Category: Market Action

Market Action

March 15, 2021

I could have sworn I posted this last night … but the day after PrefLetter goes out is always a little incoherent!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1180 % 2,338.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1180 % 4,290.8
Floater 3.74 % 3.74 % 59,671 18.00 3 1.1180 % 2,472.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3169 % 3,683.2
SplitShare 4.76 % 3.98 % 40,031 3.63 9 0.3169 % 4,398.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3169 % 3,431.9
Perpetual-Premium 5.31 % 0.28 % 75,786 0.09 21 0.1982 % 3,244.9
Perpetual-Discount 4.96 % 4.99 % 79,662 15.49 13 0.0414 % 3,737.1
FixedReset Disc 4.38 % 3.92 % 185,594 17.11 52 0.0549 % 2,649.8
Insurance Straight 5.01 % 4.62 % 84,769 15.47 22 0.0621 % 3,631.2
FloatingReset 2.95 % 3.23 % 43,050 19.16 2 0.4679 % 2,421.3
FixedReset Prem 5.08 % 3.87 % 227,465 1.02 26 -0.0753 % 2,722.5
FixedReset Bank Non 1.80 % 2.04 % 218,951 0.44 1 0.0400 % 2,892.0
FixedReset Ins Non 4.39 % 3.82 % 146,082 17.48 22 0.4100 % 2,803.2
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
TRP.PR.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 4.50 %
BAM.PF.G FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.61 %
TRP.PR.B FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 12.34
Evaluated at bid price : 12.34
Bid-YTW : 4.40 %
BAM.PR.B Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 3.72 %
MFC.PR.J FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.45
Evaluated at bid price : 23.78
Bid-YTW : 3.92 %
MFC.PR.F FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 3.63 %
CIU.PR.A Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.66
Evaluated at bid price : 23.93
Bid-YTW : 4.83 %
BIP.PR.A FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 21.89
Evaluated at bid price : 22.32
Bid-YTW : 4.96 %
IFC.PR.C FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.39
Evaluated at bid price : 23.25
Bid-YTW : 3.89 %
BIP.PR.E FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.91 %
IFC.PR.A FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.81 %
RS.PR.A SplitShare 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.50
Bid-YTW : 4.36 %
IFC.PR.G FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.66
Evaluated at bid price : 23.20
Bid-YTW : 3.98 %
BAM.PR.K Floater 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 3.66 %
TRP.PR.C FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset Prem 256,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.30 %
SLF.PR.B Insurance Straight 115,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.85 %
CM.PR.R FixedReset Disc 98,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.04 %
PWF.PR.P FixedReset Disc 86,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.03 %
RY.PR.Q FixedReset Prem 39,790 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.76 %
SLF.PR.A Insurance Straight 35,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 4.78 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.E Perpetual-Premium Quote: 25.48 – 27.30
Spot Rate : 1.8200
Average : 1.0316

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : -9.78 %
BAM.PR.T FixedReset Disc Quote: 18.25 – 19.15
Spot Rate : 0.9000
Average : 0.5559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.58 %
BAM.PR.Z FixedReset Disc Quote: 22.50 – 23.11
Spot Rate : 0.6100
Average : 0.4398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
IFC.PR.A FixedReset Ins Non Quote: 18.40 – 18.95
Spot Rate : 0.5500
Average : 0.4057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.81 %
TRP.PR.A FixedReset Disc Quote: 16.99 – 17.30
Spot Rate : 0.3100
Average : 0.2008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 4.50 %
BAM.PF.G FixedReset Disc Quote: 20.25 – 20.70
Spot Rate : 0.4500
Average : 0.3514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.61 %
Market Action

March 12, 2021

… and now it’s time for PrefLetter!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.4786 % 2,312.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4786 % 4,243.3
Floater 3.78 % 3.76 % 59,874 17.97 3 1.4786 % 2,445.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0912 % 3,671.5
SplitShare 4.77 % 4.01 % 37,054 3.64 9 0.0912 % 4,384.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0912 % 3,421.0
Perpetual-Premium 5.32 % 1.66 % 75,405 0.09 21 -0.0957 % 3,238.5
Perpetual-Discount 4.97 % 4.97 % 80,727 15.49 13 0.0803 % 3,735.5
FixedReset Disc 4.38 % 3.90 % 187,139 17.12 52 0.4390 % 2,648.4
Insurance Straight 5.02 % 4.64 % 85,689 15.45 22 -0.0590 % 3,629.0
FloatingReset 2.97 % 3.26 % 43,225 19.11 2 0.3353 % 2,410.0
FixedReset Prem 5.07 % 3.81 % 229,979 1.03 26 0.1533 % 2,724.6
FixedReset Bank Non 1.81 % 2.09 % 220,356 0.45 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.85 % 147,199 17.41 22 0.2361 % 2,791.8
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.58 %
TD.PF.M FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.52
Evaluated at bid price : 25.61
Bid-YTW : 4.49 %
CU.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.81
Evaluated at bid price : 23.20
Bid-YTW : 4.86 %
BNS.PR.I FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.28
Evaluated at bid price : 24.67
Bid-YTW : 3.64 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 3.75 %
IFC.PR.A FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.87 %
BAM.PF.J FixedReset Prem 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.53 %
TRP.PR.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 4.35 %
TRP.PR.F FloatingReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 3.26 %
BAM.PF.H FixedReset Prem 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.03 %
MFC.PR.K FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.19
Evaluated at bid price : 22.53
Bid-YTW : 3.74 %
BAM.PR.B Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.75 %
BAM.PR.T FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.58 %
BAM.PF.F FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.78
Evaluated at bid price : 22.09
Bid-YTW : 4.41 %
TRP.PR.A FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.44 %
BAM.PR.C Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 3.76 %
BAM.PR.K Floater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.82 %
NA.PR.S FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.64
Evaluated at bid price : 23.38
Bid-YTW : 3.73 %
BAM.PR.Z FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.44
Evaluated at bid price : 22.78
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.62 %
SLF.PR.G FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.82 %
BIP.PR.E FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.42
Evaluated at bid price : 24.60
Bid-YTW : 5.02 %
BAM.PF.B FixedReset Disc 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 726,803 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.95 %
CU.PR.C FixedReset Disc 154,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 4.17 %
BAM.PF.H FixedReset Prem 75,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.03 %
MFC.PR.K FixedReset Ins Non 65,479 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.19
Evaluated at bid price : 22.53
Bid-YTW : 3.74 %
BNS.PR.H FixedReset Prem 61,963 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 1.85 %
IAF.PR.G FixedReset Ins Non 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 24.10
Evaluated at bid price : 24.49
Bid-YTW : 3.92 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.20 – 15.88
Spot Rate : 4.6800
Average : 2.5418

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

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

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

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

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

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

March 11, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6233 % 2,278.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6233 % 4,181.5
Floater 3.79 % 3.82 % 57,221 17.71 3 0.6233 % 2,409.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1540 % 3,668.2
SplitShare 4.78 % 4.01 % 36,810 3.64 9 -0.1540 % 4,380.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1540 % 3,417.9
Perpetual-Premium 5.32 % -0.44 % 75,802 0.10 21 0.2771 % 3,241.6
Perpetual-Discount 4.95 % 5.00 % 80,724 15.45 13 0.2703 % 3,732.5
FixedReset Disc 4.39 % 3.82 % 188,014 17.34 52 0.5291 % 2,636.8
Insurance Straight 5.01 % 4.62 % 81,256 15.47 22 0.1900 % 3,631.1
FloatingReset 2.98 % 3.30 % 39,779 19.02 2 0.6752 % 2,402.0
FixedReset Prem 5.07 % 3.80 % 237,567 1.01 26 0.0332 % 2,720.4
FixedReset Bank Non 1.81 % 2.08 % 220,610 0.45 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.77 % 147,034 17.60 22 0.3524 % 2,785.2
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.76 %
PVS.PR.H SplitShare -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.56 %
BMO.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 3.82 %
SLF.PR.I FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.18
Evaluated at bid price : 23.80
Bid-YTW : 3.80 %
IAF.PR.B Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.62 %
BAM.PF.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.56 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.54
Evaluated at bid price : 23.07
Bid-YTW : 4.37 %
BAM.PR.X FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.38 %
BAM.PR.R FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.59 %
NA.PR.W FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 3.56 %
CU.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.00
Evaluated at bid price : 23.45
Bid-YTW : 4.80 %
PWF.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 3.93 %
IAF.PR.G FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.94
Evaluated at bid price : 24.35
Bid-YTW : 3.85 %
BAM.PR.Z FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.34
Evaluated at bid price : 22.67
Bid-YTW : 4.42 %
BMO.PR.W FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.05
Evaluated at bid price : 22.50
Bid-YTW : 3.62 %
BAM.PR.T FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.60
Evaluated at bid price : 23.54
Bid-YTW : 3.67 %
PWF.PR.P FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.89 %
TRP.PR.G FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.44 %
IFC.PR.C FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 3.89 %
TRP.PR.C FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 4.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 277,815 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.34 %
BMO.PR.C FixedReset Prem 265,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.86
Evaluated at bid price : 25.06
Bid-YTW : 4.21 %
EML.PR.A FixedReset Ins Non 243,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.52 %
TD.PF.G FixedReset Prem 164,371 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 1.49 %
RY.PR.Q FixedReset Prem 103,109 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.67 %
SLF.PR.A Insurance Straight 102,319 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.78 %
GWO.PR.N FixedReset Ins Non 102,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.50 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.7121

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

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

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

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

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

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

March 10, 2021

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2679 % 2,264.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2679 % 4,155.6
Floater 3.82 % 3.86 % 55,312 17.64 3 0.2679 % 2,394.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1343 % 3,673.9
SplitShare 4.77 % 4.03 % 36,816 3.64 9 -0.1343 % 4,387.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1343 % 3,423.2
Perpetual-Premium 5.33 % 4.19 % 74,997 0.10 21 0.0731 % 3,232.6
Perpetual-Discount 4.96 % 5.01 % 81,953 15.45 13 0.0764 % 3,722.5
FixedReset Disc 4.42 % 3.82 % 188,998 17.32 52 -0.3198 % 2,622.9
Insurance Straight 5.02 % 4.63 % 79,517 15.47 22 -0.0803 % 3,624.2
FloatingReset 3.00 % 3.32 % 39,126 18.97 2 0.7483 % 2,385.9
FixedReset Prem 5.07 % 3.71 % 239,231 1.02 26 0.0664 % 2,719.5
FixedReset Bank Non 1.81 % 2.06 % 222,986 0.46 1 0.0400 % 2,890.8
FixedReset Ins Non 4.43 % 3.78 % 138,566 17.55 22 0.1251 % 2,775.4
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -6.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.74 %
BIP.PR.E FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.48
Evaluated at bid price : 23.80
Bid-YTW : 5.25 %
TRP.PR.G FixedReset Disc -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.55 %
IFC.PR.C FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.89
Evaluated at bid price : 22.40
Bid-YTW : 4.01 %
PWF.PR.P FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.99 %
BAM.PF.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.61 %
TRP.PR.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.40 %
BMO.PR.Y FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.78 %
BAM.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.64 %
SLF.PR.E Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 4.63 %
BAM.PR.Z FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.48 %
BAM.PF.C Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.10
Evaluated at bid price : 24.36
Bid-YTW : 5.05 %
IFC.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.55
Evaluated at bid price : 23.03
Bid-YTW : 3.99 %
CU.PR.F Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.82
Evaluated at bid price : 23.20
Bid-YTW : 4.86 %
SLF.PR.J FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 2.63 %
MFC.PR.Q FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.89
Evaluated at bid price : 23.60
Bid-YTW : 3.78 %
MFC.PR.F FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.56 %
SLF.PR.G FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.69 %
BAM.PF.B FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.46 %
TRP.PR.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.42 %
BAM.PF.A FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.37
Evaluated at bid price : 22.80
Bid-YTW : 4.43 %
GWO.PR.N FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset Prem 289,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.04 %
CU.PR.C FixedReset Disc 183,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.06 %
SLF.PR.A Insurance Straight 145,757 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.78 %
IAF.PR.G FixedReset Ins Non 90,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 3.90 %
CM.PR.R FixedReset Disc 87,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.79
Evaluated at bid price : 25.05
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 76,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.34 %
There were 59 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 19.25 – 20.80
Spot Rate : 1.5500
Average : 0.8663

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

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

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

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

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

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

March 9, 2021

Sorry this is late!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2671 % 2,258.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2671 % 4,144.5
Floater 3.83 % 3.88 % 53,631 17.60 3 -0.2671 % 2,388.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,678.8
SplitShare 4.77 % 4.00 % 34,081 3.65 9 -0.0238 % 4,393.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,427.8
Perpetual-Premium 5.33 % -0.62 % 74,209 0.10 21 0.0356 % 3,230.3
Perpetual-Discount 4.97 % 5.00 % 82,760 15.45 13 -0.0986 % 3,719.6
FixedReset Disc 4.40 % 3.82 % 180,421 17.29 52 0.6144 % 2,631.3
Insurance Straight 5.01 % 4.59 % 79,889 4.00 22 0.2268 % 3,627.2
FloatingReset 3.02 % 3.33 % 39,088 18.94 2 1.0309 % 2,368.2
FixedReset Prem 5.08 % 3.63 % 236,274 1.02 26 0.0800 % 2,717.7
FixedReset Bank Non 1.81 % 2.12 % 225,756 0.89 1 0.0400 % 2,889.7
FixedReset Ins Non 4.43 % 3.77 % 137,287 17.52 22 0.2612 % 2,772.0
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.40 %
IAF.PR.I FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.40
Evaluated at bid price : 24.56
Bid-YTW : 3.77 %
BAM.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.41 %
BAM.PR.R FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.62 %
BMO.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.95 %
BAM.PR.Z FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.26
Evaluated at bid price : 22.59
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.00
Evaluated at bid price : 23.30
Bid-YTW : 3.86 %
TD.PF.C FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.14
Evaluated at bid price : 22.66
Bid-YTW : 3.64 %
BAM.PR.T FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 4.57 %
IFC.PR.C FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.18
Evaluated at bid price : 22.88
Bid-YTW : 3.91 %
BAM.PF.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.53 %
TRP.PR.F FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.33 %
TRP.PR.C FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.32 %
PWF.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.91 %
BAM.PF.F FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.66
Evaluated at bid price : 21.93
Bid-YTW : 4.42 %
TRP.PR.G FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 4.42 %
TRP.PR.D FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 528,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.32 %
BNS.PR.H FixedReset Prem 317,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 2.42 %
BNS.PR.E FixedReset Prem 171,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 1.58 %
MFC.PR.I FixedReset Ins Non 136,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.93
Evaluated at bid price : 24.30
Bid-YTW : 3.92 %
IAF.PR.I FixedReset Ins Non 133,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.40
Evaluated at bid price : 24.56
Bid-YTW : 3.77 %
MFC.PR.H FixedReset Ins Non 129,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 24.35
Evaluated at bid price : 24.75
Bid-YTW : 4.09 %
CM.PR.R FixedReset Disc 129,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.81
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
TD.PF.A FixedReset Disc 118,877 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.17
Evaluated at bid price : 22.67
Bid-YTW : 3.58 %
SLF.PR.I FixedReset Ins Non 111,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.90
Evaluated at bid price : 23.52
Bid-YTW : 3.84 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.73 – 26.73
Spot Rate : 1.0000
Average : 0.5946

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

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

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

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

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

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

March 8, 2021

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

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

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

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

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

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

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

March 5, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 6.5421 % 2,222.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 6.5421 % 4,077.9
Floater 3.89 % 3.88 % 52,216 17.60 3 6.5421 % 2,350.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0803 % 3,668.5
SplitShare 4.78 % 4.13 % 33,251 3.66 9 -0.0803 % 4,381.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0803 % 3,418.2
Perpetual-Premium 5.34 % 4.57 % 73,142 0.15 21 -0.2450 % 3,227.4
Perpetual-Discount 4.96 % 5.01 % 82,896 15.44 13 -0.3738 % 3,722.6
FixedReset Disc 4.45 % 3.79 % 182,173 17.46 52 -0.2605 % 2,604.3
Insurance Straight 5.02 % 4.65 % 80,551 4.58 22 0.0037 % 3,621.7
FloatingReset 3.06 % 3.38 % 36,674 18.83 2 0.5521 % 2,347.2
FixedReset Prem 5.08 % 3.76 % 240,392 1.18 26 0.6122 % 2,715.1
FixedReset Bank Non 1.81 % 2.08 % 230,661 0.90 1 0.0000 % 2,888.5
FixedReset Ins Non 4.45 % 3.67 % 136,561 17.71 22 0.0453 % 2,764.5
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 3.75 %
TRP.PR.D FixedReset Disc -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 4.54 %
CM.PR.Q FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.79 %
MFC.PR.Q FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 3.80 %
RY.PR.P Perpetual-Premium -2.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.75 %
BMO.PR.Y FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.69 %
CIU.PR.A Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 4.97 %
RY.PR.J FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.60
Evaluated at bid price : 23.50
Bid-YTW : 3.66 %
RY.PR.N Perpetual-Premium -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 24.71
Evaluated at bid price : 25.22
Bid-YTW : 4.87 %
PWF.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.86 %
CU.PR.F Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.89
Evaluated at bid price : 23.31
Bid-YTW : 4.83 %
RY.PR.O Perpetual-Premium -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 24.78
Evaluated at bid price : 25.27
Bid-YTW : 4.86 %
BIP.PR.B FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.69 %
BIP.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.30
Evaluated at bid price : 24.35
Bid-YTW : 5.08 %
CM.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.00
Evaluated at bid price : 23.35
Bid-YTW : 3.65 %
BAM.PR.X FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.31 %
NA.PR.W FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 21.97
Evaluated at bid price : 22.40
Bid-YTW : 3.58 %
BAM.PR.T FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
SLF.PR.G FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.64 %
CU.PR.H Perpetual-Premium 2.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : 4.57 %
BAM.PF.J FixedReset Prem 17.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.61
Evaluated at bid price : 24.95
Bid-YTW : 4.76 %
BAM.PR.B Floater 21.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 279,038 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.09 %
TRP.PR.J FixedReset Prem 136,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.26 %
MFC.PR.I FixedReset Ins Non 101,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.89
Evaluated at bid price : 24.26
Bid-YTW : 3.82 %
BNS.PR.E FixedReset Prem 94,512 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 2.03 %
BAM.PF.I FixedReset Prem 87,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 23.92
Evaluated at bid price : 25.05
Bid-YTW : 4.80 %
CM.PR.Q FixedReset Disc 73,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-05
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.79 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Disc Quote: 21.60 – 22.84
Spot Rate : 1.2400
Average : 0.6856

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

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

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

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

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

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

March 4, 2021

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

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

Powell made cautious remarks:

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

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

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

… and equities got hammered:

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -6.5643 % 2,085.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -6.5643 % 3,827.5
Floater 4.15 % 4.06 % 52,784 17.21 3 -6.5643 % 2,205.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0630 % 3,671.5
SplitShare 4.77 % 4.03 % 33,378 3.66 9 0.0630 % 4,384.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0630 % 3,421.0
Perpetual-Premium 5.33 % 0.93 % 73,181 0.12 21 -0.0934 % 3,235.4
Perpetual-Discount 4.95 % 4.99 % 83,705 15.44 13 -0.1360 % 3,736.5
FixedReset Disc 4.44 % 3.77 % 180,932 17.45 52 -0.4325 % 2,611.1
Insurance Straight 5.02 % 4.64 % 80,961 15.05 22 -0.0731 % 3,621.5
FloatingReset 3.08 % 3.40 % 35,942 18.79 2 -0.7534 % 2,334.3
FixedReset Prem 5.11 % 3.81 % 249,071 0.96 26 -0.7225 % 2,698.6
FixedReset Bank Non 1.81 % 2.08 % 234,241 0.90 1 -0.0800 % 2,888.5
FixedReset Ins Non 4.45 % 3.70 % 137,161 17.72 22 -0.7637 % 2,763.3
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -17.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 9.23
Evaluated at bid price : 9.23
Bid-YTW : 4.71 %
BAM.PF.J FixedReset Prem -14.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %
IFC.PR.C FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.79
Evaluated at bid price : 22.25
Bid-YTW : 3.93 %
TRP.PR.B FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 4.15 %
BAM.PF.F FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.53 %
BAM.PF.A FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.94
Evaluated at bid price : 22.20
Bid-YTW : 4.46 %
BAM.PR.T FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.56 %
CM.PR.S FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.76
Evaluated at bid price : 23.11
Bid-YTW : 3.69 %
MFC.PR.J FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.95
Evaluated at bid price : 23.28
Bid-YTW : 3.80 %
CU.PR.H Perpetual-Premium -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 24.77
Evaluated at bid price : 25.10
Bid-YTW : 5.25 %
BAM.PR.C Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 3.90 %
IFC.PR.G FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 3.94 %
MFC.PR.M FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.60 %
BAM.PR.X FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.36 %
SLF.PR.J FloatingReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 2.72 %
BAM.PR.Z FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 21.62
Evaluated at bid price : 22.04
Bid-YTW : 4.43 %
IFC.PR.A FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.79 %
BMO.PR.C FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.82
Evaluated at bid price : 24.97
Bid-YTW : 4.12 %
IAF.PR.I FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.33
Evaluated at bid price : 24.40
Bid-YTW : 3.70 %
BIP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.41
Evaluated at bid price : 24.60
Bid-YTW : 5.02 %
RY.PR.O Perpetual-Premium 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-24
Maturity Price : 25.25
Evaluated at bid price : 25.54
Bid-YTW : 4.48 %
PWF.PR.P FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.82 %
BIP.PR.F FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.37
Evaluated at bid price : 24.90
Bid-YTW : 5.04 %
IFC.PR.I Perpetual-Premium 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.I FixedReset Prem 204,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.89
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
TRP.PR.J FixedReset Prem 178,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.40 %
TD.PF.A FixedReset Disc 119,698 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.17
Evaluated at bid price : 22.68
Bid-YTW : 3.48 %
NA.PR.C FixedReset Disc 97,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 23.67
Evaluated at bid price : 25.00
Bid-YTW : 4.21 %
RY.PR.J FixedReset Disc 62,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-04
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.56 %
TD.PF.M FixedReset Prem 62,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.19 %
There were 47 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.J FixedReset Prem Quote: 21.30 – 24.90
Spot Rate : 3.6000
Average : 1.9169

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

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

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

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

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

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

March 3, 2021

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6878 % 2,232.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6878 % 4,096.4
Floater 3.87 % 3.87 % 49,959 17.62 3 -0.6878 % 2,360.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2340 % 3,669.2
SplitShare 4.78 % 4.05 % 34,743 3.66 9 -0.2340 % 4,381.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2340 % 3,418.8
Perpetual-Premium 5.32 % -1.50 % 73,400 0.09 21 -0.0971 % 3,238.4
Perpetual-Discount 4.94 % 4.99 % 86,413 15.43 13 -0.0190 % 3,741.6
FixedReset Disc 4.42 % 3.76 % 181,156 17.50 52 0.6513 % 2,622.4
Insurance Straight 5.02 % 4.62 % 80,875 15.05 22 0.2913 % 3,624.2
FloatingReset 3.06 % 3.40 % 33,078 18.79 2 1.0381 % 2,352.0
FixedReset Prem 5.08 % 3.61 % 231,311 1.19 26 0.1178 % 2,718.2
FixedReset Bank Non 1.81 % 1.98 % 234,614 0.48 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.70 % 137,947 17.78 22 0.3031 % 2,784.5
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.87 %
RY.PR.O Perpetual-Premium -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 24.77
Evaluated at bid price : 25.26
Bid-YTW : 4.86 %
IFC.PR.I Perpetual-Premium -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.96 %
EIT.PR.A SplitShare -1.12 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.04 %
CU.PR.G Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 4.79 %
IFC.PR.C FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.17
Evaluated at bid price : 22.86
Bid-YTW : 3.80 %
BMO.PR.C FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 3.61 %
CCS.PR.C Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.03 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.40 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 3.46 %
BMO.PR.S FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.42
Evaluated at bid price : 23.01
Bid-YTW : 3.51 %
CM.PR.Q FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.70
Evaluated at bid price : 23.74
Bid-YTW : 3.64 %
RY.PR.M FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.22
Evaluated at bid price : 22.88
Bid-YTW : 3.62 %
TRP.PR.A FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 4.35 %
TRP.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.50 %
CU.PR.C FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 3.97 %
BAM.PR.X FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 4.29 %
BAM.PF.B FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.45 %
TRP.PR.B FixedReset Disc 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 7.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.F FloatingReset 413,533 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.40 %
TRP.PR.J FixedReset Prem 213,340 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.21 %
TRP.PR.A FixedReset Disc 191,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 4.35 %
TRP.PR.D FixedReset Disc 138,528 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.30 %
TD.PF.A FixedReset Disc 121,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 22.30
Evaluated at bid price : 22.88
Bid-YTW : 3.44 %
MFC.PR.O FixedReset Ins Non 116,558 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.05 %
TD.PF.J FixedReset Disc 102,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 23.31
Evaluated at bid price : 24.41
Bid-YTW : 3.69 %
TRP.PR.E FixedReset Disc 100,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-03
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.33 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.O Perpetual-Premium Quote: 25.26 – 25.80
Spot Rate : 0.5400
Average : 0.3318

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

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

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

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

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

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

March 2, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1497 % 2,247.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1497 % 4,124.7
Floater 3.85 % 3.83 % 51,513 17.71 3 0.1497 % 2,377.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0043 % 3,677.8
SplitShare 4.77 % 4.01 % 35,180 3.67 9 -0.0043 % 4,392.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0043 % 3,426.8
Perpetual-Premium 5.32 % -0.49 % 74,092 0.09 21 0.0673 % 3,241.5
Perpetual-Discount 4.94 % 4.99 % 85,972 15.43 13 -0.0063 % 3,742.3
FixedReset Disc 4.45 % 3.78 % 181,773 17.45 52 0.4489 % 2,605.5
Insurance Straight 5.03 % 4.63 % 81,373 15.03 22 0.4227 % 3,613.6
FloatingReset 3.09 % 3.44 % 30,436 18.69 2 1.0490 % 2,327.9
FixedReset Prem 5.08 % 3.88 % 236,906 1.20 26 0.0695 % 2,715.0
FixedReset Bank Non 1.81 % 1.97 % 236,945 0.48 1 0.0000 % 2,890.8
FixedReset Ins Non 4.43 % 3.67 % 142,995 17.76 22 -0.0063 % 2,776.1
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.68 %
TRP.PR.B FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.19 %
GWO.PR.N FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 3.51 %
CU.PR.C FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.05 %
BMO.PR.C FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.83
Evaluated at bid price : 25.00
Bid-YTW : 4.12 %
IAF.PR.G FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.84
Evaluated at bid price : 24.26
Bid-YTW : 3.76 %
MFC.PR.J FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.42
Evaluated at bid price : 23.75
Bid-YTW : 3.73 %
IFC.PR.C FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.03
Evaluated at bid price : 22.62
Bid-YTW : 3.85 %
CU.PR.E Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 24.46
Evaluated at bid price : 24.75
Bid-YTW : 4.96 %
TRP.PR.G FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 4.58 %
TRP.PR.F FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 3.44 %
IFC.PR.E Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 24.80
Evaluated at bid price : 25.31
Bid-YTW : 5.20 %
MFC.PR.M FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.26
Evaluated at bid price : 22.84
Bid-YTW : 3.56 %
RY.PR.J FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.79
Evaluated at bid price : 23.90
Bid-YTW : 3.58 %
SLF.PR.B Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -4.80 %
BMO.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.64
Evaluated at bid price : 21.90
Bid-YTW : 3.60 %
RY.PR.M FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.99
Evaluated at bid price : 22.50
Bid-YTW : 3.69 %
BIP.PR.F FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.24
Evaluated at bid price : 24.55
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.72 %
CM.PR.P FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.65
Evaluated at bid price : 21.94
Bid-YTW : 3.70 %
NA.PR.S FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.07
Evaluated at bid price : 22.46
Bid-YTW : 3.72 %
CM.PR.O FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 21.91
Evaluated at bid price : 22.26
Bid-YTW : 3.65 %
TRP.PR.A FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.43 %
BMO.PR.Y FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 22.67
Evaluated at bid price : 23.70
Bid-YTW : 3.55 %
TRP.PR.D FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.31 %
PWF.PR.P FixedReset Disc 9.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 378,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 2.30 %
BMO.PR.C FixedReset Prem 150,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.83
Evaluated at bid price : 25.00
Bid-YTW : 4.12 %
TRP.PR.A FixedReset Disc 116,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.43 %
GWO.PR.Q Insurance Straight 113,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.45 %
TD.PF.J FixedReset Disc 109,406 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-02
Maturity Price : 23.29
Evaluated at bid price : 24.37
Bid-YTW : 3.69 %
TRP.PR.J FixedReset Prem 106,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.34 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 17.75 – 19.45
Spot Rate : 1.7000
Average : 0.9290

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

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

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

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

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

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