Category: Market Action

Market Action

March 19, 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 %
Market Action

March 18, 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 %
Market Action

March 17, 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 %
Market Action

March 16, 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 %
Market Action

March 15, 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 %
Market Action

March 12, 2021

… and now it’s time for PrefLetter!

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 1.4786 % 2,312.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4786 % 4,243.3
Floater 3.78 % 3.76 % 59,874 17.97 3 1.4786 % 2,445.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0912 % 3,671.5
SplitShare 4.77 % 4.01 % 37,054 3.64 9 0.0912 % 4,384.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0912 % 3,421.0
Perpetual-Premium 5.32 % 1.66 % 75,405 0.09 21 -0.0957 % 3,238.5
Perpetual-Discount 4.97 % 4.97 % 80,727 15.49 13 0.0803 % 3,735.5
FixedReset Disc 4.38 % 3.90 % 187,139 17.12 52 0.4390 % 2,648.4
Insurance Straight 5.02 % 4.64 % 85,689 15.45 22 -0.0590 % 3,629.0
FloatingReset 2.97 % 3.26 % 43,225 19.11 2 0.3353 % 2,410.0
FixedReset Prem 5.07 % 3.81 % 229,979 1.03 26 0.1533 % 2,724.6
FixedReset Bank Non 1.81 % 2.09 % 220,356 0.45 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.85 % 147,199 17.41 22 0.2361 % 2,791.8
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.58 %
TD.PF.M FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.52
Evaluated at bid price : 25.61
Bid-YTW : 4.49 %
CU.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.81
Evaluated at bid price : 23.20
Bid-YTW : 4.86 %
BNS.PR.I FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.28
Evaluated at bid price : 24.67
Bid-YTW : 3.64 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 3.75 %
IFC.PR.A FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.87 %
BAM.PF.J FixedReset Prem 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.53 %
TRP.PR.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 4.35 %
TRP.PR.F FloatingReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 3.26 %
BAM.PF.H FixedReset Prem 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.03 %
MFC.PR.K FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.19
Evaluated at bid price : 22.53
Bid-YTW : 3.74 %
BAM.PR.B Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.75 %
BAM.PR.T FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.58 %
BAM.PF.F FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.78
Evaluated at bid price : 22.09
Bid-YTW : 4.41 %
TRP.PR.A FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.44 %
BAM.PR.C Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 3.76 %
BAM.PR.K Floater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.82 %
NA.PR.S FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.64
Evaluated at bid price : 23.38
Bid-YTW : 3.73 %
BAM.PR.Z FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.44
Evaluated at bid price : 22.78
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.62 %
SLF.PR.G FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.82 %
BIP.PR.E FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.42
Evaluated at bid price : 24.60
Bid-YTW : 5.02 %
BAM.PF.B FixedReset Disc 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 726,803 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.95 %
CU.PR.C FixedReset Disc 154,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 4.17 %
BAM.PF.H FixedReset Prem 75,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.03 %
MFC.PR.K FixedReset Ins Non 65,479 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.19
Evaluated at bid price : 22.53
Bid-YTW : 3.74 %
BNS.PR.H FixedReset Prem 61,963 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 1.85 %
IAF.PR.G FixedReset Ins Non 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 24.10
Evaluated at bid price : 24.49
Bid-YTW : 3.92 %
There were 24 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: 11.20 – 15.88
Spot Rate : 4.6800
Average : 2.5418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.82 %
RY.PR.M FixedReset Disc Quote: 23.08 – 24.30
Spot Rate : 1.2200
Average : 0.7012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.34
Evaluated at bid price : 23.08
Bid-YTW : 3.75 %
IFC.PR.C FixedReset Ins Non Quote: 22.90 – 23.80
Spot Rate : 0.9000
Average : 0.6138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 3.96 %
GWO.PR.N FixedReset Ins Non Quote: 15.00 – 15.85
Spot Rate : 0.8500
Average : 0.5700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.65 %
TRP.PR.C FixedReset Disc Quote: 13.26 – 14.02
Spot Rate : 0.7600
Average : 0.4970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.58 %
RY.PR.J FixedReset Disc Quote: 23.80 – 24.50
Spot Rate : 0.7000
Average : 0.4598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.75
Evaluated at bid price : 23.80
Bid-YTW : 3.78 %
Market Action

March 11, 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 0.6233 % 2,278.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6233 % 4,181.5
Floater 3.79 % 3.82 % 57,221 17.71 3 0.6233 % 2,409.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1540 % 3,668.2
SplitShare 4.78 % 4.01 % 36,810 3.64 9 -0.1540 % 4,380.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1540 % 3,417.9
Perpetual-Premium 5.32 % -0.44 % 75,802 0.10 21 0.2771 % 3,241.6
Perpetual-Discount 4.95 % 5.00 % 80,724 15.45 13 0.2703 % 3,732.5
FixedReset Disc 4.39 % 3.82 % 188,014 17.34 52 0.5291 % 2,636.8
Insurance Straight 5.01 % 4.62 % 81,256 15.47 22 0.1900 % 3,631.1
FloatingReset 2.98 % 3.30 % 39,779 19.02 2 0.6752 % 2,402.0
FixedReset Prem 5.07 % 3.80 % 237,567 1.01 26 0.0332 % 2,720.4
FixedReset Bank Non 1.81 % 2.08 % 220,610 0.45 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.77 % 147,034 17.60 22 0.3524 % 2,785.2
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.76 %
PVS.PR.H SplitShare -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.56 %
BMO.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 3.82 %
SLF.PR.I FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.18
Evaluated at bid price : 23.80
Bid-YTW : 3.80 %
IAF.PR.B Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.62 %
BAM.PF.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.56 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.54
Evaluated at bid price : 23.07
Bid-YTW : 4.37 %
BAM.PR.X FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.38 %
BAM.PR.R FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.59 %
NA.PR.W FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 3.56 %
CU.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.00
Evaluated at bid price : 23.45
Bid-YTW : 4.80 %
PWF.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 3.93 %
IAF.PR.G FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.94
Evaluated at bid price : 24.35
Bid-YTW : 3.85 %
BAM.PR.Z FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.34
Evaluated at bid price : 22.67
Bid-YTW : 4.42 %
BMO.PR.W FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.05
Evaluated at bid price : 22.50
Bid-YTW : 3.62 %
BAM.PR.T FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.60
Evaluated at bid price : 23.54
Bid-YTW : 3.67 %
PWF.PR.P FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.89 %
TRP.PR.G FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.44 %
IFC.PR.C FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 3.89 %
TRP.PR.C FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 4.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 277,815 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.34 %
BMO.PR.C FixedReset Prem 265,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.86
Evaluated at bid price : 25.06
Bid-YTW : 4.21 %
EML.PR.A FixedReset Ins Non 243,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.52 %
TD.PF.G FixedReset Prem 164,371 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 1.49 %
RY.PR.Q FixedReset Prem 103,109 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.67 %
SLF.PR.A Insurance Straight 102,319 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.78 %
GWO.PR.N FixedReset Ins Non 102,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.50 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.7121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.74 %
BAM.PF.I FixedReset Prem Quote: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.5763

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.35 %
EIT.PR.B SplitShare Quote: 25.73 – 26.73
Spot Rate : 1.0000
Average : 0.6932

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.01 %
BAM.PF.B FixedReset Disc Quote: 20.60 – 21.34
Spot Rate : 0.7400
Average : 0.4697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.57 %
TD.PF.D FixedReset Disc Quote: 23.70 – 24.24
Spot Rate : 0.5400
Average : 0.3730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.68
Evaluated at bid price : 23.70
Bid-YTW : 3.76 %
NA.PR.S FixedReset Disc Quote: 23.00 – 23.49
Spot Rate : 0.4900
Average : 0.3265

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 3.71 %
Market Action

March 10, 2021

PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is significantly narrower at 320bp than the 335bp reported March 3.

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 0.2679 % 2,264.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2679 % 4,155.6
Floater 3.82 % 3.86 % 55,312 17.64 3 0.2679 % 2,394.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1343 % 3,673.9
SplitShare 4.77 % 4.03 % 36,816 3.64 9 -0.1343 % 4,387.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1343 % 3,423.2
Perpetual-Premium 5.33 % 4.19 % 74,997 0.10 21 0.0731 % 3,232.6
Perpetual-Discount 4.96 % 5.01 % 81,953 15.45 13 0.0764 % 3,722.5
FixedReset Disc 4.42 % 3.82 % 188,998 17.32 52 -0.3198 % 2,622.9
Insurance Straight 5.02 % 4.63 % 79,517 15.47 22 -0.0803 % 3,624.2
FloatingReset 3.00 % 3.32 % 39,126 18.97 2 0.7483 % 2,385.9
FixedReset Prem 5.07 % 3.71 % 239,231 1.02 26 0.0664 % 2,719.5
FixedReset Bank Non 1.81 % 2.06 % 222,986 0.46 1 0.0400 % 2,890.8
FixedReset Ins Non 4.43 % 3.78 % 138,566 17.55 22 0.1251 % 2,775.4
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -6.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.74 %
BIP.PR.E FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.48
Evaluated at bid price : 23.80
Bid-YTW : 5.25 %
TRP.PR.G FixedReset Disc -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.55 %
IFC.PR.C FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.89
Evaluated at bid price : 22.40
Bid-YTW : 4.01 %
PWF.PR.P FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.99 %
BAM.PF.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.61 %
TRP.PR.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.40 %
BMO.PR.Y FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.78 %
BAM.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.64 %
SLF.PR.E Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 4.63 %
BAM.PR.Z FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.48 %
BAM.PF.C Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.10
Evaluated at bid price : 24.36
Bid-YTW : 5.05 %
IFC.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.55
Evaluated at bid price : 23.03
Bid-YTW : 3.99 %
CU.PR.F Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.82
Evaluated at bid price : 23.20
Bid-YTW : 4.86 %
SLF.PR.J FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 2.63 %
MFC.PR.Q FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.89
Evaluated at bid price : 23.60
Bid-YTW : 3.78 %
MFC.PR.F FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.56 %
SLF.PR.G FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.69 %
BAM.PF.B FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.46 %
TRP.PR.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.42 %
BAM.PF.A FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.37
Evaluated at bid price : 22.80
Bid-YTW : 4.43 %
GWO.PR.N FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset Prem 289,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.04 %
CU.PR.C FixedReset Disc 183,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.06 %
SLF.PR.A Insurance Straight 145,757 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.78 %
IAF.PR.G FixedReset Ins Non 90,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 3.90 %
CM.PR.R FixedReset Disc 87,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.79
Evaluated at bid price : 25.05
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 76,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.34 %
There were 59 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 19.25 – 20.80
Spot Rate : 1.5500
Average : 0.8663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.61 %
TRP.PR.E FixedReset Disc Quote: 18.00 – 19.45
Spot Rate : 1.4500
Average : 0.8483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.74 %
RS.PR.A SplitShare Quote: 10.39 – 11.39
Spot Rate : 1.0000
Average : 0.6754

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.39
Bid-YTW : 4.60 %
BIP.PR.E FixedReset Disc Quote: 23.80 – 24.60
Spot Rate : 0.8000
Average : 0.4801

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.48
Evaluated at bid price : 23.80
Bid-YTW : 5.25 %
IFC.PR.C FixedReset Ins Non Quote: 22.40 – 23.16
Spot Rate : 0.7600
Average : 0.4533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.89
Evaluated at bid price : 22.40
Bid-YTW : 4.01 %
SLF.PR.G FixedReset Ins Non Quote: 15.10 – 15.77
Spot Rate : 0.6700
Average : 0.3908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.69 %
Market Action

March 9, 2021

Sorry this is late!

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 -0.2671 % 2,258.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2671 % 4,144.5
Floater 3.83 % 3.88 % 53,631 17.60 3 -0.2671 % 2,388.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,678.8
SplitShare 4.77 % 4.00 % 34,081 3.65 9 -0.0238 % 4,393.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,427.8
Perpetual-Premium 5.33 % -0.62 % 74,209 0.10 21 0.0356 % 3,230.3
Perpetual-Discount 4.97 % 5.00 % 82,760 15.45 13 -0.0986 % 3,719.6
FixedReset Disc 4.40 % 3.82 % 180,421 17.29 52 0.6144 % 2,631.3
Insurance Straight 5.01 % 4.59 % 79,889 4.00 22 0.2268 % 3,627.2
FloatingReset 3.02 % 3.33 % 39,088 18.94 2 1.0309 % 2,368.2
FixedReset Prem 5.08 % 3.63 % 236,274 1.02 26 0.0800 % 2,717.7
FixedReset Bank Non 1.81 % 2.12 % 225,756 0.89 1 0.0400 % 2,889.7
FixedReset Ins Non 4.43 % 3.77 % 137,287 17.52 22 0.2612 % 2,772.0
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.40 %
IAF.PR.I FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.40
Evaluated at bid price : 24.56
Bid-YTW : 3.77 %
BAM.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.41 %
BAM.PR.R FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.62 %
BMO.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.95 %
BAM.PR.Z FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.26
Evaluated at bid price : 22.59
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.00
Evaluated at bid price : 23.30
Bid-YTW : 3.86 %
TD.PF.C FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.14
Evaluated at bid price : 22.66
Bid-YTW : 3.64 %
BAM.PR.T FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 4.57 %
IFC.PR.C FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.18
Evaluated at bid price : 22.88
Bid-YTW : 3.91 %
BAM.PF.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.53 %
TRP.PR.F FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.33 %
TRP.PR.C FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.32 %
PWF.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.91 %
BAM.PF.F FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.66
Evaluated at bid price : 21.93
Bid-YTW : 4.42 %
TRP.PR.G FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 4.42 %
TRP.PR.D FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 528,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.32 %
BNS.PR.H FixedReset Prem 317,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 2.42 %
BNS.PR.E FixedReset Prem 171,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 1.58 %
MFC.PR.I FixedReset Ins Non 136,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.93
Evaluated at bid price : 24.30
Bid-YTW : 3.92 %
IAF.PR.I FixedReset Ins Non 133,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.40
Evaluated at bid price : 24.56
Bid-YTW : 3.77 %
MFC.PR.H FixedReset Ins Non 129,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 24.35
Evaluated at bid price : 24.75
Bid-YTW : 4.09 %
CM.PR.R FixedReset Disc 129,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.81
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
TD.PF.A FixedReset Disc 118,877 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.17
Evaluated at bid price : 22.67
Bid-YTW : 3.58 %
SLF.PR.I FixedReset Ins Non 111,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.90
Evaluated at bid price : 23.52
Bid-YTW : 3.84 %
There were 36 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: 25.73 – 26.73
Spot Rate : 1.0000
Average : 0.5946

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.00 %
BAM.PF.G FixedReset Disc Quote: 20.10 – 20.86
Spot Rate : 0.7600
Average : 0.4853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.61 %
GWO.PR.N FixedReset Ins Non Quote: 14.77 – 15.41
Spot Rate : 0.6400
Average : 0.3668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 3.58 %
MFC.PR.K FixedReset Ins Non Quote: 22.11 – 22.75
Spot Rate : 0.6400
Average : 0.4496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.70 %
IFC.PR.I Perpetual-Premium Quote: 26.05 – 26.62
Spot Rate : 0.5700
Average : 0.4024

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.95 %
BAM.PF.B FixedReset Disc Quote: 20.75 – 21.24
Spot Rate : 0.4900
Average : 0.3413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.54 %
Market Action

March 8, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.9056 % 2,264.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9056 % 4,155.6
Floater 3.82 % 3.86 % 53,223 17.64 3 1.9056 % 2,394.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.3041 % 3,679.7
SplitShare 4.76 % 4.02 % 33,308 3.65 9 0.3041 % 4,394.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3041 % 3,428.6
Perpetual-Premium 5.34 % 1.14 % 73,778 0.11 21 0.0525 % 3,229.1
Perpetual-Discount 4.96 % 5.00 % 82,967 15.45 13 0.0191 % 3,723.3
FixedReset Disc 4.43 % 3.84 % 181,683 17.33 52 0.4214 % 2,615.3
Insurance Straight 5.02 % 4.70 % 81,654 15.52 22 -0.0749 % 3,618.9
FloatingReset 3.05 % 3.39 % 38,186 18.82 2 -0.1373 % 2,344.0
FixedReset Prem 5.08 % 3.68 % 237,942 1.17 26 0.0166 % 2,715.5
FixedReset Bank Non 1.81 % 2.16 % 227,750 0.89 1 0.0000 % 2,888.5
FixedReset Ins Non 4.45 % 3.82 % 138,197 17.49 22 0.0082 % 2,764.7
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.07 %
PWF.PR.Z Perpetual-Premium -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 24.67
Evaluated at bid price : 25.18
Bid-YTW : 5.15 %
SLF.PR.B Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.83 %
IAF.PR.I FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.28
Evaluated at bid price : 24.30
Bid-YTW : 3.82 %
NA.PR.W FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 3.63 %
BAM.PR.Z FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.48 %
BIP.PR.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.43
Evaluated at bid price : 24.65
Bid-YTW : 5.01 %
BAM.PF.F FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.57 %
BAM.PF.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.55 %
CU.PR.C FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.06 %
RY.PR.P Perpetual-Premium 1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.22 %
RY.PR.J FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.84
Evaluated at bid price : 24.00
Bid-YTW : 3.65 %
BMO.PR.Y FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.59
Evaluated at bid price : 23.52
Bid-YTW : 3.68 %
CM.PR.Q FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.63
Evaluated at bid price : 23.60
Bid-YTW : 3.76 %
TD.PF.C FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.94
Evaluated at bid price : 22.35
Bid-YTW : 3.70 %
BAM.PR.K Floater 5.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 3.84 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.E FixedReset Prem 441,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.85 %
BNS.PR.H FixedReset Prem 310,838 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 2.46 %
MFC.PR.O FixedReset Ins Non 258,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.15 %
CM.PR.R FixedReset Disc 194,146 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.80
Evaluated at bid price : 25.09
Bid-YTW : 4.26 %
TD.PF.A FixedReset Disc 101,286 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.13
Evaluated at bid price : 22.61
Bid-YTW : 3.59 %
MFC.PR.J FixedReset Ins Non 101,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.01
Evaluated at bid price : 23.34
Bid-YTW : 3.89 %
MFC.PR.H FixedReset Ins Non 100,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 24.23
Evaluated at bid price : 24.65
Bid-YTW : 4.10 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 14.15 – 15.35
Spot Rate : 1.2000
Average : 0.7246

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 2.68 %
RS.PR.A SplitShare Quote: 10.40 – 11.40
Spot Rate : 1.0000
Average : 0.5709

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.40
Bid-YTW : 4.57 %
TRP.PR.G FixedReset Disc Quote: 20.71 – 21.21
Spot Rate : 0.5000
Average : 0.3193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.55 %
RY.PR.O Perpetual-Premium Quote: 25.28 – 25.99
Spot Rate : 0.7100
Average : 0.5515

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2051-03-08
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc Quote: 18.49 – 19.50
Spot Rate : 1.0100
Average : 0.9031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 4.66 %
BAM.PR.C Floater Quote: 11.15 – 11.49
Spot Rate : 0.3400
Average : 0.2346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 3.89 %