Category: Market Action

Market Action

April 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 0.2396 % 2,440.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2396 % 4,477.7
Floater 3.42 % 3.56 % 58,521 18.42 4 0.2396 % 2,580.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4415 % 3,700.2
SplitShare 4.77 % 3.94 % 38,123 3.58 8 0.4415 % 4,418.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4415 % 3,447.8
Perpetual-Premium 5.29 % -2.99 % 71,097 0.09 23 0.0700 % 3,256.9
Perpetual-Discount 4.92 % 5.00 % 74,217 15.48 11 -0.0827 % 3,753.1
FixedReset Disc 4.39 % 3.81 % 178,874 17.58 48 0.2682 % 2,636.3
Insurance Straight 4.99 % 4.62 % 85,780 15.40 22 -0.1559 % 3,649.7
FloatingReset 2.92 % 3.25 % 60,829 19.14 2 0.2671 % 2,418.9
FixedReset Prem 5.00 % 3.65 % 257,012 1.11 30 -0.0979 % 2,730.5
FixedReset Bank Non 1.81 % 2.33 % 193,021 0.81 1 -0.0800 % 2,889.7
FixedReset Ins Non 4.43 % 3.81 % 144,380 17.46 22 0.0041 % 2,782.7
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 3.79 %
BAM.PF.H FixedReset Prem -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 3.96 %
BAM.PF.F FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.53 %
PWF.PR.P FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 4.09 %
SLF.PR.D Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 24.07
Evaluated at bid price : 24.33
Bid-YTW : 4.59 %
BAM.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.63 %
BMO.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 22.48
Evaluated at bid price : 23.10
Bid-YTW : 3.63 %
NA.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 23.28
Evaluated at bid price : 23.60
Bid-YTW : 3.81 %
PVS.PR.I SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.94 %
IFC.PR.A FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 3.83 %
TRP.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 13.72
Evaluated at bid price : 13.72
Bid-YTW : 4.29 %
TRP.PR.D FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.46 %
GWO.PR.N FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 3.47 %
RY.PR.H FixedReset Disc 7.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 22.37
Evaluated at bid price : 22.95
Bid-YTW : 3.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 98,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 3.47 %
BNS.PR.E FixedReset Prem 93,745 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.99 %
TRP.PR.B FixedReset Disc 79,899 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 4.15 %
SLF.PR.E Insurance Straight 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.60 %
TD.PF.G FixedReset Prem 65,802 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.07 %
SLF.PR.D Insurance Straight 58,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 24.07
Evaluated at bid price : 24.33
Bid-YTW : 4.59 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.T FixedReset Prem Quote: 25.78 – 27.05
Spot Rate : 1.2700
Average : 0.6968

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.5547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 22.35
Evaluated at bid price : 23.10
Bid-YTW : 3.69 %
MFC.PR.K FixedReset Ins Non Quote: 21.82 – 22.50
Spot Rate : 0.6800
Average : 0.3978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 21.47
Evaluated at bid price : 21.82
Bid-YTW : 3.79 %
BIP.PR.F FixedReset Disc Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 23.43
Evaluated at bid price : 25.00
Bid-YTW : 5.05 %
BAM.PF.H FixedReset Prem Quote: 26.16 – 26.61
Spot Rate : 0.4500
Average : 0.2805

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 3.96 %
SLF.PR.G FixedReset Ins Non Quote: 14.85 – 15.53
Spot Rate : 0.6800
Average : 0.5174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-05
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 3.79 %
Market Action

April 1, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3406 % 2,434.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3406 % 4,467.0
Floater 3.42 % 3.57 % 58,401 18.40 4 0.3406 % 2,574.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2969 % 3,684.0
SplitShare 4.79 % 4.05 % 38,427 3.59 8 0.2969 % 4,399.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2969 % 3,432.6
Perpetual-Premium 5.30 % -0.45 % 70,235 0.09 23 -0.1074 % 3,254.6
Perpetual-Discount 4.91 % 5.00 % 74,568 15.49 11 0.1016 % 3,756.2
FixedReset Disc 4.41 % 3.85 % 185,014 17.49 48 -0.3815 % 2,629.3
Insurance Straight 4.98 % 4.58 % 86,527 15.42 22 -0.0870 % 3,655.4
FloatingReset 2.93 % 3.27 % 56,109 19.11 2 0.7061 % 2,412.5
FixedReset Prem 4.99 % 3.66 % 260,511 1.12 30 -0.0731 % 2,733.2
FixedReset Bank Non 1.80 % 2.20 % 195,434 0.82 1 0.0000 % 2,892.0
FixedReset Ins Non 4.43 % 3.81 % 145,870 17.51 22 0.0184 % 2,782.5
Performance Highlights
Issue Index Change Notes
RY.PR.H FixedReset Disc -6.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.89 %
RY.PR.M FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 22.26
Evaluated at bid price : 22.94
Bid-YTW : 3.72 %
NA.PR.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 23.03
Evaluated at bid price : 23.35
Bid-YTW : 3.85 %
MFC.PR.F FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 3.55 %
NA.PR.W FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 21.76
Evaluated at bid price : 22.10
Bid-YTW : 3.71 %
PWF.PR.A Floater -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 3.07 %
CM.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 22.99
Evaluated at bid price : 23.36
Bid-YTW : 3.72 %
GWO.PR.I Insurance Straight 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 23.89
Evaluated at bid price : 24.14
Bid-YTW : 4.67 %
EIT.PR.A SplitShare 1.05 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 3.57 %
BAM.PR.C Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.59 %
BAM.PR.B Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 3.57 %
TRP.PR.C FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 13.54
Evaluated at bid price : 13.54
Bid-YTW : 4.34 %
TRP.PR.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.19 %
CU.PR.H Perpetual-Premium 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.37 %
CIU.PR.A Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.78 %
BAM.PF.F FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.45 %
CM.PR.P FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 21.84
Evaluated at bid price : 22.20
Bid-YTW : 3.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset Prem 304,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 2.20 %
SLF.PR.E Insurance Straight 176,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 24.43
Evaluated at bid price : 24.67
Bid-YTW : 4.57 %
SLF.PR.D Insurance Straight 81,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.53 %
RY.PR.Q FixedReset Prem 72,364 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.78 %
BNS.PR.H FixedReset Prem 57,648 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 2.08 %
CM.PR.R FixedReset Disc 56,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.18 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.H FixedReset Disc Quote: 21.31 – 22.86
Spot Rate : 1.5500
Average : 0.8395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.89 %
RY.PR.P Perpetual-Premium Quote: 26.16 – 26.78
Spot Rate : 0.6200
Average : 0.3699

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-01
Maturity Price : 26.00
Evaluated at bid price : 26.16
Bid-YTW : 3.62 %
MFC.PR.L FixedReset Ins Non Quote: 21.23 – 22.00
Spot Rate : 0.7700
Average : 0.5203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 3.80 %
NA.PR.W FixedReset Disc Quote: 22.10 – 22.70
Spot Rate : 0.6000
Average : 0.4274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 21.76
Evaluated at bid price : 22.10
Bid-YTW : 3.71 %
RS.PR.A SplitShare Quote: 10.31 – 11.29
Spot Rate : 0.9800
Average : 0.8513

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.31
Bid-YTW : 4.55 %
BMO.PR.Y FixedReset Disc Quote: 23.45 – 24.00
Spot Rate : 0.5500
Average : 0.4214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-04-01
Maturity Price : 22.56
Evaluated at bid price : 23.45
Bid-YTW : 3.72 %
Market Action

March 31, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.3644 % 2,426.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3644 % 4,451.8
Floater 3.44 % 3.61 % 58,497 18.30 4 1.3644 % 2,565.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2553 % 3,673.1
SplitShare 4.81 % 4.11 % 40,005 3.59 8 -0.2553 % 4,386.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2553 % 3,422.5
Perpetual-Premium 5.29 % -1.76 % 71,016 0.09 23 0.0392 % 3,258.1
Perpetual-Discount 4.92 % 4.98 % 75,845 15.49 11 -0.0665 % 3,752.4
FixedReset Disc 4.39 % 3.82 % 184,693 17.46 48 -0.3831 % 2,639.3
Insurance Straight 4.98 % 4.60 % 89,977 15.43 22 0.0326 % 3,658.5
FloatingReset 2.95 % 3.30 % 51,756 19.03 2 0.4390 % 2,395.5
FixedReset Prem 4.99 % 3.71 % 271,067 1.12 30 -0.0901 % 2,735.2
FixedReset Bank Non 1.80 % 2.19 % 196,772 0.83 1 0.2004 % 2,892.0
FixedReset Ins Non 4.43 % 3.83 % 147,813 17.52 22 -0.2391 % 2,782.0
Performance Highlights
Issue Index Change Notes
CM.PR.P FixedReset Disc -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 3.79 %
TRP.PR.D FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.54 %
EIT.PR.A SplitShare -1.99 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.96 %
CM.PR.O FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 21.89
Evaluated at bid price : 22.22
Bid-YTW : 3.73 %
BAM.PF.F FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
TRP.PR.E FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.51 %
CIU.PR.A Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.85 %
BIP.PR.B FixedReset Prem -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 4.47 %
NA.PR.W FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 22.12
Evaluated at bid price : 22.63
Bid-YTW : 3.66 %
MFC.PR.M FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 22.05
Evaluated at bid price : 22.49
Bid-YTW : 3.76 %
TRP.PR.C FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 4.39 %
BIP.PR.D FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.01 %
PWF.PR.A Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 3.03 %
BAM.PR.K Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 11.87
Evaluated at bid price : 11.87
Bid-YTW : 3.63 %
BAM.PR.C Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 11.87
Evaluated at bid price : 11.87
Bid-YTW : 3.63 %
TRP.PR.A FixedReset Disc 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.E Insurance Straight 118,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.57 %
MFC.PR.J FixedReset Ins Non 102,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 23.31
Evaluated at bid price : 23.65
Bid-YTW : 3.87 %
SLF.PR.I FixedReset Ins Non 96,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 23.18
Evaluated at bid price : 23.82
Bid-YTW : 3.83 %
TD.PF.C FixedReset Disc 59,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 22.20
Evaluated at bid price : 22.74
Bid-YTW : 3.67 %
IFC.PR.A FixedReset Ins Non 59,133 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.86 %
MFC.PR.F FixedReset Ins Non 52,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 3.51 %
There were 47 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Disc Quote: 21.77 – 22.50
Spot Rate : 0.7300
Average : 0.4361

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 3.79 %
RS.PR.A SplitShare Quote: 10.31 – 11.29
Spot Rate : 0.9800
Average : 0.7102

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.31
Bid-YTW : 4.54 %
IFC.PR.G FixedReset Ins Non Quote: 22.81 – 23.50
Spot Rate : 0.6900
Average : 0.4249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 22.41
Evaluated at bid price : 22.81
Bid-YTW : 3.98 %
SLF.PR.I FixedReset Ins Non Quote: 23.82 – 24.48
Spot Rate : 0.6600
Average : 0.4319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 23.18
Evaluated at bid price : 23.82
Bid-YTW : 3.83 %
BAM.PF.F FixedReset Disc Quote: 21.20 – 21.80
Spot Rate : 0.6000
Average : 0.4353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
CIU.PR.A Perpetual-Discount Quote: 23.90 – 24.42
Spot Rate : 0.5200
Average : 0.3603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.85 %
Market Action

March 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 1.1501 % 2,393.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1501 % 4,391.9
Floater 3.66 % 3.66 % 64,295 18.14 3 1.1501 % 2,531.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2827 % 3,682.5
SplitShare 4.76 % 4.23 % 45,257 3.59 9 -0.2827 % 4,397.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2827 % 3,431.2
Perpetual-Premium 5.31 % -5.36 % 79,947 0.09 21 -0.1490 % 3,256.8
Perpetual-Discount 4.94 % 4.97 % 75,895 15.50 13 -0.0822 % 3,754.9
FixedReset Disc 4.39 % 3.82 % 214,348 17.27 52 -0.0122 % 2,649.5
Insurance Straight 4.98 % 4.57 % 93,044 15.43 22 -0.1357 % 3,657.4
FloatingReset 2.96 % 3.29 % 50,805 19.00 2 -0.1349 % 2,385.1
FixedReset Prem 5.05 % 3.55 % 251,642 0.98 26 0.0661 % 2,737.7
FixedReset Bank Non 1.81 % 2.43 % 199,307 0.83 1 0.0000 % 2,886.2
FixedReset Ins Non 4.42 % 3.82 % 145,843 17.56 22 0.2417 % 2,788.7
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.66 %
BAM.PR.R FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.61 %
CU.PR.H Perpetual-Premium -1.62 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.53
Bid-YTW : 4.92 %
BAM.PF.F FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.45 %
BAM.PR.T FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.59 %
BAM.PF.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.50 %
BIP.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 23.43
Evaluated at bid price : 24.60
Bid-YTW : 5.04 %
BAM.PF.E FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.75 %
BAM.PR.B Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 11.81
Evaluated at bid price : 11.81
Bid-YTW : 3.63 %
BMO.PR.Y FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 3.71 %
IFC.PR.A FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 3.83 %
IAF.PR.I FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 23.52
Evaluated at bid price : 24.82
Bid-YTW : 3.76 %
TRP.PR.C FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 4.35 %
BAM.PR.K Floater 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 3.66 %
TRP.PR.D FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.44 %
TRP.PR.E FixedReset Disc 7.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 102,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 14.94
Evaluated at bid price : 14.94
Bid-YTW : 3.57 %
CM.PR.R FixedReset Disc 78,379 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.03 %
TRP.PR.B FixedReset Disc 66,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 4.25 %
BNS.PR.I FixedReset Disc 62,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 23.35
Evaluated at bid price : 24.83
Bid-YTW : 3.54 %
NA.PR.X FixedReset Prem 57,653 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.61 %
BAM.PF.J FixedReset Prem 53,747 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.41 %
There were 42 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: 15.00 – 15.89
Spot Rate : 0.8900
Average : 0.5409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.75 %
TRP.PR.A FixedReset Disc Quote: 16.15 – 16.98
Spot Rate : 0.8300
Average : 0.5258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.66 %
CU.PR.H Perpetual-Premium Quote: 25.53 – 26.00
Spot Rate : 0.4700
Average : 0.3259

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.53
Bid-YTW : 4.92 %
IFC.PR.I Perpetual-Premium Quote: 26.33 – 26.82
Spot Rate : 0.4900
Average : 0.3523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 4.63 %
BIP.PR.E FixedReset Disc Quote: 24.60 – 25.00
Spot Rate : 0.4000
Average : 0.2742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 23.43
Evaluated at bid price : 24.60
Bid-YTW : 5.04 %
BAM.PF.B FixedReset Disc Quote: 20.80 – 21.28
Spot Rate : 0.4800
Average : 0.3678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.50 %
Market Action

March 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 -0.3438 % 2,366.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3438 % 4,341.9
Floater 3.70 % 3.68 % 59,342 18.11 3 -0.3438 % 2,502.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2401 % 3,692.9
SplitShare 4.75 % 4.17 % 44,827 3.60 9 0.2401 % 4,410.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2401 % 3,440.9
Perpetual-Premium 5.30 % -5.52 % 81,658 0.09 21 0.0969 % 3,261.7
Perpetual-Discount 4.94 % 4.97 % 76,942 15.48 13 0.0854 % 3,758.0
FixedReset Disc 4.39 % 3.81 % 215,812 17.26 52 -0.0026 % 2,649.8
Insurance Straight 4.97 % 4.55 % 94,252 3.81 22 0.1377 % 3,662.3
FloatingReset 2.96 % 3.30 % 51,380 18.97 2 -0.5367 % 2,388.3
FixedReset Prem 5.06 % 3.58 % 255,092 0.98 26 0.2545 % 2,735.9
FixedReset Bank Non 1.81 % 2.42 % 202,159 0.83 1 0.0000 % 2,886.2
FixedReset Ins Non 4.43 % 3.84 % 143,486 17.51 22 -0.2941 % 2,782.0
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 22.14
Evaluated at bid price : 22.81
Bid-YTW : 3.91 %
IAF.PR.I FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 23.39
Evaluated at bid price : 24.50
Bid-YTW : 3.83 %
BAM.PR.K Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 3.74 %
IFC.PR.G FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 22.34
Evaluated at bid price : 22.70
Bid-YTW : 4.01 %
TRP.PR.F FloatingReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.30 %
BMO.PR.F FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.79 %
RS.PR.A SplitShare 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.50
Bid-YTW : 4.40 %
CU.PR.H Perpetual-Premium 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.50
Evaluated at bid price : 25.95
Bid-YTW : 4.17 %
CM.PR.Y FixedReset Prem 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.75 %
TD.PF.J FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 23.43
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
BIP.PR.B FixedReset Prem 2.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 106,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 22.71
Evaluated at bid price : 23.50
Bid-YTW : 3.65 %
TD.PF.H FixedReset Prem 96,954 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 2.37 %
CU.PR.E Perpetual-Discount 96,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 24.54
Evaluated at bid price : 24.82
Bid-YTW : 4.97 %
BAM.PF.J FixedReset Prem 87,880 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.57 %
BNS.PR.G FixedReset Prem 65,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.20 %
CM.PR.R FixedReset Disc 56,317 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.99 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 23.73 – 24.47
Spot Rate : 0.7400
Average : 0.4282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 23.39
Evaluated at bid price : 23.73
Bid-YTW : 3.86 %
IAF.PR.I FixedReset Ins Non Quote: 24.50 – 24.89
Spot Rate : 0.3900
Average : 0.2486

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 23.39
Evaluated at bid price : 24.50
Bid-YTW : 3.83 %
TRP.PR.E FixedReset Disc Quote: 18.00 – 19.25
Spot Rate : 1.2500
Average : 1.1187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.78 %
SLF.PR.I FixedReset Ins Non Quote: 23.85 – 24.25
Spot Rate : 0.4000
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-29
Maturity Price : 23.21
Evaluated at bid price : 23.85
Bid-YTW : 3.82 %
RS.PR.A SplitShare Quote: 10.50 – 11.29
Spot Rate : 0.7900
Average : 0.6715

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.50
Bid-YTW : 4.40 %
GWO.PR.S Insurance Straight Quote: 25.50 – 25.75
Spot Rate : 0.2500
Average : 0.1594

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.33 %
Market Action

March 26, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5764 % 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 %
Market Action

March 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 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 %
Market Action

March 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 0.2314 % 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 %
Market Action

March 23, 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 %
Market Action

March 22, 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 %