Category: Market Action

Market Action

January 11, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6003 % 1,915.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6003 % 3,514.2
Floater 4.51 % 4.52 % 48,885 16.41 3 0.6003 % 2,025.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3361 % 3,627.0
SplitShare 4.71 % 4.37 % 39,744 3.76 8 0.3361 % 4,331.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3361 % 3,379.6
Perpetual-Premium 5.35 % -2.79 % 64,285 0.09 18 0.0087 % 3,227.4
Perpetual-Discount 5.00 % 5.05 % 67,364 15.39 13 0.1776 % 3,694.1
FixedReset Disc 4.97 % 3.84 % 133,055 17.46 57 -0.1384 % 2,360.8
Insurance Straight 5.04 % 4.81 % 85,411 15.34 22 -0.0715 % 3,565.9
FloatingReset 2.53 % 0.84 % 30,643 0.14 3 0.5885 % 1,886.3
FixedReset Prem 5.14 % 3.10 % 195,397 1.01 20 -0.0335 % 2,691.1
FixedReset Bank Non 1.94 % 1.83 % 139,950 1.04 2 0.0200 % 2,882.0
FixedReset Ins Non 4.94 % 3.78 % 86,992 17.58 22 -1.3471 % 2,463.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -21.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %
MFC.PR.K FixedReset Ins Non -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.86 %
BMO.PR.Y FixedReset Disc -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.77 %
SLF.PR.H FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.56 %
NA.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.82 %
MFC.PR.N FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 3.73 %
IFC.PR.A FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.74 %
CM.PR.Q FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.78 %
BAM.PF.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %
BAM.PR.Z FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.66 %
CU.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 3.93 %
BAM.PR.B Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.61
Evaluated at bid price : 9.61
Bid-YTW : 4.49 %
BAM.PR.C Floater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.56
Evaluated at bid price : 9.56
Bid-YTW : 4.52 %
CU.PR.F Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 23.83
Evaluated at bid price : 24.10
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 3.27 %
TD.PF.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.42 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.B FixedReset Disc 57,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 4.67 %
BIP.PR.D FixedReset Disc 53,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.09
Evaluated at bid price : 24.50
Bid-YTW : 5.12 %
BAM.PR.Z FixedReset Disc 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.66 %
SLF.PR.B Insurance Straight 36,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.57
Evaluated at bid price : 24.82
Bid-YTW : 4.86 %
SLF.PR.H FixedReset Ins Non 33,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.56 %
BAM.PF.G FixedReset Disc 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %
There were 13 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 – 20.49
Spot Rate : 4.3400
Average : 2.3775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %
BMO.PR.Y FixedReset Disc Quote: 21.00 – 21.78
Spot Rate : 0.7800
Average : 0.5022

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.77 %
NA.PR.E FixedReset Disc Quote: 20.89 – 21.54
Spot Rate : 0.6500
Average : 0.4015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.82 %
BAM.PF.G FixedReset Disc Quote: 17.27 – 17.89
Spot Rate : 0.6200
Average : 0.4175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %
CU.PR.D Perpetual-Discount Quote: 24.90 – 25.50
Spot Rate : 0.6000
Average : 0.4368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.65
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %
NA.PR.W FixedReset Disc Quote: 19.42 – 19.90
Spot Rate : 0.4800
Average : 0.3170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 3.75 %
Market Action

January 8, 2021

And now it’s time for me to prepare PrefLetter!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6039 % 1,903.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6039 % 3,493.2
Floater 4.54 % 4.58 % 48,923 16.30 3 0.6039 % 2,013.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1836 % 3,614.9
SplitShare 4.72 % 4.53 % 39,313 3.77 8 -0.1836 % 4,316.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1836 % 3,368.2
Perpetual-Premium 5.35 % -4.06 % 64,765 0.09 18 -0.0804 % 3,227.1
Perpetual-Discount 5.01 % 5.04 % 68,245 15.39 13 -0.2372 % 3,687.6
FixedReset Disc 4.97 % 3.82 % 134,370 17.46 57 0.4028 % 2,364.1
Insurance Straight 5.04 % 4.79 % 84,241 15.34 22 -0.1630 % 3,568.5
FloatingReset 2.55 % 0.80 % 31,902 0.15 3 -0.4394 % 1,875.3
FixedReset Prem 5.14 % 3.27 % 195,064 1.02 20 0.0729 % 2,692.0
FixedReset Bank Non 1.94 % 1.78 % 144,670 1.05 2 0.0000 % 2,881.4
FixedReset Ins Non 4.88 % 3.78 % 86,752 17.61 22 0.2080 % 2,497.5
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset Ins Non -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %
SLF.PR.J FloatingReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 11.07
Evaluated at bid price : 11.07
Bid-YTW : 3.34 %
TRP.PR.B FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 4.67 %
IFC.PR.E Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : 5.06 %
RS.PR.A SplitShare -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.16
Bid-YTW : 4.94 %
MFC.PR.G FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.71
Evaluated at bid price : 22.15
Bid-YTW : 3.79 %
MFC.PR.C Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 4.70 %
BIP.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.29
Evaluated at bid price : 24.40
Bid-YTW : 5.10 %
BMO.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.62 %
MFC.PR.M FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 3.78 %
BMO.PR.Y FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 3.63 %
BAM.PR.Z FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.71 %
PWF.PR.T FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.07 %
SLF.PR.G FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 12.28
Evaluated at bid price : 12.28
Bid-YTW : 3.78 %
BAM.PF.E FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.76 %
BAM.PF.B FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.71 %
BAM.PF.A FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.64 %
TRP.PR.E FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.88 %
NA.PR.E FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.76 %
IAF.PR.G FixedReset Ins Non 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 3.79 %
BAM.PR.T FixedReset Disc 5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.67 %
GWO.PR.N FixedReset Ins Non 5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 11.93
Evaluated at bid price : 11.93
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.B FixedReset Disc 163,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.71 %
BMO.PR.S FixedReset Disc 114,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.62 %
NA.PR.A FixedReset Prem 100,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.37 %
TRP.PR.K FixedReset Disc 82,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.75
Evaluated at bid price : 24.95
Bid-YTW : 4.90 %
BMO.PR.T FixedReset Disc 72,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 3.65 %
TD.PF.A FixedReset Disc 49,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 3.50 %
There were 18 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: 25.60 – 26.60
Spot Rate : 1.0000
Average : 0.6000

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : 4.89 %
MFC.PR.I FixedReset Ins Non Quote: 22.10 – 22.86
Spot Rate : 0.7600
Average : 0.4970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %
TD.PF.A FixedReset Disc Quote: 20.41 – 20.98
Spot Rate : 0.5700
Average : 0.3511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 3.50 %
MFC.PR.G FixedReset Ins Non Quote: 22.15 – 22.90
Spot Rate : 0.7500
Average : 0.5338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.71
Evaluated at bid price : 22.15
Bid-YTW : 3.79 %
GWO.PR.I Insurance Straight Quote: 23.73 – 24.10
Spot Rate : 0.3700
Average : 0.2386

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.44
Evaluated at bid price : 23.73
Bid-YTW : 4.76 %
MFC.PR.C Insurance Straight Quote: 24.05 – 24.53
Spot Rate : 0.4800
Average : 0.3536

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 4.70 %
Market Action

January 7, 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 -0.2834 % 1,892.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2834 % 3,472.2
Floater 4.57 % 4.60 % 48,629 16.26 3 -0.2834 % 2,001.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,621.5
SplitShare 4.71 % 4.48 % 39,746 3.77 8 0.0392 % 4,324.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,374.4
Perpetual-Premium 5.35 % -6.01 % 64,671 0.09 18 0.2585 % 3,229.7
Perpetual-Discount 5.00 % 5.04 % 68,055 15.41 13 0.3285 % 3,696.3
FixedReset Disc 4.99 % 3.79 % 136,024 17.55 57 -0.0156 % 2,354.6
Insurance Straight 5.03 % 4.72 % 84,269 15.36 22 0.1982 % 3,574.3
FloatingReset 2.52 % 0.78 % 31,736 0.15 3 0.3359 % 1,883.6
FixedReset Prem 5.15 % 2.98 % 198,167 1.03 20 -0.1530 % 2,690.1
FixedReset Bank Non 1.94 % 1.72 % 150,620 1.05 2 -0.0400 % 2,881.4
FixedReset Ins Non 4.89 % 3.68 % 88,047 17.72 22 1.4079 % 2,492.3
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.86 %
GWO.PR.N FixedReset Ins Non -4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.49 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.07 %
CU.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 3.94 %
BAM.PF.I FixedReset Prem -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.52 %
MFC.PR.K FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 3.66 %
SLF.PR.B Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.64
Evaluated at bid price : 24.89
Bid-YTW : 4.84 %
SLF.PR.C Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 23.92
Evaluated at bid price : 24.18
Bid-YTW : 4.62 %
EIT.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.85 %
IAF.PR.I FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.73 %
NA.PR.W FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 3.73 %
BIK.PR.A FixedReset Prem 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 3.63 %
TRP.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.61 %
MFC.PR.I FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 22.52
Evaluated at bid price : 22.89
Bid-YTW : 3.64 %
PWF.PR.P FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.22 %
MFC.PR.F FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 3.66 %
BAM.PR.X FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %
MFC.PR.N FixedReset Ins Non 31.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 3.65 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.D FixedReset Disc 160,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.11
Evaluated at bid price : 24.44
Bid-YTW : 3.73 %
BNS.PR.E FixedReset Prem 124,330 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.44 %
TD.PF.G FixedReset Prem 87,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.94 %
BAM.PF.F FixedReset Disc 67,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.74 %
NA.PR.X FixedReset Prem 66,463 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 1.94 %
IFC.PR.A FixedReset Ins Non 55,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 3.64 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 12.70 – 14.75
Spot Rate : 2.0500
Average : 1.1906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %
SLF.PR.I FixedReset Ins Non Quote: 21.38 – 23.00
Spot Rate : 1.6200
Average : 0.9116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 3.70 %
BIP.PR.C FixedReset Disc Quote: 24.75 – 25.74
Spot Rate : 0.9900
Average : 0.5835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.25
Evaluated at bid price : 24.75
Bid-YTW : 5.42 %
BAM.PR.T FixedReset Disc Quote: 14.25 – 15.17
Spot Rate : 0.9200
Average : 0.5392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.86 %
GWO.PR.N FixedReset Ins Non Quote: 11.26 – 12.20
Spot Rate : 0.9400
Average : 0.5827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 3.81 %
TRP.PR.E FixedReset Disc Quote: 15.05 – 15.70
Spot Rate : 0.6500
Average : 0.4117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.91 %
Market Action

January 6, 2021

Assiduous Readers will recall that in the MAPF December 2021 Performance Report I suggested that:

While one can only rarely point to a single mechanism explaining a change in relative prices and say, with any credibility whatsoever, that A caused B, I have to admit I’m more dubious than usual about this claim. I believe that the continued rally is due to continued interest rate anticipation, which is now (for some investors) considered to be on the way up rather than continuing the downward staggering of the past ten years; this in turn is derived from Central Bank ‘easy money’ policies and very loose government fiscal policies; which is considered to be on the verge of driving inflation upwards.

Who’s right? Well, we’ll know in ten years, at a time when half of the investing world will graciously explain at length how their uncanny ability to read global market forces allowed them to time the market and make enormous profits, while the other half will tell you the question is irrelevant because investing is about the future, not the past. My advice is, as always, to make asset allocation decisions based on the long-term characteristics of each asset class and how these characteristics interact with your long-term portfolio objectives.

So here’s some interest rate anticipation from George Athanassakos:

It’s undoubtedly a contrarian viewpoint for many investors, but based on underlying trends, it’s my belief that higher interest rates are on the way. COVID-19 has only stalled these long-term forces. When the pandemic ends we will see the trend of higher rates to begin to establish itself.
…
Demographic developments are pushing the real interest rate trend higher. Baby boomers have been retiring and have stopped saving; in fact, they are in their “decumulation” years, which reduces the supply of funds.
This happens in the face of increased demand for capital by corporations that need to embed innovation and new technologies into their production processes, as well as by governments that need to borrow to fund structural deficits.

To clear the demand-supply imbalance, the real interest rate trend is pushed up, not unlike what had happened in the late 1970s.

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 0.4269 % 1,897.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4269 % 3,482.1
Floater 4.56 % 4.58 % 46,720 16.30 3 0.4269 % 2,006.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1638 % 3,620.1
SplitShare 4.72 % 4.47 % 39,395 4.24 8 -0.1638 % 4,323.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1638 % 3,373.1
Perpetual-Premium 5.33 % -1.97 % 66,231 0.09 18 0.0043 % 3,221.4
Perpetual-Discount 5.00 % 5.06 % 68,587 15.35 13 0.0095 % 3,684.2
FixedReset Disc 4.98 % 3.79 % 135,462 17.54 57 0.2675 % 2,354.9
Insurance Straight 5.04 % 4.75 % 85,230 15.37 22 0.0992 % 3,567.2
FloatingReset 2.53 % 0.51 % 33,040 0.16 3 0.8256 % 1,877.2
FixedReset Prem 5.13 % 2.67 % 211,651 1.03 20 0.1336 % 2,694.2
FixedReset Bank Non 1.94 % 1.56 % 155,787 0.16 2 -0.0800 % 2,882.6
FixedReset Ins Non 4.96 % 3.71 % 88,388 17.57 22 0.0482 % 2,457.7
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -21.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.86 %
TRP.PR.D FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.90 %
TRP.PR.C FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.67 %
EIT.PR.A SplitShare -1.24 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.25 %
BAM.PR.R FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.60 %
BAM.PR.T FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.62 %
BAM.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.75 %
BAM.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.72 %
NA.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 3.79 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 3.55 %
BIP.PR.F FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 23.02
Evaluated at bid price : 24.09
Bid-YTW : 5.27 %
TD.PF.K FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 22.26
Evaluated at bid price : 22.68
Bid-YTW : 3.58 %
BNS.PR.I FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 21.99
Evaluated at bid price : 22.33
Bid-YTW : 3.46 %
MFC.PR.F FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 3.72 %
TD.PF.J FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 22.75
Evaluated at bid price : 23.36
Bid-YTW : 3.51 %
MFC.PR.H FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 23.25
Evaluated at bid price : 23.75
Bid-YTW : 3.74 %
SLF.PR.G FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 3.75 %
CU.PR.F Perpetual-Discount 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 23.38
Evaluated at bid price : 23.65
Bid-YTW : 4.80 %
MFC.PR.Q FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.71 %
BAM.PF.F FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.73 %
IAF.PR.G FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 3.91 %
IAF.PR.I FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 3.78 %
SLF.PR.J FloatingReset 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.27 %
IFC.PR.G FixedReset Ins Non 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 3.81 %
GWO.PR.N FixedReset Ins Non 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 3.65 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.A FixedReset Disc 157,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 4.82 %
TD.PF.G FixedReset Prem 129,589 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 1.20 %
RY.PR.Q FixedReset Prem 114,632 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 2.19 %
BNS.PR.E FixedReset Prem 83,355 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.61 %
TRP.PR.C FixedReset Disc 61,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.67 %
TRP.PR.B FixedReset Disc 45,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 9.58
Evaluated at bid price : 9.58
Bid-YTW : 4.40 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 15.15 – 19.84
Spot Rate : 4.6900
Average : 2.6682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.86 %
BAM.PF.F FixedReset Disc Quote: 18.14 – 19.59
Spot Rate : 1.4500
Average : 0.8812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.73 %
MFC.PR.M FixedReset Ins Non Quote: 19.69 – 20.69
Spot Rate : 1.0000
Average : 0.6647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 3.78 %
BMO.PR.Y FixedReset Disc Quote: 21.45 – 22.00
Spot Rate : 0.5500
Average : 0.3701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.64 %
PWF.PR.P FixedReset Disc Quote: 11.76 – 12.20
Spot Rate : 0.4400
Average : 0.3114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-06
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 4.30 %
EIT.PR.A SplitShare Quote: 25.50 – 26.10
Spot Rate : 0.6000
Average : 0.4736

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.25 %
Market Action

January 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 0.2496 % 1,889.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2496 % 3,467.3
Floater 4.58 % 4.61 % 46,516 16.24 3 0.2496 % 1,998.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0489 % 3,626.0
SplitShare 4.71 % 4.35 % 38,705 3.77 8 0.0489 % 4,330.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0489 % 3,378.7
Perpetual-Premium 5.33 % -2.69 % 65,831 0.09 18 0.1389 % 3,221.3
Perpetual-Discount 5.00 % 5.06 % 68,252 15.36 13 -0.0885 % 3,683.9
FixedReset Disc 4.99 % 3.83 % 132,738 17.50 57 0.5193 % 2,348.7
Insurance Straight 5.04 % 4.80 % 85,800 15.35 22 0.1969 % 3,563.7
FloatingReset 2.55 % 0.50 % 34,249 0.16 3 0.1272 % 1,861.9
FixedReset Prem 5.13 % 2.98 % 213,574 1.03 20 0.2671 % 2,690.6
FixedReset Bank Non 1.93 % 1.88 % 194,802 1.06 2 0.2607 % 2,884.9
FixedReset Ins Non 4.96 % 3.76 % 89,066 17.47 22 0.7675 % 2,456.5
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.88 %
MFC.PR.H FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.86
Evaluated at bid price : 23.35
Bid-YTW : 3.81 %
SLF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 11.87
Evaluated at bid price : 11.87
Bid-YTW : 3.82 %
NA.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.42
Evaluated at bid price : 22.94
Bid-YTW : 3.66 %
CU.PR.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 3.89 %
BAM.PF.I FixedReset Prem 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.46 %
IFC.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 3.94 %
RY.PR.J FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.96
Evaluated at bid price : 22.43
Bid-YTW : 3.50 %
BAM.PF.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 4.78 %
TD.PF.J FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 3.58 %
MFC.PR.M FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 3.80 %
MFC.PR.N FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 3.76 %
CM.PR.Q FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 3.70 %
SLF.PR.I FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.71 %
BAM.PF.A FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.65 %
TRP.PR.E FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 4.94 %
SLF.PR.H FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.49 %
TRP.PR.B FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 4.38 %
TRP.PR.C FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 10.53
Evaluated at bid price : 10.53
Bid-YTW : 4.59 %
MFC.PR.J FixedReset Ins Non 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.70 %
TRP.PR.D FixedReset Disc 4.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 363,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 2.87 %
TD.PF.L FixedReset Prem 306,472 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.37
Evaluated at bid price : 25.11
Bid-YTW : 3.84 %
BMO.PR.B FixedReset Prem 207,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 2.98 %
CM.PR.R FixedReset Disc 69,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.99
Evaluated at bid price : 24.35
Bid-YTW : 3.91 %
NA.PR.W FixedReset Disc 54,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 3.77 %
MFC.PR.O FixedReset Ins Non 54,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.20 %
There were 16 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: 10.32 – 11.69
Spot Rate : 1.3700
Average : 0.9067

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.32
Bid-YTW : 4.57 %
BAM.PF.J FixedReset Disc Quote: 25.01 – 26.01
Spot Rate : 1.0000
Average : 0.6012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.59
Evaluated at bid price : 25.01
Bid-YTW : 4.69 %
CU.PR.F Perpetual-Discount Quote: 23.21 – 24.07
Spot Rate : 0.8600
Average : 0.5200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.88 %
IAF.PR.B Insurance Straight Quote: 24.01 – 24.79
Spot Rate : 0.7800
Average : 0.6329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 4.80 %
MFC.PR.Q FixedReset Ins Non Quote: 20.95 – 21.50
Spot Rate : 0.5500
Average : 0.4137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 3.79 %
BNS.PR.I FixedReset Disc Quote: 22.03 – 22.41
Spot Rate : 0.3800
Average : 0.2810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-05
Maturity Price : 21.77
Evaluated at bid price : 22.03
Bid-YTW : 3.52 %
Market Action

January 4, 2021

Incidents like this give preferred shares a bad name:

Last summer, 27 individuals from 12 families filed two separate multi-plaintiff court cases against Yujie (Jared) Liu, a financial adviser and portfolio manager with BMO Nesbitt Burns Inc. The group is asking for $50-million in damages for losses they allege they suffered as a result of Mr. Liu’s negligence in managing their investment accounts.
…
Last year, the group of clients filed two lawsuits alleging that during 2017 and half of 2018, Mr. Liu recommended a new investment strategy that would provide “reasonable” investment returns that was “risk-free” to their principle. The groups’ statements of claim say many of them had low-risk investment objectives and chose Mr. Liu because he could speak Mandarin and they were not proficient in English.

The claims say that instead, investors were placed in a high-risk strategy that involved short-selling bonds – particularly Canadian government bonds – to purchase long positions in preferred shares, many of which had rates that were variable or that reset based on interest rate movement. Some clients were advised to begin trading on margin – investing with borrowed money – in order to purchase more preferred shares.

The value of some clients’ investments declined between 50 per cent and 80 per cent, with losses ranging from $600,000 to $16-million, the claims say.

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 -0.2135 % 1,884.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2135 % 3,458.7
Floater 4.59 % 4.61 % 47,047 16.24 3 -0.2135 % 1,993.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1075 % 3,624.3
SplitShare 4.71 % 4.35 % 38,759 3.78 8 -0.1075 % 4,328.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1075 % 3,377.0
Perpetual-Premium 5.34 % -1.38 % 65,806 0.08 18 0.1761 % 3,216.8
Perpetual-Discount 5.00 % 5.06 % 70,449 15.39 13 0.0443 % 3,687.1
FixedReset Disc 5.01 % 3.86 % 134,198 17.33 57 0.0275 % 2,336.5
Insurance Straight 5.05 % 4.83 % 87,057 15.34 22 -0.1250 % 3,556.7
FloatingReset 2.55 % 0.74 % 35,655 0.16 3 0.1372 % 1,859.5
FixedReset Prem 5.14 % 3.02 % 207,792 0.80 20 0.0217 % 2,683.4
FixedReset Bank Non 1.94 % 1.79 % 158,671 1.06 2 -0.2018 % 2,877.4
FixedReset Ins Non 5.00 % 3.81 % 88,834 17.33 22 0.2317 % 2,437.8
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 9.33
Evaluated at bid price : 9.33
Bid-YTW : 4.52 %
BIP.PR.D FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 23.53
Evaluated at bid price : 24.00
Bid-YTW : 5.22 %
TRP.PR.D FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.00 %
CU.PR.C FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.93 %
BAM.PR.C Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 9.36
Evaluated at bid price : 9.36
Bid-YTW : 4.61 %
BAM.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.61 %
MFC.PR.J FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 3.85 %
GWO.PR.N FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 3.81 %
IFC.PR.A FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 3.59 %
NA.PR.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 22.45
Evaluated at bid price : 23.00
Bid-YTW : 3.72 %
SLF.PR.H FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 3.57 %
BAM.PR.K Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 9.33
Evaluated at bid price : 9.33
Bid-YTW : 4.62 %
CM.PR.Q FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 3.77 %
TD.PF.D FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 22.00
Evaluated at bid price : 22.51
Bid-YTW : 3.54 %
MFC.PR.K FixedReset Ins Non 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Disc 118,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 3.91 %
IFC.PR.I Perpetual-Premium 96,082 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.85 %
BMO.PR.C FixedReset Disc 81,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 24.19
Evaluated at bid price : 24.55
Bid-YTW : 3.86 %
RY.PR.J FixedReset Disc 64,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 21.75
Evaluated at bid price : 22.12
Bid-YTW : 3.56 %
MFC.PR.G FixedReset Ins Non 41,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 3.70 %
SLF.PR.G FixedReset Ins Non 28,895 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 3.86 %
There were 11 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: 25.66 – 26.66
Spot Rate : 1.0000
Average : 0.6081

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.66
Bid-YTW : 4.77 %
BAM.PF.D Perpetual-Discount Quote: 24.21 – 25.00
Spot Rate : 0.7900
Average : 0.4935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 23.69
Evaluated at bid price : 24.21
Bid-YTW : 5.06 %
BAM.PF.H FixedReset Prem Quote: 25.35 – 25.98
Spot Rate : 0.6300
Average : 0.3820

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.72 %
IAF.PR.B Insurance Straight Quote: 24.10 – 24.80
Spot Rate : 0.7000
Average : 0.4716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 4.79 %
CU.PR.D Perpetual-Discount Quote: 24.87 – 25.50
Spot Rate : 0.6300
Average : 0.4413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-04
Maturity Price : 24.62
Evaluated at bid price : 24.87
Bid-YTW : 4.97 %
BAM.PF.I FixedReset Prem Quote: 25.10 – 25.56
Spot Rate : 0.4600
Average : 0.2897

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.53 %
Market Action

December 31, 2020

Well, that’s another year wrapped up … what a wild one, from the depths of March to the peaks of December!

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 -0.3741 % 1,888.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3741 % 3,466.1
Floater 4.60 % 4.56 % 76,381 16.31 2 -0.3741 % 1,997.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0913 % 3,628.2
SplitShare 4.78 % 4.33 % 40,030 3.79 9 0.0913 % 4,332.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0913 % 3,380.6
Perpetual-Premium 5.33 % 0.27 % 68,102 0.09 19 0.1343 % 3,211.1
Perpetual-Discount 4.99 % 5.01 % 71,335 15.40 12 0.0549 % 3,685.5
FixedReset Disc 5.01 % 3.87 % 144,284 17.30 56 0.5268 % 2,335.9
Insurance Straight 5.05 % 4.81 % 88,002 15.40 22 0.1694 % 3,561.1
FloatingReset 1.90 % 1.89 % 35,413 1.07 3 0.1637 % 1,857.0
FixedReset Prem 5.15 % 3.10 % 209,365 0.81 22 0.1092 % 2,682.8
FixedReset Bank Non 1.93 % 1.79 % 165,198 1.07 2 0.0599 % 2,883.2
FixedReset Ins Non 5.01 % 3.85 % 91,366 17.33 22 1.2552 % 2,432.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 9.21
Evaluated at bid price : 9.21
Bid-YTW : 4.66 %
MFC.PR.F FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.85 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 3.88 %
MFC.PR.L FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 3.86 %
BAM.PR.X FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.50 %
IFC.PR.A FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 3.68 %
BAM.PF.G FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.86 %
RY.PR.H FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.39 %
SLF.PR.H FixedReset Ins Non 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 3.66 %
MFC.PR.G FixedReset Ins Non 6.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.87
Evaluated at bid price : 22.38
Bid-YTW : 3.72 %
IAF.PR.G FixedReset Ins Non 8.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.03 %
TRP.PR.D FixedReset Disc 12.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.E Perpetual-Discount 37,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.97 %
BNS.PR.G FixedReset Prem 27,525 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 2.76 %
GWO.PR.L Insurance Straight 24,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -10.07 %
MFC.PR.G FixedReset Ins Non 17,832 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.87
Evaluated at bid price : 22.38
Bid-YTW : 3.72 %
CM.PR.S FixedReset Disc 17,552 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 3.72 %
RY.PR.P Perpetual-Premium 16,921 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-24
Maturity Price : 26.00
Evaluated at bid price : 26.32
Bid-YTW : 0.27 %
There were 5 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: 10.32 – 11.68
Spot Rate : 1.3600
Average : 0.7483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.32
Bid-YTW : 4.56 %
TD.PF.D FixedReset Disc Quote: 22.11 – 23.50
Spot Rate : 1.3900
Average : 0.9505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.73
Evaluated at bid price : 22.11
Bid-YTW : 3.64 %
POW.PR.G Perpetual-Premium Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.5672

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.31 %
RY.PR.M FixedReset Disc Quote: 21.28 – 25.50
Spot Rate : 4.2200
Average : 3.8490

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.60 %
BAM.PF.B FixedReset Disc Quote: 17.13 – 18.24
Spot Rate : 1.1100
Average : 0.8119

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 4.84 %
IFC.PR.C FixedReset Ins Non Quote: 20.35 – 21.00
Spot Rate : 0.6500
Average : 0.4836

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 3.81 %
Market Action

December 30, 2020

PerpetualDiscounts now yield 5.05%, equivalent to 6.56% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 370bp from the 375bp reported December 16.

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 0.2680 % 1,896.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2680 % 3,479.1
Floater 4.58 % 4.57 % 77,058 16.27 2 0.2680 % 2,005.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0462 % 3,624.9
SplitShare 4.78 % 4.33 % 41,667 3.79 9 -0.0462 % 4,328.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0462 % 3,377.6
Perpetual-Premium 5.34 % 0.51 % 70,904 0.09 19 0.0503 % 3,206.8
Perpetual-Discount 5.00 % 5.05 % 73,922 15.39 12 0.3514 % 3,683.5
FixedReset Disc 5.03 % 3.88 % 144,178 17.32 56 0.1481 % 2,323.6
Insurance Straight 5.06 % 4.84 % 88,571 15.35 22 0.1032 % 3,555.1
FloatingReset 1.90 % 2.11 % 36,869 1.07 3 0.0327 % 1,853.9
FixedReset Prem 5.16 % 3.15 % 212,199 0.78 22 0.0274 % 2,679.9
FixedReset Bank Non 1.93 % 1.82 % 166,555 1.07 2 0.0000 % 2,881.5
FixedReset Ins Non 5.10 % 3.89 % 87,652 17.20 22 0.1010 % 2,402.0
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -9.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.62 %
IAF.PR.G FixedReset Ins Non -6.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.35 %
SLF.PR.H FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.78 %
RY.PR.H FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.49 %
CM.PR.Q FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.89 %
BAM.PR.R FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.65 %
CU.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 23.30
Evaluated at bid price : 23.77
Bid-YTW : 4.75 %
TRP.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.79 %
IFC.PR.A FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 3.74 %
TRP.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.05 %
NA.PR.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 22.23
Evaluated at bid price : 22.65
Bid-YTW : 3.82 %
BAM.PF.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.97 %
BAM.PF.B FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.89 %
MFC.PR.M FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.91 %
TRP.PR.A FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.94 %
IFC.PR.C FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.84 %
BAM.PR.T FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.74 %
MFC.PR.H FixedReset Ins Non 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 22.90
Evaluated at bid price : 23.39
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 124,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.64
Evaluated at bid price : 21.97
Bid-YTW : 3.61 %
TD.PF.A FixedReset Disc 44,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 3.48 %
TD.PF.G FixedReset Prem 30,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 2.34 %
TRP.PR.E FixedReset Disc 24,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.05 %
RY.PR.H FixedReset Disc 18,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.49 %
BMO.PR.D FixedReset Disc 17,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 23.84
Evaluated at bid price : 24.20
Bid-YTW : 3.79 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 21.28 – 25.50
Spot Rate : 4.2200
Average : 3.4422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.60 %
TRP.PR.D FixedReset Disc Quote: 13.41 – 15.30
Spot Rate : 1.8900
Average : 1.1581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.62 %
IAF.PR.I FixedReset Ins Non Quote: 21.10 – 22.85
Spot Rate : 1.7500
Average : 1.0542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.00 %
IAF.PR.G FixedReset Ins Non Quote: 19.10 – 20.79
Spot Rate : 1.6900
Average : 1.2533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.35 %
TRP.PR.A FixedReset Disc Quote: 13.20 – 13.95
Spot Rate : 0.7500
Average : 0.4493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.94 %
MFC.PR.L FixedReset Ins Non Quote: 17.90 – 18.75
Spot Rate : 0.8500
Average : 0.5911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.92 %
Market Action

December 29, 2020

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 1.0834 % 1,890.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0834 % 3,469.8
Floater 4.60 % 4.60 % 77,972 16.23 2 1.0834 % 1,999.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1740 % 3,626.5
SplitShare 4.78 % 4.33 % 43,268 3.80 9 0.1740 % 4,330.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1740 % 3,379.1
Perpetual-Premium 5.34 % 0.84 % 72,044 0.09 19 0.1448 % 3,205.2
Perpetual-Discount 5.01 % 5.05 % 76,702 15.37 12 0.1068 % 3,670.6
FixedReset Disc 5.04 % 3.89 % 144,648 17.30 56 0.2235 % 2,320.2
Insurance Straight 5.06 % 4.85 % 92,006 15.40 22 -0.0037 % 3,551.4
FloatingReset 1.90 % 2.11 % 38,384 1.08 3 0.0164 % 1,853.3
FixedReset Prem 5.15 % 3.49 % 214,252 0.77 22 0.0054 % 2,679.2
FixedReset Bank Non 1.93 % 1.82 % 173,199 1.07 2 0.0000 % 2,881.5
FixedReset Ins Non 5.10 % 3.92 % 86,840 17.23 22 0.3583 % 2,399.6
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.04 %
MFC.PR.G FixedReset Ins Non -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.02 %
MFC.PR.H FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 3.97 %
SLF.PR.I FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.84 %
BAM.PF.B FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 4.96 %
BAM.PR.T FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.85 %
MFC.PR.F FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 3.96 %
IFC.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.11 %
EIT.PR.A SplitShare -1.24 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.18 %
TD.PF.K FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.80
Evaluated at bid price : 22.05
Bid-YTW : 3.73 %
TRP.PR.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 10.28
Evaluated at bid price : 10.28
Bid-YTW : 4.85 %
BAM.PF.D Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.72
Evaluated at bid price : 24.25
Bid-YTW : 5.05 %
BAM.PF.J FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.55
Evaluated at bid price : 24.90
Bid-YTW : 4.71 %
BAM.PF.C Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.49
Evaluated at bid price : 23.92
Bid-YTW : 5.07 %
BAM.PR.Z FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.88 %
MFC.PR.K FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 3.89 %
BAM.PR.X FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 4.69 %
BAM.PF.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.81 %
MFC.PR.C Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.69
Evaluated at bid price : 23.99
Bid-YTW : 4.71 %
SLF.PR.H FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.67 %
RY.PR.M FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.58 %
TRP.PR.D FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.08 %
MFC.PR.L FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.92 %
TRP.PR.A FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.02 %
BAM.PR.K Floater 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 9.32
Evaluated at bid price : 9.32
Bid-YTW : 4.61 %
CU.PR.F Perpetual-Discount 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.34
Evaluated at bid price : 23.61
Bid-YTW : 4.80 %
RY.PR.Z FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 3.41 %
MFC.PR.M FixedReset Ins Non 6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.97 %
IAF.PR.G FixedReset Ins Non 6.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.06 %
TD.PF.D FixedReset Disc 9.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 3.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 205,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 4.41 %
BIP.PR.A FixedReset Disc 73,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.23 %
TRP.PR.K FixedReset Disc 70,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.70
Evaluated at bid price : 24.85
Bid-YTW : 4.91 %
BNS.PR.H FixedReset Prem 65,560 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 3.49 %
CM.PR.Y FixedReset Prem 55,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.40
Evaluated at bid price : 25.31
Bid-YTW : 4.07 %
TRP.PR.D FixedReset Disc 34,662 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.08 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 21.35 – 25.50
Spot Rate : 4.1500
Average : 2.5894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.58 %
NA.PR.W FixedReset Disc Quote: 18.95 – 20.44
Spot Rate : 1.4900
Average : 0.8808

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.89 %
MFC.PR.G FixedReset Ins Non Quote: 20.95 – 22.34
Spot Rate : 1.3900
Average : 0.9907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.02 %
RY.PR.J FixedReset Disc Quote: 21.91 – 22.65
Spot Rate : 0.7400
Average : 0.4987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.60
Evaluated at bid price : 21.91
Bid-YTW : 3.62 %
BAM.PF.G FixedReset Disc Quote: 16.26 – 16.80
Spot Rate : 0.5400
Average : 0.3138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.04 %
BAM.PF.E FixedReset Disc Quote: 15.80 – 16.60
Spot Rate : 0.8000
Average : 0.5837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.95 %
Market Action

December 24, 2020

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 0.5447 % 1,870.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5447 % 3,432.6
Floater 4.65 % 4.60 % 74,996 16.23 2 0.5447 % 1,978.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3316 % 3,620.2
SplitShare 4.78 % 4.48 % 42,035 3.81 9 -0.3316 % 4,323.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3316 % 3,373.2
Perpetual-Premium 5.35 % 1.01 % 72,842 0.08 19 -0.0971 % 3,200.6
Perpetual-Discount 5.01 % 5.04 % 76,902 15.44 12 -0.1067 % 3,666.7
FixedReset Disc 5.05 % 3.92 % 142,266 17.30 56 -0.4459 % 2,315.0
Insurance Straight 5.06 % 4.83 % 85,186 15.37 22 0.0738 % 3,551.6
FloatingReset 1.93 % 1.80 % 39,960 1.09 3 0.0819 % 1,853.0
FixedReset Prem 5.15 % 3.01 % 217,665 0.78 22 0.0773 % 2,679.0
FixedReset Bank Non 1.93 % 1.82 % 178,987 1.09 2 0.0400 % 2,881.5
FixedReset Ins Non 5.12 % 3.92 % 85,853 17.15 22 -1.4472 % 2,391.0
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -9.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
IAF.PR.G FixedReset Ins Non -7.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.37 %
MFC.PR.M FixedReset Ins Non -6.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.25 %
RY.PR.Z FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 3.53 %
SLF.PR.H FixedReset Ins Non -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
MFC.PR.G FixedReset Ins Non -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.89 %
CU.PR.F Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 22.73
Evaluated at bid price : 23.00
Bid-YTW : 4.92 %
RY.PR.M FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 3.94 %
MFC.PR.H FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 22.54
Evaluated at bid price : 23.00
Bid-YTW : 3.91 %
BAM.PR.Z FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.95 %
MFC.PR.I FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 3.84 %
MFC.PR.Q FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 3.92 %
MFC.PR.N FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.89 %
MFC.PR.L FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 4.01 %
IFC.PR.C FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.95 %
BMO.PR.Y FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.76 %
CM.PR.P FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.71 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.15 %
PVS.PR.E SplitShare -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.50 %
BAM.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.79 %
BAM.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.89 %
TD.PF.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 3.52 %
BMO.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.64 %
BIP.PR.D FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 23.64
Evaluated at bid price : 24.10
Bid-YTW : 5.19 %
BMO.PR.S FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 3.63 %
BAM.PF.C Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 23.41
Evaluated at bid price : 23.67
Bid-YTW : 5.13 %
TRP.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.20 %
TRP.PR.D FixedReset Disc 8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset Bank Non 51,509 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.92 %
TD.PF.B FixedReset Disc 21,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 3.59 %
CM.PR.P FixedReset Disc 20,407 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.71 %
BNS.PR.Z FixedReset Bank Non 15,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.82 %
NA.PR.E FixedReset Disc 14,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.93 %
NA.PR.X FixedReset Prem 14,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.98 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 17.50 – 19.00
Spot Rate : 1.5000
Average : 0.8328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
TD.PF.D FixedReset Disc Quote: 20.15 – 22.10
Spot Rate : 1.9500
Average : 1.2865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
MFC.PR.M FixedReset Ins Non Quote: 17.77 – 19.27
Spot Rate : 1.5000
Average : 0.9774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.25 %
CU.PR.C FixedReset Disc Quote: 18.40 – 20.22
Spot Rate : 1.8200
Average : 1.3565

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.95 %
IAF.PR.G FixedReset Ins Non Quote: 19.12 – 20.70
Spot Rate : 1.5800
Average : 1.2398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.37 %
IFC.PR.E Insurance Straight Quote: 25.45 – 26.30
Spot Rate : 0.8500
Average : 0.5332

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.45
Bid-YTW : 4.96 %