Market Action

February 5, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3466 % 2,126.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3466 % 3,901.5
Floater 4.07 % 4.10 % 51,474 17.18 3 -0.3466 % 2,248.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0024 % 3,636.2
SplitShare 4.69 % 4.40 % 37,068 3.69 8 -0.0024 % 4,342.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0024 % 3,388.2
Perpetual-Premium 5.33 % -5.66 % 68,303 0.09 18 -0.0260 % 3,248.4
Perpetual-Discount 4.95 % 4.70 % 77,025 15.37 13 0.2828 % 3,745.3
FixedReset Disc 4.73 % 3.61 % 156,828 17.86 56 0.4830 % 2,477.8
Insurance Straight 4.96 % 4.60 % 89,156 3.90 22 0.0488 % 3,622.2
FloatingReset 3.41 % 3.86 % 31,289 17.70 2 -0.1179 % 2,023.4
FixedReset Prem 5.12 % 3.04 % 193,318 1.03 20 -0.0626 % 2,714.6
FixedReset Bank Non 1.81 % 1.63 % 188,127 0.98 1 -0.0400 % 2,890.8
FixedReset Ins Non 4.64 % 3.48 % 90,415 18.04 22 0.3617 % 2,627.2
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 3.00 %
PWF.PR.P FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.94 %
MFC.PR.I FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 3.52 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 3.53 %
BMO.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.44 %
GWO.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.54 %
TD.PF.A FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.25 %
TRP.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.47 %
CU.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 3.64 %
NA.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.61 %
TD.PF.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 3.32 %
BAM.PF.G FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.50 %
GWO.PR.I Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.62 %
BMO.PR.T FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 3.45 %
BAM.PR.Z FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.50 %
BIP.PR.A FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 21.77
Evaluated at bid price : 22.15
Bid-YTW : 4.52 %
CM.PR.O FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.56 %
TRP.PR.B FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 3.94 %
BNS.PR.I FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 23.08
Evaluated at bid price : 24.22
Bid-YTW : 3.14 %
BAM.PR.R FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.42 %
TRP.PR.F FloatingReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.86 %
TRP.PR.D FixedReset Disc 4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 113,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 22.45
Evaluated at bid price : 22.77
Bid-YTW : 3.32 %
MFC.PR.H FixedReset Ins Non 107,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 24.51
Evaluated at bid price : 24.86
Bid-YTW : 3.63 %
BMO.PR.B FixedReset Prem 106,718 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 2.53 %
CU.PR.F Perpetual-Discount 94,737 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 23.73
Evaluated at bid price : 23.99
Bid-YTW : 4.68 %
TD.PF.G FixedReset Prem 85,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.27 %
MFC.PR.F FixedReset Ins Non 64,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-05
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.46 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 21.50 – 23.48
Spot Rate : 1.9800
Average : 1.0874

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

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

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

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

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

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

February 4, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4430 % 2,133.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4430 % 3,915.1
Floater 4.05 % 4.09 % 52,043 17.22 3 0.4430 % 2,256.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1514 % 3,636.3
SplitShare 4.69 % 4.34 % 38,593 3.69 8 0.1514 % 4,342.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1514 % 3,388.2
Perpetual-Premium 5.33 % -5.29 % 70,727 0.09 18 0.4047 % 3,249.3
Perpetual-Discount 4.96 % 4.91 % 73,909 15.36 13 0.1700 % 3,734.8
FixedReset Disc 4.76 % 3.63 % 154,186 17.79 56 0.6861 % 2,465.9
Insurance Straight 4.97 % 4.58 % 92,303 4.09 22 0.3575 % 3,620.4
FloatingReset 3.41 % 2.92 % 23,318 19.91 2 3.8367 % 2,025.8
FixedReset Prem 5.11 % 2.73 % 192,337 0.95 20 0.0627 % 2,716.3
FixedReset Bank Non 1.80 % 1.59 % 190,110 0.98 1 0.0000 % 2,892.0
FixedReset Ins Non 4.65 % 3.50 % 93,194 18.02 22 1.1520 % 2,617.7
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.56 %
NA.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 3.66 %
BAM.PR.X FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.18 %
IFC.PR.E Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 4.34 %
GWO.PR.T Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.87
Bid-YTW : 4.63 %
MFC.PR.J FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.59
Evaluated at bid price : 22.90
Bid-YTW : 3.52 %
CM.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.39
Evaluated at bid price : 22.70
Bid-YTW : 3.33 %
TRP.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 4.52 %
CM.PR.P FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 3.57 %
BAM.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.50 %
SLF.PR.D Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.58 %
MFC.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 3.54 %
TD.PF.J FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.03
Evaluated at bid price : 23.84
Bid-YTW : 3.39 %
BAM.PF.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.40 %
SLF.PR.H FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.43 %
SLF.PR.I FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 3.47 %
SLF.PR.B Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-06
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -13.29 %
IAF.PR.G FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.46
Evaluated at bid price : 23.90
Bid-YTW : 3.45 %
TD.PF.D FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.39 %
MFC.PR.L FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 3.58 %
MFC.PR.G FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.23
Evaluated at bid price : 23.83
Bid-YTW : 3.50 %
TRP.PR.E FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.41 %
TRP.PR.G FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.62 %
TRP.PR.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 4.21 %
CM.PR.Q FixedReset Disc 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 21.81
Evaluated at bid price : 22.22
Bid-YTW : 3.58 %
IFC.PR.G FixedReset Ins Non 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 21.49
Evaluated at bid price : 21.86
Bid-YTW : 3.67 %
IFC.PR.C FixedReset Ins Non 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.65 %
SLF.PR.G FixedReset Ins Non 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 3.43 %
TRP.PR.F FloatingReset 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 12.69
Evaluated at bid price : 12.69
Bid-YTW : 3.96 %
IFC.PR.A FixedReset Ins Non 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.45 %
SLF.PR.J FloatingReset 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 2.92 %
CU.PR.C FixedReset Disc 5.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 3.68 %
CU.PR.H Perpetual-Premium 5.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.86
Bid-YTW : 3.72 %
TRP.PR.B FixedReset Disc 5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 10.73
Evaluated at bid price : 10.73
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 201,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.39 %
TD.PF.G FixedReset Prem 171,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.25 %
MFC.PR.F FixedReset Ins Non 109,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 3.47 %
BAM.PR.X FixedReset Disc 84,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.18 %
BNS.PR.E FixedReset Prem 80,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.47 %
CM.PR.R FixedReset Disc 66,973 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.74
Evaluated at bid price : 25.00
Bid-YTW : 3.78 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 16.50 – 17.19
Spot Rate : 0.6900
Average : 0.3966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.56 %
BIK.PR.A FixedReset Prem Quote: 25.87 – 26.20
Spot Rate : 0.3300
Average : 0.2167

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.87 %
PWF.PR.S Perpetual-Discount Quote: 24.26 – 24.65
Spot Rate : 0.3900
Average : 0.2868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 23.99
Evaluated at bid price : 24.26
Bid-YTW : 4.96 %
IFC.PR.F Insurance Straight Quote: 25.91 – 26.25
Spot Rate : 0.3400
Average : 0.2428

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.91
Bid-YTW : 4.77 %
GWO.PR.N FixedReset Ins Non Quote: 12.16 – 12.59
Spot Rate : 0.4300
Average : 0.3444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 3.59 %
BAM.PR.X FixedReset Disc Quote: 13.64 – 13.98
Spot Rate : 0.3400
Average : 0.2701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-04
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.18 %
Market Action

February 3, 2021

PerpetualDiscounts now yield 4.96%, equivalent to 6.45% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply narrower at 355bp than the 370bp reported January 20.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 2.7308 % 2,124.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.7308 % 3,897.8
Floater 4.07 % 4.10 % 52,299 17.19 3 2.7308 % 2,246.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0269 % 3,630.8
SplitShare 4.70 % 4.49 % 38,656 4.17 8 0.0269 % 4,336.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0269 % 3,383.1
Perpetual-Premium 5.35 % -4.65 % 71,647 0.09 18 -0.1025 % 3,236.2
Perpetual-Discount 4.97 % 4.96 % 73,775 15.37 13 0.5407 % 3,728.4
FixedReset Disc 4.79 % 3.69 % 147,512 17.71 56 0.7625 % 2,449.1
Insurance Straight 4.98 % 4.65 % 91,346 4.10 22 0.4832 % 3,607.5
FloatingReset 3.54 % 3.04 % 24,178 17.20 2 0.5076 % 1,950.9
FixedReset Prem 5.12 % 3.30 % 193,621 1.04 20 0.0039 % 2,714.6
FixedReset Bank Non 1.80 % 1.58 % 185,911 0.98 1 0.2004 % 2,892.0
FixedReset Ins Non 4.71 % 3.56 % 93,818 17.89 22 1.5974 % 2,587.9
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Premium -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.24
Evaluated at bid price : 24.57
Bid-YTW : 5.33 %
CU.PR.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 3.88 %
CU.PR.E Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.44 %
BAM.PF.C Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.98
Evaluated at bid price : 24.25
Bid-YTW : 5.05 %
CM.PR.O FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 3.64 %
TD.PF.J FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 3.48 %
BMO.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.75
Evaluated at bid price : 23.50
Bid-YTW : 3.49 %
GWO.PR.H Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.92 %
MFC.PR.M FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 3.65 %
RY.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.74
Evaluated at bid price : 23.55
Bid-YTW : 3.21 %
BAM.PR.R FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.49 %
SLF.PR.C Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.14
Evaluated at bid price : 24.39
Bid-YTW : 4.60 %
NA.PR.W FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 3.64 %
CU.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.71 %
MFC.PR.C Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 4.62 %
MFC.PR.Q FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.20
Evaluated at bid price : 22.52
Bid-YTW : 3.54 %
TD.PF.K FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.62
Evaluated at bid price : 23.25
Bid-YTW : 3.44 %
MFC.PR.N FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 3.58 %
MFC.PR.K FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.56 %
TRP.PR.B FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.23 %
IAF.PR.B Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 4.67 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 3.92 %
RY.PR.M FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 21.61
Evaluated at bid price : 21.95
Bid-YTW : 3.43 %
MFC.PR.I FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.22
Evaluated at bid price : 23.62
Bid-YTW : 3.57 %
IFC.PR.A FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.58 %
BAM.PF.E FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.57 %
BAM.PF.F FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.50 %
TRP.PR.D FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.49 %
TRP.PR.C FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 4.32 %
MFC.PR.F FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 3.50 %
PWF.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.90 %
SLF.PR.J FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.04 %
MFC.PR.G FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.81
Evaluated at bid price : 23.40
Bid-YTW : 3.57 %
MFC.PR.J FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.36
Evaluated at bid price : 22.65
Bid-YTW : 3.56 %
MFC.PR.H FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.39
Evaluated at bid price : 24.76
Bid-YTW : 3.64 %
IAF.PR.G FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.10
Evaluated at bid price : 23.55
Bid-YTW : 3.50 %
TRP.PR.G FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.72 %
BAM.PR.B Floater 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.10 %
IFC.PR.G FixedReset Ins Non 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.81 %
CM.PR.S FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.16
Evaluated at bid price : 22.45
Bid-YTW : 3.37 %
TRP.PR.A FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.57 %
BAM.PR.K Floater 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.12 %
BAM.PR.C Floater 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.10 %
SLF.PR.I FixedReset Ins Non 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 21.91
Evaluated at bid price : 22.45
Bid-YTW : 3.53 %
TRP.PR.E FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 4.50 %
SLF.PR.G FixedReset Ins Non 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 12.98
Evaluated at bid price : 12.98
Bid-YTW : 3.56 %
IAF.PR.I FixedReset Ins Non 4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.05
Evaluated at bid price : 23.85
Bid-YTW : 3.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Disc 639,135 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.78
Evaluated at bid price : 24.97
Bid-YTW : 4.92 %
RY.PR.J FixedReset Disc 606,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 22.20
Evaluated at bid price : 22.80
Bid-YTW : 3.43 %
BAM.PR.X FixedReset Disc 362,145 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.22 %
BAM.PF.E FixedReset Disc 127,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.57 %
CM.PR.R FixedReset Disc 108,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 23.74
Evaluated at bid price : 25.00
Bid-YTW : 3.78 %
TRP.PR.B FixedReset Disc 65,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.23 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 24.57 – 25.95
Spot Rate : 1.3800
Average : 0.8487

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.24
Evaluated at bid price : 24.57
Bid-YTW : 5.33 %
SLF.PR.E Insurance Straight Quote: 24.37 – 24.87
Spot Rate : 0.5000
Average : 0.3441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 24.12
Evaluated at bid price : 24.37
Bid-YTW : 4.65 %
SLF.PR.J FloatingReset Quote: 12.25 – 12.75
Spot Rate : 0.5000
Average : 0.3565

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.04 %
GWO.PR.P Insurance Straight Quote: 25.33 – 25.77
Spot Rate : 0.4400
Average : 0.2987

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-05
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -4.45 %
BAM.PR.Z FixedReset Disc Quote: 19.37 – 19.81
Spot Rate : 0.4400
Average : 0.3204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 4.59 %
TRP.PR.B FixedReset Disc Quote: 10.16 – 10.70
Spot Rate : 0.5400
Average : 0.4234

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-03
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.23 %
Market Action

February 2, 2021

unicorn_210202
Click for Big

TXPR closed at 636.13, up 1.11% on the day. Volume today was 3.07-million, near the high-end of daily volumes in the past 20 trading days.

CPD closed at 12.64, up 0.72% on the day. Volume was 87,284, perhaps a little above the median of the past 20 trading days.

ZPR closed at 10.18, up 0.49% on the day. Volume of 195,947 was above the median of the past 20 trading days.

Five-year Canada yields were up 1bp to 0.43% today.

Today’s pop can be ascribed to the Empire Life intent to issue LRCNs to finance the redemption of EML.PR.A.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 4.0243 % 2,067.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.0243 % 3,794.2
Floater 4.18 % 4.22 % 48,259 16.95 3 4.0243 % 2,186.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0171 % 3,629.9
SplitShare 4.70 % 4.45 % 38,764 4.17 8 0.0171 % 4,334.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0171 % 3,382.2
Perpetual-Premium 5.34 % -4.30 % 74,381 0.09 18 0.2286 % 3,239.5
Perpetual-Discount 4.98 % 4.97 % 73,914 15.43 13 0.1010 % 3,708.4
FixedReset Disc 4.82 % 3.70 % 147,740 17.68 56 0.6432 % 2,430.6
Insurance Straight 5.01 % 4.74 % 94,401 15.30 22 0.3605 % 3,590.2
FloatingReset 2.48 % 0.49 % 27,436 0.08 3 0.0203 % 1,941.1
FixedReset Prem 5.12 % 3.41 % 192,570 1.04 20 0.2356 % 2,714.5
FixedReset Bank Non 1.79 % 1.62 % 188,343 0.98 2 -0.1601 % 2,886.2
FixedReset Ins Non 4.78 % 3.63 % 87,405 17.77 22 1.4454 % 2,547.2
Performance Highlights
Issue Index Change Notes
TD.PF.K FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.42
Evaluated at bid price : 22.92
Bid-YTW : 3.50 %
TRP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.29 %
IFC.PR.I Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.70 %
GWO.PR.T Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.70
Bid-YTW : 4.79 %
BAM.PF.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 4.60 %
RY.PR.S FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.60
Evaluated at bid price : 23.28
Bid-YTW : 3.25 %
GWO.PR.I Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.69 %
MFC.PR.K FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.62 %
NA.PR.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 3.57 %
BMO.PR.F FixedReset Prem 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.73 %
SLF.PR.H FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 3.51 %
BNS.PR.I FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.81
Evaluated at bid price : 23.65
Bid-YTW : 3.25 %
TD.PF.D FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.27
Evaluated at bid price : 22.94
Bid-YTW : 3.46 %
TD.PF.J FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.00
Evaluated at bid price : 23.30
Bid-YTW : 3.52 %
MFC.PR.J FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.63 %
IFC.PR.G FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.91 %
MFC.PR.M FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.69 %
SLF.PR.I FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 3.65 %
IFC.PR.A FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 3.64 %
PWF.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.98 %
IAF.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.57
Evaluated at bid price : 23.00
Bid-YTW : 3.59 %
RY.PR.J FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.15
Evaluated at bid price : 22.71
Bid-YTW : 3.44 %
MFC.PR.L FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 3.67 %
BAM.PF.E FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.65 %
MFC.PR.I FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.84
Evaluated at bid price : 23.24
Bid-YTW : 3.63 %
MFC.PR.Q FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 21.97
Evaluated at bid price : 22.21
Bid-YTW : 3.60 %
TRP.PR.C FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.40 %
IFC.PR.C FixedReset Ins Non 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 3.81 %
MFC.PR.G FixedReset Ins Non 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 22.20
Evaluated at bid price : 22.92
Bid-YTW : 3.63 %
BAM.PR.K Floater 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.21
Evaluated at bid price : 10.21
Bid-YTW : 4.24 %
BAM.PR.B Floater 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.20 %
BAM.PR.C Floater 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.22 %
BAM.PR.X FixedReset Disc 7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Disc 152,912 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.82
Evaluated at bid price : 25.05
Bid-YTW : 3.70 %
BAM.PR.X FixedReset Disc 130,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.22 %
GWO.PR.N FixedReset Ins Non 124,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 3.57 %
BAM.PF.F FixedReset Disc 112,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.58 %
TRP.PR.A FixedReset Disc 107,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.70 %
MFC.PR.F FixedReset Ins Non 100,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.57 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Z FixedReset Bank Non Quote: 24.91 – 25.50
Spot Rate : 0.5900
Average : 0.3146

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 2.17 %
IFC.PR.I Perpetual-Premium Quote: 26.35 – 27.03
Spot Rate : 0.6800
Average : 0.4524

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.70 %
GWO.PR.R Insurance Straight Quote: 24.56 – 25.13
Spot Rate : 0.5700
Average : 0.3546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 24.30
Evaluated at bid price : 24.56
Bid-YTW : 4.93 %
CU.PR.C FixedReset Disc Quote: 18.60 – 19.20
Spot Rate : 0.6000
Average : 0.3979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.90 %
BAM.PR.M Perpetual-Discount Quote: 23.45 – 23.99
Spot Rate : 0.5400
Average : 0.3704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 5.11 %
TRP.PR.G FixedReset Disc Quote: 17.49 – 17.99
Spot Rate : 0.5000
Average : 0.3328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-02
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 4.83 %
Issue Comments

Empire Life Intends To Redeem EML.PR.A If OSFI Stops Dithering On LRCNs

The Empire Life Insurance Company has announced:

that it has filed a preliminary short form prospectus (the “Prospectus”) in connection with an offering of Limited Recourse Capital Notes, Series 1 (Subordinated Indebtedness) (the “Notes”). The offering will be conducted on an agency basis by a syndicate of dealers co-led by Scotia Capital Inc., CIBC World Markets Inc. and RBC Dominion Securities Inc., as Joint Bookrunners and Co-Lead Managers, along with BMO Nesbitt Burns Inc., National Bank Financial Inc. and TD Securities Inc., as Co-Managers (collectively, the “Agents”).

If issued, the Notes will bear interest at a fixed rate to be determined by Empire Life and the Agents in the context of the market, payable semi-annually, for the initial period ending on but excluding April 17, 2026. Thereafter, the interest rate on the Notes will reset every five years. The offering will be priced in the context of the market with the price and other final terms to be determined at the time of entering into a formal agency agreement with the Agents for the offering. The Notes will mature on April 17, 2081.

Concurrently with the issuance of the Notes, Empire Life will issue Non-Cumulative 5-Year Fixed Rate Reset Preferred Shares, Series 5 (the “Preferred Shares Series 5”) to be held by Computershare Trust Company of Canada as trustee for a newly-formed trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the Notes when due, the recourse of each Note holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets, which will consist of Preferred Shares Series 5 except in limited circumstances.

Empire Life may redeem the Notes during the period from March 17 to and including April 17, commencing in 2026 and every five years thereafter, only upon the redemption by Empire Life of the Preferred Shares Series 5 held in the Limited Recourse Trust, in accordance with the terms of such shares and with the prior written approval of the Superintendent of Financial Institutions (Canada) (the “Superintendent”), in whole but not in part on not less than 15 nor more than 60 days’ prior notice.

The purpose of the sale of the Notes is to enlarge Empire Life’s Tier 1 capital base with a view to optimizing Empire Life’s capital structure within the parameters prescribed by the Superintendent for regulatory capital requirements. The net proceeds from the sale of the Notes, if issued, will be used for general corporate purposes and to redeem Empire Life’s outstanding Non-Cumulative Rate Reset Preferred Shares, Series 1, expected to occur on April 17, 2021, subject to a formal notice being delivered.

The closing of the offering will be subject to certain conditions including, but not limited to, the execution of a formal agency agreement. The Prospectus contains important information relating to the offering and is still subject to completion or amendment. For more information, potential investors should read the Prospectus, which is available on Empire Life’s SEDAR profile at www.sedar.com. There will not be any sale or acceptance of an offer to buy the Notes until a receipt for a final short form prospectus has been issued.

OK, so Empire Life will issue LRCNs at an interest rate yet to be determined. And DBRS assigned a provisional rating of BBB(high) without commenting on the structure.

The interesting thing is, the existence of insurer LRCNs is yet to be determined, although the promise was given by OSFI many, many nap times ago. So this kinda looks like EML and its dealer friends are forcing the issue. Snap it up a little, OSFI! Post-employment plums can always be plucked by persons on another pillar!

Update: 2021-2-11:LRCN size and price announced:

The Empire Life Insurance Company (“Empire Life” or the “Company”) (TSX: EML.PR.A) today announced the size and pricing of its previously announced offering of Limited Recourse Capital Notes, Series 1 (Subordinated Indebtedness) (the “Notes”). Empire Life intends to issue $200 million aggregate principal amount of Notes, which will bear interest at a fixed rate of 3.625%, payable semi-annually, for the initial period ending on but excluding April 17, 2026. Thereafter, the interest rate on the Notes will reset every five years at a rate equal to the 5-year Government of Canada Yield plus 3.082%. The Notes will mature on April 17, 2081.

As previously announced, the offering will be conducted on an agency basis by a syndicate of dealers co-led by Scotiabank, CIBC Capital Markets and RBC Capital Markets, as Joint Bookrunners and Co-Lead Managers, along with BMO Capital Markets, National Bank Financial Markets and TD Securities, as Co-Managers. The expected closing date of the offering of the Notes is on or about February 17, 2021.

In connection with the issuance of the Notes, Empire Life will issue Non-Cumulative 5-Year Fixed Rate Reset Preferred Shares, Series 5 (the “Preferred Shares Series 5”) to be held by Computershare Trust Company of Canada as trustee for a newly-formed trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the Notes when due, the recourse of each Note holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets, which will consist of the Preferred Shares Series 5 except in limited circumstances.

Empire Life may redeem the Notes during the period from March 17 to and including April 17, commencing in 2026 and every five years thereafter, only upon the redemption by Empire Life of the Preferred Shares Series 5 held in the Limited Recourse Trust, in accordance with the terms of such shares and with the prior written approval of the Superintendent of Financial Institutions (Canada) (the “Superintendent”), in whole but not in part, on not less than 15 nor more than 60 days’ prior notice.

The purpose of the sale of the Notes is to enlarge Empire Life’s Tier 1 capital base with a view to optimizing Empire Life’s capital structure within the parameters prescribed by the Superintendent for regulatory capital requirements. As previously announced, the net proceeds from the sale of the Notes will be used for general corporate purposes and to redeem Empire Life’s outstanding Non-Cumulative Rate Reset Preferred Shares, Series 1, expected to occur on April 17, 2021, subject to a formal notice being delivered.

The closing of the offering will be subject to certain conditions. For more information, potential investors should read the final short form prospectus relating to the offering of the Notes and the distribution of the Preferred Shares Series 5, which is available on Empire Life’s SEDAR profile at www.sedar.com.

Market Action

February 1, 2021

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.4662 % 1,987.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4662 % 3,647.4
Floater 4.35 % 4.39 % 44,564 16.61 3 -1.4662 % 2,102.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1346 % 3,629.2
SplitShare 4.70 % 4.48 % 38,932 3.70 8 0.1346 % 4,334.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1346 % 3,381.6
Perpetual-Premium 5.36 % -2.93 % 73,292 0.09 18 -0.1153 % 3,232.1
Perpetual-Discount 4.99 % 4.97 % 69,924 15.42 13 0.0663 % 3,704.6
FixedReset Disc 4.86 % 3.71 % 149,154 17.66 56 0.2160 % 2,415.0
Insurance Straight 5.03 % 4.75 % 94,293 15.28 22 0.0714 % 3,577.3
FloatingReset 2.48 % 0.47 % 26,062 0.08 3 0.1016 % 1,940.7
FixedReset Prem 5.13 % 3.39 % 193,877 1.04 20 -0.0432 % 2,708.2
FixedReset Bank Non 1.78 % 1.62 % 154,801 0.99 2 0.0000 % 2,890.8
FixedReset Ins Non 4.85 % 3.70 % 87,084 17.61 22 -0.2485 % 2,510.9
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.56 %
MFC.PR.G FixedReset Ins Non -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 3.78 %
BAM.PR.C Floater -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 9.82
Evaluated at bid price : 9.82
Bid-YTW : 4.41 %
BAM.PR.B Floater -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.37 %
IAF.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 22.33
Evaluated at bid price : 22.67
Bid-YTW : 3.70 %
IFC.PR.C FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 3.94 %
MFC.PR.J FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.70 %
GWO.PR.N FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 3.60 %
MFC.PR.N FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 3.66 %
BAM.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.47 %
BAM.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.54 %
NA.PR.W FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 3.71 %
BAM.PF.G FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.65 %
BIP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 4.65 %
SLF.PR.H FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.56 %
CM.PR.S FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 3.41 %
BMO.PR.Y FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 3.62 %
IFC.PR.A FixedReset Ins Non 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.T FixedReset Disc 474,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.54 %
PWF.PR.O Perpetual-Premium 141,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-03
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -12.19 %
CM.PR.T FixedReset Disc 111,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 23.40
Evaluated at bid price : 25.16
Bid-YTW : 3.85 %
GWO.PR.Q Insurance Straight 106,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.96 %
BMO.PR.C FixedReset Disc 102,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 23.80
Evaluated at bid price : 25.00
Bid-YTW : 3.71 %
BAM.PF.I FixedReset Prem 58,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.94 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.F FloatingReset Quote: 24.99 – 25.88
Spot Rate : 0.8900
Average : 0.4734

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-04
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 0.47 %
MFC.PR.G FixedReset Ins Non Quote: 22.15 – 22.90
Spot Rate : 0.7500
Average : 0.4437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 3.78 %
BAM.PR.X FixedReset Disc Quote: 12.52 – 13.31
Spot Rate : 0.7900
Average : 0.4929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.56 %
MFC.PR.L FixedReset Ins Non Quote: 18.76 – 19.70
Spot Rate : 0.9400
Average : 0.6608

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc Quote: 22.25 – 22.74
Spot Rate : 0.4900
Average : 0.3668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 21.84
Evaluated at bid price : 22.25
Bid-YTW : 3.53 %
CM.PR.T FixedReset Disc Quote: 25.16 – 25.50
Spot Rate : 0.3400
Average : 0.2186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-01
Maturity Price : 23.40
Evaluated at bid price : 25.16
Bid-YTW : 3.85 %
Market Action

January 29, 2021

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

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

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

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

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

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

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

January 28, 2021

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

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

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

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

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

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

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

January 27, 2021

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

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

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

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

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

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

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