixedReset Ins Non -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.90 %
MFC.PR.F FixedReset Ins Non -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.63 %
TRP.PR.C FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 4.48 %
BAM.PF.A FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 22.31
Evaluated at bid price : 22.71
Bid-YTW : 4.47 %
BAM.PR.R FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.68 %
TRP.PR.A FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.55 %
MFC.PR.I FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 23.96
Evaluated at bid price : 24.33
Bid-YTW : 4.02 %
RY.PR.J FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 23.10
Evaluated at bid price : 24.64
Bid-YTW : 3.61 %
TD.PF.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 22.83
Evaluated at bid price : 24.07
Bid-YTW : 3.84 %
SLF.PR.J FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 223,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 3.57 %
RY.PR.J FixedReset Disc 119,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 23.10
Evaluated at bid price : 24.64
Bid-YTW : 3.61 %
RY.PR.S FixedReset Disc 82,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 23.20
Evaluated at bid price : 24.50
Bid-YTW : 3.60 %
TD.PF.A FixedReset Disc 81,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 22.31
Evaluated at bid price : 22.90
Bid-YTW : 3.63 %
BAM.PR.R FixedReset Disc 63,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.68 %
IAF.PR.I FixedReset Ins Non 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 23.50
Evaluated at bid price : 24.80
Bid-YTW : 3.82 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 17.80 – 18.62
Spot Rate : 0.8200
Average : 0.5106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.68 %

IFC.PR.C FixedReset Ins Non Quote: 21.85 – 22.75
Spot Rate : 0.9000
Average : 0.5973

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 4.19 %

MFC.PR.L FixedReset Ins Non Quote: 21.10 – 21.93
Spot Rate : 0.8300
Average : 0.5818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.90 %

TRP.PR.A FixedReset Disc Quote: 16.80 – 17.30
Spot Rate : 0.5000
Average : 0.2840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.55 %

BAM.PF.A FixedReset Disc Quote: 22.71 – 23.29
Spot Rate : 0.5800
Average : 0.3834

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-19
Maturity Price : 22.31
Evaluated at bid price : 22.71
Bid-YTW : 4.47 %

BMO.PR.F FixedReset Prem Quote: 25.76 – 26.24
Spot Rate : 0.4800
Average : 0.3030

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.20 %

March 18, 2021

Thursday, March 18th, 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 0.6149 % 2,337.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6149 % 4,289.5
Floater 3.74 % 3.74 % 59,408 18.00 3 0.6149 % 2,472.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1148 % 3,673.5
SplitShare 4.77 % 4.28 % 39,422 3.62 9 -0.1148 % 4,386.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1148 % 3,422.8
Perpetual-Premium 5.31 % -0.61 % 74,863 0.09 21 0.0205 % 3,249.2
Perpetual-Discount 4.97 % 5.00 % 82,183 15.48 13 0.0350 % 3,732.3
FixedReset Disc 4.35 % 3.89 % 191,374 17.22 52 0.3259 % 2,666.8
Insurance Straight 4.99 % 4.59 % 91,152 4.61 22 0.1165 % 3,645.6
FloatingReset 2.97 % 3.27 % 49,259 19.08 2 -0.2670 % 2,406.8
FixedReset Prem 5.06 % 3.57 % 236,694 1.01 26 0.1054 % 2,729.9
FixedReset Bank Non 1.81 % 2.17 % 220,845 0.43 1 -0.0400 % 2,890.8
FixedReset Ins Non 4.40 % 3.84 % 148,344 17.44 22 0.1916 % 2,800.6
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.62 %
SLF.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 3.85 %
BAM.PF.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.55 %
CM.PR.Q FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 22.78
Evaluated at bid price : 23.90
Bid-YTW : 3.79 %
BAM.PF.F FixedReset Disc 6.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 21.76
Evaluated at bid price : 22.07
Bid-YTW : 4.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 218,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 22.41
Evaluated at bid price : 22.98
Bid-YTW : 3.57 %
RY.PR.Q FixedReset Prem 196,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 0.32 %
TD.PF.A FixedReset Disc 171,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 3.61 %
BMO.PR.S FixedReset Disc 86,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 22.65
Evaluated at bid price : 23.40
Bid-YTW : 3.63 %
PVS.PR.D SplitShare 84,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 2.55 %
BNS.PR.E FixedReset Prem 81,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.57 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Ins Non Quote: 14.98 – 15.75
Spot Rate : 0.7700
Average : 0.5272

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 3.85 %

MFC.PR.C Insurance Straight Quote: 24.42 – 24.68
Spot Rate : 0.2600
Average : 0.1605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-18
Maturity Price : 24.16
Evaluated at bid price : 24.42
Bid-YTW : 4.62 %

PVS.PR.F SplitShare Quote: 25.45 – 25.65
Spot Rate : 0.2000
Average : 0.1369

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.31 %

PVS.PR.E SplitShare Quote: 25.65 – 25.89
Spot Rate : 0.2400
Average : 0.1784

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.50
Evaluated at bid price : 25.65
Bid-YTW : 0.20 %

BIP.PR.B FixedReset Prem Quote: 25.81 – 26.19
Spot Rate : 0.3800
Average : 0.3206

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.72 %

IFC.PR.I Perpetual-Premium Quote: 26.00 – 26.59
Spot Rate : 0.5900
Average : 0.5388

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.79 %

March 17, 2021

Wednesday, March 17th, 2021

PerpetualDiscounts now yield 5.00%, equivalent to 6.50% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.37%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is slightly (and perhaps spuriously) narrower at 315bp than the 320bp reported March 10.

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 -0.2337 % 2,323.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2337 % 4,263.3
Floater 3.77 % 3.76 % 59,709 17.96 3 -0.2337 % 2,457.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3713 % 3,677.7
SplitShare 4.77 % 4.11 % 38,931 3.63 9 -0.3713 % 4,391.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3713 % 3,426.8
Perpetual-Premium 5.31 % -0.68 % 75,768 0.09 21 0.0429 % 3,248.5
Perpetual-Discount 4.97 % 5.00 % 81,102 15.47 13 0.0032 % 3,731.0
FixedReset Disc 4.37 % 3.87 % 191,790 17.22 52 0.4153 % 2,658.1
Insurance Straight 5.00 % 4.64 % 87,209 15.50 22 0.2281 % 3,641.3
FloatingReset 2.96 % 3.27 % 48,835 19.08 2 0.2677 % 2,413.3
FixedReset Prem 5.07 % 3.69 % 237,229 1.01 26 0.0437 % 2,727.0
FixedReset Bank Non 1.80 % 2.06 % 204,480 0.44 1 0.0801 % 2,892.0
FixedReset Ins Non 4.41 % 3.86 % 149,304 17.42 22 0.0896 % 2,795.2
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -6.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.72 %
RS.PR.A SplitShare -3.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.33
Bid-YTW : 4.76 %
TRP.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 4.44 %
IFC.PR.C FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 22.02
Evaluated at bid price : 22.60
Bid-YTW : 4.03 %
IFC.PR.G FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 22.47
Evaluated at bid price : 22.90
Bid-YTW : 4.04 %
CM.PR.Q FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 3.87 %
MFC.PR.H FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 24.68
Evaluated at bid price : 25.01
Bid-YTW : 4.15 %
TRP.PR.D FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.55 %
BIP.PR.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 23.56
Evaluated at bid price : 24.95
Bid-YTW : 4.94 %
CIU.PR.A Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.81 %
TD.PF.K FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 23.24
Evaluated at bid price : 24.45
Bid-YTW : 3.80 %
BAM.PR.R FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.67 %
TD.PF.E FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 22.78
Evaluated at bid price : 23.95
Bid-YTW : 3.86 %
TRP.PR.E FixedReset Disc 6.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 4.55 %
PWF.PR.P FixedReset Disc 15.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.X FixedReset Prem 114,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.25 %
RY.PR.Q FixedReset Prem 112,479 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.81 %
SLF.PR.I FixedReset Ins Non 83,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 23.22
Evaluated at bid price : 23.85
Bid-YTW : 3.90 %
BAM.PR.C Floater 65,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.76 %
TD.PF.I FixedReset Disc 64,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 23.73
Evaluated at bid price : 25.10
Bid-YTW : 4.01 %
BAM.PR.B Floater 56,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 3.77 %
There were 34 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: 20.77 – 22.35
Spot Rate : 1.5800
Average : 0.8711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.72 %

PWF.PR.T FixedReset Disc Quote: 21.77 – 22.88
Spot Rate : 1.1100
Average : 0.6616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 4.06 %

BAM.PR.T FixedReset Disc Quote: 18.18 – 19.15
Spot Rate : 0.9700
Average : 0.6687

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.60 %

CM.PR.Q FixedReset Disc Quote: 23.50 – 23.96
Spot Rate : 0.4600
Average : 0.3137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-17
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 3.87 %

PVS.PR.I SplitShare Quote: 25.56 – 25.88
Spot Rate : 0.3200
Average : 0.2301

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.26 %

CU.PR.I FixedReset Prem Quote: 26.00 – 26.40
Spot Rate : 0.4000
Average : 0.3116

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.63 %

March 16, 2021

Tuesday, March 16th, 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 -0.4073 % 2,328.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4073 % 4,273.3
Floater 3.76 % 3.76 % 59,108 17.96 3 -0.4073 % 2,462.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2228 % 3,691.4
SplitShare 4.75 % 4.00 % 38,658 3.63 9 0.2228 % 4,408.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2228 % 3,439.5
Perpetual-Premium 5.31 % -0.58 % 75,247 0.09 21 0.0672 % 3,247.1
Perpetual-Discount 4.97 % 4.99 % 78,903 15.47 13 -0.1653 % 3,730.9
FixedReset Disc 4.39 % 3.93 % 190,418 17.12 52 -0.1029 % 2,647.1
Insurance Straight 5.01 % 4.66 % 85,927 15.47 22 0.0493 % 3,633.0
FloatingReset 2.97 % 3.29 % 44,971 19.02 2 -0.5988 % 2,406.8
FixedReset Prem 5.07 % 3.57 % 224,999 1.01 26 0.1206 % 2,725.8
FixedReset Bank Non 1.81 % 2.22 % 211,668 0.87 1 -0.0800 % 2,889.7
FixedReset Ins Non 4.41 % 3.86 % 146,000 17.40 22 -0.3758 % 2,792.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -15.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.77 %
BAM.PR.R FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.76 %
MFC.PR.L FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.86 %
TRP.PR.F FloatingReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 3.29 %
IFC.PR.A FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.87 %
BIP.PR.E FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.42
Evaluated at bid price : 24.61
Bid-YTW : 5.03 %
IFC.PR.C FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 3.97 %
BIP.PR.A FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 21.69
Evaluated at bid price : 22.03
Bid-YTW : 5.03 %
CIU.PR.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 4.89 %
TD.PF.E FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.54
Evaluated at bid price : 23.44
Bid-YTW : 3.97 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.90 %
GWO.PR.Q Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 24.49
Evaluated at bid price : 24.80
Bid-YTW : 5.19 %
BAM.PR.B Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.76 %
BAM.PF.C Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.80
Evaluated at bid price : 24.05
Bid-YTW : 5.04 %
MFC.PR.F FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.60 %
IFC.PR.I Perpetual-Premium 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.64 %
RS.PR.A SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.65
Bid-YTW : 4.02 %
TRP.PR.C FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.38 %
TRP.PR.B FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 4.32 %
RY.PR.M FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.56
Evaluated at bid price : 23.50
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Insurance Straight 274,188 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 4.79 %
TD.PF.G FixedReset Prem 202,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.33 %
TD.PF.H FixedReset Prem 202,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.27 %
TRP.PR.J FixedReset Prem 76,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.01 %
NA.PR.A FixedReset Prem 71,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 1.98 %
PWF.PR.P FixedReset Disc 68,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.77 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.44 – 15.88
Spot Rate : 4.4400
Average : 2.9553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 3.74 %

PWF.PR.P FixedReset Disc Quote: 13.00 – 15.75
Spot Rate : 2.7500
Average : 1.5251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.77 %

CM.PR.R FixedReset Disc Quote: 25.15 – 26.00
Spot Rate : 0.8500
Average : 0.5065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.83
Evaluated at bid price : 25.15
Bid-YTW : 4.35 %

TD.PF.E FixedReset Disc Quote: 23.44 – 24.29
Spot Rate : 0.8500
Average : 0.5461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.54
Evaluated at bid price : 23.44
Bid-YTW : 3.97 %

TRP.PR.C FixedReset Disc Quote: 13.90 – 15.00
Spot Rate : 1.1000
Average : 0.8031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.38 %

RY.PR.O Perpetual-Premium Quote: 25.38 – 25.99
Spot Rate : 0.6100
Average : 0.4051

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-24
Maturity Price : 25.25
Evaluated at bid price : 25.38
Bid-YTW : 4.79 %

March 15, 2021

Tuesday, March 16th, 2021

I could have sworn I posted this last night … but the day after PrefLetter goes out is always a little incoherent!

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 1.1180 % 2,338.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1180 % 4,290.8
Floater 3.74 % 3.74 % 59,671 18.00 3 1.1180 % 2,472.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3169 % 3,683.2
SplitShare 4.76 % 3.98 % 40,031 3.63 9 0.3169 % 4,398.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3169 % 3,431.9
Perpetual-Premium 5.31 % 0.28 % 75,786 0.09 21 0.1982 % 3,244.9
Perpetual-Discount 4.96 % 4.99 % 79,662 15.49 13 0.0414 % 3,737.1
FixedReset Disc 4.38 % 3.92 % 185,594 17.11 52 0.0549 % 2,649.8
Insurance Straight 5.01 % 4.62 % 84,769 15.47 22 0.0621 % 3,631.2
FloatingReset 2.95 % 3.23 % 43,050 19.16 2 0.4679 % 2,421.3
FixedReset Prem 5.08 % 3.87 % 227,465 1.02 26 -0.0753 % 2,722.5
FixedReset Bank Non 1.80 % 2.04 % 218,951 0.44 1 0.0400 % 2,892.0
FixedReset Ins Non 4.39 % 3.82 % 146,082 17.48 22 0.4100 % 2,803.2
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
TRP.PR.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 4.50 %
BAM.PF.G FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.61 %
TRP.PR.B FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 12.34
Evaluated at bid price : 12.34
Bid-YTW : 4.40 %
BAM.PR.B Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 3.72 %
MFC.PR.J FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.45
Evaluated at bid price : 23.78
Bid-YTW : 3.92 %
MFC.PR.F FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 3.63 %
CIU.PR.A Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.66
Evaluated at bid price : 23.93
Bid-YTW : 4.83 %
BIP.PR.A FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 21.89
Evaluated at bid price : 22.32
Bid-YTW : 4.96 %
IFC.PR.C FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.39
Evaluated at bid price : 23.25
Bid-YTW : 3.89 %
BIP.PR.E FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.91 %
IFC.PR.A FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.81 %
RS.PR.A SplitShare 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.50
Bid-YTW : 4.36 %
IFC.PR.G FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.66
Evaluated at bid price : 23.20
Bid-YTW : 3.98 %
BAM.PR.K Floater 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 3.66 %
TRP.PR.C FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 256,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.30 %
SLF.PR.B Insurance Straight 115,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.85 %
CM.PR.R FixedReset Disc 98,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.04 %
PWF.PR.P FixedReset Disc 86,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.03 %
RY.PR.Q FixedReset Prem 39,790 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.76 %
SLF.PR.A Insurance Straight 35,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 4.78 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.E Perpetual-Premium Quote: 25.48 – 27.30
Spot Rate : 1.8200
Average : 1.0316

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : -9.78 %

BAM.PR.T FixedReset Disc Quote: 18.25 – 19.15
Spot Rate : 0.9000
Average : 0.5559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.58 %

BAM.PR.Z FixedReset Disc Quote: 22.50 – 23.11
Spot Rate : 0.6100
Average : 0.4398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %

IFC.PR.A FixedReset Ins Non Quote: 18.40 – 18.95
Spot Rate : 0.5500
Average : 0.4057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.81 %

TRP.PR.A FixedReset Disc Quote: 16.99 – 17.30
Spot Rate : 0.3100
Average : 0.2008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 4.50 %

BAM.PF.G FixedReset Disc Quote: 20.25 – 20.70
Spot Rate : 0.4500
Average : 0.3514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.61 %