Archive for June, 2021

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June 16, 2021

Monday, June 28th, 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 -1.6048 % 2,649.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6048 % 4,860.8
Floater 3.28 % 3.27 % 104,512 19.08 3 -1.6048 % 2,801.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0193 % 3,691.8
SplitShare 4.63 % 3.92 % 38,730 3.42 6 0.0193 % 4,408.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0193 % 3,439.9
Perpetual-Premium 5.12 % -1.63 % 65,793 0.09 30 -0.0608 % 3,306.1
Perpetual-Discount 4.65 % 4.68 % 50,455 16.07 4 0.0609 % 3,919.2
FixedReset Disc 4.02 % 3.57 % 154,247 18.18 40 0.0725 % 2,789.4
Insurance Straight 4.91 % -2.40 % 88,923 0.09 22 -0.1143 % 3,706.1
FloatingReset 2.76 % 3.01 % 46,194 19.70 2 0.8140 % 2,593.7
FixedReset Prem 4.83 % 3.19 % 204,192 2.38 33 -0.1202 % 2,751.9
FixedReset Bank Non 1.80 % 2.04 % 114,087 0.62 1 0.0000 % 2,893.1
FixedReset Ins Non 4.20 % 3.44 % 151,687 18.15 21 -0.1122 % 2,885.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -8.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.23 %
BAM.PR.B Floater -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.27 %
SLF.PR.H FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.48 %
IFC.PR.A FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 3.37 %
BAM.PR.K Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.27 %
TRP.PR.D FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.99 %
TRP.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 22.68
Evaluated at bid price : 23.70
Bid-YTW : 3.83 %
TD.PF.B FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 22.62
Evaluated at bid price : 23.33
Bid-YTW : 3.39 %
BAM.PR.C Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 13.04
Evaluated at bid price : 13.04
Bid-YTW : 3.28 %
IFC.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 23.58
Evaluated at bid price : 25.00
Bid-YTW : 3.41 %
IFC.PR.C FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 23.06
Evaluated at bid price : 23.99
Bid-YTW : 3.56 %
PWF.PR.P FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 3.62 %
MFC.PR.H FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.09 %
PWF.PR.T FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 3.53 %
BAM.PR.T FixedReset Disc 8.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.97 %
BAM.PR.R FixedReset Disc 12.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 3.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 127,840 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.32 %
NA.PR.G FixedReset Prem 58,059 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 23.60
Evaluated at bid price : 25.31
Bid-YTW : 3.61 %
IFC.PR.G FixedReset Ins Non 49,411 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 23.58
Evaluated at bid price : 25.00
Bid-YTW : 3.41 %
TD.PF.H FixedReset Prem 48,154 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 1.69 %
BAM.PR.C Floater 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 13.04
Evaluated at bid price : 13.04
Bid-YTW : 3.28 %
RY.PR.S FixedReset Prem 31,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 23.47
Evaluated at bid price : 25.10
Bid-YTW : 3.29 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 17.11 – 18.76
Spot Rate : 1.6500
Average : 0.9159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.23 %
BAM.PR.B Floater Quote: 13.10 – 13.80
Spot Rate : 0.7000
Average : 0.4342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.27 %
SLF.PR.H FixedReset Ins Non Quote: 21.50 – 22.52
Spot Rate : 1.0200
Average : 0.8127

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.48 %
NA.PR.G FixedReset Prem Quote: 25.31 – 26.22
Spot Rate : 0.9100
Average : 0.7248

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 23.60
Evaluated at bid price : 25.31
Bid-YTW : 3.61 %
BAM.PR.K Floater Quote: 13.10 – 13.75
Spot Rate : 0.6500
Average : 0.5337

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.27 %
TD.PF.B FixedReset Disc Quote: 23.33 – 23.74
Spot Rate : 0.4100
Average : 0.3055

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-16
Maturity Price : 22.62
Evaluated at bid price : 23.33
Bid-YTW : 3.39 %

Posted in Market Action | No Comments »

June 15, 2021

Monday, June 28th, 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 -1.9907 % 2,692.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.9907 % 4,940.1
Floater 3.23 % 3.22 % 102,452 19.20 3 -1.9907 % 2,847.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1094 % 3,691.1
SplitShare 4.63 % 4.01 % 50,558 3.94 6 -0.1094 % 4,408.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1094 % 3,439.3
Perpetual-Premium 5.11 % -4.50 % 66,515 0.09 30 -0.0233 % 3,308.1
Perpetual-Discount 4.65 % 4.68 % 52,520 16.07 4 -0.3739 % 3,916.8
FixedReset Disc 4.03 % 3.57 % 154,883 18.18 40 -0.8015 % 2,787.4
Insurance Straight 4.91 % -2.35 % 85,769 0.09 22 0.0000 % 3,710.3
FloatingReset 2.78 % 3.03 % 46,595 19.65 2 -0.1875 % 2,572.8
FixedReset Prem 4.83 % 2.97 % 200,306 1.49 33 -0.0954 % 2,755.2
FixedReset Bank Non 1.80 % 2.03 % 114,827 0.62 1 0.0000 % 2,893.1
FixedReset Ins Non 4.19 % 3.46 % 153,307 18.13 21 -0.4035 % 2,888.9
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -11.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.47 %
BAM.PR.T FixedReset Disc -9.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.31 %
BAM.PR.C Floater -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 13.18
Evaluated at bid price : 13.18
Bid-YTW : 3.25 %
NA.PR.G FixedReset Prem -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 23.60
Evaluated at bid price : 25.31
Bid-YTW : 3.61 %
BAM.PR.X FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.87 %
PWF.PR.T FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 22.48
Evaluated at bid price : 23.00
Bid-YTW : 3.63 %
BIP.PR.A FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 22.19
Evaluated at bid price : 22.75
Bid-YTW : 4.69 %
MFC.PR.H FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 24.26
Evaluated at bid price : 24.75
Bid-YTW : 3.98 %
SLF.PR.H FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 21.54
Evaluated at bid price : 21.87
Bid-YTW : 3.39 %
BAM.PR.K Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.22 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.19 %
MFC.PR.M FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 22.67
Evaluated at bid price : 23.51
Bid-YTW : 3.44 %
PWF.PR.F Perpetual-Premium -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -10.59 %
MFC.PR.L FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 22.44
Evaluated at bid price : 23.00
Bid-YTW : 3.33 %
IFC.PR.C FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 22.65
Evaluated at bid price : 23.75
Bid-YTW : 3.58 %
TRP.PR.G FixedReset Disc 4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 22.84
Evaluated at bid price : 24.05
Bid-YTW : 3.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.C Insurance Straight 91,231 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 4.51 %
CM.PR.R FixedReset Prem 90,248 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.42 %
BAM.PR.R FixedReset Disc 85,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.47 %
BAM.PR.K Floater 72,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.22 %
BAM.PR.B Floater 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.19 %
BAM.PF.I FixedReset Prem 41,106 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 1.76 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 17.52 – 19.90
Spot Rate : 2.3800
Average : 1.3987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.47 %
BAM.PR.T FixedReset Disc Quote: 18.30 – 20.28
Spot Rate : 1.9800
Average : 1.1250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.31 %
NA.PR.G FixedReset Prem Quote: 25.31 – 26.15
Spot Rate : 0.8400
Average : 0.5217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 23.60
Evaluated at bid price : 25.31
Bid-YTW : 3.61 %
SLF.PR.H FixedReset Ins Non Quote: 21.87 – 22.75
Spot Rate : 0.8800
Average : 0.5854

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 21.54
Evaluated at bid price : 21.87
Bid-YTW : 3.39 %
TRP.PR.F FloatingReset Quote: 16.69 – 17.60
Spot Rate : 0.9100
Average : 0.6181

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 3.03 %
IAF.PR.I FixedReset Ins Non Quote: 25.20 – 26.00
Spot Rate : 0.8000
Average : 0.5459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-15
Maturity Price : 23.71
Evaluated at bid price : 25.20
Bid-YTW : 3.55 %

Posted in Market Action | No Comments »

June 14, 2021

Monday, June 28th, 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 -1.0698 % 2,746.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0698 % 5,040.4
Floater 3.16 % 3.15 % 94,599 19.37 3 -1.0698 % 2,904.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0193 % 3,695.1
SplitShare 4.63 % 3.94 % 48,106 3.95 6 -0.0193 % 4,412.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0193 % 3,443.0
Perpetual-Premium 5.11 % -3.63 % 66,227 0.09 30 -0.1164 % 3,308.9
Perpetual-Discount 4.64 % 4.56 % 58,931 16.27 4 0.2330 % 3,931.5
FixedReset Disc 3.99 % 3.55 % 151,652 18.18 40 -0.1735 % 2,809.9
Insurance Straight 4.91 % -2.70 % 88,864 0.09 22 -0.1320 % 3,710.3
FloatingReset 2.77 % 3.03 % 46,161 19.66 2 -0.5284 % 2,577.6
FixedReset Prem 4.82 % 2.85 % 202,940 2.27 33 -0.3344 % 2,757.8
FixedReset Bank Non 1.80 % 2.02 % 115,934 0.63 1 -0.2393 % 2,893.1
FixedReset Ins Non 4.18 % 3.44 % 154,113 18.15 21 0.0455 % 2,900.6
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 22.80
Evaluated at bid price : 23.55
Bid-YTW : 3.52 %
TD.PF.M FixedReset Prem -1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.28
Bid-YTW : 3.59 %
GWO.PR.G Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-14
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -9.92 %
BNS.PR.I FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 23.53
Evaluated at bid price : 25.25
Bid-YTW : 3.33 %
TD.PF.J FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 23.71
Evaluated at bid price : 25.27
Bid-YTW : 3.51 %
MFC.PR.I FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 24.35
Evaluated at bid price : 24.70
Bid-YTW : 3.75 %
TD.PF.L FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.73 %
MFC.PR.F FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 3.26 %
BIP.PR.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 22.48
Evaluated at bid price : 23.25
Bid-YTW : 4.58 %
TRP.PR.F FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.03 %
BMO.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 22.83
Evaluated at bid price : 23.75
Bid-YTW : 3.26 %
IFC.PR.A FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.31 %
MFC.PR.M FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 3.38 %
IAF.PR.I FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 23.76
Evaluated at bid price : 25.35
Bid-YTW : 3.52 %
MFC.PR.N FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 22.61
Evaluated at bid price : 23.45
Bid-YTW : 3.37 %
IAF.PR.G FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 24.44
Evaluated at bid price : 24.82
Bid-YTW : 3.68 %
TRP.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.82 %
BAM.PF.E FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 63,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 23.10
Evaluated at bid price : 24.26
Bid-YTW : 3.37 %
BAM.PF.C Perpetual-Premium 52,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.87 %
IFC.PR.G FixedReset Ins Non 40,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 23.55
Evaluated at bid price : 24.93
Bid-YTW : 3.42 %
MFC.PR.Q FixedReset Ins Non 37,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 23.51
Evaluated at bid price : 24.80
Bid-YTW : 3.44 %
NA.PR.W FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 22.75
Evaluated at bid price : 23.70
Bid-YTW : 3.33 %
BMO.PR.D FixedReset Prem 32,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.54 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.A Perpetual-Premium Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.6326

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-14
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : -28.78 %
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.6830

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.61 %
TRP.PR.G FixedReset Disc Quote: 23.00 – 24.27
Spot Rate : 1.2700
Average : 1.0253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-14
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.98 %
BIP.PR.B FixedReset Prem Quote: 25.90 – 27.00
Spot Rate : 1.1000
Average : 0.8844

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.58 %
GWO.PR.G Insurance Straight Quote: 25.26 – 25.80
Spot Rate : 0.5400
Average : 0.3258

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-14
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -9.92 %
GWO.PR.H Insurance Straight Quote: 25.01 – 25.60
Spot Rate : 0.5900
Average : 0.3879

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-14
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 1.78 %

Posted in Market Action | No Comments »

June 11, 2021

Monday, June 28th, 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 0.4641 % 2,776.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4641 % 5,094.9
Floater 3.13 % 3.16 % 93,164 19.24 3 0.4641 % 2,936.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0322 % 3,695.9
SplitShare 4.63 % 3.93 % 49,760 3.95 6 -0.0322 % 4,413.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0322 % 3,443.7
Perpetual-Premium 5.11 % -7.53 % 66,993 0.09 30 -0.0297 % 3,312.7
Perpetual-Discount 4.65 % 4.68 % 50,326 16.07 4 0.0811 % 3,922.4
FixedReset Disc 3.99 % 3.51 % 148,745 18.19 40 0.4518 % 2,814.8
Insurance Straight 4.90 % -3.96 % 88,023 0.09 22 0.0018 % 3,715.2
FloatingReset 2.76 % 3.00 % 47,714 19.74 2 -0.4025 % 2,591.3
FixedReset Prem 4.80 % 2.88 % 205,537 1.49 33 0.2105 % 2,767.1
FixedReset Bank Non 1.80 % 0.85 % 116,413 0.20 1 0.2399 % 2,900.1
FixedReset Ins Non 4.18 % 3.43 % 159,417 18.14 21 -0.0269 % 2,899.3
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.97 %
MFC.PR.M FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.68
Evaluated at bid price : 23.53
Bid-YTW : 3.43 %
MFC.PR.N FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.43
Evaluated at bid price : 23.12
Bid-YTW : 3.43 %
IFC.PR.I Perpetual-Premium -1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.30 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 3.46 %
BMO.PR.S FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 23.00
Evaluated at bid price : 24.04
Bid-YTW : 3.31 %
BAM.PF.J FixedReset Prem 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 2.40 %
BAM.PF.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.57
Evaluated at bid price : 23.18
Bid-YTW : 3.91 %
BMO.PR.T FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.70
Evaluated at bid price : 23.50
Bid-YTW : 3.30 %
BAM.PF.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 3.80 %
IFC.PR.C FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 23.44
Evaluated at bid price : 24.34
Bid-YTW : 3.56 %
BAM.PR.R FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 3.98 %
NA.PR.G FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 2.96 %
RY.PR.Z FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.92
Evaluated at bid price : 23.88
Bid-YTW : 3.21 %
BAM.PR.C Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 3.17 %
MFC.PR.F FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.22 %
BNS.PR.I FixedReset Prem 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 23.65
Evaluated at bid price : 25.64
Bid-YTW : 3.25 %
RY.PR.H FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 23.01
Evaluated at bid price : 24.14
Bid-YTW : 3.20 %
BMO.PR.W FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.85
Evaluated at bid price : 23.87
Bid-YTW : 3.26 %
PWF.PR.P FixedReset Disc 4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.A FixedReset Disc 65,606 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 3.85 %
GWO.PR.L Insurance Straight 56,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-11
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -29.19 %
NA.PR.G FixedReset Prem 43,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 2.96 %
BMO.PR.T FixedReset Disc 37,959 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.70
Evaluated at bid price : 23.50
Bid-YTW : 3.30 %
BMO.PR.S FixedReset Disc 35,338 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 23.00
Evaluated at bid price : 24.04
Bid-YTW : 3.31 %
RY.PR.R FixedReset Prem 31,610 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 1.30 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.D Perpetual-Premium Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.5644

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.04 %
TRP.PR.G FixedReset Disc Quote: 23.00 – 24.19
Spot Rate : 1.1900
Average : 0.7571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.97 %
MFC.PR.N FixedReset Ins Non Quote: 23.12 – 24.00
Spot Rate : 0.8800
Average : 0.5764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.43
Evaluated at bid price : 23.12
Bid-YTW : 3.43 %
TRP.PR.D FixedReset Disc Quote: 21.45 – 22.50
Spot Rate : 1.0500
Average : 0.7594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.89 %
IFC.PR.I Perpetual-Premium Quote: 27.10 – 27.82
Spot Rate : 0.7200
Average : 0.5630

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 4.30 %
MFC.PR.M FixedReset Ins Non Quote: 23.53 – 24.00
Spot Rate : 0.4700
Average : 0.3287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-11
Maturity Price : 22.68
Evaluated at bid price : 23.53
Bid-YTW : 3.43 %

Posted in Market Action | No Comments »

June 10, 2021

Monday, June 28th, 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 1.4874 % 2,763.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4874 % 5,071.4
Floater 3.14 % 3.16 % 96,618 19.25 3 1.4874 % 2,922.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0579 % 3,697.0
SplitShare 4.62 % 3.79 % 39,034 3.44 6 0.0579 % 4,415.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0579 % 3,444.8
Perpetual-Premium 5.11 % -7.24 % 66,174 0.09 30 -0.0646 % 3,313.7
Perpetual-Discount 4.65 % 4.65 % 52,086 16.11 4 -0.0304 % 3,919.2
FixedReset Disc 4.00 % 3.59 % 147,467 18.07 40 -0.5795 % 2,802.2
Insurance Straight 4.90 % -3.22 % 85,878 0.09 22 -0.1407 % 3,715.2
FloatingReset 2.76 % 2.99 % 47,591 19.77 2 -1.3138 % 2,601.8
FixedReset Prem 4.81 % 2.98 % 207,723 2.40 33 -0.2393 % 2,761.2
FixedReset Bank Non 1.80 % 2.00 % 117,097 0.21 1 0.0000 % 2,893.1
FixedReset Ins Non 4.18 % 3.49 % 165,487 18.04 21 -0.5312 % 2,900.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.84 %
BAM.PR.C Floater -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 3.21 %
TRP.PR.B FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 3.79 %
BAM.PF.E FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.18 %
IFC.PR.A FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 3.42 %
TRP.PR.F FloatingReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 2.99 %
RY.PR.H FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.79
Evaluated at bid price : 23.68
Bid-YTW : 3.34 %
IAF.PR.G FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.92
Evaluated at bid price : 24.39
Bid-YTW : 3.79 %
IFC.PR.C FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.10
Evaluated at bid price : 24.02
Bid-YTW : 3.66 %
BMO.PR.W FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.62
Evaluated at bid price : 23.40
Bid-YTW : 3.39 %
TRP.PR.C FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 3.92 %
SLF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 3.48 %
BNS.PR.I FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.53
Evaluated at bid price : 25.25
Bid-YTW : 3.37 %
BMO.PR.T FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.53
Evaluated at bid price : 23.20
Bid-YTW : 3.40 %
BAM.PR.B Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.15 %
TD.PF.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 22.97
Evaluated at bid price : 24.36
Bid-YTW : 3.66 %
TRP.PR.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.95 %
BAM.PR.K Floater 8.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 3.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 40,555 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 3.71 %
BAM.PF.C Perpetual-Premium 40,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 24.77
Evaluated at bid price : 25.06
Bid-YTW : 4.91 %
BAM.PF.F FixedReset Disc 37,773 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.02
Evaluated at bid price : 24.20
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 3.90 %
BAM.PR.Z FixedReset Disc 27,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.83
Evaluated at bid price : 24.21
Bid-YTW : 4.08 %
TRP.PR.K FixedReset Prem 26,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.96 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 15.50 – 16.40
Spot Rate : 0.9000
Average : 0.6961

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.84 %
BAM.PF.E FixedReset Disc Quote: 21.00 – 21.75
Spot Rate : 0.7500
Average : 0.5631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.18 %
BNS.PR.I FixedReset Prem Quote: 25.25 – 25.80
Spot Rate : 0.5500
Average : 0.3897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.53
Evaluated at bid price : 25.25
Bid-YTW : 3.37 %
CU.PR.C FixedReset Disc Quote: 22.00 – 22.47
Spot Rate : 0.4700
Average : 0.3242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 3.71 %
BAM.PR.C Floater Quote: 13.49 – 14.00
Spot Rate : 0.5100
Average : 0.3853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 3.21 %
NA.PR.G FixedReset Prem Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.1865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-10
Maturity Price : 23.77
Evaluated at bid price : 25.90
Bid-YTW : 3.54 %

Posted in Market Action | No Comments »

June 9, 2021

Monday, June 28th, 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 0.0496 % 2,723.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0496 % 4,997.0
Floater 3.19 % 3.12 % 96,816 19.34 3 0.0496 % 2,879.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1224 % 3,694.9
SplitShare 4.63 % 3.59 % 39,021 2.59 6 0.1224 % 4,412.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1224 % 3,442.8
Perpetual-Premium 5.10 % -7.42 % 68,522 0.09 30 -0.0103 % 3,315.9
Perpetual-Discount 4.65 % 4.65 % 51,896 16.12 4 0.0304 % 3,920.4
FixedReset Disc 3.98 % 3.56 % 145,769 18.18 40 -0.3070 % 2,818.5
Insurance Straight 4.89 % -3.93 % 86,368 0.09 22 0.0303 % 3,720.4
FloatingReset 2.73 % 2.94 % 48,118 19.90 2 1.3313 % 2,636.4
FixedReset Prem 4.80 % 2.85 % 209,408 1.49 33 -0.1289 % 2,767.9
FixedReset Bank Non 1.80 % 1.97 % 118,732 0.21 1 0.0000 % 2,893.1
FixedReset Ins Non 4.15 % 3.47 % 167,531 18.06 21 -0.2976 % 2,915.5
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.08 %
MFC.PR.F FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.32 %
TRP.PR.E FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.91 %
SLF.PR.I FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 24.24
Evaluated at bid price : 24.80
Bid-YTW : 3.60 %
BAM.PF.E FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 21.26
Evaluated at bid price : 21.53
Bid-YTW : 4.05 %
MFC.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 22.60
Evaluated at bid price : 23.44
Bid-YTW : 3.42 %
PWF.PR.P FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 3.70 %
TRP.PR.F FloatingReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 2.94 %
SLF.PR.G FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 3.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.D Perpetual-Premium 83,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 24.79
Evaluated at bid price : 25.11
Bid-YTW : 4.95 %
PWF.PR.P FixedReset Disc 60,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 3.70 %
BAM.PF.C Perpetual-Premium 53,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 24.85
Evaluated at bid price : 25.22
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc 39,605 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 3.88 %
TRP.PR.K FixedReset Prem 38,174 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 2.04 %
RY.PR.Z FixedReset Disc 37,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 22.87
Evaluated at bid price : 23.78
Bid-YTW : 3.27 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.57 – 14.25
Spot Rate : 1.6800
Average : 1.4113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.45 %
BIP.PR.B FixedReset Prem Quote: 26.10 – 27.30
Spot Rate : 1.2000
Average : 0.9537

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc Quote: 21.67 – 22.50
Spot Rate : 0.8300
Average : 0.5950

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 3.88 %
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.7952

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.59 %
BAM.PR.X FixedReset Disc Quote: 17.41 – 18.00
Spot Rate : 0.5900
Average : 0.3884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-09
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 3.90 %
BAM.PF.J FixedReset Prem Quote: 25.85 – 26.26
Spot Rate : 0.4100
Average : 0.2507

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.12 %

Posted in Market Action | No Comments »

June 8, 2021

Monday, June 28th, 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 -0.2967 % 2,721.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2967 % 4,994.6
Floater 3.19 % 3.13 % 94,783 19.34 3 -0.2967 % 2,878.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0258 % 3,690.4
SplitShare 4.63 % 3.68 % 38,761 3.45 6 0.0258 % 4,407.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0258 % 3,438.6
Perpetual-Premium 5.10 % -8.96 % 68,038 0.09 30 -0.1535 % 3,316.2
Perpetual-Discount 4.65 % 4.67 % 50,414 16.10 4 0.0304 % 3,919.2
FixedReset Disc 3.97 % 3.57 % 142,500 18.19 40 -0.0253 % 2,827.2
Insurance Straight 4.89 % -3.50 % 89,686 0.09 22 -0.1264 % 3,719.3
FloatingReset 2.76 % 2.99 % 49,941 19.77 2 0.6231 % 2,601.8
FixedReset Prem 4.80 % 2.68 % 209,928 1.49 33 -0.0503 % 2,771.4
FixedReset Bank Non 1.80 % 1.95 % 117,148 0.21 1 -0.0400 % 2,893.1
FixedReset Ins Non 4.14 % 3.38 % 169,462 18.07 21 0.4184 % 2,924.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -6.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.45 %
RY.PR.S FixedReset Prem -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 23.47
Evaluated at bid price : 25.10
Bid-YTW : 3.33 %
CU.PR.I FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.29
Bid-YTW : 3.29 %
CU.PR.E Perpetual-Premium -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.59 %
BAM.PF.G FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 22.40
Evaluated at bid price : 23.11
Bid-YTW : 3.92 %
SLF.PR.A Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-08
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -5.93 %
BIP.PR.B FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.28 %
BAM.PF.B FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 22.37
Evaluated at bid price : 22.86
Bid-YTW : 4.02 %
BMO.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 22.89
Evaluated at bid price : 23.81
Bid-YTW : 3.40 %
BIP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 22.61
Evaluated at bid price : 23.50
Bid-YTW : 4.56 %
CU.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 21.67
Evaluated at bid price : 22.08
Bid-YTW : 3.69 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 22.82
Evaluated at bid price : 23.85
Bid-YTW : 3.37 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 23.05
Evaluated at bid price : 24.33
Bid-YTW : 3.32 %
BNS.PR.I FixedReset Prem 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 23.63
Evaluated at bid price : 25.57
Bid-YTW : 3.31 %
SLF.PR.J FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 2.49 %
SLF.PR.I FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 2.47 %
SLF.PR.H FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 21.78
Evaluated at bid price : 22.22
Bid-YTW : 3.38 %
BIP.PR.E FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.58 %
BAM.PR.B Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
PWF.PR.P FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 3.76 %
BAM.PR.C Floater 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.13 %
SLF.PR.G FixedReset Ins Non 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 3.53 %
TRP.PR.E FixedReset Disc 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 219,374 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.16 %
SLF.PR.G FixedReset Ins Non 205,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 3.53 %
MFC.PR.K FixedReset Ins Non 84,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 22.98
Evaluated at bid price : 23.77
Bid-YTW : 3.34 %
BAM.PR.K Floater 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.45 %
TRP.PR.A FixedReset Disc 74,890 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 3.89 %
BAM.PF.B FixedReset Disc 68,247 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 22.37
Evaluated at bid price : 22.86
Bid-YTW : 4.02 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.5706

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.59 %
BIP.PR.B FixedReset Prem Quote: 26.20 – 27.30
Spot Rate : 1.1000
Average : 0.6837

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.28 %
BAM.PR.K Floater Quote: 12.57 – 13.95
Spot Rate : 1.3800
Average : 1.1168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.45 %
IFC.PR.I Perpetual-Premium Quote: 27.50 – 28.38
Spot Rate : 0.8800
Average : 0.6314

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.50
Bid-YTW : 3.86 %
TD.PF.D FixedReset Disc Quote: 24.45 – 24.94
Spot Rate : 0.4900
Average : 0.3545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 23.03
Evaluated at bid price : 24.45
Bid-YTW : 3.57 %
BAM.PF.D Perpetual-Premium Quote: 25.18 – 25.65
Spot Rate : 0.4700
Average : 0.3700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-08
Maturity Price : 24.86
Evaluated at bid price : 25.18
Bid-YTW : 4.94 %

Posted in Market Action | No Comments »

June 7, 2021

Monday, June 28th, 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 0.9738 % 2,730.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9738 % 5,009.4
Floater 3.18 % 3.22 % 87,659 19.11 3 0.9738 % 2,887.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1352 % 3,689.4
SplitShare 4.63 % 3.64 % 39,128 3.45 6 -0.1352 % 4,406.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1352 % 3,437.7
Perpetual-Premium 5.09 % -8.59 % 68,269 0.09 30 -0.0541 % 3,321.3
Perpetual-Discount 4.65 % 4.65 % 52,216 16.12 4 -0.3134 % 3,918.0
FixedReset Disc 3.97 % 3.54 % 144,224 18.10 40 -0.6101 % 2,827.9
Insurance Straight 4.89 % -5.08 % 87,037 0.09 22 0.0071 % 3,724.0
FloatingReset 2.78 % 2.99 % 51,664 19.77 2 -1.3522 % 2,585.6
FixedReset Prem 4.79 % 2.73 % 211,745 1.50 33 -0.4151 % 2,772.8
FixedReset Bank Non 1.80 % 1.74 % 117,294 0.22 1 -0.2392 % 2,894.3
FixedReset Ins Non 4.16 % 3.49 % 174,974 18.08 21 -0.4187 % 2,912.0
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -4.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 4.02 %
BIP.PR.E FixedReset Disc -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 23.51
Evaluated at bid price : 24.68
Bid-YTW : 5.01 %
PWF.PR.P FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.84 %
CU.PR.I FixedReset Prem -2.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.95 %
CM.PR.P FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.70
Evaluated at bid price : 23.61
Bid-YTW : 3.41 %
TRP.PR.F FloatingReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 2.99 %
BMO.PR.F FixedReset Prem -1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 2.56 %
PWF.PR.T FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 23.03
Evaluated at bid price : 24.00
Bid-YTW : 3.48 %
NA.PR.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 23.49
Evaluated at bid price : 24.71
Bid-YTW : 3.53 %
TD.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 23.05
Evaluated at bid price : 24.55
Bid-YTW : 3.62 %
TD.PF.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.85
Evaluated at bid price : 23.90
Bid-YTW : 3.36 %
SLF.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 24.24
Evaluated at bid price : 24.80
Bid-YTW : 3.60 %
BAM.PF.H FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.45
Bid-YTW : 2.93 %
MFC.PR.F FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 3.30 %
BAM.PR.X FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 3.86 %
CU.PR.F Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 24.29
Evaluated at bid price : 24.55
Bid-YTW : 4.60 %
BAM.PR.N Perpetual-Premium -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.82 %
BIK.PR.A FixedReset Prem -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.78 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.93
Evaluated at bid price : 24.06
Bid-YTW : 3.37 %
RY.PR.Z FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.88
Evaluated at bid price : 23.80
Bid-YTW : 3.27 %
NA.PR.W FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.94
Evaluated at bid price : 24.11
Bid-YTW : 3.29 %
CM.PR.Q FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.98
Evaluated at bid price : 24.33
Bid-YTW : 3.58 %
GWO.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 3.32 %
BAM.PR.C Floater 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 3.23 %
BAM.PF.G FixedReset Disc 6.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.56
Evaluated at bid price : 23.40
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.A Insurance Straight 77,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-07
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : -20.02 %
TRP.PR.A FixedReset Disc 47,268 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 3.89 %
RY.PR.Z FixedReset Disc 40,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.88
Evaluated at bid price : 23.80
Bid-YTW : 3.27 %
RY.PR.J FixedReset Disc 31,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 3.43 %
SLF.PR.I FixedReset Ins Non 27,449 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 24.24
Evaluated at bid price : 24.80
Bid-YTW : 3.60 %
NA.PR.S FixedReset Disc 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 23.11
Evaluated at bid price : 24.28
Bid-YTW : 3.41 %
There were 16 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: 13.60 – 15.00
Spot Rate : 1.4000
Average : 0.8880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 3.18 %
BIP.PR.E FixedReset Disc Quote: 24.68 – 25.70
Spot Rate : 1.0200
Average : 0.6031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 23.51
Evaluated at bid price : 24.68
Bid-YTW : 5.01 %
TRP.PR.E FixedReset Disc Quote: 20.84 – 21.84
Spot Rate : 1.0000
Average : 0.6684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 4.02 %
CM.PR.P FixedReset Disc Quote: 23.61 – 24.35
Spot Rate : 0.7400
Average : 0.4660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 22.70
Evaluated at bid price : 23.61
Bid-YTW : 3.41 %
SLF.PR.G FixedReset Ins Non Quote: 14.99 – 15.99
Spot Rate : 1.0000
Average : 0.8180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 3.66 %
TRP.PR.F FloatingReset Quote: 17.00 – 17.60
Spot Rate : 0.6000
Average : 0.4257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 2.99 %

Posted in Market Action | No Comments »

June 4, 2021

Monday, June 28th, 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 0.4767 % 2,703.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4767 % 4,961.1
Floater 3.21 % 3.23 % 88,065 19.08 3 0.4767 % 2,859.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1031 % 3,694.4
SplitShare 4.63 % 3.57 % 40,607 2.60 6 0.1031 % 4,411.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1031 % 3,442.4
Perpetual-Premium 5.09 % -8.16 % 69,511 0.09 30 0.0735 % 3,323.1
Perpetual-Discount 4.64 % 4.55 % 64,397 16.30 4 0.5591 % 3,930.3
FixedReset Disc 3.94 % 3.51 % 149,940 18.07 40 0.1763 % 2,845.2
Insurance Straight 4.89 % -7.00 % 90,598 0.09 22 0.0623 % 3,723.7
FloatingReset 2.73 % 2.91 % 53,388 19.97 2 -0.0307 % 2,621.1
FixedReset Prem 4.77 % 2.23 % 212,203 1.51 33 0.0420 % 2,784.4
FixedReset Bank Non 1.80 % 0.60 % 118,714 0.22 1 0.0798 % 2,901.2
FixedReset Ins Non 4.14 % 3.46 % 176,534 18.00 21 -0.0820 % 2,924.3
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 4.21 %
SLF.PR.G FixedReset Ins Non -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 3.72 %
MFC.PR.F FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.33 %
BIP.PR.D FixedReset Prem -1.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 1.30 %
IFC.PR.F Insurance Straight -1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.50
Bid-YTW : 4.25 %
BAM.PR.T FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.04 %
BAM.PR.C Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.29 %
TRP.PR.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 22.70
Evaluated at bid price : 23.76
Bid-YTW : 3.90 %
NA.PR.C FixedReset Prem -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 2.87 %
BIK.PR.A FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 3.31 %
BAM.PR.N Perpetual-Premium 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-04
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -0.49 %
CU.PR.F Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 24.57
Evaluated at bid price : 24.85
Bid-YTW : 4.54 %
BAM.PF.J FixedReset Prem 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 2.22 %
TRP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 3.95 %
BAM.PR.K Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.23 %
BAM.PR.B Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.21 %
TRP.PR.C FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 3.89 %
CU.PR.I FixedReset Prem 2.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.43
Bid-YTW : 2.23 %
CM.PR.P FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 22.97
Evaluated at bid price : 24.19
Bid-YTW : 3.34 %
GWO.PR.N FixedReset Ins Non 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 3.35 %
PWF.PR.P FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.78 %
BAM.PF.E FixedReset Disc 8.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 21.71
Evaluated at bid price : 22.02
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 150,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-19
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.09 %
BAM.PR.B Floater 110,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.21 %
TRP.PR.A FixedReset Disc 106,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 3.95 %
IFC.PR.A FixedReset Ins Non 99,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 3.35 %
CM.PR.R FixedReset Prem 46,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.69 %
BAM.PF.B FixedReset Disc 45,518 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 3.99 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 21.90 – 23.40
Spot Rate : 1.5000
Average : 0.8737

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 4.21 %
SLF.PR.G FixedReset Ins Non Quote: 14.99 – 15.99
Spot Rate : 1.0000
Average : 0.6184

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 3.72 %
IFC.PR.E Insurance Straight Quote: 26.09 – 27.50
Spot Rate : 1.4100
Average : 1.1109

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.09
Bid-YTW : 4.53 %
SLF.PR.H FixedReset Ins Non Quote: 21.75 – 22.49
Spot Rate : 0.7400
Average : 0.5501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 3.53 %
BIP.PR.D FixedReset Prem Quote: 25.67 – 26.17
Spot Rate : 0.5000
Average : 0.3102

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 1.30 %
BNS.PR.I FixedReset Prem Quote: 25.50 – 25.98
Spot Rate : 0.4800
Average : 0.2926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-04
Maturity Price : 23.61
Evaluated at bid price : 25.50
Bid-YTW : 3.36 %

Posted in Market Action | No Comments »

June 3, 2021

Monday, June 28th, 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 0.6820 % 2,690.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6820 % 4,937.6
Floater 3.23 % 3.26 % 87,556 19.03 3 0.6820 % 2,845.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1416 % 3,690.6
SplitShare 4.63 % 3.77 % 41,989 3.46 6 -0.1416 % 4,407.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1416 % 3,438.8
Perpetual-Premium 5.09 % -8.00 % 69,599 0.09 30 0.0258 % 3,320.7
Perpetual-Discount 4.66 % 4.67 % 48,945 16.09 4 0.1527 % 3,908.5
FixedReset Disc 3.95 % 3.50 % 155,030 17.99 40 0.0734 % 2,840.2
Insurance Straight 4.89 % -7.14 % 84,282 0.09 22 0.0107 % 3,721.4
FloatingReset 2.73 % 2.91 % 53,038 19.99 2 2.3585 % 2,621.9
FixedReset Prem 4.78 % 2.44 % 216,433 1.51 33 0.0315 % 2,783.2
FixedReset Bank Non 1.80 % 0.94 % 117,462 0.23 1 0.1999 % 2,898.9
FixedReset Ins Non 4.14 % 3.50 % 162,942 17.99 21 0.3024 % 2,926.7
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.37 %
TRP.PR.C FixedReset Disc -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 14.89
Evaluated at bid price : 14.89
Bid-YTW : 3.97 %
PWF.PR.P FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.90 %
IFC.PR.E Insurance Straight -2.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.01
Bid-YTW : 4.61 %
PWF.PR.Z Perpetual-Premium -2.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.11
Bid-YTW : 4.35 %
CU.PR.I FixedReset Prem -1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 2.72 %
BAM.PF.J FixedReset Prem -1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.09 %
CM.PR.P FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 22.75
Evaluated at bid price : 23.70
Bid-YTW : 3.44 %
BAM.PR.N Perpetual-Premium -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
TD.PF.I FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 2.92 %
BAM.PR.X FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 3.86 %
CU.PR.E Perpetual-Premium 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-03
Maturity Price : 25.25
Evaluated at bid price : 25.44
Bid-YTW : -3.92 %
TRP.PR.D FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 3.86 %
BAM.PR.R FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 4.01 %
BAM.PR.K Floater 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 3.28 %
BAM.PF.F FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 23.10
Evaluated at bid price : 24.40
Bid-YTW : 3.88 %
BMO.PR.F FixedReset Prem 1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 1.95 %
BAM.PF.G FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 22.44
Evaluated at bid price : 23.19
Bid-YTW : 3.94 %
TRP.PR.G FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 22.86
Evaluated at bid price : 24.10
Bid-YTW : 3.83 %
TD.PF.J FixedReset Prem 1.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.38 %
SLF.PR.J FloatingReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 2.50 %
SLF.PR.G FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 3.57 %
MFC.PR.F FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 3.26 %
BAM.PR.T FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 3.97 %
PWF.PR.T FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 23.23
Evaluated at bid price : 24.45
Bid-YTW : 3.43 %
TRP.PR.F FloatingReset 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 2.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 175,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 23.03
Evaluated at bid price : 24.11
Bid-YTW : 3.26 %
TRP.PR.A FixedReset Disc 116,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.00 %
BAM.PF.D Perpetual-Premium 105,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.51
Bid-YTW : 4.32 %
BIP.PR.E FixedReset Disc 104,715 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.54 %
CU.PR.G Perpetual-Discount 104,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 24.29
Evaluated at bid price : 24.58
Bid-YTW : 4.59 %
BAM.PR.M Perpetual-Premium 93,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 24.69
Evaluated at bid price : 25.01
Bid-YTW : 4.81 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 20.30 – 22.45
Spot Rate : 2.1500
Average : 1.3416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.37 %
BAM.PR.K Floater Quote: 13.21 – 14.76
Spot Rate : 1.5500
Average : 0.9992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 3.28 %
IFC.PR.E Insurance Straight Quote: 26.01 – 27.25
Spot Rate : 1.2400
Average : 0.7829

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.01
Bid-YTW : 4.61 %
CM.PR.P FixedReset Disc Quote: 23.70 – 24.24
Spot Rate : 0.5400
Average : 0.3360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-03
Maturity Price : 22.75
Evaluated at bid price : 23.70
Bid-YTW : 3.44 %
MFC.PR.G FixedReset Ins Non Quote: 25.01 – 26.01
Spot Rate : 1.0000
Average : 0.8093

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.50 %
PWF.PR.R Perpetual-Premium Quote: 26.05 – 26.70
Spot Rate : 0.6500
Average : 0.4614

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-03
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : -34.95 %

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