Category: Market Action

Market Action

March 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 6.5421 % 2,222.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 6.5421 % 4,077.9
Floater 3.89 % 3.88 % 52,216 17.60 3 6.5421 % 2,350.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0803 % 3,668.5
SplitShare 4.78 % 4.13 % 33,251 3.66 9 -0.0803 % 4,381.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0803 % 3,418.2
Perpetual-Premium 5.34 % 4.57 % 73,142 0.15 21 -0.2450 % 3,227.4
Perpetual-Discount 4.96 % 5.01 % 82,896 15.44 13 -0.3738 % 3,722.6
FixedReset Disc 4.45 % 3.79 % 182,173 17.46 52 -0.2605 % 2,604.3
Insurance Straight 5.02 % 4.65 % 80,551 4.58 22 0.0037 % 3,621.7
FloatingReset 3.06 % 3.38 % 36,674 18.83 2 0.5521 % 2,347.2
FixedReset Prem 5.08 % 3.76 % 240,392 1.18 26 0.6122 % 2,715.1
FixedReset Bank Non 1.81 % 2.08 % 230,661 0.90 1 0.0000 % 2,888.5
FixedReset Ins Non 4.45 % 3.67 % 136,561 17.71 22 0.0453 % 2,764.5
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 3.75 %
TRP.PR.D FixedReset Disc -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 4.54 %
CM.PR.Q FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.79 %
MFC.PR.Q FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 3.80 %
RY.PR.P Perpetual-Premium -2.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.75 %
BMO.PR.Y FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
CIU.PR.A Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 4.97 %
RY.PR.J FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.60
Evaluated at bid price : 23.50
Bid-YTW : 3.66 %
RY.PR.N Perpetual-Premium -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 24.71
Evaluated at bid price : 25.22
Bid-YTW : 4.87 %
PWF.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.86 %
CU.PR.F Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.89
Evaluated at bid price : 23.31
Bid-YTW : 4.83 %
RY.PR.O Perpetual-Premium -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 24.78
Evaluated at bid price : 25.27
Bid-YTW : 4.86 %
BIP.PR.B FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.69 %
BIP.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.30
Evaluated at bid price : 24.35
Bid-YTW : 5.08 %
CM.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.00
Evaluated at bid price : 23.35
Bid-YTW : 3.65 %
BAM.PR.X FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.31 %
NA.PR.W FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 21.97
Evaluated at bid price : 22.40
Bid-YTW : 3.58 %
BAM.PR.T FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
SLF.PR.G FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.64 %
CU.PR.H Perpetual-Premium 2.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : 4.57 %
BAM.PF.J FixedReset Prem 17.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.61
Evaluated at bid price : 24.95
Bid-YTW : 4.76 %
BAM.PR.B Floater 21.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 279,038 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.09 %
TRP.PR.J FixedReset Prem 136,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.26 %
MFC.PR.I FixedReset Ins Non 101,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.89
Evaluated at bid price : 24.26
Bid-YTW : 3.82 %
BNS.PR.E FixedReset Prem 94,512 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 2.03 %
BAM.PF.I FixedReset Prem 87,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.92
Evaluated at bid price : 25.05
Bid-YTW : 4.80 %
CM.PR.Q FixedReset Disc 73,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.79 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Disc Quote: 21.60 – 22.84
Spot Rate : 1.2400
Average : 0.6856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 3.75 %
TRP.PR.D FixedReset Disc Quote: 18.49 – 19.70
Spot Rate : 1.2100
Average : 0.7859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 4.54 %
RY.PR.J FixedReset Disc Quote: 23.50 – 24.30
Spot Rate : 0.8000
Average : 0.4727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.60
Evaluated at bid price : 23.50
Bid-YTW : 3.66 %
MFC.PR.Q FixedReset Ins Non Quote: 23.00 – 23.90
Spot Rate : 0.9000
Average : 0.6065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 3.80 %
CM.PR.Q FixedReset Disc Quote: 23.00 – 23.75
Spot Rate : 0.7500
Average : 0.4697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.79 %
BMO.PR.Y FixedReset Disc Quote: 23.00 – 23.75
Spot Rate : 0.7500
Average : 0.4928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
Market Action

March 4, 2021

We got a glimpse of how the UK intends to deal with COVID debt:

Rishi Sunak, the Chancellor of the Exchequer, announced Wednesday that Britain’s corporate tax rate will rise to 25 per cent from 19 per cent in April, 2023. It’s the first time the rate has been increased since 1974 and comes after successive Conservative governments have lowered it from 28 per cent over the past decade. The government also plans to freeze several personal tax allowances for four years starting in 2022.

Powell made cautious remarks:

Jerome H. Powell, the chair of the Federal Reserve, said he and his colleagues have a “high standard” for what full employment means, underscoring that the central bank is likely to be patient in removing its support for the economy.

Mr. Powell pointed out that the virus has pushed many people out of the job market and said that “4 percent would be a nice unemployment rate to get to, but it will take more than that to get to maximum employment.” It is unlikely the job market will return to full speed this year, he added, speaking in an online question-and-answer session hosted by The Wall Street Journal.

In fact, Mr. Powell’s entire message on Thursday centered on how cautious the central bank plans to be in dialing back economic policies — low interest rates and large-scale bond buying — that are meant to help the economy recover from the painful coronavirus shock.

… and equities got hammered:

Wall Street ended sharply lower on Thursday, leaving the Nasdaq down around 10% from its February record high, after remarks from Federal Reserve Chair Jerome Powell disappointed investors worried about rising longer-term U.S. bond yields.

Canada’s TSX also closed down, but escaped the worst of the U.S. selloff with the help of a rally in crude oil prices.

The benchmark 10-year Treasury yield spiked to 1.533% after Powell’s comments, which did not point to changes in the Fed’s asset purchases to tackle the recent jump in yields. It still held below last week’s one-year high of 1.614%. But the yield on Canada’s 10-year government note reached just over 1.5% – its highest since before the COVID-related economic shutdowns of early 2020. Canada’s five-year bond yield, closely followed because of its influence on fixed-mortgage rates, stayed well below the highs of last week.

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 -6.5643 % 2,085.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -6.5643 % 3,827.5
Floater 4.15 % 4.06 % 52,784 17.21 3 -6.5643 % 2,205.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0630 % 3,671.5
SplitShare 4.77 % 4.03 % 33,378 3.66 9 0.0630 % 4,384.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0630 % 3,421.0
Perpetual-Premium 5.33 % 0.93 % 73,181 0.12 21 -0.0934 % 3,235.4
Perpetual-Discount 4.95 % 4.99 % 83,705 15.44 13 -0.1360 % 3,736.5
FixedReset Disc 4.44 % 3.77 % 180,932 17.45 52 -0.4325 % 2,611.1
Insurance Straight 5.02 % 4.64 % 80,961 15.05 22 -0.0731 % 3,621.5
FloatingReset 3.08 % 3.40 % 35,942 18.79 2 -0.7534 % 2,334.3
FixedReset Prem 5.11 % 3.81 % 249,071 0.96 26 -0.7225 % 2,698.6
FixedReset Bank Non 1.81 % 2.08 % 234,241 0.90 1 -0.0800 % 2,888.5
FixedReset Ins Non 4.45 % 3.70 % 137,161 17.72 22 -0.7637 % 2,763.3
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -17.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 9.23
Evaluated at bid price : 9.23
Bid-YTW : 4.71 %
BAM.PF.J FixedReset Prem -14.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %
IFC.PR.C FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.79
Evaluated at bid price : 22.25
Bid-YTW : 3.93 %
TRP.PR.B FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 4.15 %
BAM.PF.F FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.53 %
BAM.PF.A FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.94
Evaluated at bid price : 22.20
Bid-YTW : 4.46 %
BAM.PR.T FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.56 %
CM.PR.S FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.76
Evaluated at bid price : 23.11
Bid-YTW : 3.69 %
MFC.PR.J FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.95
Evaluated at bid price : 23.28
Bid-YTW : 3.80 %
CU.PR.H Perpetual-Premium -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 24.77
Evaluated at bid price : 25.10
Bid-YTW : 5.25 %
BAM.PR.C Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 3.90 %
IFC.PR.G FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 3.94 %
MFC.PR.M FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.60 %
BAM.PR.X FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.36 %
SLF.PR.J FloatingReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 2.72 %
BAM.PR.Z FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.62
Evaluated at bid price : 22.04
Bid-YTW : 4.43 %
IFC.PR.A FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.79 %
BMO.PR.C FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.82
Evaluated at bid price : 24.97
Bid-YTW : 4.12 %
IAF.PR.I FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.33
Evaluated at bid price : 24.40
Bid-YTW : 3.70 %
BIP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.41
Evaluated at bid price : 24.60
Bid-YTW : 5.02 %
RY.PR.O Perpetual-Premium 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-24
Maturity Price : 25.25
Evaluated at bid price : 25.54
Bid-YTW : 4.48 %
PWF.PR.P FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.82 %
BIP.PR.F FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.37
Evaluated at bid price : 24.90
Bid-YTW : 5.04 %
IFC.PR.I Perpetual-Premium 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.I FixedReset Prem 204,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.89
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
TRP.PR.J FixedReset Prem 178,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.40 %
TD.PF.A FixedReset Disc 119,698 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.17
Evaluated at bid price : 22.68
Bid-YTW : 3.48 %
NA.PR.C FixedReset Disc 97,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.67
Evaluated at bid price : 25.00
Bid-YTW : 4.21 %
RY.PR.J FixedReset Disc 62,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.56 %
TD.PF.M FixedReset Prem 62,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.19 %
There were 47 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.J FixedReset Prem Quote: 21.30 – 24.90
Spot Rate : 3.6000
Average : 1.9169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %
BAM.PR.B Floater Quote: 9.23 – 11.29
Spot Rate : 2.0600
Average : 1.1853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 9.23
Evaluated at bid price : 9.23
Bid-YTW : 4.71 %
CU.PR.I FixedReset Prem Quote: 25.62 – 26.40
Spot Rate : 0.7800
Average : 0.4831

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 3.95 %
CU.PR.H Perpetual-Premium Quote: 25.10 – 25.77
Spot Rate : 0.6700
Average : 0.4300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 24.77
Evaluated at bid price : 25.10
Bid-YTW : 5.25 %
BAM.PF.F FixedReset Disc Quote: 21.03 – 21.65
Spot Rate : 0.6200
Average : 0.4004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.53 %
CM.PR.S FixedReset Disc Quote: 23.11 – 23.68
Spot Rate : 0.5700
Average : 0.3650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.76
Evaluated at bid price : 23.11
Bid-YTW : 3.69 %
Market Action

March 3, 2021

PerpetualDiscounts now yield 4.99%, equivalent to 6.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.16%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is slightly (and perhaps spuriously) wider at 335bp than the 330bp reported February 24.

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 -0.6878 % 2,232.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6878 % 4,096.4
Floater 3.87 % 3.87 % 49,959 17.62 3 -0.6878 % 2,360.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2340 % 3,669.2
SplitShare 4.78 % 4.05 % 34,743 3.66 9 -0.2340 % 4,381.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2340 % 3,418.8
Perpetual-Premium 5.32 % -1.50 % 73,400 0.09 21 -0.0971 % 3,238.4
Perpetual-Discount 4.94 % 4.99 % 86,413 15.43 13 -0.0190 % 3,741.6
FixedReset Disc 4.42 % 3.76 % 181,156 17.50 52 0.6513 % 2,622.4
Insurance Straight 5.02 % 4.62 % 80,875 15.05 22 0.2913 % 3,624.2
FloatingReset 3.06 % 3.40 % 33,078 18.79 2 1.0381 % 2,352.0
FixedReset Prem 5.08 % 3.61 % 231,311 1.19 26 0.1178 % 2,718.2
FixedReset Bank Non 1.81 % 1.98 % 234,614 0.48 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.70 % 137,947 17.78 22 0.3031 % 2,784.5
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.87 %
RY.PR.O Perpetual-Premium -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 24.77
Evaluated at bid price : 25.26
Bid-YTW : 4.86 %
IFC.PR.I Perpetual-Premium -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.96 %
EIT.PR.A SplitShare -1.12 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.04 %
CU.PR.G Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 4.79 %
IFC.PR.C FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.17
Evaluated at bid price : 22.86
Bid-YTW : 3.80 %
BMO.PR.C FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 3.61 %
CCS.PR.C Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.03 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.40 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 3.46 %
BMO.PR.S FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.42
Evaluated at bid price : 23.01
Bid-YTW : 3.51 %
CM.PR.Q FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.70
Evaluated at bid price : 23.74
Bid-YTW : 3.64 %
RY.PR.M FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.22
Evaluated at bid price : 22.88
Bid-YTW : 3.62 %
TRP.PR.A FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 4.35 %
TRP.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.50 %
CU.PR.C FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 3.97 %
BAM.PR.X FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 4.29 %
BAM.PF.B FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.45 %
TRP.PR.B FixedReset Disc 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 7.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.F FloatingReset 413,533 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.40 %
TRP.PR.J FixedReset Prem 213,340 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.21 %
TRP.PR.A FixedReset Disc 191,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 4.35 %
TRP.PR.D FixedReset Disc 138,528 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.30 %
TD.PF.A FixedReset Disc 121,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.30
Evaluated at bid price : 22.88
Bid-YTW : 3.44 %
MFC.PR.O FixedReset Ins Non 116,558 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.05 %
TD.PF.J FixedReset Disc 102,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 23.31
Evaluated at bid price : 24.41
Bid-YTW : 3.69 %
TRP.PR.E FixedReset Disc 100,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.33 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.O Perpetual-Premium Quote: 25.26 – 25.80
Spot Rate : 0.5400
Average : 0.3318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 24.77
Evaluated at bid price : 25.26
Bid-YTW : 4.86 %
EIT.PR.A SplitShare Quote: 25.51 – 25.92
Spot Rate : 0.4100
Average : 0.2488

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.04 %
MFC.PR.J FixedReset Ins Non Quote: 23.76 – 24.25
Spot Rate : 0.4900
Average : 0.3731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 23.43
Evaluated at bid price : 23.76
Bid-YTW : 3.72 %
PVS.PR.F SplitShare Quote: 25.70 – 26.05
Spot Rate : 0.3500
Average : 0.2348

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.96 %
CU.PR.C FixedReset Disc Quote: 20.44 – 20.95
Spot Rate : 0.5100
Average : 0.4004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 3.97 %
IFC.PR.I Perpetual-Premium Quote: 26.00 – 26.70
Spot Rate : 0.7000
Average : 0.6019

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.96 %
Market Action

March 2, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1497 % 2,247.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1497 % 4,124.7
Floater 3.85 % 3.83 % 51,513 17.71 3 0.1497 % 2,377.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0043 % 3,677.8
SplitShare 4.77 % 4.01 % 35,180 3.67 9 -0.0043 % 4,392.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0043 % 3,426.8
Perpetual-Premium 5.32 % -0.49 % 74,092 0.09 21 0.0673 % 3,241.5
Perpetual-Discount 4.94 % 4.99 % 85,972 15.43 13 -0.0063 % 3,742.3
FixedReset Disc 4.45 % 3.78 % 181,773 17.45 52 0.4489 % 2,605.5
Insurance Straight 5.03 % 4.63 % 81,373 15.03 22 0.4227 % 3,613.6
FloatingReset 3.09 % 3.44 % 30,436 18.69 2 1.0490 % 2,327.9
FixedReset Prem 5.08 % 3.88 % 236,906 1.20 26 0.0695 % 2,715.0
FixedReset Bank Non 1.81 % 1.97 % 236,945 0.48 1 0.0000 % 2,890.8
FixedReset Ins Non 4.43 % 3.67 % 142,995 17.76 22 -0.0063 % 2,776.1
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.68 %
TRP.PR.B FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.19 %
GWO.PR.N FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 3.51 %
CU.PR.C FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.05 %
BMO.PR.C FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.83
Evaluated at bid price : 25.00
Bid-YTW : 4.12 %
IAF.PR.G FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.84
Evaluated at bid price : 24.26
Bid-YTW : 3.76 %
MFC.PR.J FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.42
Evaluated at bid price : 23.75
Bid-YTW : 3.73 %
IFC.PR.C FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.03
Evaluated at bid price : 22.62
Bid-YTW : 3.85 %
CU.PR.E Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 24.46
Evaluated at bid price : 24.75
Bid-YTW : 4.96 %
TRP.PR.G FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 4.58 %
TRP.PR.F FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 3.44 %
IFC.PR.E Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 24.80
Evaluated at bid price : 25.31
Bid-YTW : 5.20 %
MFC.PR.M FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.26
Evaluated at bid price : 22.84
Bid-YTW : 3.56 %
RY.PR.J FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.79
Evaluated at bid price : 23.90
Bid-YTW : 3.58 %
SLF.PR.B Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -4.80 %
BMO.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.64
Evaluated at bid price : 21.90
Bid-YTW : 3.60 %
RY.PR.M FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.99
Evaluated at bid price : 22.50
Bid-YTW : 3.69 %
BIP.PR.F FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.24
Evaluated at bid price : 24.55
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.72 %
CM.PR.P FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.65
Evaluated at bid price : 21.94
Bid-YTW : 3.70 %
NA.PR.S FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.07
Evaluated at bid price : 22.46
Bid-YTW : 3.72 %
CM.PR.O FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.91
Evaluated at bid price : 22.26
Bid-YTW : 3.65 %
TRP.PR.A FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.43 %
BMO.PR.Y FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.67
Evaluated at bid price : 23.70
Bid-YTW : 3.55 %
TRP.PR.D FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.31 %
PWF.PR.P FixedReset Disc 9.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 378,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 2.30 %
BMO.PR.C FixedReset Prem 150,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.83
Evaluated at bid price : 25.00
Bid-YTW : 4.12 %
TRP.PR.A FixedReset Disc 116,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.43 %
GWO.PR.Q Insurance Straight 113,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.45 %
TD.PF.J FixedReset Disc 109,406 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.29
Evaluated at bid price : 24.37
Bid-YTW : 3.69 %
TRP.PR.J FixedReset Prem 106,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.34 %
There were 38 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: 17.75 – 19.45
Spot Rate : 1.7000
Average : 0.9290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.68 %
RY.PR.M FixedReset Disc Quote: 22.50 – 24.30
Spot Rate : 1.8000
Average : 1.1266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.99
Evaluated at bid price : 22.50
Bid-YTW : 3.69 %
MFC.PR.M FixedReset Ins Non Quote: 22.84 – 24.00
Spot Rate : 1.1600
Average : 0.7771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.26
Evaluated at bid price : 22.84
Bid-YTW : 3.56 %
BAM.PR.X FixedReset Disc Quote: 15.24 – 15.75
Spot Rate : 0.5100
Average : 0.3651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.38 %
BAM.PF.B FixedReset Disc Quote: 20.25 – 20.72
Spot Rate : 0.4700
Average : 0.3389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.54 %
BIP.PR.A FixedReset Disc Quote: 21.89 – 22.48
Spot Rate : 0.5900
Average : 0.4710

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.59
Evaluated at bid price : 21.89
Bid-YTW : 4.88 %
Market Action

March 1, 2021

rainbow_210301
Click for Big

TXPR closed at 657.12, up 0.64% on the day. Volume today was 5.29-million, second only to February 11 in the past 20 trading days.

CPD closed at 13.07, up 0.66% on the day. Volume was 63,695, roughly the median of the past 20 trading days.

ZPR closed at 10.65, up 0.66% on the day. Volume of 417,283, nothing special in the context of the past 20 trading days.

Five-year Canada yields were down 7bp to 0.81% today.

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 1.1205 % 2,244.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1205 % 4,118.6
Floater 3.85 % 3.82 % 51,750 17.74 3 1.1205 % 2,373.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2258 % 3,677.9
SplitShare 4.77 % 3.98 % 36,406 3.67 9 0.2258 % 4,392.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2258 % 3,427.0
Perpetual-Premium 5.32 % 3.63 % 74,648 0.12 21 0.1440 % 3,239.4
Perpetual-Discount 4.94 % 5.00 % 86,819 15.44 13 0.2505 % 3,742.6
FixedReset Disc 4.47 % 3.79 % 183,254 17.44 52 1.0690 % 2,593.8
Insurance Straight 5.02 % 4.78 % 79,032 15.29 22 0.0640 % 3,598.4
FloatingReset 3.12 % 3.48 % 28,748 18.60 2 1.0601 % 2,303.7
FixedReset Prem 5.09 % 3.43 % 236,032 1.19 26 0.1195 % 2,713.1
FixedReset Bank Non 1.81 % 1.96 % 238,357 0.48 1 0.0000 % 2,890.8
FixedReset Ins Non 4.43 % 3.67 % 135,230 17.85 22 0.4959 % 2,776.3
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 4.06 %
SLF.PR.J FloatingReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 2.72 %
IFC.PR.E Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.53
Evaluated at bid price : 25.00
Bid-YTW : 5.27 %
CU.PR.E Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.24
Evaluated at bid price : 24.50
Bid-YTW : 5.01 %
BMO.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.74
Evaluated at bid price : 25.00
Bid-YTW : 3.95 %
IFC.PR.C FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 3.80 %
BMO.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.26
Evaluated at bid price : 22.75
Bid-YTW : 3.56 %
IAF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.14
Evaluated at bid price : 24.52
Bid-YTW : 3.72 %
BAM.PR.T FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.46 %
NA.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.96
Evaluated at bid price : 23.27
Bid-YTW : 3.79 %
IFC.PR.A FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.72 %
IAF.PR.I FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.42
Evaluated at bid price : 24.62
Bid-YTW : 3.65 %
RY.PR.J FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.65
Evaluated at bid price : 23.60
Bid-YTW : 3.64 %
RY.PR.S FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.01
Evaluated at bid price : 24.08
Bid-YTW : 3.49 %
CM.PR.Q FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.79 %
BMO.PR.C FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.39 %
NA.PR.G FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.24
Evaluated at bid price : 24.50
Bid-YTW : 3.78 %
BAM.PR.X FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.38 %
TD.PF.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.67
Evaluated at bid price : 23.67
Bid-YTW : 3.67 %
PWF.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.83 %
PWF.PR.S Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.08
Evaluated at bid price : 24.35
Bid-YTW : 4.97 %
BMO.PR.Y FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.40
Evaluated at bid price : 23.16
Bid-YTW : 3.66 %
BAM.PR.R FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 4.36 %
TRP.PR.A FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 4.52 %
CU.PR.C FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.99 %
NA.PR.W FixedReset Disc 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 3.70 %
BAM.PR.C Floater 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 3.82 %
GWO.PR.N FixedReset Ins Non 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 3.47 %
TRP.PR.E FixedReset Disc 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.41 %
PWF.PR.P FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.24 %
BAM.PR.B Floater 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 3.82 %
BIP.PR.E FixedReset Disc 4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.39
Evaluated at bid price : 24.55
Bid-YTW : 5.03 %
TRP.PR.F FloatingReset 4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 3.48 %
TRP.PR.D FixedReset Disc 4.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.44 %
TRP.PR.B FixedReset Disc 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.12 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset Bank Non 333,636 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 1.96 %
TRP.PR.G FixedReset Disc 153,356 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.63 %
TRP.PR.J FixedReset Prem 143,069 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.32 %
TRP.PR.K FixedReset Prem 106,720 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.20 %
CU.PR.I FixedReset Prem 74,911 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.81 %
CU.PR.C FixedReset Disc 72,723 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.99 %
There were 88 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 15.96 – 20.00
Spot Rate : 4.0400
Average : 2.9977

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 4.52 %
BAM.PR.K Floater Quote: 10.68 – 11.75
Spot Rate : 1.0700
Average : 0.6666

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 4.06 %
SLF.PR.H FixedReset Ins Non Quote: 20.98 – 22.00
Spot Rate : 1.0200
Average : 0.6890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.56 %
MFC.PR.L FixedReset Ins Non Quote: 21.20 – 22.00
Spot Rate : 0.8000
Average : 0.5299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.67 %
MFC.PR.B Insurance Straight Quote: 24.40 – 25.15
Spot Rate : 0.7500
Average : 0.5095

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.76 %
PWF.PR.P FixedReset Disc Quote: 13.75 – 15.50
Spot Rate : 1.7500
Average : 1.5309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.24 %
Market Action

February 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 -3.5067 % 2,219.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.5067 % 4,072.9
Floater 3.90 % 3.95 % 50,907 17.47 3 -3.5067 % 2,347.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0879 % 3,669.6
SplitShare 4.70 % 4.27 % 36,048 4.18 8 -0.0879 % 4,382.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0879 % 3,419.3
Perpetual-Premium 5.36 % 3.06 % 72,674 0.13 19 -0.1299 % 3,234.7
Perpetual-Discount 4.97 % 5.00 % 96,284 15.38 13 0.2363 % 3,733.2
FixedReset Disc 4.58 % 3.88 % 183,088 17.15 56 -0.6891 % 2,566.4
Insurance Straight 5.02 % 4.78 % 80,284 15.31 22 -0.2139 % 3,596.1
FloatingReset 3.14 % 2.64 % 32,290 20.69 2 -0.1860 % 2,279.6
FixedReset Prem 5.13 % 2.71 % 231,582 0.89 20 -0.0373 % 2,709.9
FixedReset Bank Non 1.81 % 1.92 % 220,686 0.49 1 -0.0400 % 2,890.8
FixedReset Ins Non 4.45 % 3.72 % 131,701 17.75 22 -0.5439 % 2,762.6
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -13.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.45 %
BAM.PR.B Floater -4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 10.93
Evaluated at bid price : 10.93
Bid-YTW : 3.97 %
BAM.PR.C Floater -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 3.95 %
CU.PR.C FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.15 %
PWF.PR.T FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.93 %
GWO.PR.N FixedReset Ins Non -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 3.65 %
PWF.PR.S Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.56
Evaluated at bid price : 24.00
Bid-YTW : 5.03 %
BAM.PR.K Floater -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 3.91 %
BIP.PR.E FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.24
Evaluated at bid price : 23.56
Bid-YTW : 5.29 %
BAM.PR.R FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.59 %
MFC.PR.M FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.01
Evaluated at bid price : 22.45
Bid-YTW : 3.67 %
CM.PR.Q FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.15
Evaluated at bid price : 22.73
Bid-YTW : 3.88 %
NA.PR.W FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.87 %
MFC.PR.Q FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.91
Evaluated at bid price : 23.64
Bid-YTW : 3.70 %
TD.PF.D FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.77 %
BAM.PR.T FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.56 %
IFC.PR.I Perpetual-Premium -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.95 %
BAM.PF.A FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.95
Evaluated at bid price : 22.21
Bid-YTW : 4.49 %
BAM.PR.X FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.49 %
NA.PR.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.71
Evaluated at bid price : 23.01
Bid-YTW : 3.88 %
BNS.PR.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.03
Evaluated at bid price : 24.10
Bid-YTW : 3.60 %
BIP.PR.F FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.09
Evaluated at bid price : 24.20
Bid-YTW : 5.21 %
GWO.PR.R Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 24.35
Evaluated at bid price : 24.60
Bid-YTW : 4.94 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.24
Evaluated at bid price : 23.85
Bid-YTW : 3.72 %
MFC.PR.G FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.89
Evaluated at bid price : 24.44
Bid-YTW : 3.82 %
MFC.PR.I FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.82
Evaluated at bid price : 24.20
Bid-YTW : 3.87 %
TRP.PR.F FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.62 %
TD.PF.M FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.31 %
SLF.PR.H FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.62 %
TD.PF.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.26
Evaluated at bid price : 22.82
Bid-YTW : 3.49 %
BAM.PR.Z FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.49 %
CU.PR.E Perpetual-Discount 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 24.50
Evaluated at bid price : 24.81
Bid-YTW : 4.95 %
CU.PR.G Perpetual-Discount 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.43
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.J FloatingReset 184,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 2.64 %
SLF.PR.G FixedReset Ins Non 156,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 3.75 %
TRP.PR.C FixedReset Disc 123,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 4.50 %
BAM.PF.H FixedReset Prem 70,101 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 52,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 4.63 %
BNS.PR.G FixedReset Prem 47,069 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 2.52 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 13.25 – 15.50
Spot Rate : 2.2500
Average : 1.2907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.45 %
TRP.PR.A FixedReset Disc Quote: 15.57 – 18.00
Spot Rate : 2.4300
Average : 1.8549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 4.69 %
CM.PR.Q FixedReset Disc Quote: 22.73 – 23.48
Spot Rate : 0.7500
Average : 0.4638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.15
Evaluated at bid price : 22.73
Bid-YTW : 3.88 %
SLF.PR.J FloatingReset Quote: 14.31 – 15.00
Spot Rate : 0.6900
Average : 0.4429

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 2.64 %
SLF.PR.I FixedReset Ins Non Quote: 23.85 – 24.48
Spot Rate : 0.6300
Average : 0.3865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.24
Evaluated at bid price : 23.85
Bid-YTW : 3.72 %
BIP.PR.E FixedReset Disc Quote: 23.56 – 24.20
Spot Rate : 0.6400
Average : 0.4475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.24
Evaluated at bid price : 23.56
Bid-YTW : 5.29 %
Market Action

February 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 -0.5233 % 2,300.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5233 % 4,221.0
Floater 3.76 % 3.79 % 51,417 17.81 3 -0.5233 % 2,432.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0073 % 3,672.9
SplitShare 4.70 % 4.17 % 36,098 4.19 8 0.0073 % 4,386.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0073 % 3,422.3
Perpetual-Premium 5.35 % 2.92 % 71,401 0.13 19 -0.0618 % 3,238.9
Perpetual-Discount 4.98 % 5.00 % 96,665 15.41 13 -1.0969 % 3,724.4
FixedReset Disc 4.54 % 3.85 % 181,396 17.28 56 0.7783 % 2,584.2
Insurance Straight 5.00 % 4.78 % 79,514 15.29 22 -0.3718 % 3,603.8
FloatingReset 3.09 % 2.66 % 29,737 20.57 2 1.4503 % 2,283.8
FixedReset Prem 5.13 % 2.59 % 234,783 0.89 20 0.0384 % 2,710.9
FixedReset Bank Non 1.80 % 1.83 % 219,067 0.49 1 0.0400 % 2,892.0
FixedReset Ins Non 4.42 % 3.70 % 132,946 17.79 22 0.4422 % 2,777.7
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -5.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.58
Evaluated at bid price : 22.85
Bid-YTW : 4.93 %
CU.PR.E Perpetual-Discount -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.90
Evaluated at bid price : 24.15
Bid-YTW : 5.09 %
BIP.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.69
Evaluated at bid price : 22.03
Bid-YTW : 4.88 %
CU.PR.D Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.28
Evaluated at bid price : 24.55
Bid-YTW : 5.00 %
MFC.PR.B Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 4.74 %
BAM.PR.K Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 3.82 %
CU.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.44
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
MFC.PR.C Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
BIP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.14
Evaluated at bid price : 24.01
Bid-YTW : 5.16 %
IAF.PR.B Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 4.69 %
SLF.PR.G FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 3.74 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.09
Evaluated at bid price : 23.99
Bid-YTW : 3.63 %
TD.PF.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.67
Evaluated at bid price : 23.68
Bid-YTW : 3.70 %
BAM.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.16
Evaluated at bid price : 22.50
Bid-YTW : 4.43 %
TRP.PR.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.18 %
BNS.PR.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.16
Evaluated at bid price : 24.40
Bid-YTW : 3.53 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 3.82 %
TRP.PR.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 4.73 %
TRP.PR.F FloatingReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 3.59 %
TD.PF.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 3.55 %
PWF.PR.P FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.85 %
RY.PR.J FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.56
Evaluated at bid price : 23.44
Bid-YTW : 3.70 %
SLF.PR.J FloatingReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 2.66 %
BMO.PR.S FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.19
Evaluated at bid price : 22.65
Bid-YTW : 3.62 %
BAM.PF.B FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.52 %
GWO.PR.N FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 3.55 %
NA.PR.S FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.81
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %
NA.PR.W FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 3.80 %
MFC.PR.M FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.27
Evaluated at bid price : 22.85
Bid-YTW : 3.59 %
MFC.PR.F FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.55 %
BAM.PR.R FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.50 %
TRP.PR.B FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.34 %
TRP.PR.C FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 4.49 %
CU.PR.C FixedReset Disc 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 3.99 %
TD.PF.B FixedReset Disc 5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.36
Evaluated at bid price : 22.94
Bid-YTW : 3.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset Prem 413,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 2.52 %
BAM.PR.R FixedReset Disc 192,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
CU.PR.F Perpetual-Discount 174,691 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.44
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
BAM.PR.X FixedReset Disc 164,046 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.44 %
MIC.PR.A Perpetual-Premium 161,778 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.17 %
TRP.PR.B FixedReset Disc 142,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.34 %
TRP.PR.G FixedReset Disc 103,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.70 %
CU.PR.H Perpetual-Premium 102,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : 4.19 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 15.74 – 17.95
Spot Rate : 2.2100
Average : 1.2244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 4.73 %
CU.PR.G Perpetual-Discount Quote: 22.85 – 24.15
Spot Rate : 1.3000
Average : 0.7182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.58
Evaluated at bid price : 22.85
Bid-YTW : 4.93 %
CU.PR.E Perpetual-Discount Quote: 24.15 – 25.15
Spot Rate : 1.0000
Average : 0.5933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.90
Evaluated at bid price : 24.15
Bid-YTW : 5.09 %
BAM.PR.Z FixedReset Disc Quote: 21.60 – 22.50
Spot Rate : 0.9000
Average : 0.6173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.57 %
TD.PF.A FixedReset Disc Quote: 22.46 – 23.08
Spot Rate : 0.6200
Average : 0.3859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.03
Evaluated at bid price : 22.46
Bid-YTW : 3.56 %
CU.PR.I FixedReset Prem Quote: 25.68 – 26.40
Spot Rate : 0.7200
Average : 0.5087

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 3.88 %
Market Action

February 24, 2021

PerpetualDiscounts now yield 4.97%, equivalent to 6.46% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.16%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is slightly (and perhaps spuriously) narrower at 330bp than the 335bp reported February 17.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6068 % 2,312.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6068 % 4,243.2
Floater 3.74 % 3.77 % 51,764 17.86 3 -0.6068 % 2,445.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1609 % 3,672.6
SplitShare 4.70 % 4.16 % 36,248 4.19 8 -0.1609 % 4,385.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1609 % 3,422.0
Perpetual-Premium 5.35 % 2.76 % 71,541 0.08 19 -0.0227 % 3,240.9
Perpetual-Discount 4.92 % 4.97 % 98,783 15.43 13 -0.1400 % 3,765.7
FixedReset Disc 4.57 % 3.74 % 179,119 17.57 56 -0.0312 % 2,564.2
Insurance Straight 4.97 % 4.67 % 77,241 15.29 22 -0.2295 % 3,617.3
FloatingReset 3.12 % 2.68 % 30,546 20.51 2 0.3194 % 2,251.2
FixedReset Prem 5.12 % 3.19 % 235,394 0.90 20 0.0727 % 2,709.9
FixedReset Bank Non 1.81 % 1.86 % 202,821 0.92 1 -0.0400 % 2,890.8
FixedReset Ins Non 4.43 % 3.52 % 131,013 18.13 22 0.1170 % 2,765.5
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.52 %
BAM.PR.Z FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.36 %
GWO.PR.I Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.73 %
BAM.PF.G FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.39 %
GWO.PR.N FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.35 %
MFC.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.58 %
PWF.PR.P FixedReset Disc 4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 3.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.E FixedReset Prem 512,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.19 %
NA.PR.X FixedReset Prem 180,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.38 %
BMO.PR.Y FixedReset Disc 133,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 22.10
Evaluated at bid price : 22.65
Bid-YTW : 3.61 %
CU.PR.G Perpetual-Discount 61,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 23.96
Evaluated at bid price : 24.25
Bid-YTW : 4.64 %
CM.PR.R FixedReset Disc 61,043 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 23.76
Evaluated at bid price : 25.00
Bid-YTW : 4.02 %
TRP.PR.D FixedReset Disc 56,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.41 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 21.70 – 22.53
Spot Rate : 0.8300
Average : 0.4829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.52 %
BAM.PR.Z FixedReset Disc Quote: 21.60 – 22.08
Spot Rate : 0.4800
Average : 0.3073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.36 %
BMO.PR.S FixedReset Disc Quote: 22.30 – 22.62
Spot Rate : 0.3200
Average : 0.2066

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.95
Evaluated at bid price : 22.30
Bid-YTW : 3.49 %
TRP.PR.D FixedReset Disc Quote: 18.22 – 18.88
Spot Rate : 0.6600
Average : 0.5821

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.41 %
TRP.PR.G FixedReset Disc Quote: 19.75 – 20.00
Spot Rate : 0.2500
Average : 0.1724

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.52 %
MFC.PR.L FixedReset Ins Non Quote: 21.35 – 21.71
Spot Rate : 0.3600
Average : 0.2877

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-24
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.48 %
Market Action

February 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 1.3470 % 2,326.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3470 % 4,269.1
Floater 3.72 % 3.74 % 52,252 17.91 3 1.3470 % 2,460.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0805 % 3,678.5
SplitShare 4.69 % 4.09 % 35,111 4.20 8 0.0805 % 4,392.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0805 % 3,427.5
Perpetual-Premium 5.35 % 2.96 % 71,938 0.14 19 0.0825 % 3,241.7
Perpetual-Discount 4.92 % 4.97 % 91,405 15.44 13 0.1871 % 3,771.0
FixedReset Disc 4.57 % 3.74 % 178,433 17.55 56 0.3042 % 2,565.0
Insurance Straight 4.96 % 4.63 % 79,022 15.35 22 -0.0108 % 3,625.6
FloatingReset 3.13 % 2.68 % 28,138 20.51 2 -0.0355 % 2,244.0
FixedReset Prem 5.13 % 3.14 % 222,322 0.90 20 0.0904 % 2,707.9
FixedReset Bank Non 1.80 % 1.81 % 198,915 0.93 1 0.0000 % 2,892.0
FixedReset Ins Non 4.44 % 3.53 % 129,613 18.14 22 0.2200 % 2,762.2
Performance Highlights
Issue Index Change Notes
GWO.PR.F Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -3.84 %
MFC.PR.F FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 3.33 %
BAM.PF.F FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.32 %
BAM.PF.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.34 %
MFC.PR.N FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.86
Evaluated at bid price : 22.25
Bid-YTW : 3.45 %
MFC.PR.O FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.54 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.31 %
SLF.PR.C Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.56 %
BAM.PR.B Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 11.57
Evaluated at bid price : 11.57
Bid-YTW : 3.74 %
MFC.PR.J FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.53 %
TRP.PR.G FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.49 %
BAM.PR.R FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.32 %
NA.PR.G FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.68 %
CM.PR.R FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.75
Evaluated at bid price : 25.00
Bid-YTW : 4.02 %
BAM.PR.K Floater 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 3.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 206,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 2.58 %
RY.PR.H FixedReset Disc 205,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 22.04
Evaluated at bid price : 22.45
Bid-YTW : 3.37 %
TD.PF.A FixedReset Disc 170,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.97
Evaluated at bid price : 22.37
Bid-YTW : 3.38 %
BNS.PR.H FixedReset Prem 165,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 2.41 %
BMO.PR.W FixedReset Disc 126,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.51 %
BAM.PF.G FixedReset Disc 111,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.34 %
BAM.PR.R FixedReset Disc 107,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.32 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Prem Quote: 25.66 – 26.40
Spot Rate : 0.7400
Average : 0.4491

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 3.89 %
EIT.PR.B SplitShare Quote: 25.80 – 26.80
Spot Rate : 1.0000
Average : 0.7210

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.89 %
TRP.PR.D FixedReset Disc Quote: 18.22 – 18.88
Spot Rate : 0.6600
Average : 0.4967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.41 %
SLF.PR.B Insurance Straight Quote: 25.05 – 25.45
Spot Rate : 0.4000
Average : 0.2665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 4.85 %
MFC.PR.F FixedReset Ins Non Quote: 15.55 – 15.97
Spot Rate : 0.4200
Average : 0.3273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 3.33 %
MIC.PR.A Perpetual-Premium Quote: 25.55 – 25.80
Spot Rate : 0.2500
Average : 0.1638

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.14 %
Market Action

February 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 0.2642 % 2,295.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2642 % 4,212.3
Floater 3.77 % 3.80 % 52,377 17.79 3 0.2642 % 2,427.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2494 % 3,675.5
SplitShare 4.70 % 4.15 % 35,038 4.20 8 0.2494 % 4,389.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2494 % 3,424.8
Perpetual-Premium 5.35 % 3.79 % 72,972 0.15 19 -0.2612 % 3,239.0
Perpetual-Discount 4.93 % 4.98 % 92,684 15.42 13 -0.0125 % 3,764.0
FixedReset Disc 4.59 % 3.76 % 178,093 17.55 56 0.2040 % 2,557.3
Insurance Straight 4.96 % 4.61 % 79,302 15.33 22 -0.1691 % 3,626.0
FloatingReset 3.13 % 2.68 % 28,224 20.52 2 -0.8442 % 2,244.8
FixedReset Prem 5.13 % 3.08 % 222,995 0.90 20 -0.0688 % 2,705.4
FixedReset Bank Non 1.80 % 1.80 % 200,778 0.93 1 0.0000 % 2,892.0
FixedReset Ins Non 4.45 % 3.57 % 128,443 18.07 22 0.1911 % 2,756.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.83 %
CM.PR.R FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.14
Evaluated at bid price : 24.50
Bid-YTW : 4.17 %
SLF.PR.C Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 2.68 %
RY.PR.N Perpetual-Premium -1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.06 %
SLF.PR.E Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.61 %
MFC.PR.O FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.71
Evaluated at bid price : 25.21
Bid-YTW : 5.67 %
CU.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 3.94 %
CU.PR.F Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.76
Evaluated at bid price : 24.22
Bid-YTW : 4.64 %
SLF.PR.H FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.41 %
BAM.PR.C Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 3.79 %
IAF.PR.B Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.92
Evaluated at bid price : 25.15
Bid-YTW : 4.63 %
TRP.PR.B FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.21 %
MFC.PR.J FixedReset Ins Non 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.31
Evaluated at bid price : 23.64
Bid-YTW : 3.58 %
TRP.PR.C FixedReset Disc 7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.A FixedReset Ins Non 156,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.57 %
MIC.PR.A Perpetual-Premium 94,243 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.19 %
RY.PR.Q FixedReset Prem 85,830 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 2.32 %
BNS.PR.E FixedReset Prem 73,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.08 %
MFC.PR.O FixedReset Ins Non 63,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.71
Evaluated at bid price : 25.21
Bid-YTW : 5.67 %
SLF.PR.I FixedReset Ins Non 61,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.62
Evaluated at bid price : 24.19
Bid-YTW : 3.52 %
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.X FixedReset Disc Quote: 15.20 – 17.25
Spot Rate : 2.0500
Average : 1.2418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.13 %
PVS.PR.H SplitShare Quote: 25.63 – 26.63
Spot Rate : 1.0000
Average : 0.5960

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.21 %
SLF.PR.C Insurance Straight Quote: 24.40 – 24.95
Spot Rate : 0.5500
Average : 0.3392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.61 %
MFC.PR.Q FixedReset Ins Non Quote: 23.70 – 24.19
Spot Rate : 0.4900
Average : 0.3167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 22.94
Evaluated at bid price : 23.70
Bid-YTW : 3.49 %
CM.PR.R FixedReset Disc Quote: 24.50 – 24.95
Spot Rate : 0.4500
Average : 0.2794

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.14
Evaluated at bid price : 24.50
Bid-YTW : 4.17 %
BNS.PR.I FixedReset Disc Quote: 24.10 – 24.49
Spot Rate : 0.3900
Average : 0.2820

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.03
Evaluated at bid price : 24.10
Bid-YTW : 3.40 %