Archive for June, 2021

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June 2, 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 1.7738 % 2,672.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7738 % 4,904.1
Floater 3.25 % 3.27 % 90,656 19.00 3 1.7738 % 2,826.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,695.9
SplitShare 4.63 % 3.39 % 39,839 2.61 6 0.0902 % 4,413.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,443.7
Perpetual-Premium 5.10 % -5.70 % 68,890 0.09 30 0.3560 % 3,319.8
Perpetual-Discount 4.67 % 4.67 % 49,646 16.09 4 0.6249 % 3,902.5
FixedReset Disc 3.95 % 3.56 % 151,754 18.10 40 0.6021 % 2,838.2
Insurance Straight 4.89 % -6.84 % 84,138 0.09 22 0.2017 % 3,721.0
FloatingReset 2.79 % 2.98 % 53,253 19.80 2 0.5057 % 2,561.5
FixedReset Prem 4.78 % 2.17 % 216,431 1.51 33 0.2386 % 2,782.4
FixedReset Bank Non 1.80 % 1.81 % 113,181 0.23 1 0.0000 % 2,893.1
FixedReset Ins Non 4.15 % 3.47 % 164,970 18.01 21 0.2061 % 2,917.9
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.65
Evaluated at bid price : 25.04
Bid-YTW : 3.67 %
TD.PF.J FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.69
Evaluated at bid price : 25.23
Bid-YTW : 3.61 %
MFC.PR.J FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.67
Evaluated at bid price : 25.09
Bid-YTW : 3.52 %
CU.PR.H Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 26.02
Bid-YTW : 0.94 %
CU.PR.F Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.98
Evaluated at bid price : 24.41
Bid-YTW : 4.61 %
MFC.PR.F FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 3.33 %
POW.PR.D Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-02
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : -25.11 %
IFC.PR.A FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.34 %
TRP.PR.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 3.74 %
TRP.PR.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 3.91 %
TRP.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 21.36
Evaluated at bid price : 21.68
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 3.90 %
BAM.PF.F FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 22.97
Evaluated at bid price : 24.09
Bid-YTW : 3.94 %
BIP.PR.B FixedReset Prem 1.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.92 %
IFC.PR.E Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.65
Bid-YTW : 3.47 %
IFC.PR.F Insurance Straight 1.89 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 2.83 %
TRP.PR.C FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 3.84 %
CU.PR.I FixedReset Prem 2.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.37
Bid-YTW : 2.28 %
PWF.PR.Z Perpetual-Premium 2.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 26.00
Evaluated at bid price : 26.74
Bid-YTW : 2.86 %
IFC.PR.I Perpetual-Premium 2.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.85
Bid-YTW : 3.47 %
PWF.PR.P FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.78 %
BAM.PR.K Floater 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.32 %
BAM.PF.E FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.I FixedReset Ins Non 246,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 24.42
Evaluated at bid price : 24.92
Bid-YTW : 3.63 %
NA.PR.E FixedReset Disc 127,088 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.56
Evaluated at bid price : 24.90
Bid-YTW : 3.54 %
TRP.PR.G FixedReset Disc 90,372 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 22.65
Evaluated at bid price : 23.66
Bid-YTW : 3.92 %
BAM.PF.A FixedReset Disc 79,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.46
Evaluated at bid price : 24.87
Bid-YTW : 3.95 %
MFC.PR.G FixedReset Ins Non 77,464 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %
CM.PR.R FixedReset Prem 75,586 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 1.91 %
There were 46 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: 16.00 – 24.68
Spot Rate : 8.6800
Average : 4.6853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.78 %
TRP.PR.B FixedReset Disc Quote: 14.05 – 15.90
Spot Rate : 1.8500
Average : 1.0644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 3.74 %
TRP.PR.C FixedReset Disc Quote: 15.38 – 17.00
Spot Rate : 1.6200
Average : 0.9202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 3.84 %
MFC.PR.G FixedReset Ins Non Quote: 25.01 – 26.01
Spot Rate : 1.0000
Average : 0.6002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %
TD.PF.J FixedReset Prem Quote: 25.23 – 25.94
Spot Rate : 0.7100
Average : 0.4271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 23.69
Evaluated at bid price : 25.23
Bid-YTW : 3.61 %
PWF.PR.T FixedReset Disc Quote: 23.85 – 24.50
Spot Rate : 0.6500
Average : 0.4232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-02
Maturity Price : 22.95
Evaluated at bid price : 23.85
Bid-YTW : 3.55 %

Posted in Market Action | No Comments »

June 1, 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 -1.6684 % 2,626.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6684 % 4,818.7
Floater 3.31 % 3.29 % 91,584 18.95 3 -1.6684 % 2,777.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0773 % 3,692.5
SplitShare 4.63 % 3.46 % 39,745 2.61 6 0.0773 % 4,409.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0773 % 3,440.6
Perpetual-Premium 5.11 % -11.21 % 67,750 0.09 30 0.2024 % 3,308.0
Perpetual-Discount 4.70 % 4.68 % 50,350 16.07 4 0.0410 % 3,878.3
FixedReset Disc 3.98 % 3.58 % 146,349 18.00 40 1.0508 % 2,821.2
Insurance Straight 4.90 % -5.11 % 82,334 0.09 22 -0.0214 % 3,713.5
FloatingReset 2.80 % 2.99 % 53,131 19.77 2 2.4943 % 2,548.6
FixedReset Prem 4.79 % 2.45 % 216,937 1.52 33 0.5717 % 2,775.7
FixedReset Bank Non 1.80 % 1.79 % 112,530 0.23 1 0.0400 % 2,893.1
FixedReset Ins Non 4.16 % 3.50 % 166,484 18.01 21 1.1510 % 2,911.9
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -5.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.45 %
PWF.PR.P FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.90 %
BAM.PR.B Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 3.29 %
NA.PR.E FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.49
Evaluated at bid price : 24.73
Bid-YTW : 3.57 %
TD.PF.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.95
Evaluated at bid price : 23.99
Bid-YTW : 3.35 %
PWF.PR.T FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.90
Evaluated at bid price : 23.74
Bid-YTW : 3.57 %
BIP.PR.F FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 3.86 %
BAM.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.05 %
GWO.PR.G Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-01
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -28.78 %
TD.PF.M FixedReset Prem 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 2.61 %
PWF.PR.E Perpetual-Premium 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-01
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : -28.95 %
IFC.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.68
Evaluated at bid price : 25.34
Bid-YTW : 3.50 %
BAM.PR.R FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 4.09 %
MFC.PR.M FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.89
Evaluated at bid price : 23.98
Bid-YTW : 3.43 %
NA.PR.G FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.68
Evaluated at bid price : 25.61
Bid-YTW : 3.63 %
TD.PF.J FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.78
Evaluated at bid price : 25.49
Bid-YTW : 3.56 %
RY.PR.M FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.96
Evaluated at bid price : 24.34
Bid-YTW : 3.43 %
BAM.PF.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.45
Evaluated at bid price : 22.99
Bid-YTW : 4.04 %
MFC.PR.L FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.40
Evaluated at bid price : 22.94
Bid-YTW : 3.43 %
RY.PR.J FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 3.46 %
BAM.PR.C Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 3.29 %
BIP.PR.D FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 0.24 %
TRP.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.97 %
GWO.PR.Q Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-01
Maturity Price : 25.25
Evaluated at bid price : 25.75
Bid-YTW : -22.35 %
BAM.PF.I FixedReset Prem 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 1.25 %
SLF.PR.J FloatingReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 2.56 %
TRP.PR.C FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 3.92 %
BAM.PR.X FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 3.96 %
GWO.PR.N FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.43 %
IAF.PR.I FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.75
Evaluated at bid price : 25.33
Bid-YTW : 3.61 %
MFC.PR.K FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.85
Evaluated at bid price : 23.54
Bid-YTW : 3.43 %
GWO.PR.S Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-01
Maturity Price : 25.75
Evaluated at bid price : 26.65
Bid-YTW : -37.60 %
CU.PR.C FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 21.76
Evaluated at bid price : 22.22
Bid-YTW : 3.72 %
BIP.PR.A FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.71
Evaluated at bid price : 23.70
Bid-YTW : 4.55 %
BAM.PF.J FixedReset Prem 1.97 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.34
Bid-YTW : 1.83 %
MFC.PR.N FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.66
Evaluated at bid price : 23.56
Bid-YTW : 3.44 %
IAF.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.56 %
BAM.PR.Z FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.93
Evaluated at bid price : 24.29
Bid-YTW : 4.11 %
BIP.PR.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 3.73 %
MFC.PR.F FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.37 %
TRP.PR.B FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 13.89
Evaluated at bid price : 13.89
Bid-YTW : 3.78 %
TRP.PR.D FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 3.99 %
IFC.PR.A FixedReset Ins Non 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 3.38 %
TRP.PR.A FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.02 %
BAM.PF.F FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.79
Evaluated at bid price : 23.70
Bid-YTW : 4.03 %
SLF.PR.H FixedReset Ins Non 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 21.36
Evaluated at bid price : 21.64
Bid-YTW : 3.55 %
TRP.PR.F FloatingReset 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 2.99 %
BAM.PF.G FixedReset Disc 4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.23
Evaluated at bid price : 22.83
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 232,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.62
Evaluated at bid price : 24.86
Bid-YTW : 3.43 %
IAF.PR.G FixedReset Ins Non 166,835 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.56 %
PWF.PR.P FixedReset Disc 101,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.90 %
CM.PR.R FixedReset Prem 69,108 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 2.01 %
RY.PR.Z FixedReset Disc 34,078 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 22.97
Evaluated at bid price : 23.99
Bid-YTW : 3.28 %
TRP.PR.A FixedReset Disc 32,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.02 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 26.50 – 27.83
Spot Rate : 1.3300
Average : 0.8382

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.50
Bid-YTW : 4.24 %
CU.PR.H Perpetual-Premium Quote: 25.76 – 26.76
Spot Rate : 1.0000
Average : 0.6370

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.76
Bid-YTW : 4.28 %
BAM.PR.R FixedReset Disc Quote: 19.98 – 20.94
Spot Rate : 0.9600
Average : 0.6148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 4.09 %
BAM.PR.K Floater Quote: 12.57 – 13.39
Spot Rate : 0.8200
Average : 0.4998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.45 %
IAF.PR.I FixedReset Ins Non Quote: 25.33 – 26.33
Spot Rate : 1.0000
Average : 0.7750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 23.75
Evaluated at bid price : 25.33
Bid-YTW : 3.61 %
BAM.PF.E FixedReset Disc Quote: 21.00 – 21.95
Spot Rate : 0.9500
Average : 0.7681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-06-01
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.22 %

Posted in Market Action | No Comments »

May 31, 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 0.7898 % 2,670.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7898 % 4,900.4
Floater 3.25 % 3.27 % 91,776 19.00 3 0.7898 % 2,824.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2049 % 3,689.7
SplitShare 4.63 % 3.58 % 40,051 2.61 6 0.2049 % 4,406.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2049 % 3,437.9
Perpetual-Premium 5.12 % -2.08 % 67,458 0.09 30 0.1859 % 3,301.3
Perpetual-Discount 4.70 % 4.68 % 50,926 16.07 4 0.2256 % 3,876.7
FixedReset Disc 4.06 % 3.62 % 147,824 18.06 41 0.1262 % 2,791.8
Insurance Straight 4.90 % 0.00 % 81,381 0.09 22 0.0589 % 3,714.3
FloatingReset 2.87 % 3.09 % 52,870 19.53 2 -0.6437 % 2,486.6
FixedReset Prem 4.82 % 2.86 % 213,006 1.51 33 0.0802 % 2,760.0
FixedReset Bank Non 1.80 % 1.94 % 112,629 0.23 1 0.0000 % 2,892.0
FixedReset Ins Non 4.21 % 3.55 % 166,274 17.95 21 0.4251 % 2,878.7
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 22.40
Evaluated at bid price : 23.00
Bid-YTW : 4.18 %
BIP.PR.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 22.48
Evaluated at bid price : 23.25
Bid-YTW : 4.65 %
BIP.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 23.60
Evaluated at bid price : 24.93
Bid-YTW : 4.94 %
TRP.PR.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.14 %
NA.PR.G FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 23.59
Evaluated at bid price : 25.31
Bid-YTW : 3.69 %
CCS.PR.C Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 0.00 %
BAM.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.10 %
IFC.PR.C FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 23.56
Evaluated at bid price : 24.41
Bid-YTW : 3.65 %
BAM.PR.K Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %
MFC.PR.M FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 3.48 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 23.59
Evaluated at bid price : 24.90
Bid-YTW : 3.70 %
PWF.PR.P FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 3.85 %
BIP.PR.B FixedReset Prem 1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.45 %
BAM.PR.B Floater 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 3.25 %
CU.PR.I FixedReset Prem 1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.98 %
TRP.PR.E FixedReset Disc 4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.03 %
GWO.PR.N FixedReset Ins Non 5.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 3.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IAF.PR.I FixedReset Ins Non 85,427 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 23.59
Evaluated at bid price : 24.90
Bid-YTW : 3.70 %
BNS.PR.H FixedReset Prem 65,326 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.16 %
BAM.PF.I FixedReset Prem 64,911 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.12 %
BIP.PR.C FixedReset Prem 59,360 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.51 %
IAF.PR.G FixedReset Ins Non 54,428 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 24.06
Evaluated at bid price : 24.50
Bid-YTW : 3.82 %
MFC.PR.G FixedReset Ins Non 52,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.60 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 21.05 – 25.00
Spot Rate : 3.9500
Average : 2.3965

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.03 %
TRP.PR.D FixedReset Disc Quote: 20.98 – 22.35
Spot Rate : 1.3700
Average : 0.9605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.08 %
BAM.PF.G FixedReset Disc Quote: 21.90 – 22.96
Spot Rate : 1.0600
Average : 0.6913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-31
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 4.21 %
GWO.PR.S Insurance Straight Quote: 26.50 – 27.50
Spot Rate : 1.0000
Average : 0.6357

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.50
Evaluated at bid price : 26.50
Bid-YTW : -28.85 %
CU.PR.E Perpetual-Premium Quote: 25.16 – 26.12
Spot Rate : 0.9600
Average : 0.6043

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.33 %
CU.PR.I FixedReset Prem Quote: 26.60 – 27.60
Spot Rate : 1.0000
Average : 0.6602

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.98 %

Posted in Market Action | No Comments »

May 28, 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 1.7630 % 2,649.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7630 % 4,862.0
Floater 3.28 % 3.31 % 92,460 18.91 3 1.7630 % 2,802.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0747 % 3,682.1
SplitShare 4.71 % 4.04 % 37,716 3.99 7 -0.0747 % 4,397.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0747 % 3,430.9
Perpetual-Premium 5.21 % -13.97 % 62,303 0.09 24 0.0518 % 3,295.2
Perpetual-Discount 4.77 % 4.78 % 101,126 15.57 10 0.0645 % 3,868.0
FixedReset Disc 4.12 % 3.58 % 209,469 18.00 45 -0.1699 % 2,788.3
Insurance Straight 4.90 % -0.46 % 81,403 0.09 22 0.0876 % 3,712.1
FloatingReset 2.84 % 3.06 % 54,902 19.61 2 -1.0510 % 2,502.7
FixedReset Prem 4.85 % 2.72 % 204,445 1.38 29 -0.2786 % 2,757.7
FixedReset Bank Non 1.80 % 1.87 % 113,520 0.24 1 -0.0400 % 2,892.0
FixedReset Ins Non 4.23 % 3.53 % 160,160 17.96 21 -0.2819 % 2,866.5
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -8.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.65 %
TRP.PR.E FixedReset Disc -4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.17 %
IAF.PR.G FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 23.94
Evaluated at bid price : 24.40
Bid-YTW : 3.79 %
BAM.PF.G FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 21.72
Evaluated at bid price : 22.06
Bid-YTW : 4.14 %
IAF.PR.I FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 23.47
Evaluated at bid price : 24.60
Bid-YTW : 3.72 %
SLF.PR.J FloatingReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 2.56 %
SLF.PR.H FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.61 %
BAM.PR.Z FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 23.39
Evaluated at bid price : 23.79
Bid-YTW : 4.16 %
BAM.PF.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.16 %
IFC.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 23.54
Evaluated at bid price : 24.95
Bid-YTW : 3.53 %
CCS.PR.C Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-27
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -12.68 %
TRP.PR.A FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.03 %
IFC.PR.A FixedReset Ins Non 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.43 %
MFC.PR.K FixedReset Ins Non 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 22.56
Evaluated at bid price : 23.05
Bid-YTW : 3.48 %
BAM.PR.K Floater 4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset Prem 439,713 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.45 %
CM.PR.S FixedReset Disc 250,539 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 23.56
Evaluated at bid price : 24.72
Bid-YTW : 3.42 %
CU.PR.C FixedReset Disc 155,562 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 3.74 %
BAM.PR.M Perpetual-Discount 147,838 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
GWO.PR.N FixedReset Ins Non 102,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.65 %
PWF.PR.P FixedReset Disc 77,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.85 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 22.55 – 24.30
Spot Rate : 1.7500
Average : 1.0514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 22.16
Evaluated at bid price : 22.55
Bid-YTW : 4.09 %
GWO.PR.N FixedReset Ins Non Quote: 14.40 – 15.55
Spot Rate : 1.1500
Average : 0.6373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.65 %
TRP.PR.E FixedReset Disc Quote: 20.13 – 21.25
Spot Rate : 1.1200
Average : 0.6931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.17 %
BAM.PF.C Perpetual-Discount Quote: 25.20 – 26.10
Spot Rate : 0.9000
Average : 0.5392

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.86 %
BAM.PF.E FixedReset Disc Quote: 21.10 – 22.00
Spot Rate : 0.9000
Average : 0.6769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.16 %
IAF.PR.G FixedReset Ins Non Quote: 24.40 – 25.00
Spot Rate : 0.6000
Average : 0.3814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-28
Maturity Price : 23.94
Evaluated at bid price : 24.40
Bid-YTW : 3.79 %

Posted in Market Action | No Comments »

May 27, 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 -0.9247 % 2,603.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9247 % 4,777.8
Floater 3.33 % 3.33 % 93,275 18.86 3 -0.9247 % 2,753.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0636 % 3,684.9
SplitShare 4.70 % 3.94 % 36,411 4.00 7 -0.0636 % 4,400.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0636 % 3,433.5
Perpetual-Premium 5.22 % -14.13 % 64,557 0.09 24 0.0194 % 3,293.5
Perpetual-Discount 4.77 % 4.76 % 101,842 15.61 10 0.3561 % 3,865.5
FixedReset Disc 4.11 % 3.57 % 211,476 18.02 45 0.5213 % 2,793.1
Insurance Straight 4.91 % 2.48 % 82,528 0.09 22 0.0375 % 3,708.9
FloatingReset 2.81 % 3.08 % 55,578 19.47 2 0.6733 % 2,529.3
FixedReset Prem 4.84 % 2.55 % 207,040 1.38 29 0.1589 % 2,765.4
FixedReset Bank Non 1.80 % 1.69 % 114,991 0.25 1 0.0800 % 2,893.1
FixedReset Ins Non 4.21 % 3.57 % 159,127 18.02 21 -0.0730 % 2,874.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 21.99
Evaluated at bid price : 22.23
Bid-YTW : 3.63 %
BAM.PR.K Floater -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
IFC.PR.A FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.53 %
BAM.PR.N Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
TRP.PR.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.45
Evaluated at bid price : 23.26
Bid-YTW : 3.96 %
CM.PR.T FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.13 %
BAM.PF.F FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.52
Evaluated at bid price : 23.20
Bid-YTW : 4.09 %
TD.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.83
Evaluated at bid price : 23.75
Bid-YTW : 3.36 %
SLF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 24.26
Evaluated at bid price : 24.80
Bid-YTW : 3.60 %
TRP.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.99 %
BAM.PF.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.45
Evaluated at bid price : 24.86
Bid-YTW : 3.92 %
TD.PF.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.83
Evaluated at bid price : 23.82
Bid-YTW : 3.32 %
CM.PR.Y FixedReset Prem 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.18
Bid-YTW : 2.43 %
BMO.PR.T FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.75
Evaluated at bid price : 23.60
Bid-YTW : 3.33 %
CU.PR.I FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.37 %
IFC.PR.C FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.44
Evaluated at bid price : 24.30
Bid-YTW : 3.62 %
BAM.PR.Z FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.66
Evaluated at bid price : 24.05
Bid-YTW : 4.11 %
BAM.PF.B FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.25
Evaluated at bid price : 22.68
Bid-YTW : 4.06 %
SLF.PR.J FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 2.53 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 446,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
BAM.PR.B Floater 154,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.33 %
TRP.PR.G FixedReset Disc 144,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.45
Evaluated at bid price : 23.26
Bid-YTW : 3.96 %
TD.PF.H FixedReset Prem 114,489 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 1.47 %
BNS.PR.H FixedReset Prem 94,389 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 2.18 %
RY.PR.M FixedReset Disc 82,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 22.83
Evaluated at bid price : 24.05
Bid-YTW : 3.45 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.R FixedReset Prem Quote: 25.79 – 26.79
Spot Rate : 1.0000
Average : 0.5735

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 1.99 %
MFC.PR.K FixedReset Ins Non Quote: 22.23 – 23.60
Spot Rate : 1.3700
Average : 0.9587

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 21.99
Evaluated at bid price : 22.23
Bid-YTW : 3.63 %
IAF.PR.I FixedReset Ins Non Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.6505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 23.63
Evaluated at bid price : 25.00
Bid-YTW : 3.64 %
IFC.PR.A FixedReset Ins Non Quote: 19.20 – 19.98
Spot Rate : 0.7800
Average : 0.4776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.53 %
TRP.PR.D FixedReset Disc Quote: 20.92 – 22.00
Spot Rate : 1.0800
Average : 0.8533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.05 %
BAM.PR.K Floater Quote: 12.57 – 13.14
Spot Rate : 0.5700
Average : 0.3745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-27
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %

Posted in Market Action | No Comments »

May 26, 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 0.0000 % 2,628.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,822.4
Floater 3.30 % 3.33 % 86,205 18.86 3 0.0000 % 2,779.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0801 % 3,687.2
SplitShare 4.70 % 3.74 % 36,954 3.48 7 -0.0801 % 4,403.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0801 % 3,435.7
Perpetual-Premium 5.22 % -14.93 % 64,102 0.09 24 0.1458 % 3,292.9
Perpetual-Discount 4.79 % 4.83 % 101,258 15.67 10 0.0932 % 3,851.8
FixedReset Disc 4.13 % 3.57 % 213,165 18.02 45 0.9525 % 2,778.6
Insurance Straight 4.91 % 2.31 % 83,839 0.10 22 0.1683 % 3,707.5
FloatingReset 2.83 % 3.06 % 55,925 19.53 2 0.7104 % 2,512.3
FixedReset Prem 4.85 % 2.56 % 199,919 1.38 29 0.6814 % 2,761.1
FixedReset Bank Non 1.81 % 1.99 % 116,718 0.25 1 0.0400 % 2,890.8
FixedReset Ins Non 4.21 % 3.50 % 161,395 18.05 21 1.0245 % 2,876.7
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.95
Evaluated at bid price : 24.26
Bid-YTW : 3.61 %
IAF.PR.I FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.65
Evaluated at bid price : 25.06
Bid-YTW : 3.69 %
BAM.PF.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.32
Evaluated at bid price : 24.53
Bid-YTW : 3.98 %
TD.PF.L FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.98 %
TRP.PR.K FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 2.20 %
CM.PR.P FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.72
Evaluated at bid price : 23.65
Bid-YTW : 3.41 %
RY.PR.Z FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.85
Evaluated at bid price : 23.75
Bid-YTW : 3.28 %
CM.PR.R FixedReset Prem 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 2.05 %
IFC.PR.A FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.48 %
NA.PR.G FixedReset Prem 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.69
Evaluated at bid price : 25.64
Bid-YTW : 3.59 %
BIP.PR.E FixedReset Prem 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.11 %
BMO.PR.S FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.90
Evaluated at bid price : 23.84
Bid-YTW : 3.40 %
TD.PF.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.03
Evaluated at bid price : 24.51
Bid-YTW : 3.63 %
MFC.PR.M FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.71
Evaluated at bid price : 23.60
Bid-YTW : 3.46 %
BAM.PR.T FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.13 %
RY.PR.J FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.08
Evaluated at bid price : 24.54
Bid-YTW : 3.51 %
TRP.PR.A FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem 1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 2.54 %
GWO.PR.N FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 3.35 %
IAF.PR.G FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 24.65
Evaluated at bid price : 24.97
Bid-YTW : 3.76 %
PWF.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.87 %
RY.PR.M FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.80
Evaluated at bid price : 23.98
Bid-YTW : 3.46 %
RY.PR.H FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.88
Evaluated at bid price : 23.87
Bid-YTW : 3.30 %
IFC.PR.F Insurance Straight 2.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 3.51 %
SLF.PR.G FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 3.65 %
TD.PF.J FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.69
Evaluated at bid price : 25.24
Bid-YTW : 3.56 %
BAM.PR.Z FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.24
Evaluated at bid price : 23.65
Bid-YTW : 4.18 %
TRP.PR.D FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 4.05 %
SLF.PR.H FixedReset Ins Non 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.57 %
MFC.PR.K FixedReset Ins Non 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.57
Evaluated at bid price : 23.07
Bid-YTW : 3.47 %
MFC.PR.N FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.44
Evaluated at bid price : 23.14
Bid-YTW : 3.48 %
TRP.PR.E FixedReset Disc 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.04 %
BIP.PR.D FixedReset Prem 3.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 1.93 %
BAM.PF.E FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 152,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.87 %
MFC.PR.L FixedReset Ins Non 126,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.18
Evaluated at bid price : 22.60
Bid-YTW : 3.45 %
BNS.PR.H FixedReset Prem 80,220 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.12 %
NA.PR.E FixedReset Disc 77,236 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.57
Evaluated at bid price : 24.94
Bid-YTW : 3.49 %
TD.PF.B FixedReset Disc 68,811 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.69
Evaluated at bid price : 23.47
Bid-YTW : 3.41 %
RY.PR.R FixedReset Prem 64,929 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 0.42 %
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.E FixedReset Disc Quote: 20.98 – 22.00
Spot Rate : 1.0200
Average : 0.6980

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.18 %
IFC.PR.I Perpetual-Premium Quote: 27.00 – 27.99
Spot Rate : 0.9900
Average : 0.6951

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.34 %
PWF.PR.Z Perpetual-Premium Quote: 26.15 – 26.60
Spot Rate : 0.4500
Average : 0.3254

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.15
Bid-YTW : 4.28 %
BAM.PF.F FixedReset Disc Quote: 22.93 – 23.22
Spot Rate : 0.2900
Average : 0.2057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 22.36
Evaluated at bid price : 22.93
Bid-YTW : 4.15 %
BAM.PR.N Perpetual-Discount Quote: 24.75 – 25.06
Spot Rate : 0.3100
Average : 0.2273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.86 %
ELF.PR.G Perpetual-Discount Quote: 24.19 – 24.50
Spot Rate : 0.3100
Average : 0.2286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-26
Maturity Price : 23.93
Evaluated at bid price : 24.19
Bid-YTW : 4.96 %

Posted in Market Action | No Comments »

May 25, 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 1.1957 % 2,628.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1957 % 4,822.4
Floater 3.30 % 3.33 % 86,744 18.86 3 1.1957 % 2,779.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3249 % 3,690.2
SplitShare 4.70 % 3.85 % 36,704 4.00 7 -0.3249 % 4,406.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3249 % 3,438.4
Perpetual-Premium 5.23 % -14.34 % 64,227 0.09 24 0.1542 % 3,288.1
Perpetual-Discount 4.79 % 4.86 % 101,748 15.66 10 0.0851 % 3,848.2
FixedReset Disc 4.17 % 3.61 % 198,807 17.98 45 -0.1641 % 2,752.4
Insurance Straight 4.92 % 3.88 % 85,187 1.06 22 -0.0626 % 3,701.2
FloatingReset 2.85 % 3.08 % 56,631 19.48 2 -0.4820 % 2,494.6
FixedReset Prem 4.88 % 3.26 % 195,185 1.42 29 -0.1061 % 2,742.4
FixedReset Bank Non 1.81 % 2.08 % 118,254 0.68 1 -0.0400 % 2,889.7
FixedReset Ins Non 4.25 % 3.61 % 153,254 18.01 21 -0.5909 % 2,847.6
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.94 %
MFC.PR.N FixedReset Ins Non -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 3.60 %
SLF.PR.G FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.72 %
MFC.PR.K FixedReset Ins Non -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.15
Evaluated at bid price : 22.45
Bid-YTW : 3.59 %
BIP.PR.D FixedReset Prem -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 24.70
Evaluated at bid price : 25.05
Bid-YTW : 5.05 %
BAM.PF.E FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.34 %
TD.PF.J FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 23.49
Evaluated at bid price : 24.71
Bid-YTW : 3.67 %
RY.PR.H FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.63
Evaluated at bid price : 23.38
Bid-YTW : 3.39 %
TRP.PR.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.20 %
RY.PR.M FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.57
Evaluated at bid price : 23.50
Bid-YTW : 3.55 %
MFC.PR.C Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 4.51 %
BAM.PF.B FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 21.88
Evaluated at bid price : 22.15
Bid-YTW : 4.17 %
MFC.PR.F FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.41 %
BAM.PR.K Floater 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 1,911,255 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.19 %
TRP.PR.J FixedReset Prem 310,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 23.95
Evaluated at bid price : 24.98
Bid-YTW : 5.55 %
TRP.PR.D FixedReset Disc 76,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.15 %
BAM.PF.G FixedReset Disc 63,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 21.69
Evaluated at bid price : 22.02
Bid-YTW : 4.14 %
TD.PF.D FixedReset Disc 63,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.84
Evaluated at bid price : 24.01
Bid-YTW : 3.66 %
TRP.PR.E FixedReset Disc 57,693 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.17 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 19.40 – 20.75
Spot Rate : 1.3500
Average : 0.8327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.19 %
TRP.PR.D FixedReset Disc Quote: 20.41 – 22.00
Spot Rate : 1.5900
Average : 1.1690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.15 %
SLF.PR.G FixedReset Ins Non Quote: 14.75 – 15.95
Spot Rate : 1.2000
Average : 0.8303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.72 %
MFC.PR.K FixedReset Ins Non Quote: 22.45 – 23.60
Spot Rate : 1.1500
Average : 0.8121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.15
Evaluated at bid price : 22.45
Bid-YTW : 3.59 %
MFC.PR.N FixedReset Ins Non Quote: 22.50 – 23.49
Spot Rate : 0.9900
Average : 0.6547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 3.60 %
TRP.PR.B FixedReset Disc Quote: 13.50 – 14.49
Spot Rate : 0.9900
Average : 0.6574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.87 %

Posted in Market Action | No Comments »

May 21, 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 -1.0291 % 2,597.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0291 % 4,765.4
Floater 3.34 % 3.34 % 86,345 18.85 3 -1.0291 % 2,746.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0441 % 3,702.2
SplitShare 4.68 % 3.44 % 36,377 2.64 7 0.0441 % 4,421.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0441 % 3,449.6
Perpetual-Premium 5.23 % -9.21 % 65,513 0.09 24 0.0747 % 3,283.0
Perpetual-Discount 4.80 % 4.84 % 102,973 15.64 10 -0.0162 % 3,844.9
FixedReset Disc 4.20 % 3.66 % 198,047 17.88 46 0.0792 % 2,756.9
Insurance Straight 4.91 % 3.84 % 86,376 0.11 22 0.0645 % 3,703.6
FloatingReset 2.82 % 3.07 % 58,747 19.51 2 -0.1284 % 2,506.7
FixedReset Prem 4.88 % 3.27 % 199,131 1.23 29 0.1317 % 2,745.3
FixedReset Bank Non 1.81 % 1.89 % 123,023 0.26 1 0.0000 % 2,890.8
FixedReset Ins Non 4.23 % 3.60 % 158,154 17.81 21 0.1763 % 2,864.5
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
TRP.PR.E FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.23 %
MFC.PR.F FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 3.54 %
GWO.PR.T Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.50
Bid-YTW : 3.84 %
BMO.PR.T FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 22.58
Evaluated at bid price : 23.30
Bid-YTW : 3.44 %
IAF.PR.G FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 24.31
Evaluated at bid price : 24.70
Bid-YTW : 3.86 %
IFC.PR.I Perpetual-Premium 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 353,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.44 %
MFC.PR.O FixedReset Ins Non 89,195 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-19
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.62 %
PWF.PR.S Perpetual-Discount 71,053 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 24.72
Evaluated at bid price : 25.03
Bid-YTW : 4.82 %
MFC.PR.G FixedReset Ins Non 60,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 24.32
Evaluated at bid price : 24.85
Bid-YTW : 3.83 %
GWO.PR.T Insurance Straight 55,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.50
Bid-YTW : 3.84 %
BAM.PR.R FixedReset Disc 53,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.30 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 12.95 – 13.99
Spot Rate : 1.0400
Average : 0.5766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 3.34 %
TRP.PR.F FloatingReset Quote: 16.52 – 17.50
Spot Rate : 0.9800
Average : 0.6674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 3.07 %
MFC.PR.K FixedReset Ins Non Quote: 22.96 – 23.60
Spot Rate : 0.6400
Average : 0.4416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 22.50
Evaluated at bid price : 22.96
Bid-YTW : 3.55 %
IAF.PR.I FixedReset Ins Non Quote: 24.71 – 25.26
Spot Rate : 0.5500
Average : 0.4084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 23.51
Evaluated at bid price : 24.71
Bid-YTW : 3.82 %
TD.PF.J FixedReset Disc Quote: 25.08 – 25.50
Spot Rate : 0.4200
Average : 0.2823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-21
Maturity Price : 23.63
Evaluated at bid price : 25.08
Bid-YTW : 3.65 %
PWF.PR.F Perpetual-Premium Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2264

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-20
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -16.85 %

Posted in Market Action | No Comments »

May 20, 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 1.1449 % 2,624.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1449 % 4,814.9
Floater 3.31 % 3.33 % 79,781 18.87 3 1.1449 % 2,774.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3034 % 3,700.6
SplitShare 4.68 % 3.49 % 37,857 2.64 7 -0.3034 % 4,419.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3034 % 3,448.1
Perpetual-Premium 5.24 % -7.60 % 64,830 0.09 24 0.0065 % 3,280.6
Perpetual-Discount 4.80 % 4.84 % 103,845 15.67 10 0.0689 % 3,845.5
FixedReset Disc 4.20 % 3.66 % 195,995 17.87 46 0.2830 % 2,754.7
Insurance Straight 4.92 % 4.28 % 86,082 3.67 22 -0.0054 % 3,701.2
FloatingReset 2.82 % 3.06 % 59,015 19.53 2 0.9721 % 2,509.9
FixedReset Prem 4.88 % 3.38 % 199,552 1.23 29 0.0081 % 2,741.7
FixedReset Bank Non 1.81 % 1.87 % 123,793 0.26 1 0.1202 % 2,890.8
FixedReset Ins Non 4.24 % 3.58 % 146,588 17.83 21 -0.0944 % 2,859.5
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.44
Evaluated at bid price : 24.54
Bid-YTW : 3.85 %
IAF.PR.G FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.71
Evaluated at bid price : 24.20
Bid-YTW : 3.93 %
IFC.PR.I Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.66 %
BAM.PR.R FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.74
Evaluated at bid price : 23.85
Bid-YTW : 3.53 %
IFC.PR.A FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 3.58 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 3.06 %
TRP.PR.C FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 4.08 %
PVS.PR.F SplitShare 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : 3.36 %
SLF.PR.G FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 3.72 %
BAM.PR.B Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.31 %
PWF.PR.P FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 3.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 170,826 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.82
Evaluated at bid price : 23.96
Bid-YTW : 3.71 %
PWF.PR.R Perpetual-Premium 61,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : -28.00 %
CM.PR.Q FixedReset Disc 52,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.91
Evaluated at bid price : 24.16
Bid-YTW : 3.66 %
GWO.PR.P Insurance Straight 46,674 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -18.24 %
PVS.PR.H SplitShare 46,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.98 %
RY.PR.S FixedReset Disc 43,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.42
Evaluated at bid price : 25.00
Bid-YTW : 3.40 %
There were 24 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: 20.50 – 22.00
Spot Rate : 1.5000
Average : 1.2857

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.19 %
IFC.PR.I Perpetual-Premium Quote: 26.45 – 27.25
Spot Rate : 0.8000
Average : 0.6152

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.66 %
MFC.PR.M FixedReset Ins Non Quote: 23.45 – 24.00
Spot Rate : 0.5500
Average : 0.3806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 22.63
Evaluated at bid price : 23.45
Bid-YTW : 3.54 %
TRP.PR.E FixedReset Disc Quote: 20.45 – 21.25
Spot Rate : 0.8000
Average : 0.6345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.16 %
IAF.PR.G FixedReset Ins Non Quote: 24.20 – 24.70
Spot Rate : 0.5000
Average : 0.3529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-20
Maturity Price : 23.71
Evaluated at bid price : 24.20
Bid-YTW : 3.93 %
CU.PR.E Perpetual-Premium Quote: 25.02 – 25.33
Spot Rate : 0.3100
Average : 0.1948

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.07 %

Posted in Market Action | No Comments »

May 19, 2021

Saturday, June 26th, 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 0.2086 % 2,594.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2086 % 4,760.4
Floater 3.35 % 3.38 % 75,013 18.75 3 0.2086 % 2,743.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0289 % 3,711.8
SplitShare 4.76 % 4.01 % 35,036 3.97 8 -0.0289 % 4,432.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0289 % 3,458.6
Perpetual-Premium 5.24 % -7.33 % 64,428 0.09 24 -0.0032 % 3,280.4
Perpetual-Discount 4.80 % 4.85 % 98,603 15.68 10 -0.1215 % 3,842.9
FixedReset Disc 4.21 % 3.66 % 194,234 17.85 46 -0.3111 % 2,746.9
Insurance Straight 4.92 % 4.29 % 81,194 0.60 22 0.0950 % 3,701.4
FloatingReset 2.84 % 3.10 % 59,591 19.44 2 -0.6759 % 2,485.8
FixedReset Prem 4.88 % 3.45 % 206,064 1.23 29 -0.1691 % 2,741.4
FixedReset Bank Non 1.81 % 2.19 % 125,549 0.70 1 0.0000 % 2,887.3
FixedReset Ins Non 4.23 % 3.61 % 148,539 17.84 21 -0.1466 % 2,862.2
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset Prem -2.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.55 %
PWF.PR.P FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 4.01 %
TRP.PR.E FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.20 %
TRP.PR.F FloatingReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 3.10 %
RY.PR.J FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 22.94
Evaluated at bid price : 24.20
Bid-YTW : 3.62 %
BIK.PR.A FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.75 %
RY.PR.M FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 22.62
Evaluated at bid price : 23.60
Bid-YTW : 3.58 %
TRP.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 4.10 %
CU.PR.I FixedReset Prem -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.45 %
BAM.PR.C Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 3.36 %
CM.PR.Y FixedReset Prem 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.H FixedReset Ins Non 163,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.29 %
TRP.PR.D FixedReset Disc 100,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.19 %
TRP.PR.K FixedReset Prem 60,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.82 %
MFC.PR.I FixedReset Ins Non 52,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 23.78
Evaluated at bid price : 24.97
Bid-YTW : 3.75 %
CM.PR.T FixedReset Prem 48,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.83 %
SLF.PR.I FixedReset Ins Non 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 24.07
Evaluated at bid price : 24.65
Bid-YTW : 3.73 %
There were 26 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: 20.50 – 22.00
Spot Rate : 1.5000
Average : 1.0507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.19 %
TD.PF.I FixedReset Prem Quote: 25.26 – 25.83
Spot Rate : 0.5700
Average : 0.3284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 23.84
Evaluated at bid price : 25.26
Bid-YTW : 3.89 %
EIT.PR.B SplitShare Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.7829

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.81 %
PWF.PR.P FixedReset Disc Quote: 15.11 – 15.94
Spot Rate : 0.8300
Average : 0.6539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 4.01 %
BIK.PR.A FixedReset Prem Quote: 25.95 – 26.46
Spot Rate : 0.5100
Average : 0.3577

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.75 %
TRP.PR.F FloatingReset Quote: 16.36 – 16.97
Spot Rate : 0.6100
Average : 0.4615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-19
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 3.10 %

Posted in Market Action | No Comments »

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