Category: Market Action

Market Action

February 9, 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 -2.4565 % 2,108.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.4565 % 3,869.4
Floater 4.10 % 4.10 % 56,280 17.19 3 -2.4565 % 2,230.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0244 % 3,637.7
SplitShare 4.69 % 4.48 % 38,103 3.68 8 0.0244 % 4,344.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0244 % 3,389.5
Perpetual-Premium 5.34 % -4.60 % 70,245 0.09 18 0.1934 % 3,246.3
Perpetual-Discount 4.93 % 4.88 % 77,125 15.44 13 0.2190 % 3,758.6
FixedReset Disc 4.73 % 3.69 % 155,511 17.75 56 0.3702 % 2,480.5
Insurance Straight 4.97 % 4.66 % 90,247 15.33 22 0.0633 % 3,618.9
FloatingReset 3.49 % 2.93 % 23,075 19.87 2 -3.0409 % 1,980.4
FixedReset Prem 5.12 % 2.78 % 212,268 0.94 20 0.0353 % 2,711.1
FixedReset Bank Non 1.80 % 1.65 % 178,168 0.97 1 0.0000 % 2,892.0
FixedReset Ins Non 4.64 % 3.55 % 98,052 17.87 22 0.0129 % 2,627.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
BAM.PR.K Floater -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
IFC.PR.A FixedReset Ins Non -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.66 %
TRP.PR.C FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 4.48 %
BAM.PR.C Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.58
Evaluated at bid price : 10.58
Bid-YTW : 4.09 %
MFC.PR.J FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.33
Evaluated at bid price : 22.62
Bid-YTW : 3.64 %
BAM.PR.B Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.57
Evaluated at bid price : 10.57
Bid-YTW : 4.10 %
CU.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 3.78 %
GWO.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.53 %
TD.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.41 %
BAM.PF.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 24.37
Evaluated at bid price : 24.65
Bid-YTW : 4.97 %
NA.PR.W FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.64 %
BMO.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.42 %
BAM.PR.R FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 3.58 %
RY.PR.H FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 3.30 %
CM.PR.Q FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.80
Evaluated at bid price : 22.20
Bid-YTW : 3.65 %
CU.PR.H Perpetual-Premium 3.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.85
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.53 %
BAM.PF.F FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 251,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.79 %
BAM.PR.K Floater 212,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
TD.PF.G FixedReset Prem 152,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.39 %
IAF.PR.G FixedReset Ins Non 101,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 23.56
Evaluated at bid price : 24.00
Bid-YTW : 3.51 %
NA.PR.W FixedReset Disc 88,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.64 %
BMO.PR.C FixedReset Disc 82,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 23.85
Evaluated at bid price : 25.10
Bid-YTW : 3.76 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 19.45 – 20.99
Spot Rate : 1.5400
Average : 0.8596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset Quote: 12.17 – 13.24
Spot Rate : 1.0700
Average : 0.6606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
MFC.PR.J FixedReset Ins Non Quote: 22.62 – 23.23
Spot Rate : 0.6100
Average : 0.3691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.33
Evaluated at bid price : 22.62
Bid-YTW : 3.64 %
TD.PF.D FixedReset Disc Quote: 23.20 – 24.00
Spot Rate : 0.8000
Average : 0.5780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.42
Evaluated at bid price : 23.20
Bid-YTW : 3.47 %
BAM.PR.K Floater Quote: 10.22 – 10.80
Spot Rate : 0.5800
Average : 0.3712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
EIT.PR.B SplitShare Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7962

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.95 %
Market Action

February 8, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.6756 % 2,161.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6756 % 3,966.9
Floater 4.00 % 4.05 % 51,997 17.30 3 1.6756 % 2,286.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,636.8
SplitShare 4.69 % 4.41 % 36,971 3.68 8 0.0146 % 4,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,388.6
Perpetual-Premium 5.35 % -5.20 % 69,008 0.09 18 -0.2580 % 3,240.0
Perpetual-Discount 4.94 % 4.69 % 77,073 15.39 13 0.1347 % 3,750.4
FixedReset Disc 4.75 % 3.74 % 156,276 17.71 56 -0.2604 % 2,471.4
Insurance Straight 4.97 % 4.63 % 89,064 15.35 22 -0.1536 % 3,616.6
FloatingReset 3.38 % 3.85 % 30,365 17.72 2 0.9445 % 2,042.5
FixedReset Prem 5.12 % 2.76 % 196,544 0.94 20 -0.1665 % 2,710.1
FixedReset Bank Non 1.80 % 1.64 % 185,487 0.97 1 0.0400 % 2,892.0
FixedReset Ins Non 4.64 % 3.57 % 92,325 17.88 22 0.0000 % 2,627.2
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.77 %
SLF.PR.G FixedReset Ins Non -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.66 %
BMO.PR.Y FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %
CU.PR.H Perpetual-Premium -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %
CM.PR.Q FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 3.76 %
BAM.PR.R FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.62 %
RY.PR.H FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.41 %
TD.PF.J FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.97
Evaluated at bid price : 23.73
Bid-YTW : 3.48 %
TD.PF.B FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 3.45 %
SLF.PR.B Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
SLF.PR.A Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 3.72 %
RY.PR.J FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.18
Evaluated at bid price : 22.76
Bid-YTW : 3.50 %
BAM.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.54 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 3.57 %
BAM.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
SLF.PR.J FloatingReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 2.96 %
BAM.PR.C Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.02 %
BAM.PR.B Floater 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.45 %
TRP.PR.G FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.55 %
GWO.PR.N FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Disc 75,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 23.65
Evaluated at bid price : 25.00
Bid-YTW : 3.89 %
SLF.PR.B Insurance Straight 73,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
BAM.PF.G FixedReset Disc 71,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.57 %
TD.PF.G FixedReset Prem 64,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.36 %
RY.PR.R FixedReset Prem 62,585 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
BAM.PF.A FixedReset Disc 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 4.47 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Insurance Straight Quote: 25.28 – 27.30
Spot Rate : 2.0200
Average : 1.1406

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.28 %
EIT.PR.B SplitShare Quote: 25.85 – 26.85
Spot Rate : 1.0000
Average : 0.5728

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.11 %
CU.PR.H Perpetual-Premium Quote: 25.00 – 25.91
Spot Rate : 0.9100
Average : 0.6139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %
BMO.PR.Y FixedReset Disc Quote: 21.50 – 22.22
Spot Rate : 0.7200
Average : 0.4543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %
IFC.PR.E Insurance Straight Quote: 25.72 – 26.35
Spot Rate : 0.6300
Average : 0.3816

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Disc Quote: 12.90 – 13.60
Spot Rate : 0.7000
Average : 0.4562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 4.08 %
Market Action

February 5, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3466 % 2,126.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3466 % 3,901.5
Floater 4.07 % 4.10 % 51,474 17.18 3 -0.3466 % 2,248.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0024 % 3,636.2
SplitShare 4.69 % 4.40 % 37,068 3.69 8 -0.0024 % 4,342.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0024 % 3,388.2
Perpetual-Premium 5.33 % -5.66 % 68,303 0.09 18 -0.0260 % 3,248.4
Perpetual-Discount 4.95 % 4.70 % 77,025 15.37 13 0.2828 % 3,745.3
FixedReset Disc 4.73 % 3.61 % 156,828 17.86 56 0.4830 % 2,477.8
Insurance Straight 4.96 % 4.60 % 89,156 3.90 22 0.0488 % 3,622.2
FloatingReset 3.41 % 3.86 % 31,289 17.70 2 -0.1179 % 2,023.4
FixedReset Prem 5.12 % 3.04 % 193,318 1.03 20 -0.0626 % 2,714.6
FixedReset Bank Non 1.81 % 1.63 % 188,127 0.98 1 -0.0400 % 2,890.8
FixedReset Ins Non 4.64 % 3.48 % 90,415 18.04 22 0.3617 % 2,627.2
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 3.00 %
PWF.PR.P FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.94 %
MFC.PR.I FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 3.52 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 3.53 %
BMO.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.44 %
GWO.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.54 %
TD.PF.A FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.25 %
TRP.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.47 %
CU.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 3.64 %
NA.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.61 %
TD.PF.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 3.32 %
BAM.PF.G FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.50 %
GWO.PR.I Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.62 %
BMO.PR.T FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 3.45 %
BAM.PR.Z FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.50 %
BIP.PR.A FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.77
Evaluated at bid price : 22.15
Bid-YTW : 4.52 %
CM.PR.O FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.56 %
TRP.PR.B FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 3.94 %
BNS.PR.I FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 23.08
Evaluated at bid price : 24.22
Bid-YTW : 3.14 %
BAM.PR.R FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.42 %
TRP.PR.F FloatingReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.86 %
TRP.PR.D FixedReset Disc 4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 113,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 22.45
Evaluated at bid price : 22.77
Bid-YTW : 3.32 %
MFC.PR.H FixedReset Ins Non 107,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 24.51
Evaluated at bid price : 24.86
Bid-YTW : 3.63 %
BMO.PR.B FixedReset Prem 106,718 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 2.53 %
CU.PR.F Perpetual-Discount 94,737 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 23.73
Evaluated at bid price : 23.99
Bid-YTW : 4.68 %
TD.PF.G FixedReset Prem 85,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.27 %
MFC.PR.F FixedReset Ins Non 64,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.46 %
There were 42 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: 21.50 – 23.48
Spot Rate : 1.9800
Average : 1.0874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.33 %
TD.PF.D FixedReset Disc Quote: 23.28 – 24.00
Spot Rate : 0.7200
Average : 0.4384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 22.46
Evaluated at bid price : 23.28
Bid-YTW : 3.39 %
BIP.PR.E FixedReset Disc Quote: 24.30 – 24.88
Spot Rate : 0.5800
Average : 0.3740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 23.27
Evaluated at bid price : 24.30
Bid-YTW : 5.15 %
TRP.PR.B FixedReset Disc Quote: 10.89 – 11.49
Spot Rate : 0.6000
Average : 0.4500

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 3.94 %
SLF.PR.J FloatingReset Quote: 12.40 – 12.98
Spot Rate : 0.5800
Average : 0.4418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 3.00 %
GWO.PR.R Insurance Straight Quote: 24.73 – 25.15
Spot Rate : 0.4200
Average : 0.2923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 24.46
Evaluated at bid price : 24.73
Bid-YTW : 4.90 %
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 %