Category: Market Action

Market Action

January 29, 2021

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

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

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

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

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

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

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

January 28, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5966 % 2,016.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5966 % 3,699.2
Floater 4.29 % 4.32 % 44,500 16.76 3 -0.5966 % 2,131.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0440 % 3,628.4
SplitShare 4.70 % 4.40 % 37,300 4.18 8 -0.0440 % 4,333.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0440 % 3,380.8
Perpetual-Premium 5.35 % -5.98 % 73,459 0.09 18 0.3030 % 3,237.7
Perpetual-Discount 4.99 % 5.03 % 69,255 15.36 13 0.0443 % 3,700.2
FixedReset Disc 4.88 % 3.75 % 148,976 17.52 56 0.0893 % 2,405.2
Insurance Straight 5.03 % 4.81 % 85,696 15.31 22 0.0092 % 3,575.3
FloatingReset 2.48 % 0.42 % 25,122 0.10 3 0.1425 % 1,939.1
FixedReset Prem 5.13 % 3.34 % 190,677 0.97 20 0.0550 % 2,703.8
FixedReset Bank Non 1.93 % 1.93 % 192,908 0.99 2 0.0800 % 2,886.6
FixedReset Ins Non 4.89 % 3.69 % 89,277 17.64 22 -0.9163 % 2,492.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -19.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.83 %
SLF.PR.H FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.62 %
BAM.PR.T FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.58 %
BAM.PR.K Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 9.93
Evaluated at bid price : 9.93
Bid-YTW : 4.36 %
CM.PR.Q FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.69 %
MFC.PR.F FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 3.60 %
TRP.PR.B FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.36 %
CU.PR.H Perpetual-Premium 5.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.P Perpetual-Premium 94,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-26
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -5.83 %
CM.PR.R FixedReset Disc 83,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 23.61
Evaluated at bid price : 24.70
Bid-YTW : 3.84 %
BMO.PR.T FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 3.58 %
NA.PR.W FixedReset Disc 44,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 3.75 %
BMO.PR.Q FixedReset Bank Non 44,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 1.93 %
CM.PR.S FixedReset Disc 36,627 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-28
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.50 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.15 – 20.05
Spot Rate : 3.9000
Average : 2.1945

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

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

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

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

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

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

January 27, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -2.8028 % 2,028.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.8028 % 3,721.4
Floater 4.26 % 4.30 % 44,752 16.80 3 -2.8028 % 2,144.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0659 % 3,629.9
SplitShare 4.70 % 4.44 % 37,745 3.72 8 -0.0659 % 4,334.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0659 % 3,382.3
Perpetual-Premium 5.36 % -8.79 % 71,230 0.09 18 0.2010 % 3,227.9
Perpetual-Discount 4.99 % 5.02 % 69,072 15.38 13 0.0348 % 3,698.5
FixedReset Disc 4.89 % 3.73 % 148,433 17.55 56 -0.4334 % 2,403.1
Insurance Straight 5.03 % 4.80 % 83,328 15.31 22 -0.1408 % 3,574.9
FloatingReset 2.48 % 0.41 % 26,155 0.10 3 -0.0407 % 1,936.4
FixedReset Prem 5.13 % 2.99 % 192,347 0.97 20 -0.0432 % 2,702.3
FixedReset Bank Non 1.93 % 1.81 % 170,036 1.00 2 -0.0600 % 2,884.3
FixedReset Ins Non 4.84 % 3.68 % 90,565 17.66 22 0.0538 % 2,515.6
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -7.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 4.47 %
BAM.PR.B Floater -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %
BAM.PR.K Floater -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.30 %
SLF.PR.G FixedReset Ins Non -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 3.69 %
GWO.PR.N FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.63 %
BNS.PR.I FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 22.41
Evaluated at bid price : 22.95
Bid-YTW : 3.39 %
BAM.PR.C Floater -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.30 %
TRP.PR.A FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.79 %
TD.PF.K FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 3.67 %
MFC.PR.F FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 3.65 %
PWF.PR.P FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.06 %
TRP.PR.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.98 %
NA.PR.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 3.59 %
BMO.PR.Y FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 3.69 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.63 %
BIP.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 24.02
Evaluated at bid price : 24.45
Bid-YTW : 5.15 %
BAM.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.76 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.77 %
CU.PR.F Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.78 %
NA.PR.S FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.72 %
CM.PR.Q FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.55
Evaluated at bid price : 21.85
Bid-YTW : 3.65 %
CM.PR.O FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 3.72 %
SLF.PR.H FixedReset Ins Non 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 3.51 %
IAF.PR.G FixedReset Ins Non 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.86
Evaluated at bid price : 22.38
Bid-YTW : 3.68 %
RY.PR.N Perpetual-Premium 4.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-26
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : -8.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 84,764 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 3.91 %
RY.PR.Z FixedReset Disc 64,461 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.35 %
CM.PR.S FixedReset Disc 60,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-27
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.51 %
W.PR.M FixedReset Prem 47,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.73 %
TD.PF.H FixedReset Prem 47,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.66 %
BAM.PF.I FixedReset Prem 42,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.03 %
There were 71 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RS.PR.A SplitShare Quote: 10.30 – 11.69
Spot Rate : 1.3900
Average : 0.7884

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

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

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

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

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

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

January 26, 2021

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0322 % 2,086.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0322 % 3,828.7
Floater 4.14 % 4.18 % 43,700 17.05 3 0.0322 % 2,206.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1049 % 3,632.3
SplitShare 4.70 % 4.34 % 37,736 3.72 8 -0.1049 % 4,337.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1049 % 3,384.5
Perpetual-Premium 5.37 % -5.90 % 69,896 0.09 18 -0.5755 % 3,221.5
Perpetual-Discount 5.00 % 4.96 % 71,423 15.40 13 -0.0316 % 3,697.3
FixedReset Disc 4.86 % 3.77 % 142,522 17.53 56 0.0567 % 2,413.5
Insurance Straight 5.02 % 4.83 % 84,000 15.33 22 0.0878 % 3,580.0
FloatingReset 2.48 % -0.00 % 27,231 0.10 3 0.1222 % 1,937.2
FixedReset Prem 5.13 % 3.11 % 189,747 0.97 20 -0.0608 % 2,703.5
FixedReset Bank Non 1.93 % 1.92 % 168,762 1.00 2 0.0000 % 2,886.0
FixedReset Ins Non 4.85 % 3.70 % 91,172 17.67 22 -0.3284 % 2,514.3
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Premium -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
RY.PR.N Perpetual-Premium -5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 24.51
Evaluated at bid price : 25.00
Bid-YTW : 4.88 %
IAF.PR.G FixedReset Ins Non -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.88 %
SLF.PR.H FixedReset Ins Non -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.64 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 4.52 %
MFC.PR.M FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 3.73 %
CU.PR.F Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 23.23
Evaluated at bid price : 23.50
Bid-YTW : 4.85 %
MFC.PR.L FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.70 %
RY.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 22.47
Evaluated at bid price : 23.07
Bid-YTW : 3.29 %
IFC.PR.E Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : 4.87 %
TRP.PR.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.67 %
BAM.PR.R FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 4.53 %
TRP.PR.D FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.57 %
PWF.PR.P FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 3.98 %
TD.PF.K FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 22.17
Evaluated at bid price : 22.55
Bid-YTW : 3.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 175,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 3.91 %
IFC.PR.A FixedReset Ins Non 170,666 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.71 %
TRP.PR.E FixedReset Disc 84,188 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.67 %
RY.PR.P Perpetual-Premium 74,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-26
Maturity Price : 26.00
Evaluated at bid price : 26.50
Bid-YTW : -9.02 %
BMO.PR.T FixedReset Disc 57,444 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 3.59 %
TRP.PR.A FixedReset Disc 56,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-26
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 4.68 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.N Perpetual-Premium Quote: 25.00 – 26.49
Spot Rate : 1.4900
Average : 0.9093

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

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

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

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

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

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

January 25, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6487 % 2,085.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6487 % 3,827.5
Floater 4.15 % 4.18 % 43,642 17.05 3 0.6487 % 2,205.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1612 % 3,636.2
SplitShare 4.69 % 4.39 % 37,984 4.19 8 0.1612 % 4,342.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1612 % 3,388.1
Perpetual-Premium 5.34 % -11.54 % 65,619 0.09 18 0.1369 % 3,240.1
Perpetual-Discount 4.99 % 5.05 % 70,520 15.40 13 -0.0158 % 3,698.4
FixedReset Disc 4.87 % 3.76 % 141,406 17.52 56 0.3092 % 2,412.2
Insurance Straight 5.03 % 4.79 % 82,380 15.37 22 0.1374 % 3,576.8
FloatingReset 2.49 % 0.38 % 27,021 0.10 3 0.0000 % 1,934.8
FixedReset Prem 5.12 % 2.81 % 195,877 0.98 20 0.0525 % 2,705.1
FixedReset Bank Non 1.93 % 1.96 % 169,856 1.00 2 0.0400 % 2,886.0
FixedReset Ins Non 4.83 % 3.68 % 91,445 17.67 22 0.4872 % 2,522.6
Performance Highlights
Issue Index Change Notes
TD.PF.K FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 3.66 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.62 %
IAF.PR.I FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 3.68 %
MFC.PR.G FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.17
Evaluated at bid price : 22.88
Bid-YTW : 3.63 %
TRP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.72 %
BAM.PR.K Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 10.38
Evaluated at bid price : 10.38
Bid-YTW : 4.16 %
PWF.PR.T FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.98 %
BIP.PR.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 4.31 %
RY.PR.M FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 3.49 %
IAF.PR.G FixedReset Ins Non 4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.97
Evaluated at bid price : 22.56
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 151,794 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.64 %
BNS.PR.H FixedReset Prem 126,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.81 %
CU.PR.C FixedReset Disc 98,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 3.89 %
RY.PR.M FixedReset Disc 90,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 3.49 %
BMO.PR.D FixedReset Disc 65,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 23.57
Evaluated at bid price : 24.65
Bid-YTW : 3.68 %
TRP.PR.D FixedReset Disc 63,597 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.64 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.K FixedReset Disc Quote: 22.10 – 22.75
Spot Rate : 0.6500
Average : 0.4131

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

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

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

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

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

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

January 21, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.6545 % 2,065.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6545 % 3,789.2
Floater 4.19 % 4.24 % 44,948 16.94 3 1.6545 % 2,183.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0341 % 3,634.5
SplitShare 4.70 % 4.29 % 37,404 3.73 8 -0.0341 % 4,340.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0341 % 3,386.5
Perpetual-Premium 5.36 % -5.24 % 66,431 0.09 18 -0.3171 % 3,223.2
Perpetual-Discount 5.01 % 5.04 % 67,960 15.42 13 -0.0570 % 3,690.9
FixedReset Disc 4.88 % 3.75 % 146,101 17.52 56 0.3725 % 2,402.0
Insurance Straight 5.03 % 4.81 % 84,095 15.34 22 0.0147 % 3,571.1
FloatingReset 2.48 % 0.35 % 28,016 0.11 3 -0.0204 % 1,928.5
FixedReset Prem 5.12 % 2.77 % 190,286 0.99 20 0.1668 % 2,706.1
FixedReset Bank Non 1.93 % 1.98 % 176,566 1.01 2 0.0000 % 2,884.9
FixedReset Ins Non 4.86 % 3.71 % 90,698 17.61 22 0.0180 % 2,507.2
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.96 %
CU.PR.H Perpetual-Premium -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
BAM.PR.X FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.57 %
CU.PR.F Perpetual-Discount -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.90 %
TRP.PR.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.83 %
CM.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.41
Evaluated at bid price : 25.20
Bid-YTW : 3.85 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.33
Evaluated at bid price : 10.33
Bid-YTW : 4.18 %
GWO.PR.N FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 3.58 %
BNS.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.66
Evaluated at bid price : 23.39
Bid-YTW : 3.31 %
BAM.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.70 %
BIP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.78 %
BAM.PR.C Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.19
Evaluated at bid price : 10.19
Bid-YTW : 4.24 %
BMO.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.89
Evaluated at bid price : 23.77
Bid-YTW : 3.51 %
CM.PR.S FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.59 %
BAM.PF.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.67 %
BIK.PR.A FixedReset Prem 1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.45 %
PWF.PR.T FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.00 %
TRP.PR.C FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.48 %
IFC.PR.G FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 3.95 %
BAM.PR.K Floater 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.24 %
CM.PR.O FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 3.74 %
IAF.PR.G FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.68
Evaluated at bid price : 22.11
Bid-YTW : 3.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 461,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 3.60 %
TD.PF.J FixedReset Disc 242,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.12
Bid-YTW : 3.56 %
CM.PR.Q FixedReset Disc 232,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.75 %
BMO.PR.T FixedReset Disc 132,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 3.62 %
MFC.PR.M FixedReset Ins Non 111,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 3.71 %
BMO.PR.E FixedReset Disc 100,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.89
Evaluated at bid price : 23.77
Bid-YTW : 3.51 %
BNS.PR.Z FixedReset Bank Non 100,235 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 1.79 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 20.60 – 21.78
Spot Rate : 1.1800
Average : 0.6662

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

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

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

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

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

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

January 20, 2021

PerpetualDiscounts now yield 5.04%, equivalent to 6.55% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is unchanged at the 370bp reported December 30.

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 0.8678 % 2,031.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8678 % 3,727.6
Floater 4.26 % 4.29 % 44,992 16.83 3 0.8678 % 2,148.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0293 % 3,635.7
SplitShare 4.70 % 4.29 % 38,938 3.73 8 -0.0293 % 4,341.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0293 % 3,387.7
Perpetual-Premium 5.34 % -4.94 % 66,531 0.09 18 0.0239 % 3,233.4
Perpetual-Discount 5.00 % 5.04 % 69,052 15.40 13 -0.0980 % 3,693.0
FixedReset Disc 4.90 % 3.79 % 141,278 17.48 56 0.2996 % 2,393.1
Insurance Straight 5.03 % 4.81 % 87,422 15.35 22 0.0550 % 3,570.6
FloatingReset 2.48 % 0.34 % 25,937 0.12 3 0.7618 % 1,928.9
FixedReset Prem 5.12 % 2.95 % 191,960 0.99 20 0.0864 % 2,701.6
FixedReset Bank Non 1.93 % 1.97 % 179,290 1.01 2 0.0200 % 2,884.9
FixedReset Ins Non 4.86 % 3.69 % 88,889 17.59 22 0.0495 % 2,506.7
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.05 %
CM.PR.O FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 3.85 %
TRP.PR.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.38 %
BAM.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.76 %
BAM.PR.X FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.40 %
BAM.PR.C Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 10.07
Evaluated at bid price : 10.07
Bid-YTW : 4.29 %
MFC.PR.L FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.69 %
BAM.PR.B Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.23 %
NA.PR.G FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 22.80
Evaluated at bid price : 23.60
Bid-YTW : 3.58 %
TRP.PR.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.75 %
BNS.PR.I FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 22.52
Evaluated at bid price : 23.14
Bid-YTW : 3.36 %
TRP.PR.D FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.08 %
BIP.PR.A FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.83 %
PWF.PR.P FixedReset Disc 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.K Perpetual-Discount 166,806 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
RY.PR.H FixedReset Disc 102,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 3.39 %
TD.PF.C FixedReset Disc 91,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 3.48 %
BMO.PR.T FixedReset Disc 90,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 3.63 %
TD.PF.B FixedReset Disc 78,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.44 %
TD.PF.A FixedReset Disc 67,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 3.41 %
There were 31 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: 13.00 – 14.75
Spot Rate : 1.7500
Average : 1.1101

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.40 %
BAM.PF.I FixedReset Prem Quote: 25.50 – 26.50
Spot Rate : 1.0000
Average : 0.5964

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.31 %
CU.PR.H Perpetual-Premium Quote: 25.89 – 26.89
Spot Rate : 1.0000
Average : 0.6498

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc Quote: 14.90 – 15.45
Spot Rate : 0.5500
Average : 0.3040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.63 %
IFC.PR.G FixedReset Ins Non Quote: 20.02 – 20.75
Spot Rate : 0.7300
Average : 0.5650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.05 %
BAM.PF.G FixedReset Disc Quote: 17.15 – 17.66
Spot Rate : 0.5100
Average : 0.3807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.81 %
Market Action

January 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 0.7059 % 2,013.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7059 % 3,695.5
Floater 4.29 % 4.34 % 45,123 16.73 3 0.7059 % 2,129.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1971 % 3,636.8
SplitShare 4.69 % 4.28 % 39,417 3.74 8 -0.1971 % 4,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1971 % 3,388.6
Perpetual-Premium 5.34 % -5.99 % 66,504 0.09 18 0.0761 % 3,232.7
Perpetual-Discount 5.00 % 5.04 % 69,837 15.42 13 0.1838 % 3,696.7
FixedReset Disc 4.92 % 3.79 % 142,844 17.50 56 0.0467 % 2,385.9
Insurance Straight 5.04 % 4.82 % 86,228 15.34 22 0.1580 % 3,568.7
FloatingReset 2.50 % 0.66 % 27,003 0.12 3 0.1650 % 1,914.3
FixedReset Prem 5.13 % 3.02 % 194,344 0.99 20 -0.0275 % 2,699.2
FixedReset Bank Non 1.93 % 1.97 % 181,562 1.02 2 -0.0200 % 2,884.3
FixedReset Ins Non 4.86 % 3.74 % 89,920 17.57 22 -0.2244 % 2,505.5
Performance Highlights
Issue Index Change Notes
IAF.PR.G FixedReset Ins Non -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 4.45 %
BAM.PF.E FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.81 %
PWF.PR.T FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.08 %
NA.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.62 %
SLF.PR.H FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.55 %
TRP.PR.F FloatingReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 4.19 %
PWF.PR.P FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 4.19 %
BIP.PR.A FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.98 %
BAM.PR.B Floater 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 10.08
Evaluated at bid price : 10.08
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 122,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 2.71 %
TD.PF.I FixedReset Disc 82,695 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 23.70
Evaluated at bid price : 24.05
Bid-YTW : 3.65 %
MFC.PR.F FixedReset Ins Non 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 12.87
Evaluated at bid price : 12.87
Bid-YTW : 3.62 %
TD.PF.H FixedReset Prem 56,898 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.74 %
RS.PR.A SplitShare 43,110 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.25
Bid-YTW : 4.77 %
PWF.PR.Z Perpetual-Premium 25,770 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.04 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RS.PR.A SplitShare Quote: 10.25 – 11.69
Spot Rate : 1.4400
Average : 0.8007

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.25
Bid-YTW : 4.77 %
MFC.PR.N FixedReset Ins Non Quote: 20.10 – 21.10
Spot Rate : 1.0000
Average : 0.6384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.67 %
TRP.PR.E FixedReset Disc Quote: 15.50 – 16.33
Spot Rate : 0.8300
Average : 0.5128

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.83 %
POW.PR.G Perpetual-Premium Quote: 25.50 – 26.25
Spot Rate : 0.7500
Average : 0.4373

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-18
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : -5.65 %
TRP.PR.F FloatingReset Quote: 11.89 – 12.87
Spot Rate : 0.9800
Average : 0.7020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 4.19 %
BAM.PR.Z FixedReset Disc Quote: 19.10 – 19.67
Spot Rate : 0.5700
Average : 0.3346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.66 %
Market Action

January 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 0.3711 % 1,999.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3711 % 3,669.6
Floater 4.32 % 4.36 % 45,007 16.69 3 0.3711 % 2,114.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2855 % 3,644.0
SplitShare 4.68 % 4.22 % 38,667 3.74 8 0.2855 % 4,351.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2855 % 3,395.3
Perpetual-Premium 5.35 % -6.14 % 65,501 0.08 18 -0.0456 % 3,230.2
Perpetual-Discount 5.01 % 5.05 % 69,810 15.40 13 -0.1266 % 3,689.9
FixedReset Disc 4.92 % 3.78 % 140,167 17.55 56 0.6188 % 2,384.8
Insurance Straight 5.05 % 4.83 % 86,435 15.37 22 0.1067 % 3,563.0
FloatingReset 2.50 % 0.65 % 28,011 0.12 3 0.7480 % 1,911.1
FixedReset Prem 5.13 % 3.01 % 196,757 1.00 20 0.1987 % 2,700.0
FixedReset Bank Non 1.93 % 1.92 % 181,877 1.02 2 0.0200 % 2,884.9
FixedReset Ins Non 4.85 % 3.72 % 89,819 17.61 22 0.7211 % 2,511.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.26 %
TRP.PR.B FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 9.73
Evaluated at bid price : 9.73
Bid-YTW : 4.42 %
CU.PR.F Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.39
Evaluated at bid price : 23.65
Bid-YTW : 4.81 %
SLF.PR.H FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.59 %
IFC.PR.G FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.95 %
BAM.PF.A FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.55 %
SLF.PR.I FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 3.75 %
CM.PR.Y FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.55
Evaluated at bid price : 25.78
Bid-YTW : 3.99 %
IFC.PR.A FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 3.74 %
BMO.PR.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 22.60
Evaluated at bid price : 23.24
Bid-YTW : 3.61 %
MFC.PR.L FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 3.73 %
BAM.PF.G FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 4.74 %
CM.PR.S FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 3.66 %
CU.PR.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 3.91 %
TRP.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 10.86
Evaluated at bid price : 10.86
Bid-YTW : 4.55 %
BIP.PR.A FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.07 %
IFC.PR.C FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 3.82 %
BAM.PR.T FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.64 %
MFC.PR.K FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 3.70 %
TD.PF.J FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 22.89
Evaluated at bid price : 23.19
Bid-YTW : 3.54 %
PWF.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.01 %
MFC.PR.F FixedReset Ins Non 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 3.60 %
IAF.PR.G FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 21.72
Evaluated at bid price : 22.18
Bid-YTW : 3.73 %
CM.PR.O FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 3.77 %
TD.PF.D FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 22.06
Evaluated at bid price : 22.60
Bid-YTW : 3.52 %
SLF.PR.J FloatingReset 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 3.15 %
SLF.PR.G FixedReset Ins Non 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.Q Insurance Straight 76,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 24.78
Evaluated at bid price : 25.05
Bid-YTW : 5.17 %
RY.PR.Z FixedReset Disc 54,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 3.40 %
BAM.PF.A FixedReset Disc 53,078 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.55 %
PWF.PR.H Perpetual-Premium 53,068 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-17
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -13.39 %
SLF.PR.C Insurance Straight 51,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 4.66 %
BMO.PR.D FixedReset Disc 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 24.02
Evaluated at bid price : 24.37
Bid-YTW : 3.78 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.B Floater Quote: 9.90 – 11.05
Spot Rate : 1.1500
Average : 0.9352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.36 %
CU.PR.F Perpetual-Discount Quote: 23.65 – 24.00
Spot Rate : 0.3500
Average : 0.2456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.39
Evaluated at bid price : 23.65
Bid-YTW : 4.81 %
PWF.PR.P FixedReset Disc Quote: 11.95 – 12.45
Spot Rate : 0.5000
Average : 0.3967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.26 %
PWF.PR.Z Perpetual-Premium Quote: 25.36 – 25.73
Spot Rate : 0.3700
Average : 0.2806

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.36
Bid-YTW : 4.98 %
BAM.PR.X FixedReset Disc Quote: 13.13 – 13.44
Spot Rate : 0.3100
Average : 0.2423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 13.13
Evaluated at bid price : 13.13
Bid-YTW : 4.35 %
PWF.PR.S Perpetual-Discount Quote: 24.18 – 24.40
Spot Rate : 0.2200
Average : 0.1582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.73
Evaluated at bid price : 24.18
Bid-YTW : 4.96 %
Market Action

January 15, 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 0.5769 % 1,992.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5769 % 3,656.0
Floater 4.34 % 4.37 % 46,403 16.69 3 0.5769 % 2,107.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0391 % 3,633.6
SplitShare 4.70 % 4.27 % 39,191 3.75 8 0.0391 % 4,339.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0391 % 3,385.7
Perpetual-Premium 5.35 % -9.50 % 68,182 0.09 18 -0.0738 % 3,231.7
Perpetual-Discount 5.00 % 5.05 % 70,360 15.41 13 -0.0696 % 3,694.6
FixedReset Disc 4.96 % 3.88 % 131,305 17.40 57 -0.0910 % 2,370.2
Insurance Straight 5.05 % 4.84 % 84,787 15.36 22 -0.0110 % 3,559.2
FloatingReset 2.52 % 0.61 % 29,162 0.13 3 0.1040 % 1,897.0
FixedReset Prem 5.14 % 3.13 % 206,810 1.00 20 0.0768 % 2,694.6
FixedReset Bank Non 1.93 % 1.95 % 189,354 1.03 2 -0.0400 % 2,884.3
FixedReset Ins Non 4.89 % 3.75 % 91,579 17.54 22 1.1085 % 2,493.1
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 21.68
Evaluated at bid price : 22.03
Bid-YTW : 3.64 %
CM.PR.O FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.88 %
BAM.PR.T FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 4.74 %
PWF.PR.T FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.10 %
BAM.PF.F FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.77 %
CM.PR.Y FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 23.46
Evaluated at bid price : 25.50
Bid-YTW : 4.06 %
GWO.PR.N FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.65 %
BMO.PR.Y FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 3.72 %
TRP.PR.F FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 4.24 %
NA.PR.S FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 3.78 %
MFC.PR.Q FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.70 %
PWF.PR.P FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.19 %
MFC.PR.I FixedReset Ins Non 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 22.31
Evaluated at bid price : 22.66
Bid-YTW : 3.74 %
IFC.PR.C FixedReset Ins Non 24.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.H FixedReset Ins Non 226,277 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 3.56 %
NA.PR.C FixedReset Disc 190,196 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 23.49
Evaluated at bid price : 24.65
Bid-YTW : 3.89 %
RY.PR.N Perpetual-Premium 125,416 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-14
Maturity Price : 26.00
Evaluated at bid price : 26.76
Bid-YTW : -21.07 %
CM.PR.R FixedReset Disc 58,352 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 23.93
Evaluated at bid price : 24.30
Bid-YTW : 3.97 %
SLF.PR.B Insurance Straight 56,663 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.86 %
TD.PF.M FixedReset Prem 38,059 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 23.51
Evaluated at bid price : 25.65
Bid-YTW : 3.95 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.B Floater Quote: 9.90 – 11.05
Spot Rate : 1.1500
Average : 0.6998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.36 %
PWF.PR.F Perpetual-Premium Quote: 25.00 – 25.99
Spot Rate : 0.9900
Average : 0.5736

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 2.29 %
CM.PR.T FixedReset Disc Quote: 25.02 – 25.63
Spot Rate : 0.6100
Average : 0.3622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 23.34
Evaluated at bid price : 25.02
Bid-YTW : 3.89 %
TD.PF.D FixedReset Disc Quote: 22.03 – 22.65
Spot Rate : 0.6200
Average : 0.4214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 21.68
Evaluated at bid price : 22.03
Bid-YTW : 3.64 %
TRP.PR.D FixedReset Disc Quote: 15.56 – 16.30
Spot Rate : 0.7400
Average : 0.5480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 4.86 %
BAM.PR.T FixedReset Disc Quote: 14.87 – 15.49
Spot Rate : 0.6200
Average : 0.4316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-15
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 4.74 %