Category: Market Action

Market Action

March 1, 2021

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1205 % 2,244.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1205 % 4,118.6
Floater 3.85 % 3.82 % 51,750 17.74 3 1.1205 % 2,373.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2258 % 3,677.9
SplitShare 4.77 % 3.98 % 36,406 3.67 9 0.2258 % 4,392.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2258 % 3,427.0
Perpetual-Premium 5.32 % 3.63 % 74,648 0.12 21 0.1440 % 3,239.4
Perpetual-Discount 4.94 % 5.00 % 86,819 15.44 13 0.2505 % 3,742.6
FixedReset Disc 4.47 % 3.79 % 183,254 17.44 52 1.0690 % 2,593.8
Insurance Straight 5.02 % 4.78 % 79,032 15.29 22 0.0640 % 3,598.4
FloatingReset 3.12 % 3.48 % 28,748 18.60 2 1.0601 % 2,303.7
FixedReset Prem 5.09 % 3.43 % 236,032 1.19 26 0.1195 % 2,713.1
FixedReset Bank Non 1.81 % 1.96 % 238,357 0.48 1 0.0000 % 2,890.8
FixedReset Ins Non 4.43 % 3.67 % 135,230 17.85 22 0.4959 % 2,776.3
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 4.06 %
SLF.PR.J FloatingReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 2.72 %
IFC.PR.E Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.53
Evaluated at bid price : 25.00
Bid-YTW : 5.27 %
CU.PR.E Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.24
Evaluated at bid price : 24.50
Bid-YTW : 5.01 %
BMO.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.74
Evaluated at bid price : 25.00
Bid-YTW : 3.95 %
IFC.PR.C FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 3.80 %
BMO.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.26
Evaluated at bid price : 22.75
Bid-YTW : 3.56 %
IAF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.14
Evaluated at bid price : 24.52
Bid-YTW : 3.72 %
BAM.PR.T FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.46 %
NA.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.96
Evaluated at bid price : 23.27
Bid-YTW : 3.79 %
IFC.PR.A FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.72 %
IAF.PR.I FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.42
Evaluated at bid price : 24.62
Bid-YTW : 3.65 %
RY.PR.J FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.65
Evaluated at bid price : 23.60
Bid-YTW : 3.64 %
RY.PR.S FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.01
Evaluated at bid price : 24.08
Bid-YTW : 3.49 %
CM.PR.Q FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.79 %
BMO.PR.C FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.39 %
NA.PR.G FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.24
Evaluated at bid price : 24.50
Bid-YTW : 3.78 %
BAM.PR.X FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.38 %
TD.PF.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.67
Evaluated at bid price : 23.67
Bid-YTW : 3.67 %
PWF.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.83 %
PWF.PR.S Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 24.08
Evaluated at bid price : 24.35
Bid-YTW : 4.97 %
BMO.PR.Y FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 22.40
Evaluated at bid price : 23.16
Bid-YTW : 3.66 %
BAM.PR.R FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 4.36 %
TRP.PR.A FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 4.52 %
CU.PR.C FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.99 %
NA.PR.W FixedReset Disc 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 3.70 %
BAM.PR.C Floater 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 3.82 %
GWO.PR.N FixedReset Ins Non 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 3.47 %
TRP.PR.E FixedReset Disc 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.41 %
PWF.PR.P FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.24 %
BAM.PR.B Floater 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 3.82 %
BIP.PR.E FixedReset Disc 4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 23.39
Evaluated at bid price : 24.55
Bid-YTW : 5.03 %
TRP.PR.F FloatingReset 4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 3.48 %
TRP.PR.D FixedReset Disc 4.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.44 %
TRP.PR.B FixedReset Disc 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.12 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset Bank Non 333,636 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 1.96 %
TRP.PR.G FixedReset Disc 153,356 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.63 %
TRP.PR.J FixedReset Prem 143,069 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.32 %
TRP.PR.K FixedReset Prem 106,720 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.20 %
CU.PR.I FixedReset Prem 74,911 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.81 %
CU.PR.C FixedReset Disc 72,723 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-01
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.99 %
There were 88 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 15.96 – 20.00
Spot Rate : 4.0400
Average : 2.9977

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

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

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

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

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

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

February 26, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -3.5067 % 2,219.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.5067 % 4,072.9
Floater 3.90 % 3.95 % 50,907 17.47 3 -3.5067 % 2,347.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0879 % 3,669.6
SplitShare 4.70 % 4.27 % 36,048 4.18 8 -0.0879 % 4,382.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0879 % 3,419.3
Perpetual-Premium 5.36 % 3.06 % 72,674 0.13 19 -0.1299 % 3,234.7
Perpetual-Discount 4.97 % 5.00 % 96,284 15.38 13 0.2363 % 3,733.2
FixedReset Disc 4.58 % 3.88 % 183,088 17.15 56 -0.6891 % 2,566.4
Insurance Straight 5.02 % 4.78 % 80,284 15.31 22 -0.2139 % 3,596.1
FloatingReset 3.14 % 2.64 % 32,290 20.69 2 -0.1860 % 2,279.6
FixedReset Prem 5.13 % 2.71 % 231,582 0.89 20 -0.0373 % 2,709.9
FixedReset Bank Non 1.81 % 1.92 % 220,686 0.49 1 -0.0400 % 2,890.8
FixedReset Ins Non 4.45 % 3.72 % 131,701 17.75 22 -0.5439 % 2,762.6
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -13.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.45 %
BAM.PR.B Floater -4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 10.93
Evaluated at bid price : 10.93
Bid-YTW : 3.97 %
BAM.PR.C Floater -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 3.95 %
CU.PR.C FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.15 %
PWF.PR.T FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.93 %
GWO.PR.N FixedReset Ins Non -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 3.65 %
PWF.PR.S Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.56
Evaluated at bid price : 24.00
Bid-YTW : 5.03 %
BAM.PR.K Floater -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 3.91 %
BIP.PR.E FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.24
Evaluated at bid price : 23.56
Bid-YTW : 5.29 %
BAM.PR.R FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.59 %
MFC.PR.M FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.01
Evaluated at bid price : 22.45
Bid-YTW : 3.67 %
CM.PR.Q FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.15
Evaluated at bid price : 22.73
Bid-YTW : 3.88 %
NA.PR.W FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.87 %
MFC.PR.Q FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.91
Evaluated at bid price : 23.64
Bid-YTW : 3.70 %
TD.PF.D FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.77 %
BAM.PR.T FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.56 %
IFC.PR.I Perpetual-Premium -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.95 %
BAM.PF.A FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.95
Evaluated at bid price : 22.21
Bid-YTW : 4.49 %
BAM.PR.X FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.49 %
NA.PR.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.71
Evaluated at bid price : 23.01
Bid-YTW : 3.88 %
BNS.PR.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.03
Evaluated at bid price : 24.10
Bid-YTW : 3.60 %
BIP.PR.F FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.09
Evaluated at bid price : 24.20
Bid-YTW : 5.21 %
GWO.PR.R Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 24.35
Evaluated at bid price : 24.60
Bid-YTW : 4.94 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.24
Evaluated at bid price : 23.85
Bid-YTW : 3.72 %
MFC.PR.G FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.89
Evaluated at bid price : 24.44
Bid-YTW : 3.82 %
MFC.PR.I FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.82
Evaluated at bid price : 24.20
Bid-YTW : 3.87 %
TRP.PR.F FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.62 %
TD.PF.M FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.31 %
SLF.PR.H FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.62 %
TD.PF.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 22.26
Evaluated at bid price : 22.82
Bid-YTW : 3.49 %
BAM.PR.Z FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.49 %
CU.PR.E Perpetual-Discount 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 24.50
Evaluated at bid price : 24.81
Bid-YTW : 4.95 %
CU.PR.G Perpetual-Discount 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 23.43
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.J FloatingReset 184,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 2.64 %
SLF.PR.G FixedReset Ins Non 156,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 3.75 %
TRP.PR.C FixedReset Disc 123,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 4.50 %
BAM.PF.H FixedReset Prem 70,101 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 52,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-26
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 4.63 %
BNS.PR.G FixedReset Prem 47,069 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 2.52 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 13.25 – 15.50
Spot Rate : 2.2500
Average : 1.2907

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

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

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

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

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

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

February 25, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5233 % 2,300.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5233 % 4,221.0
Floater 3.76 % 3.79 % 51,417 17.81 3 -0.5233 % 2,432.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0073 % 3,672.9
SplitShare 4.70 % 4.17 % 36,098 4.19 8 0.0073 % 4,386.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0073 % 3,422.3
Perpetual-Premium 5.35 % 2.92 % 71,401 0.13 19 -0.0618 % 3,238.9
Perpetual-Discount 4.98 % 5.00 % 96,665 15.41 13 -1.0969 % 3,724.4
FixedReset Disc 4.54 % 3.85 % 181,396 17.28 56 0.7783 % 2,584.2
Insurance Straight 5.00 % 4.78 % 79,514 15.29 22 -0.3718 % 3,603.8
FloatingReset 3.09 % 2.66 % 29,737 20.57 2 1.4503 % 2,283.8
FixedReset Prem 5.13 % 2.59 % 234,783 0.89 20 0.0384 % 2,710.9
FixedReset Bank Non 1.80 % 1.83 % 219,067 0.49 1 0.0400 % 2,892.0
FixedReset Ins Non 4.42 % 3.70 % 132,946 17.79 22 0.4422 % 2,777.7
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -5.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.58
Evaluated at bid price : 22.85
Bid-YTW : 4.93 %
CU.PR.E Perpetual-Discount -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.90
Evaluated at bid price : 24.15
Bid-YTW : 5.09 %
BIP.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.69
Evaluated at bid price : 22.03
Bid-YTW : 4.88 %
CU.PR.D Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.28
Evaluated at bid price : 24.55
Bid-YTW : 5.00 %
MFC.PR.B Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 4.74 %
BAM.PR.K Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 3.82 %
CU.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.44
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
MFC.PR.C Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
BIP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.14
Evaluated at bid price : 24.01
Bid-YTW : 5.16 %
IAF.PR.B Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 4.69 %
SLF.PR.G FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 3.74 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.09
Evaluated at bid price : 23.99
Bid-YTW : 3.63 %
TD.PF.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.67
Evaluated at bid price : 23.68
Bid-YTW : 3.70 %
BAM.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.16
Evaluated at bid price : 22.50
Bid-YTW : 4.43 %
TRP.PR.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.18 %
BNS.PR.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.16
Evaluated at bid price : 24.40
Bid-YTW : 3.53 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 3.82 %
TRP.PR.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 4.73 %
TRP.PR.F FloatingReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 3.59 %
TD.PF.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 3.55 %
PWF.PR.P FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.85 %
RY.PR.J FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.56
Evaluated at bid price : 23.44
Bid-YTW : 3.70 %
SLF.PR.J FloatingReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 2.66 %
BMO.PR.S FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.19
Evaluated at bid price : 22.65
Bid-YTW : 3.62 %
BAM.PF.B FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.52 %
GWO.PR.N FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 3.55 %
NA.PR.S FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.81
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %
NA.PR.W FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 3.80 %
MFC.PR.M FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.27
Evaluated at bid price : 22.85
Bid-YTW : 3.59 %
MFC.PR.F FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.55 %
BAM.PR.R FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.50 %
TRP.PR.B FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.34 %
TRP.PR.C FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 4.49 %
CU.PR.C FixedReset Disc 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 3.99 %
TD.PF.B FixedReset Disc 5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 22.36
Evaluated at bid price : 22.94
Bid-YTW : 3.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset Prem 413,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 2.52 %
BAM.PR.R FixedReset Disc 192,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.50 %
CU.PR.F Perpetual-Discount 174,691 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 23.44
Evaluated at bid price : 23.70
Bid-YTW : 4.75 %
BAM.PR.X FixedReset Disc 164,046 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.44 %
MIC.PR.A Perpetual-Premium 161,778 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.17 %
TRP.PR.B FixedReset Disc 142,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.34 %
TRP.PR.G FixedReset Disc 103,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-25
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.70 %
CU.PR.H Perpetual-Premium 102,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : 4.19 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 15.74 – 17.95
Spot Rate : 2.2100
Average : 1.2244

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

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

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

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

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

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

February 24, 2021

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

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

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

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

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

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

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

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

February 23, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.3470 % 2,326.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3470 % 4,269.1
Floater 3.72 % 3.74 % 52,252 17.91 3 1.3470 % 2,460.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0805 % 3,678.5
SplitShare 4.69 % 4.09 % 35,111 4.20 8 0.0805 % 4,392.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0805 % 3,427.5
Perpetual-Premium 5.35 % 2.96 % 71,938 0.14 19 0.0825 % 3,241.7
Perpetual-Discount 4.92 % 4.97 % 91,405 15.44 13 0.1871 % 3,771.0
FixedReset Disc 4.57 % 3.74 % 178,433 17.55 56 0.3042 % 2,565.0
Insurance Straight 4.96 % 4.63 % 79,022 15.35 22 -0.0108 % 3,625.6
FloatingReset 3.13 % 2.68 % 28,138 20.51 2 -0.0355 % 2,244.0
FixedReset Prem 5.13 % 3.14 % 222,322 0.90 20 0.0904 % 2,707.9
FixedReset Bank Non 1.80 % 1.81 % 198,915 0.93 1 0.0000 % 2,892.0
FixedReset Ins Non 4.44 % 3.53 % 129,613 18.14 22 0.2200 % 2,762.2
Performance Highlights
Issue Index Change Notes
GWO.PR.F Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -3.84 %
MFC.PR.F FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 3.33 %
BAM.PF.F FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.32 %
BAM.PF.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.34 %
MFC.PR.N FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.86
Evaluated at bid price : 22.25
Bid-YTW : 3.45 %
MFC.PR.O FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.54 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.31 %
SLF.PR.C Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.56 %
BAM.PR.B Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 11.57
Evaluated at bid price : 11.57
Bid-YTW : 3.74 %
MFC.PR.J FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 3.53 %
TRP.PR.G FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.49 %
BAM.PR.R FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.32 %
NA.PR.G FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.68 %
CM.PR.R FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 23.75
Evaluated at bid price : 25.00
Bid-YTW : 4.02 %
BAM.PR.K Floater 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 3.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 206,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 2.58 %
RY.PR.H FixedReset Disc 205,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 22.04
Evaluated at bid price : 22.45
Bid-YTW : 3.37 %
TD.PF.A FixedReset Disc 170,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.97
Evaluated at bid price : 22.37
Bid-YTW : 3.38 %
BNS.PR.H FixedReset Prem 165,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 2.41 %
BMO.PR.W FixedReset Disc 126,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.51 %
BAM.PF.G FixedReset Disc 111,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.34 %
BAM.PR.R FixedReset Disc 107,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-23
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.32 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Prem Quote: 25.66 – 26.40
Spot Rate : 0.7400
Average : 0.4491

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

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

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

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

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

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

February 22, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2642 % 2,295.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2642 % 4,212.3
Floater 3.77 % 3.80 % 52,377 17.79 3 0.2642 % 2,427.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2494 % 3,675.5
SplitShare 4.70 % 4.15 % 35,038 4.20 8 0.2494 % 4,389.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2494 % 3,424.8
Perpetual-Premium 5.35 % 3.79 % 72,972 0.15 19 -0.2612 % 3,239.0
Perpetual-Discount 4.93 % 4.98 % 92,684 15.42 13 -0.0125 % 3,764.0
FixedReset Disc 4.59 % 3.76 % 178,093 17.55 56 0.2040 % 2,557.3
Insurance Straight 4.96 % 4.61 % 79,302 15.33 22 -0.1691 % 3,626.0
FloatingReset 3.13 % 2.68 % 28,224 20.52 2 -0.8442 % 2,244.8
FixedReset Prem 5.13 % 3.08 % 222,995 0.90 20 -0.0688 % 2,705.4
FixedReset Bank Non 1.80 % 1.80 % 200,778 0.93 1 0.0000 % 2,892.0
FixedReset Ins Non 4.45 % 3.57 % 128,443 18.07 22 0.1911 % 2,756.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.83 %
CM.PR.R FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.14
Evaluated at bid price : 24.50
Bid-YTW : 4.17 %
SLF.PR.C Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 2.68 %
RY.PR.N Perpetual-Premium -1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.06 %
SLF.PR.E Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.61 %
MFC.PR.O FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.71
Evaluated at bid price : 25.21
Bid-YTW : 5.67 %
CU.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 3.94 %
CU.PR.F Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.76
Evaluated at bid price : 24.22
Bid-YTW : 4.64 %
SLF.PR.H FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.41 %
BAM.PR.C Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 3.79 %
IAF.PR.B Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.92
Evaluated at bid price : 25.15
Bid-YTW : 4.63 %
TRP.PR.B FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.21 %
MFC.PR.J FixedReset Ins Non 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.31
Evaluated at bid price : 23.64
Bid-YTW : 3.58 %
TRP.PR.C FixedReset Disc 7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.A FixedReset Ins Non 156,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.57 %
MIC.PR.A Perpetual-Premium 94,243 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.19 %
RY.PR.Q FixedReset Prem 85,830 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 2.32 %
BNS.PR.E FixedReset Prem 73,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.08 %
MFC.PR.O FixedReset Ins Non 63,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 24.71
Evaluated at bid price : 25.21
Bid-YTW : 5.67 %
SLF.PR.I FixedReset Ins Non 61,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-22
Maturity Price : 23.62
Evaluated at bid price : 24.19
Bid-YTW : 3.52 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 15.20 – 17.25
Spot Rate : 2.0500
Average : 1.2418

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

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

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

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

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

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

February 19, 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 1.7020 % 2,289.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7020 % 4,201.2
Floater 3.78 % 3.83 % 51,909 17.74 3 1.7020 % 2,421.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.4789 % 3,666.4
SplitShare 4.71 % 4.27 % 35,327 4.20 8 0.4789 % 4,378.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4789 % 3,416.3
Perpetual-Premium 5.34 % -1.18 % 72,517 0.08 19 -0.0966 % 3,247.5
Perpetual-Discount 4.93 % 4.98 % 92,466 15.44 13 -0.1618 % 3,764.4
FixedReset Disc 4.60 % 3.59 % 176,831 17.91 56 -0.0792 % 2,552.1
Insurance Straight 4.95 % 4.55 % 80,188 15.30 22 -0.0234 % 3,632.2
FloatingReset 3.05 % 2.58 % 29,178 20.79 2 0.9947 % 2,263.9
FixedReset Prem 5.13 % 3.39 % 225,661 0.91 20 -0.1510 % 2,707.3
FixedReset Bank Non 1.80 % 1.70 % 185,887 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.43 % 3.38 % 125,002 18.29 22 -0.2677 % 2,750.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.41 %
MFC.PR.J FixedReset Ins Non -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.83
Evaluated at bid price : 23.15
Bid-YTW : 3.56 %
TRP.PR.B FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 3.98 %
NA.PR.G FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.95
Evaluated at bid price : 23.86
Bid-YTW : 3.59 %
SLF.PR.G FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 14.68
Evaluated at bid price : 14.68
Bid-YTW : 3.25 %
CU.PR.F Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 23.57
Evaluated at bid price : 23.98
Bid-YTW : 4.68 %
SLF.PR.H FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 3.25 %
PWF.PR.P FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 3.51 %
IAF.PR.I FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 23.26
Evaluated at bid price : 24.26
Bid-YTW : 3.47 %
TRP.PR.F FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.59 %
BAM.PF.B FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.21 %
IFC.PR.A FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 3.33 %
BAM.PF.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 4.22 %
CU.PR.C FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 3.70 %
BAM.PR.X FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.87 %
BAM.PR.B Floater 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 3.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.G Perpetual-Premium 277,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-21
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -5.52 %
TD.PF.H FixedReset Prem 267,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 2.62 %
MIC.PR.A Perpetual-Premium 91,677 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.21 %
BNS.PR.E FixedReset Prem 86,458 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.39 %
IFC.PR.C FixedReset Ins Non 57,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.03
Evaluated at bid price : 22.62
Bid-YTW : 3.48 %
TD.PF.K FixedReset Disc 55,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.92
Evaluated at bid price : 23.79
Bid-YTW : 3.42 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 23.15 – 24.37
Spot Rate : 1.2200
Average : 0.7858

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 22.83
Evaluated at bid price : 23.15
Bid-YTW : 3.56 %
TRP.PR.C FixedReset Disc Quote: 11.50 – 12.42
Spot Rate : 0.9200
Average : 0.5513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.41 %
EIT.PR.B SplitShare Quote: 25.66 – 26.66
Spot Rate : 1.0000
Average : 0.6730

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc Quote: 22.19 – 24.30
Spot Rate : 2.1100
Average : 1.7916

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 21.78
Evaluated at bid price : 22.19
Bid-YTW : 3.45 %
PWF.PR.P FixedReset Disc Quote: 14.83 – 15.54
Spot Rate : 0.7100
Average : 0.4538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 3.51 %
PWF.PR.T FixedReset Disc Quote: 21.55 – 22.45
Spot Rate : 0.9000
Average : 0.6685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-19
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.54 %
Market Action

February 18, 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 0.2394 % 2,251.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2394 % 4,130.9
Floater 3.84 % 3.87 % 53,403 17.66 3 0.2394 % 2,380.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2436 % 3,648.9
SplitShare 4.68 % 4.27 % 35,055 3.66 8 0.2436 % 4,357.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2436 % 3,400.0
Perpetual-Premium 5.33 % -1.66 % 70,698 0.08 19 0.1236 % 3,250.6
Perpetual-Discount 4.92 % 4.96 % 87,128 15.43 13 0.3529 % 3,770.5
FixedReset Disc 4.59 % 3.56 % 177,230 17.90 56 0.3662 % 2,554.1
Insurance Straight 4.95 % 4.61 % 80,137 15.32 22 -0.0342 % 3,633.0
FloatingReset 3.08 % 2.61 % 29,207 20.72 2 5.9864 % 2,241.6
FixedReset Prem 5.12 % 2.93 % 227,502 0.91 20 -0.0725 % 2,711.4
FixedReset Bank Non 1.80 % 1.69 % 182,340 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.42 % 3.37 % 115,328 18.34 22 -0.0715 % 2,758.3
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.38 %
NA.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 22.71
Evaluated at bid price : 23.01
Bid-YTW : 3.50 %
MFC.PR.J FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.64
Evaluated at bid price : 23.95
Bid-YTW : 3.44 %
TRP.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.40 %
BAM.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 4.29 %
MFC.PR.Q FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.10
Evaluated at bid price : 24.02
Bid-YTW : 3.33 %
TD.PF.J FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.21
Evaluated at bid price : 24.20
Bid-YTW : 3.40 %
BAM.PF.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 24.55
Evaluated at bid price : 24.79
Bid-YTW : 5.00 %
MFC.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.63
Evaluated at bid price : 24.80
Bid-YTW : 3.41 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.27 %
EIT.PR.A SplitShare 1.57 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.87 %
BAM.PR.T FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.11 %
NA.PR.G FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.52 %
BAM.PF.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 4.13 %
BAM.PF.G FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.21 %
CU.PR.F Perpetual-Discount 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.83
Evaluated at bid price : 24.30
Bid-YTW : 4.62 %
BAM.PF.F FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.26 %
TRP.PR.F FloatingReset 13.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MIC.PR.A Perpetual-Premium 649,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.19 %
NA.PR.A FixedReset Prem 276,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 2.67 %
IFC.PR.E Insurance Straight 148,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : 5.05 %
BNS.PR.E FixedReset Prem 103,876 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.90 %
BMO.PR.B FixedReset Prem 102,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 2.31 %
TD.PF.H FixedReset Prem 94,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 2.66 %
There were 33 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: 22.26 – 24.30
Spot Rate : 2.0400
Average : 1.4424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 21.83
Evaluated at bid price : 22.26
Bid-YTW : 3.44 %
NA.PR.E FixedReset Disc Quote: 23.01 – 23.66
Spot Rate : 0.6500
Average : 0.3835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 22.71
Evaluated at bid price : 23.01
Bid-YTW : 3.50 %
TRP.PR.D FixedReset Disc Quote: 18.15 – 18.88
Spot Rate : 0.7300
Average : 0.5401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.22 %
IFC.PR.A FixedReset Ins Non Quote: 17.33 – 17.85
Spot Rate : 0.5200
Average : 0.3542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.38 %
BAM.PF.J FixedReset Disc Quote: 25.10 – 25.48
Spot Rate : 0.3800
Average : 0.2450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-18
Maturity Price : 23.66
Evaluated at bid price : 25.10
Bid-YTW : 4.71 %
IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 1.2616

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %
Market Action

February 17, 2021

PerpetualDiscounts now yield 4.89%, equivalent to 6.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.01%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply wider at 335bp than the 310bp reported February 10.

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 -0.2687 % 2,245.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2687 % 4,121.0
Floater 3.85 % 3.88 % 53,479 17.62 3 -0.2687 % 2,375.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,640.1
SplitShare 4.69 % 4.42 % 36,494 4.13 8 -0.0973 % 4,347.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,391.7
Perpetual-Premium 5.34 % -1.39 % 72,294 0.08 18 -0.1300 % 3,246.6
Perpetual-Discount 4.93 % 4.89 % 83,762 15.44 13 -0.0406 % 3,757.3
FixedReset Disc 4.61 % 3.61 % 172,797 17.91 56 0.1228 % 2,544.8
Insurance Straight 4.95 % 4.66 % 81,539 15.32 22 0.0144 % 3,634.2
FloatingReset 3.27 % 2.59 % 28,940 20.77 2 -6.8724 % 2,115.0
FixedReset Prem 5.12 % 2.88 % 229,684 0.92 20 -0.0803 % 2,713.4
FixedReset Bank Non 1.80 % 1.69 % 174,300 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.37 % 115,970 18.34 22 -0.1793 % 2,760.3
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -11.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.J FloatingReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 2.59 %
BAM.PF.D Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.20
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
BIP.PR.E FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 5.17 %
BAM.PF.F FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %
EIT.PR.A SplitShare -1.54 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
TD.PF.J FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.08
Evaluated at bid price : 23.93
Bid-YTW : 3.45 %
MFC.PR.I FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %
MFC.PR.N FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.81
Evaluated at bid price : 22.18
Bid-YTW : 3.36 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.45 %
BMO.PR.Y FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.00
Evaluated at bid price : 22.50
Bid-YTW : 3.49 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.26 %
BIP.PR.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.38
Evaluated at bid price : 23.11
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.25 %
MFC.PR.J FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.25
Bid-YTW : 3.34 %
CU.PR.F Perpetual-Discount 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.29
Evaluated at bid price : 23.54
Bid-YTW : 4.78 %
PWF.PR.P FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.49 %
NA.PR.E FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.05
Evaluated at bid price : 23.35
Bid-YTW : 3.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.F FloatingReset 100,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.B Insurance Straight 76,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.84
Evaluated at bid price : 25.07
Bid-YTW : 4.84 %
BNS.PR.H FixedReset Prem 70,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 2.45 %
MFC.PR.L FixedReset Ins Non 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.29 %
TD.PF.H FixedReset Prem 66,193 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 2.65 %
CU.PR.C FixedReset Disc 62,780 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.76 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 12.17 – 14.00
Spot Rate : 1.8300
Average : 1.0818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 1.1208

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %
EIT.PR.A SplitShare Quote: 25.50 – 26.15
Spot Rate : 0.6500
Average : 0.4200

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
BAM.PF.F FixedReset Disc Quote: 20.00 – 20.74
Spot Rate : 0.7400
Average : 0.5244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %
MFC.PR.Q FixedReset Ins Non Quote: 23.76 – 24.25
Spot Rate : 0.4900
Average : 0.2992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.97
Evaluated at bid price : 23.76
Bid-YTW : 3.38 %
MFC.PR.I FixedReset Ins Non Quote: 24.50 – 25.05
Spot Rate : 0.5500
Average : 0.3790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %
Market Action

February 16, 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 4.3289 % 2,251.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.3289 % 4,132.1
Floater 3.84 % 3.88 % 55,442 17.63 3 4.3289 % 2,381.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,643.6
SplitShare 4.68 % 4.38 % 36,617 3.66 8 -0.0219 % 4,351.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,395.0
Perpetual-Premium 5.33 % -4.22 % 70,987 0.08 18 0.0282 % 3,250.8
Perpetual-Discount 4.93 % 4.91 % 81,083 15.48 13 -0.3887 % 3,758.8
FixedReset Disc 4.61 % 3.60 % 178,305 17.88 56 0.7740 % 2,541.6
Insurance Straight 4.95 % 4.67 % 82,673 15.30 22 -0.0324 % 3,633.7
FloatingReset 3.04 % 2.53 % 29,836 20.92 2 2.2956 % 2,271.1
FixedReset Prem 5.11 % 2.57 % 227,925 0.92 20 0.0529 % 2,715.5
FixedReset Bank Non 1.80 % 1.68 % 171,484 0.95 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.36 % 111,444 18.36 22 0.2656 % 2,765.2
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -5.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.56
Evaluated at bid price : 23.87
Bid-YTW : 3.45 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.15
Evaluated at bid price : 22.73
Bid-YTW : 3.55 %
PWF.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.60 %
IFC.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 3.55 %
BAM.PF.F FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.33 %
RY.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.70
Evaluated at bid price : 21.96
Bid-YTW : 3.23 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.27 %
TD.PF.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.89
Evaluated at bid price : 23.73
Bid-YTW : 3.42 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.10 %
TD.PF.J FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
BAM.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.14 %
TD.PF.D FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.63
Evaluated at bid price : 23.60
Bid-YTW : 3.40 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.34 %
SLF.PR.H FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.21 %
BAM.PR.X FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.03 %
RY.PR.J FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.46 %
TRP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 4.33 %
TRP.PR.F FloatingReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 3.63 %
BAM.PF.B FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.33 %
SLF.PR.J FloatingReset 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 2.53 %
BAM.PF.G FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.35 %
TD.PF.C FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.86
Evaluated at bid price : 22.24
Bid-YTW : 3.30 %
BAM.PR.T FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.16 %
BAM.PR.C Floater 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 3.89 %
PWF.PR.P FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.61 %
BAM.PF.E FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %
MFC.PR.F FixedReset Ins Non 3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.03 %
BAM.PR.K Floater 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 3.88 %
BAM.PR.R FixedReset Disc 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.11 %
BAM.PR.B Floater 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.L Perpetual-Discount 125,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-18
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 2.29 %
CM.PR.R FixedReset Disc 111,229 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.75
Evaluated at bid price : 25.00
Bid-YTW : 3.85 %
TD.PF.J FixedReset Disc 91,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
MFC.PR.C Insurance Straight 76,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.85
Evaluated at bid price : 25.06
Bid-YTW : 4.55 %
SLF.PR.D Insurance Straight 74,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.52 %
CU.PR.G Perpetual-Discount 73,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.97
Evaluated at bid price : 24.26
Bid-YTW : 4.63 %
There were 47 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: 22.24 – 24.30
Spot Rate : 2.0600
Average : 1.3763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.82
Evaluated at bid price : 22.24
Bid-YTW : 3.44 %
BAM.PF.E FixedReset Disc Quote: 18.45 – 22.24
Spot Rate : 3.7900
Average : 3.1466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %
CU.PR.F Perpetual-Discount Quote: 22.92 – 24.50
Spot Rate : 1.5800
Average : 0.9557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %
IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 0.8256

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %
CU.PR.I FixedReset Prem Quote: 25.61 – 26.40
Spot Rate : 0.7900
Average : 0.4864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.92 %
EIT.PR.B SplitShare Quote: 25.96 – 26.96
Spot Rate : 1.0000
Average : 0.7599

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.01 %