Category: Market Action

Market Action

February 4, 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 0.4430 % 2,133.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4430 % 3,915.1
Floater 4.05 % 4.09 % 52,043 17.22 3 0.4430 % 2,256.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1514 % 3,636.3
SplitShare 4.69 % 4.34 % 38,593 3.69 8 0.1514 % 4,342.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1514 % 3,388.2
Perpetual-Premium 5.33 % -5.29 % 70,727 0.09 18 0.4047 % 3,249.3
Perpetual-Discount 4.96 % 4.91 % 73,909 15.36 13 0.1700 % 3,734.8
FixedReset Disc 4.76 % 3.63 % 154,186 17.79 56 0.6861 % 2,465.9
Insurance Straight 4.97 % 4.58 % 92,303 4.09 22 0.3575 % 3,620.4
FloatingReset 3.41 % 2.92 % 23,318 19.91 2 3.8367 % 2,025.8
FixedReset Prem 5.11 % 2.73 % 192,337 0.95 20 0.0627 % 2,716.3
FixedReset Bank Non 1.80 % 1.59 % 190,110 0.98 1 0.0000 % 2,892.0
FixedReset Ins Non 4.65 % 3.50 % 93,194 18.02 22 1.1520 % 2,617.7
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.56 %
NA.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 3.66 %
BAM.PR.X FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.18 %
IFC.PR.E Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 4.34 %
GWO.PR.T Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.87
Bid-YTW : 4.63 %
MFC.PR.J FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.59
Evaluated at bid price : 22.90
Bid-YTW : 3.52 %
CM.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.39
Evaluated at bid price : 22.70
Bid-YTW : 3.33 %
TRP.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 4.52 %
CM.PR.P FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 3.57 %
BAM.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.50 %
SLF.PR.D Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.58 %
MFC.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 3.54 %
TD.PF.J FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.03
Evaluated at bid price : 23.84
Bid-YTW : 3.39 %
BAM.PF.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.40 %
SLF.PR.H FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.43 %
SLF.PR.I FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 3.47 %
SLF.PR.B Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-06
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -13.29 %
IAF.PR.G FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.46
Evaluated at bid price : 23.90
Bid-YTW : 3.45 %
TD.PF.D FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.39 %
MFC.PR.L FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 3.58 %
MFC.PR.G FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.23
Evaluated at bid price : 23.83
Bid-YTW : 3.50 %
TRP.PR.E FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.41 %
TRP.PR.G FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.62 %
TRP.PR.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 4.21 %
CM.PR.Q FixedReset Disc 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 21.81
Evaluated at bid price : 22.22
Bid-YTW : 3.58 %
IFC.PR.G FixedReset Ins Non 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 21.49
Evaluated at bid price : 21.86
Bid-YTW : 3.67 %
IFC.PR.C FixedReset Ins Non 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.65 %
SLF.PR.G FixedReset Ins Non 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 3.43 %
TRP.PR.F FloatingReset 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 12.69
Evaluated at bid price : 12.69
Bid-YTW : 3.96 %
IFC.PR.A FixedReset Ins Non 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.45 %
SLF.PR.J FloatingReset 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 2.92 %
CU.PR.C FixedReset Disc 5.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 3.68 %
CU.PR.H Perpetual-Premium 5.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.86
Bid-YTW : 3.72 %
TRP.PR.B FixedReset Disc 5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 10.73
Evaluated at bid price : 10.73
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 201,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.39 %
TD.PF.G FixedReset Prem 171,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.25 %
MFC.PR.F FixedReset Ins Non 109,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 3.47 %
BAM.PR.X FixedReset Disc 84,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.18 %
BNS.PR.E FixedReset Prem 80,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.47 %
CM.PR.R FixedReset Disc 66,973 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.74
Evaluated at bid price : 25.00
Bid-YTW : 3.78 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 16.50 – 17.19
Spot Rate : 0.6900
Average : 0.3966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.56 %
BIK.PR.A FixedReset Prem Quote: 25.87 – 26.20
Spot Rate : 0.3300
Average : 0.2167

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.87 %
PWF.PR.S Perpetual-Discount Quote: 24.26 – 24.65
Spot Rate : 0.3900
Average : 0.2868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.99
Evaluated at bid price : 24.26
Bid-YTW : 4.96 %
IFC.PR.F Insurance Straight Quote: 25.91 – 26.25
Spot Rate : 0.3400
Average : 0.2428

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.91
Bid-YTW : 4.77 %
GWO.PR.N FixedReset Ins Non Quote: 12.16 – 12.59
Spot Rate : 0.4300
Average : 0.3444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 3.59 %
BAM.PR.X FixedReset Disc Quote: 13.64 – 13.98
Spot Rate : 0.3400
Average : 0.2701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.18 %
Market Action

February 3, 2021

PerpetualDiscounts now yield 4.96%, equivalent to 6.45% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply narrower at 355bp than the 370bp reported January 20.

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 2.7308 % 2,124.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.7308 % 3,897.8
Floater 4.07 % 4.10 % 52,299 17.19 3 2.7308 % 2,246.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0269 % 3,630.8
SplitShare 4.70 % 4.49 % 38,656 4.17 8 0.0269 % 4,336.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0269 % 3,383.1
Perpetual-Premium 5.35 % -4.65 % 71,647 0.09 18 -0.1025 % 3,236.2
Perpetual-Discount 4.97 % 4.96 % 73,775 15.37 13 0.5407 % 3,728.4
FixedReset Disc 4.79 % 3.69 % 147,512 17.71 56 0.7625 % 2,449.1
Insurance Straight 4.98 % 4.65 % 91,346 4.10 22 0.4832 % 3,607.5
FloatingReset 3.54 % 3.04 % 24,178 17.20 2 0.5076 % 1,950.9
FixedReset Prem 5.12 % 3.30 % 193,621 1.04 20 0.0039 % 2,714.6
FixedReset Bank Non 1.80 % 1.58 % 185,911 0.98 1 0.2004 % 2,892.0
FixedReset Ins Non 4.71 % 3.56 % 93,818 17.89 22 1.5974 % 2,587.9
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Premium -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.24
Evaluated at bid price : 24.57
Bid-YTW : 5.33 %
CU.PR.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 3.88 %
CU.PR.E Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.44 %
BAM.PF.C Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.98
Evaluated at bid price : 24.25
Bid-YTW : 5.05 %
CM.PR.O FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 3.64 %
TD.PF.J FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 3.48 %
BMO.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.75
Evaluated at bid price : 23.50
Bid-YTW : 3.49 %
GWO.PR.H Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.92 %
MFC.PR.M FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 3.65 %
RY.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.74
Evaluated at bid price : 23.55
Bid-YTW : 3.21 %
BAM.PR.R FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.49 %
SLF.PR.C Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.14
Evaluated at bid price : 24.39
Bid-YTW : 4.60 %
NA.PR.W FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 3.64 %
CU.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.71 %
MFC.PR.C Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 4.62 %
MFC.PR.Q FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.20
Evaluated at bid price : 22.52
Bid-YTW : 3.54 %
TD.PF.K FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.62
Evaluated at bid price : 23.25
Bid-YTW : 3.44 %
MFC.PR.N FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 3.58 %
MFC.PR.K FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.56 %
TRP.PR.B FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.23 %
IAF.PR.B Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 4.67 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 3.92 %
RY.PR.M FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 21.61
Evaluated at bid price : 21.95
Bid-YTW : 3.43 %
MFC.PR.I FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.22
Evaluated at bid price : 23.62
Bid-YTW : 3.57 %
IFC.PR.A FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.58 %
BAM.PF.E FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.57 %
BAM.PF.F FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.50 %
TRP.PR.D FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.49 %
TRP.PR.C FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 4.32 %
MFC.PR.F FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.50 %
PWF.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.90 %
SLF.PR.J FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.04 %
MFC.PR.G FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.81
Evaluated at bid price : 23.40
Bid-YTW : 3.57 %
MFC.PR.J FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.36
Evaluated at bid price : 22.65
Bid-YTW : 3.56 %
MFC.PR.H FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.39
Evaluated at bid price : 24.76
Bid-YTW : 3.64 %
IAF.PR.G FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.10
Evaluated at bid price : 23.55
Bid-YTW : 3.50 %
TRP.PR.G FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.72 %
BAM.PR.B Floater 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.10 %
IFC.PR.G FixedReset Ins Non 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.81 %
CM.PR.S FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.16
Evaluated at bid price : 22.45
Bid-YTW : 3.37 %
TRP.PR.A FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.57 %
BAM.PR.K Floater 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.12 %
BAM.PR.C Floater 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.10 %
SLF.PR.I FixedReset Ins Non 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 21.91
Evaluated at bid price : 22.45
Bid-YTW : 3.53 %
TRP.PR.E FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 4.50 %
SLF.PR.G FixedReset Ins Non 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 12.98
Evaluated at bid price : 12.98
Bid-YTW : 3.56 %
IAF.PR.I FixedReset Ins Non 4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.05
Evaluated at bid price : 23.85
Bid-YTW : 3.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Disc 639,135 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.78
Evaluated at bid price : 24.97
Bid-YTW : 4.92 %
RY.PR.J FixedReset Disc 606,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.20
Evaluated at bid price : 22.80
Bid-YTW : 3.43 %
BAM.PR.X FixedReset Disc 362,145 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.22 %
BAM.PF.E FixedReset Disc 127,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.57 %
CM.PR.R FixedReset Disc 108,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.74
Evaluated at bid price : 25.00
Bid-YTW : 3.78 %
TRP.PR.B FixedReset Disc 65,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.23 %
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.H Perpetual-Premium Quote: 24.57 – 25.95
Spot Rate : 1.3800
Average : 0.8487

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.24
Evaluated at bid price : 24.57
Bid-YTW : 5.33 %
SLF.PR.E Insurance Straight Quote: 24.37 – 24.87
Spot Rate : 0.5000
Average : 0.3441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.12
Evaluated at bid price : 24.37
Bid-YTW : 4.65 %
SLF.PR.J FloatingReset Quote: 12.25 – 12.75
Spot Rate : 0.5000
Average : 0.3565

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.04 %
GWO.PR.P Insurance Straight Quote: 25.33 – 25.77
Spot Rate : 0.4400
Average : 0.2987

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-05
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -4.45 %
BAM.PR.Z FixedReset Disc Quote: 19.37 – 19.81
Spot Rate : 0.4400
Average : 0.3204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 4.59 %
TRP.PR.B FixedReset Disc Quote: 10.16 – 10.70
Spot Rate : 0.5400
Average : 0.4234

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.23 %
Market Action

February 2, 2021

unicorn_210202
Click for Big

TXPR closed at 636.13, up 1.11% on the day. Volume today was 3.07-million, near the high-end of daily volumes in the past 20 trading days.

CPD closed at 12.64, up 0.72% on the day. Volume was 87,284, perhaps a little above the median of the past 20 trading days.

ZPR closed at 10.18, up 0.49% on the day. Volume of 195,947 was above the median of the past 20 trading days.

Five-year Canada yields were up 1bp to 0.43% today.

Today’s pop can be ascribed to the Empire Life intent to issue LRCNs to finance the redemption of EML.PR.A.

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 4.0243 % 2,067.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.0243 % 3,794.2
Floater 4.18 % 4.22 % 48,259 16.95 3 4.0243 % 2,186.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0171 % 3,629.9
SplitShare 4.70 % 4.45 % 38,764 4.17 8 0.0171 % 4,334.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0171 % 3,382.2
Perpetual-Premium 5.34 % -4.30 % 74,381 0.09 18 0.2286 % 3,239.5
Perpetual-Discount 4.98 % 4.97 % 73,914 15.43 13 0.1010 % 3,708.4
FixedReset Disc 4.82 % 3.70 % 147,740 17.68 56 0.6432 % 2,430.6
Insurance Straight 5.01 % 4.74 % 94,401 15.30 22 0.3605 % 3,590.2
FloatingReset 2.48 % 0.49 % 27,436 0.08 3 0.0203 % 1,941.1
FixedReset Prem 5.12 % 3.41 % 192,570 1.04 20 0.2356 % 2,714.5
FixedReset Bank Non 1.79 % 1.62 % 188,343 0.98 2 -0.1601 % 2,886.2
FixedReset Ins Non 4.78 % 3.63 % 87,405 17.77 22 1.4454 % 2,547.2
Performance Highlights
Issue Index Change Notes
TD.PF.K FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.42
Evaluated at bid price : 22.92
Bid-YTW : 3.50 %
TRP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.29 %
IFC.PR.I Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.70 %
GWO.PR.T Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.70
Bid-YTW : 4.79 %
BAM.PF.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 4.60 %
RY.PR.S FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.60
Evaluated at bid price : 23.28
Bid-YTW : 3.25 %
GWO.PR.I Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.69 %
MFC.PR.K FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.62 %
NA.PR.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 3.57 %
BMO.PR.F FixedReset Prem 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.73 %
SLF.PR.H FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 3.51 %
BNS.PR.I FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.81
Evaluated at bid price : 23.65
Bid-YTW : 3.25 %
TD.PF.D FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.27
Evaluated at bid price : 22.94
Bid-YTW : 3.46 %
TD.PF.J FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.00
Evaluated at bid price : 23.30
Bid-YTW : 3.52 %
MFC.PR.J FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.63 %
IFC.PR.G FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.91 %
MFC.PR.M FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.69 %
SLF.PR.I FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 3.65 %
IFC.PR.A FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 3.64 %
PWF.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.98 %
IAF.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.57
Evaluated at bid price : 23.00
Bid-YTW : 3.59 %
RY.PR.J FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.15
Evaluated at bid price : 22.71
Bid-YTW : 3.44 %
MFC.PR.L FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 3.67 %
BAM.PF.E FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.65 %
MFC.PR.I FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.84
Evaluated at bid price : 23.24
Bid-YTW : 3.63 %
MFC.PR.Q FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.97
Evaluated at bid price : 22.21
Bid-YTW : 3.60 %
TRP.PR.C FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.40 %
IFC.PR.C FixedReset Ins Non 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 3.81 %
MFC.PR.G FixedReset Ins Non 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.20
Evaluated at bid price : 22.92
Bid-YTW : 3.63 %
BAM.PR.K Floater 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.21
Evaluated at bid price : 10.21
Bid-YTW : 4.24 %
BAM.PR.B Floater 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.20 %
BAM.PR.C Floater 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.22 %
BAM.PR.X FixedReset Disc 7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Disc 152,912 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.82
Evaluated at bid price : 25.05
Bid-YTW : 3.70 %
BAM.PR.X FixedReset Disc 130,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.22 %
GWO.PR.N FixedReset Ins Non 124,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 3.57 %
BAM.PF.F FixedReset Disc 112,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.58 %
TRP.PR.A FixedReset Disc 107,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.70 %
MFC.PR.F FixedReset Ins Non 100,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.57 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Z FixedReset Bank Non Quote: 24.91 – 25.50
Spot Rate : 0.5900
Average : 0.3146

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 2.17 %
IFC.PR.I Perpetual-Premium Quote: 26.35 – 27.03
Spot Rate : 0.6800
Average : 0.4524

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.70 %
GWO.PR.R Insurance Straight Quote: 24.56 – 25.13
Spot Rate : 0.5700
Average : 0.3546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 24.30
Evaluated at bid price : 24.56
Bid-YTW : 4.93 %
CU.PR.C FixedReset Disc Quote: 18.60 – 19.20
Spot Rate : 0.6000
Average : 0.3979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.90 %
BAM.PR.M Perpetual-Discount Quote: 23.45 – 23.99
Spot Rate : 0.5400
Average : 0.3704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 5.11 %
TRP.PR.G FixedReset Disc Quote: 17.49 – 17.99
Spot Rate : 0.5000
Average : 0.3328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 4.83 %
Market Action

February 1, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.4662 % 1,987.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4662 % 3,647.4
Floater 4.35 % 4.39 % 44,564 16.61 3 -1.4662 % 2,102.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1346 % 3,629.2
SplitShare 4.70 % 4.48 % 38,932 3.70 8 0.1346 % 4,334.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1346 % 3,381.6
Perpetual-Premium 5.36 % -2.93 % 73,292 0.09 18 -0.1153 % 3,232.1
Perpetual-Discount 4.99 % 4.97 % 69,924 15.42 13 0.0663 % 3,704.6
FixedReset Disc 4.86 % 3.71 % 149,154 17.66 56 0.2160 % 2,415.0
Insurance Straight 5.03 % 4.75 % 94,293 15.28 22 0.0714 % 3,577.3
FloatingReset 2.48 % 0.47 % 26,062 0.08 3 0.1016 % 1,940.7
FixedReset Prem 5.13 % 3.39 % 193,877 1.04 20 -0.0432 % 2,708.2
FixedReset Bank Non 1.78 % 1.62 % 154,801 0.99 2 0.0000 % 2,890.8
FixedReset Ins Non 4.85 % 3.70 % 87,084 17.61 22 -0.2485 % 2,510.9
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.56 %
MFC.PR.G FixedReset Ins Non -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 3.78 %
BAM.PR.C Floater -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 9.82
Evaluated at bid price : 9.82
Bid-YTW : 4.41 %
BAM.PR.B Floater -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.37 %
IAF.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 22.33
Evaluated at bid price : 22.67
Bid-YTW : 3.70 %
IFC.PR.C FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 3.94 %
MFC.PR.J FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.70 %
GWO.PR.N FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 3.60 %
MFC.PR.N FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 3.66 %
BAM.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.47 %
BAM.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.54 %
NA.PR.W FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 3.71 %
BAM.PF.G FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.65 %
BIP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 4.65 %
SLF.PR.H FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.56 %
CM.PR.S FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 3.41 %
BMO.PR.Y FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 3.62 %
IFC.PR.A FixedReset Ins Non 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.T FixedReset Disc 474,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.54 %
PWF.PR.O Perpetual-Premium 141,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-03
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -12.19 %
CM.PR.T FixedReset Disc 111,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 23.40
Evaluated at bid price : 25.16
Bid-YTW : 3.85 %
GWO.PR.Q Insurance Straight 106,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.96 %
BMO.PR.C FixedReset Disc 102,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 23.80
Evaluated at bid price : 25.00
Bid-YTW : 3.71 %
BAM.PF.I FixedReset Prem 58,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.94 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.F FloatingReset Quote: 24.99 – 25.88
Spot Rate : 0.8900
Average : 0.4734

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-04
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 0.47 %
MFC.PR.G FixedReset Ins Non Quote: 22.15 – 22.90
Spot Rate : 0.7500
Average : 0.4437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 3.78 %
BAM.PR.X FixedReset Disc Quote: 12.52 – 13.31
Spot Rate : 0.7900
Average : 0.4929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.56 %
MFC.PR.L FixedReset Ins Non Quote: 18.76 – 19.70
Spot Rate : 0.9400
Average : 0.6608

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc Quote: 22.25 – 22.74
Spot Rate : 0.4900
Average : 0.3668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.84
Evaluated at bid price : 22.25
Bid-YTW : 3.53 %
CM.PR.T FixedReset Disc Quote: 25.16 – 25.50
Spot Rate : 0.3400
Average : 0.2186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 23.40
Evaluated at bid price : 25.16
Bid-YTW : 3.85 %
Market Action

January 29, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0667 % 2,017.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0667 % 3,701.7
Floater 4.29 % 4.33 % 45,096 16.74 3 0.0667 % 2,133.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1100 % 3,624.4
SplitShare 4.71 % 4.48 % 38,228 4.18 8 -0.1100 % 4,328.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1100 % 3,377.1
Perpetual-Premium 5.35 % -4.46 % 74,166 0.09 18 -0.0587 % 3,235.8
Perpetual-Discount 4.99 % 4.97 % 67,984 15.39 13 0.0537 % 3,702.2
FixedReset Disc 4.88 % 3.73 % 149,330 17.60 56 0.1906 % 2,409.8
Insurance Straight 5.03 % 4.78 % 87,292 15.30 22 -0.0146 % 3,574.7
FloatingReset 2.48 % 0.43 % 27,134 0.09 3 -0.0203 % 1,938.7
FixedReset Prem 5.13 % 3.38 % 191,170 0.97 20 0.2048 % 2,709.3
FixedReset Bank Non 1.93 % 1.60 % 161,094 0.99 2 0.1456 % 2,890.8
FixedReset Ins Non 4.84 % 3.68 % 88,278 17.67 22 0.9880 % 2,517.2
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.85 %
BIP.PR.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.73 %
BMO.PR.Y FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.71 %
TRP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 4.73 %
TD.PF.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 22.06
Evaluated at bid price : 22.60
Bid-YTW : 3.52 %
BMO.PR.F FixedReset Prem 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 23.54
Evaluated at bid price : 25.65
Bid-YTW : 3.87 %
CU.PR.I FixedReset Prem 1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.61 %
MFC.PR.N FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.62 %
GWO.PR.N FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 12.24
Evaluated at bid price : 12.24
Bid-YTW : 3.56 %
TD.PF.K FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 22.31
Evaluated at bid price : 22.75
Bid-YTW : 3.54 %
RY.PR.M FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.53 %
IFC.PR.C FixedReset Ins Non 24.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 3.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 139,884 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 22.84
Evaluated at bid price : 23.14
Bid-YTW : 3.55 %
CM.PR.R FixedReset Disc 134,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 23.65
Evaluated at bid price : 24.80
Bid-YTW : 3.82 %
TD.PF.A FixedReset Disc 117,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 3.39 %
TD.PF.K FixedReset Disc 89,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 22.31
Evaluated at bid price : 22.75
Bid-YTW : 3.54 %
TD.PF.H FixedReset Prem 75,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.63 %
IFC.PR.A FixedReset Ins Non 74,938 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.85 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 25.60 – 26.13
Spot Rate : 0.5300
Average : 0.3719

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : 4.88 %
BMO.PR.Y FixedReset Disc Quote: 21.00 – 21.50
Spot Rate : 0.5000
Average : 0.3485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.71 %
CM.PR.S FixedReset Disc Quote: 21.62 – 21.98
Spot Rate : 0.3600
Average : 0.2485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.50 %
BIP.PR.A FixedReset Disc Quote: 21.25 – 21.75
Spot Rate : 0.5000
Average : 0.3891

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.73 %
IFC.PR.A FixedReset Ins Non Quote: 14.80 – 15.13
Spot Rate : 0.3300
Average : 0.2283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.85 %
BAM.PR.B Floater Quote: 10.07 – 10.45
Spot Rate : 0.3800
Average : 0.2795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-29
Maturity Price : 10.07
Evaluated at bid price : 10.07
Bid-YTW : 4.30 %
Market Action

January 28, 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 -0.5966 % 2,016.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5966 % 3,699.2
Floater 4.29 % 4.32 % 44,500 16.76 3 -0.5966 % 2,131.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0440 % 3,628.4
SplitShare 4.70 % 4.40 % 37,300 4.18 8 -0.0440 % 4,333.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0440 % 3,380.8
Perpetual-Premium 5.35 % -5.98 % 73,459 0.09 18 0.3030 % 3,237.7
Perpetual-Discount 4.99 % 5.03 % 69,255 15.36 13 0.0443 % 3,700.2
FixedReset Disc 4.88 % 3.75 % 148,976 17.52 56 0.0893 % 2,405.2
Insurance Straight 5.03 % 4.81 % 85,696 15.31 22 0.0092 % 3,575.3
FloatingReset 2.48 % 0.42 % 25,122 0.10 3 0.1425 % 1,939.1
FixedReset Prem 5.13 % 3.34 % 190,677 0.97 20 0.0550 % 2,703.8
FixedReset Bank Non 1.93 % 1.93 % 192,908 0.99 2 0.0800 % 2,886.6
FixedReset Ins Non 4.89 % 3.69 % 89,277 17.64 22 -0.9163 % 2,492.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -19.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.83 %
SLF.PR.H FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.62 %
BAM.PR.T FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.58 %
BAM.PR.K Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 9.93
Evaluated at bid price : 9.93
Bid-YTW : 4.36 %
CM.PR.Q FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.69 %
MFC.PR.F FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 3.60 %
TRP.PR.B FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.36 %
CU.PR.H Perpetual-Premium 5.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.P Perpetual-Premium 94,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-26
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -5.83 %
CM.PR.R FixedReset Disc 83,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 23.61
Evaluated at bid price : 24.70
Bid-YTW : 3.84 %
BMO.PR.T FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 3.58 %
NA.PR.W FixedReset Disc 44,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 3.75 %
BMO.PR.Q FixedReset Bank Non 44,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 1.93 %
CM.PR.S FixedReset Disc 36,627 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.50 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.15 – 20.05
Spot Rate : 3.9000
Average : 2.1945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.83 %
BAM.PF.F FixedReset Disc Quote: 18.80 – 19.16
Spot Rate : 0.3600
Average : 0.2155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.61 %
RY.PR.M FixedReset Disc Quote: 21.00 – 21.83
Spot Rate : 0.8300
Average : 0.7160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %
RY.PR.P Perpetual-Premium Quote: 26.35 – 26.67
Spot Rate : 0.3200
Average : 0.2316

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-26
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -5.83 %
MFC.PR.K FixedReset Ins Non Quote: 19.99 – 20.49
Spot Rate : 0.5000
Average : 0.4130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 3.63 %
TD.PF.D FixedReset Disc Quote: 22.31 – 22.80
Spot Rate : 0.4900
Average : 0.4049

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.88
Evaluated at bid price : 22.31
Bid-YTW : 3.57 %
Market Action

January 27, 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 -2.8028 % 2,028.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.8028 % 3,721.4
Floater 4.26 % 4.30 % 44,752 16.80 3 -2.8028 % 2,144.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0659 % 3,629.9
SplitShare 4.70 % 4.44 % 37,745 3.72 8 -0.0659 % 4,334.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0659 % 3,382.3
Perpetual-Premium 5.36 % -8.79 % 71,230 0.09 18 0.2010 % 3,227.9
Perpetual-Discount 4.99 % 5.02 % 69,072 15.38 13 0.0348 % 3,698.5
FixedReset Disc 4.89 % 3.73 % 148,433 17.55 56 -0.4334 % 2,403.1
Insurance Straight 5.03 % 4.80 % 83,328 15.31 22 -0.1408 % 3,574.9
FloatingReset 2.48 % 0.41 % 26,155 0.10 3 -0.0407 % 1,936.4
FixedReset Prem 5.13 % 2.99 % 192,347 0.97 20 -0.0432 % 2,702.3
FixedReset Bank Non 1.93 % 1.81 % 170,036 1.00 2 -0.0600 % 2,884.3
FixedReset Ins Non 4.84 % 3.68 % 90,565 17.66 22 0.0538 % 2,515.6
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -7.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 4.47 %
BAM.PR.B Floater -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %
BAM.PR.K Floater -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.30 %
SLF.PR.G FixedReset Ins Non -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 3.69 %
GWO.PR.N FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.63 %
BNS.PR.I FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 22.41
Evaluated at bid price : 22.95
Bid-YTW : 3.39 %
BAM.PR.C Floater -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.30 %
TRP.PR.A FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.79 %
TD.PF.K FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 3.67 %
MFC.PR.F FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 3.65 %
PWF.PR.P FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.06 %
TRP.PR.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.98 %
NA.PR.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 3.59 %
BMO.PR.Y FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 3.69 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.63 %
BIP.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 24.02
Evaluated at bid price : 24.45
Bid-YTW : 5.15 %
BAM.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.76 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.77 %
CU.PR.F Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.78 %
NA.PR.S FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.72 %
CM.PR.Q FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.55
Evaluated at bid price : 21.85
Bid-YTW : 3.65 %
CM.PR.O FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 3.72 %
SLF.PR.H FixedReset Ins Non 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 3.51 %
IAF.PR.G FixedReset Ins Non 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.86
Evaluated at bid price : 22.38
Bid-YTW : 3.68 %
RY.PR.N Perpetual-Premium 4.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-26
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : -8.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 84,764 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 3.91 %
RY.PR.Z FixedReset Disc 64,461 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.35 %
CM.PR.S FixedReset Disc 60,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.51 %
W.PR.M FixedReset Prem 47,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.73 %
TD.PF.H FixedReset Prem 47,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.66 %
BAM.PF.I FixedReset Prem 42,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.03 %
There were 71 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RS.PR.A SplitShare Quote: 10.30 – 11.69
Spot Rate : 1.3900
Average : 0.7884

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.30
Bid-YTW : 4.68 %
RY.PR.M FixedReset Disc Quote: 21.00 – 21.94
Spot Rate : 0.9400
Average : 0.5910

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %
TRP.PR.G FixedReset Disc Quote: 17.20 – 18.05
Spot Rate : 0.8500
Average : 0.5342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.98 %
BAM.PF.I FixedReset Prem Quote: 25.31 – 26.10
Spot Rate : 0.7900
Average : 0.4779

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.03 %
TD.PF.K FixedReset Disc Quote: 22.05 – 22.90
Spot Rate : 0.8500
Average : 0.5735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 3.67 %
CU.PR.H Perpetual-Premium Quote: 24.40 – 25.94
Spot Rate : 1.5400
Average : 1.2654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 24.08
Evaluated at bid price : 24.40
Bid-YTW : 5.46 %
Market Action

January 26, 2021

I have some urgent matters to take care of and anticipate that the Wednesday and Thursday Market Action reports will not be published until the weekend.

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 0.0322 % 2,086.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0322 % 3,828.7
Floater 4.14 % 4.18 % 43,700 17.05 3 0.0322 % 2,206.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1049 % 3,632.3
SplitShare 4.70 % 4.34 % 37,736 3.72 8 -0.1049 % 4,337.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1049 % 3,384.5
Perpetual-Premium 5.37 % -5.90 % 69,896 0.09 18 -0.5755 % 3,221.5
Perpetual-Discount 5.00 % 4.96 % 71,423 15.40 13 -0.0316 % 3,697.3
FixedReset Disc 4.86 % 3.77 % 142,522 17.53 56 0.0567 % 2,413.5
Insurance Straight 5.02 % 4.83 % 84,000 15.33 22 0.0878 % 3,580.0
FloatingReset 2.48 % -0.00 % 27,231 0.10 3 0.1222 % 1,937.2
FixedReset Prem 5.13 % 3.11 % 189,747 0.97 20 -0.0608 % 2,703.5
FixedReset Bank Non 1.93 % 1.92 % 168,762 1.00 2 0.0000 % 2,886.0
FixedReset Ins Non 4.85 % 3.70 % 91,172 17.67 22 -0.3284 % 2,514.3
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Premium -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
RY.PR.N Perpetual-Premium -5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 24.51
Evaluated at bid price : 25.00
Bid-YTW : 4.88 %
IAF.PR.G FixedReset Ins Non -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.88 %
SLF.PR.H FixedReset Ins Non -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.64 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 4.52 %
MFC.PR.M FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 3.73 %
CU.PR.F Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 23.23
Evaluated at bid price : 23.50
Bid-YTW : 4.85 %
MFC.PR.L FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.70 %
RY.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 22.47
Evaluated at bid price : 23.07
Bid-YTW : 3.29 %
IFC.PR.E Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : 4.87 %
TRP.PR.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.67 %
BAM.PR.R FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 4.53 %
TRP.PR.D FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.57 %
PWF.PR.P FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 3.98 %
TD.PF.K FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 22.17
Evaluated at bid price : 22.55
Bid-YTW : 3.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 175,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 3.91 %
IFC.PR.A FixedReset Ins Non 170,666 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.71 %
TRP.PR.E FixedReset Disc 84,188 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.67 %
RY.PR.P Perpetual-Premium 74,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-26
Maturity Price : 26.00
Evaluated at bid price : 26.50
Bid-YTW : -9.02 %
BMO.PR.T FixedReset Disc 57,444 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 3.59 %
TRP.PR.A FixedReset Disc 56,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 4.68 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.N Perpetual-Premium Quote: 25.00 – 26.49
Spot Rate : 1.4900
Average : 0.9093

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 24.51
Evaluated at bid price : 25.00
Bid-YTW : 4.88 %
CU.PR.H Perpetual-Premium Quote: 24.40 – 25.94
Spot Rate : 1.5400
Average : 0.9643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
IAF.PR.G FixedReset Ins Non Quote: 21.50 – 22.67
Spot Rate : 1.1700
Average : 0.8058

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.88 %
SLF.PR.H FixedReset Ins Non Quote: 18.00 – 18.87
Spot Rate : 0.8700
Average : 0.5288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.64 %
NA.PR.S FixedReset Disc Quote: 20.00 – 20.40
Spot Rate : 0.4000
Average : 0.2561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.77 %
MFC.PR.L FixedReset Ins Non Quote: 19.01 – 19.45
Spot Rate : 0.4400
Average : 0.3346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.70 %
Market Action

January 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 0.6487 % 2,085.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6487 % 3,827.5
Floater 4.15 % 4.18 % 43,642 17.05 3 0.6487 % 2,205.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1612 % 3,636.2
SplitShare 4.69 % 4.39 % 37,984 4.19 8 0.1612 % 4,342.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1612 % 3,388.1
Perpetual-Premium 5.34 % -11.54 % 65,619 0.09 18 0.1369 % 3,240.1
Perpetual-Discount 4.99 % 5.05 % 70,520 15.40 13 -0.0158 % 3,698.4
FixedReset Disc 4.87 % 3.76 % 141,406 17.52 56 0.3092 % 2,412.2
Insurance Straight 5.03 % 4.79 % 82,380 15.37 22 0.1374 % 3,576.8
FloatingReset 2.49 % 0.38 % 27,021 0.10 3 0.0000 % 1,934.8
FixedReset Prem 5.12 % 2.81 % 195,877 0.98 20 0.0525 % 2,705.1
FixedReset Bank Non 1.93 % 1.96 % 169,856 1.00 2 0.0400 % 2,886.0
FixedReset Ins Non 4.83 % 3.68 % 91,445 17.67 22 0.4872 % 2,522.6
Performance Highlights
Issue Index Change Notes
TD.PF.K FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 3.66 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.62 %
IAF.PR.I FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 3.68 %
MFC.PR.G FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.17
Evaluated at bid price : 22.88
Bid-YTW : 3.63 %
TRP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.72 %
BAM.PR.K Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 10.38
Evaluated at bid price : 10.38
Bid-YTW : 4.16 %
PWF.PR.T FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.98 %
BIP.PR.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 4.31 %
RY.PR.M FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 3.49 %
IAF.PR.G FixedReset Ins Non 4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.97
Evaluated at bid price : 22.56
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 151,794 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.64 %
BNS.PR.H FixedReset Prem 126,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.81 %
CU.PR.C FixedReset Disc 98,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 3.89 %
RY.PR.M FixedReset Disc 90,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 3.49 %
BMO.PR.D FixedReset Disc 65,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 23.57
Evaluated at bid price : 24.65
Bid-YTW : 3.68 %
TRP.PR.D FixedReset Disc 63,597 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.64 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.K FixedReset Disc Quote: 22.10 – 22.75
Spot Rate : 0.6500
Average : 0.4131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 3.66 %
TD.PF.J FixedReset Disc Quote: 22.91 – 23.50
Spot Rate : 0.5900
Average : 0.3829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.48
Evaluated at bid price : 22.91
Bid-YTW : 3.57 %
BMO.PR.C FixedReset Disc Quote: 25.04 – 25.38
Spot Rate : 0.3400
Average : 0.1984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 23.81
Evaluated at bid price : 25.04
Bid-YTW : 3.76 %
IFC.PR.C FixedReset Ins Non Quote: 20.17 – 21.00
Spot Rate : 0.8300
Average : 0.6971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 3.86 %
IAF.PR.I FixedReset Ins Non Quote: 22.75 – 23.20
Spot Rate : 0.4500
Average : 0.3177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 3.68 %
SLF.PR.E Insurance Straight Quote: 24.09 – 24.50
Spot Rate : 0.4100
Average : 0.2956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.70 %
Market Action

January 21, 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 1.6545 % 2,065.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6545 % 3,789.2
Floater 4.19 % 4.24 % 44,948 16.94 3 1.6545 % 2,183.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0341 % 3,634.5
SplitShare 4.70 % 4.29 % 37,404 3.73 8 -0.0341 % 4,340.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0341 % 3,386.5
Perpetual-Premium 5.36 % -5.24 % 66,431 0.09 18 -0.3171 % 3,223.2
Perpetual-Discount 5.01 % 5.04 % 67,960 15.42 13 -0.0570 % 3,690.9
FixedReset Disc 4.88 % 3.75 % 146,101 17.52 56 0.3725 % 2,402.0
Insurance Straight 5.03 % 4.81 % 84,095 15.34 22 0.0147 % 3,571.1
FloatingReset 2.48 % 0.35 % 28,016 0.11 3 -0.0204 % 1,928.5
FixedReset Prem 5.12 % 2.77 % 190,286 0.99 20 0.1668 % 2,706.1
FixedReset Bank Non 1.93 % 1.98 % 176,566 1.01 2 0.0000 % 2,884.9
FixedReset Ins Non 4.86 % 3.71 % 90,698 17.61 22 0.0180 % 2,507.2
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.96 %
CU.PR.H Perpetual-Premium -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
BAM.PR.X FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.57 %
CU.PR.F Perpetual-Discount -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.90 %
TRP.PR.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.83 %
CM.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.41
Evaluated at bid price : 25.20
Bid-YTW : 3.85 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.33
Evaluated at bid price : 10.33
Bid-YTW : 4.18 %
GWO.PR.N FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 3.58 %
BNS.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.66
Evaluated at bid price : 23.39
Bid-YTW : 3.31 %
BAM.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.70 %
BIP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.78 %
BAM.PR.C Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.19
Evaluated at bid price : 10.19
Bid-YTW : 4.24 %
BMO.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.89
Evaluated at bid price : 23.77
Bid-YTW : 3.51 %
CM.PR.S FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.59 %
BAM.PF.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.67 %
BIK.PR.A FixedReset Prem 1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.45 %
PWF.PR.T FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.00 %
TRP.PR.C FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.48 %
IFC.PR.G FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 3.95 %
BAM.PR.K Floater 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.24 %
CM.PR.O FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 3.74 %
IAF.PR.G FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.68
Evaluated at bid price : 22.11
Bid-YTW : 3.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 461,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 3.60 %
TD.PF.J FixedReset Disc 242,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.12
Bid-YTW : 3.56 %
CM.PR.Q FixedReset Disc 232,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.75 %
BMO.PR.T FixedReset Disc 132,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 3.62 %
MFC.PR.M FixedReset Ins Non 111,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 3.71 %
BMO.PR.E FixedReset Disc 100,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.89
Evaluated at bid price : 23.77
Bid-YTW : 3.51 %
BNS.PR.Z FixedReset Bank Non 100,235 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 1.79 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 20.60 – 21.78
Spot Rate : 1.1800
Average : 0.6662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.96 %
CU.PR.F Perpetual-Discount Quote: 23.21 – 24.00
Spot Rate : 0.7900
Average : 0.5418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.90 %
POW.PR.G Perpetual-Premium Quote: 25.45 – 26.25
Spot Rate : 0.8000
Average : 0.5803

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-20
Maturity Price : 25.25
Evaluated at bid price : 25.45
Bid-YTW : -2.95 %
CU.PR.H Perpetual-Premium Quote: 24.40 – 25.40
Spot Rate : 1.0000
Average : 0.8329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
BIP.PR.F FixedReset Disc Quote: 24.43 – 24.88
Spot Rate : 0.4500
Average : 0.3005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.17
Evaluated at bid price : 24.43
Bid-YTW : 5.20 %
SLF.PR.J FloatingReset Quote: 11.95 – 12.50
Spot Rate : 0.5500
Average : 0.4474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 3.09 %