Archive for June, 2021

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May 18, 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 0.5770 % 2,588.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5770 % 4,750.5
Floater 3.35 % 3.39 % 74,104 18.73 3 0.5770 % 2,737.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1302 % 3,712.9
SplitShare 4.75 % 4.01 % 36,472 3.97 8 0.1302 % 4,434.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1302 % 3,459.6
Perpetual-Premium 5.24 % -7.48 % 67,062 0.09 24 0.0065 % 3,280.5
Perpetual-Discount 4.80 % 4.85 % 98,355 15.69 10 0.0365 % 3,847.6
FixedReset Disc 4.20 % 3.66 % 194,719 17.86 46 0.2876 % 2,755.5
Insurance Straight 4.92 % 4.41 % 84,014 3.67 22 -0.0018 % 3,697.9
FloatingReset 2.82 % 3.04 % 61,887 19.58 2 0.1289 % 2,502.7
FixedReset Prem 4.87 % 3.38 % 205,163 1.23 29 0.1357 % 2,746.1
FixedReset Bank Non 1.81 % 2.18 % 126,809 0.70 1 0.0401 % 2,887.3
FixedReset Ins Non 4.23 % 3.59 % 149,970 17.87 21 0.1594 % 2,866.4
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.60 %
CM.PR.Y FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.78 %
TRP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.12 %
BAM.PF.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.31 %
TRP.PR.G FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 22.35
Evaluated at bid price : 23.09
Bid-YTW : 4.04 %
BAM.PR.B Floater 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 12.87
Evaluated at bid price : 12.87
Bid-YTW : 3.36 %
BIP.PR.B FixedReset Prem 2.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.89 %
PWF.PR.P FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.91 %
SLF.PR.G FixedReset Ins Non 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset Disc 150,604 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.04 %
CM.PR.R FixedReset Prem 107,064 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.57 %
TD.PF.M FixedReset Prem 64,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.37 %
RY.PR.M FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 22.77
Evaluated at bid price : 23.91
Bid-YTW : 3.52 %
MFC.PR.I FixedReset Ins Non 44,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 23.78
Evaluated at bid price : 24.97
Bid-YTW : 3.75 %
SLF.PR.C Insurance Straight 42,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 4.53 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.D FixedReset Prem Quote: 25.42 – 25.95
Spot Rate : 0.5300
Average : 0.3615

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.83 %
CM.PR.Y FixedReset Prem Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2485

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.78 %
GWO.PR.Q Insurance Straight Quote: 25.51 – 26.00
Spot Rate : 0.4900
Average : 0.3489

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-17
Maturity Price : 25.25
Evaluated at bid price : 25.51
Bid-YTW : 0.88 %
BAM.PR.X FixedReset Disc Quote: 16.63 – 17.08
Spot Rate : 0.4500
Average : 0.3349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-18
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 4.17 %
GWO.PR.S Insurance Straight Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1611

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : -5.48 %
PWF.PR.Z Perpetual-Premium Quote: 26.10 – 26.34
Spot Rate : 0.2400
Average : 0.1631

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.31 %

Posted in Market Action | No Comments »

May 17, 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 0.4214 % 2,574.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4214 % 4,723.3
Floater 3.37 % 3.41 % 73,818 18.69 3 0.4214 % 2,722.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0651 % 3,708.1
SplitShare 4.76 % 4.00 % 35,383 3.46 8 0.0651 % 4,428.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0651 % 3,455.1
Perpetual-Premium 5.24 % -11.05 % 68,125 0.09 24 0.0439 % 3,280.3
Perpetual-Discount 4.80 % 4.86 % 99,180 15.66 10 0.0608 % 3,846.2
FixedReset Disc 4.25 % 3.67 % 203,416 17.80 47 0.3036 % 2,747.6
Insurance Straight 4.92 % 4.24 % 81,928 0.12 22 0.1238 % 3,697.9
FloatingReset 2.83 % 3.03 % 63,866 19.60 2 0.9106 % 2,499.5
FixedReset Prem 4.88 % 3.38 % 208,913 1.24 29 0.0430 % 2,742.4
FixedReset Bank Non 1.81 % 2.23 % 128,074 0.70 1 -0.2000 % 2,886.2
FixedReset Ins Non 4.23 % 3.57 % 151,452 17.84 21 -0.1362 % 2,861.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 3.92 %
BAM.PR.B Floater -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 3.43 %
BAM.PF.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.38 %
MFC.PR.Q FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 23.41
Evaluated at bid price : 24.61
Bid-YTW : 3.57 %
TRP.PR.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
TRP.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 4.10 %
IFC.PR.A FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 3.55 %
MFC.PR.B Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-16
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 1.98 %
IAF.PR.G FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 24.14
Evaluated at bid price : 24.56
Bid-YTW : 3.87 %
RY.PR.M FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.77
Evaluated at bid price : 23.91
Bid-YTW : 3.52 %
MFC.PR.N FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.46
Evaluated at bid price : 23.19
Bid-YTW : 3.52 %
BAM.PR.K Floater 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 3.37 %
PWF.PR.T FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.66
Evaluated at bid price : 23.31
Bid-YTW : 3.66 %
MFC.PR.F FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 3.45 %
MFC.PR.L FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.25
Evaluated at bid price : 22.71
Bid-YTW : 3.48 %
TRP.PR.F FloatingReset 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 3.03 %
BAM.PF.G FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 21.55
Evaluated at bid price : 21.82
Bid-YTW : 4.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.I FixedReset Prem 115,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.21 %
TRP.PR.D FixedReset Disc 94,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
SLF.PR.G FixedReset Ins Non 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 3.92 %
TD.PF.B FixedReset Disc 56,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.62
Evaluated at bid price : 23.35
Bid-YTW : 3.48 %
MFC.PR.Q FixedReset Ins Non 50,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 23.41
Evaluated at bid price : 24.61
Bid-YTW : 3.57 %
BMO.PR.F FixedReset Prem 40,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.19 %
There were 13 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: 20.59 – 22.00
Spot Rate : 1.4100
Average : 0.8081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
SLF.PR.G FixedReset Ins Non Quote: 14.44 – 15.44
Spot Rate : 1.0000
Average : 0.6225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 3.92 %
TRP.PR.E FixedReset Disc Quote: 20.43 – 21.25
Spot Rate : 0.8200
Average : 0.5287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.16 %
BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.20
Spot Rate : 0.5500
Average : 0.3738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %
BAM.PF.F FixedReset Disc Quote: 22.71 – 23.15
Spot Rate : 0.4400
Average : 0.2883

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.22
Evaluated at bid price : 22.71
Bid-YTW : 4.25 %
MFC.PR.K FixedReset Ins Non Quote: 23.00 – 23.51
Spot Rate : 0.5100
Average : 0.3675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-17
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 3.54 %

Posted in Market Action | No Comments »

May 14, 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 1.0378 % 2,563.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0378 % 4,703.5
Floater 3.39 % 3.43 % 74,333 18.64 3 1.0378 % 2,710.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0627 % 3,705.7
SplitShare 4.76 % 4.02 % 36,624 3.47 8 -0.0627 % 4,425.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0627 % 3,452.8
Perpetual-Premium 5.24 % -7.81 % 69,987 0.09 24 0.1302 % 3,278.8
Perpetual-Discount 4.80 % 4.86 % 100,191 15.69 10 -0.0243 % 3,843.8
FixedReset Disc 4.26 % 3.69 % 204,777 17.80 47 0.0294 % 2,739.3
Insurance Straight 4.93 % 4.54 % 85,305 3.69 22 -0.0018 % 3,693.3
FloatingReset 2.85 % 3.11 % 64,467 19.43 2 -0.8384 % 2,476.9
FixedReset Prem 4.88 % 3.40 % 214,505 1.24 29 -0.1329 % 2,741.2
FixedReset Bank Non 1.80 % 1.62 % 129,209 0.28 1 -0.0400 % 2,892.0
FixedReset Ins Non 4.23 % 3.67 % 156,894 17.64 21 -0.3090 % 2,865.7
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.42 %
GWO.PR.N FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 3.52 %
IAF.PR.G FixedReset Ins Non -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.69
Evaluated at bid price : 24.17
Bid-YTW : 3.93 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 4.16 %
MFC.PR.F FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 3.54 %
SLF.PR.J FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 2.61 %
SLF.PR.I FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.95
Evaluated at bid price : 24.55
Bid-YTW : 3.74 %
MFC.PR.C Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.55 %
BNS.PR.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.47
Evaluated at bid price : 25.12
Bid-YTW : 3.44 %
PWF.PR.Z Perpetual-Premium 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 4.13 %
TD.PF.A FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 22.63
Evaluated at bid price : 23.43
Bid-YTW : 3.44 %
BAM.PR.B Floater 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 %
TRP.PR.A FixedReset Disc 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 55,116 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 22.55
Evaluated at bid price : 23.20
Bid-YTW : 3.44 %
NA.PR.C FixedReset Prem 30,118 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.58 %
CU.PR.C FixedReset Disc 21,748 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 21.62
Evaluated at bid price : 22.01
Bid-YTW : 3.77 %
CM.PR.Y FixedReset Prem 18,535 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.46 %
TRP.PR.J FixedReset Prem 18,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.52 %
NA.PR.E FixedReset Disc 17,529 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.36
Evaluated at bid price : 24.45
Bid-YTW : 3.64 %
There were 17 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: 21.00 – 22.01
Spot Rate : 1.0100
Average : 0.7041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.42 %
IAF.PR.G FixedReset Ins Non Quote: 24.17 – 24.79
Spot Rate : 0.6200
Average : 0.3873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 23.69
Evaluated at bid price : 24.17
Bid-YTW : 3.93 %
SLF.PR.J FloatingReset Quote: 14.45 – 15.20
Spot Rate : 0.7500
Average : 0.5582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 2.61 %
PWF.PR.P FixedReset Disc Quote: 15.10 – 15.94
Spot Rate : 0.8400
Average : 0.6779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.01 %
MFC.PR.N FixedReset Ins Non Quote: 23.01 – 23.60
Spot Rate : 0.5900
Average : 0.4418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 22.36
Evaluated at bid price : 23.01
Bid-YTW : 3.60 %
TRP.PR.F FloatingReset Quote: 16.30 – 17.00
Spot Rate : 0.7000
Average : 0.5660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-14
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.11 %

Posted in Market Action | No Comments »

May 13, 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 0.6158 % 2,536.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6158 % 4,655.2
Floater 3.42 % 3.44 % 74,237 18.61 3 0.6158 % 2,682.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0820 % 3,708.0
SplitShare 4.76 % 3.94 % 36,371 3.47 8 0.0820 % 4,428.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0820 % 3,455.0
Perpetual-Premium 5.25 % -8.90 % 70,316 0.09 24 -0.2030 % 3,274.6
Perpetual-Discount 4.80 % 4.86 % 100,246 15.69 10 -0.0527 % 3,844.8
FixedReset Disc 4.26 % 3.63 % 204,366 17.92 47 -0.1033 % 2,738.5
Insurance Straight 4.93 % 4.54 % 86,416 3.68 22 0.0287 % 3,693.4
FloatingReset 2.85 % 3.10 % 66,940 19.44 2 1.0427 % 2,497.8
FixedReset Prem 4.88 % 3.36 % 215,000 1.25 29 0.1156 % 2,744.8
FixedReset Bank Non 1.80 % 1.46 % 131,118 0.28 1 0.2405 % 2,893.1
FixedReset Ins Non 4.21 % 3.57 % 162,881 17.77 21 0.1275 % 2,874.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.30 %
SLF.PR.H FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.65 %
PWF.PR.P FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.94 %
IFC.PR.I Perpetual-Premium -1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.61 %
RY.PR.M FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.57
Evaluated at bid price : 23.50
Bid-YTW : 3.54 %
TD.PF.A FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.37
Evaluated at bid price : 22.97
Bid-YTW : 3.47 %
TD.PF.E FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.81
Evaluated at bid price : 24.00
Bid-YTW : 3.72 %
BNS.PR.I FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 23.37
Evaluated at bid price : 24.83
Bid-YTW : 3.44 %
POW.PR.C Perpetual-Premium -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-12
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : -14.32 %
MFC.PR.J FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 23.51
Evaluated at bid price : 24.70
Bid-YTW : 3.61 %
PWF.PR.T FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.36
Evaluated at bid price : 22.83
Bid-YTW : 3.70 %
GWO.PR.N FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 3.36 %
BAM.PR.B Floater 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 3.47 %
IFC.PR.A FixedReset Ins Non 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 3.50 %
TRP.PR.F FloatingReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.S Perpetual-Discount 280,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 24.62
Evaluated at bid price : 24.91
Bid-YTW : 4.84 %
TD.PF.D FixedReset Disc 188,089 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.84
Evaluated at bid price : 24.00
Bid-YTW : 3.65 %
CM.PR.T FixedReset Prem 56,279 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.73 %
BAM.PF.G FixedReset Disc 49,661 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 4.26 %
SLF.PR.A Insurance Straight 48,782 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-12
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -0.45 %
CM.PR.S FixedReset Disc 41,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 23.46
Evaluated at bid price : 24.50
Bid-YTW : 3.45 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 21.10 – 22.00
Spot Rate : 0.9000
Average : 0.5470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.65 %
TRP.PR.A FixedReset Disc Quote: 17.31 – 18.08
Spot Rate : 0.7700
Average : 0.4933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.30 %
TD.PF.E FixedReset Disc Quote: 24.00 – 24.70
Spot Rate : 0.7000
Average : 0.4406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.81
Evaluated at bid price : 24.00
Bid-YTW : 3.72 %
RY.PR.M FixedReset Disc Quote: 23.50 – 24.00
Spot Rate : 0.5000
Average : 0.3173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.57
Evaluated at bid price : 23.50
Bid-YTW : 3.54 %
PWF.PR.T FixedReset Disc Quote: 22.83 – 23.99
Spot Rate : 1.1600
Average : 1.0040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.36
Evaluated at bid price : 22.83
Bid-YTW : 3.70 %
TD.PF.A FixedReset Disc Quote: 22.97 – 23.53
Spot Rate : 0.5600
Average : 0.4077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-13
Maturity Price : 22.37
Evaluated at bid price : 22.97
Bid-YTW : 3.47 %

Posted in Market Action | No Comments »

May 12, 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 0.4572 % 2,521.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4572 % 4,626.7
Floater 3.44 % 3.44 % 74,546 18.62 3 0.4572 % 2,666.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0434 % 3,705.0
SplitShare 4.76 % 3.95 % 37,864 3.48 8 -0.0434 % 4,424.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0434 % 3,452.2
Perpetual-Premium 5.24 % -10.03 % 68,682 0.09 24 0.1920 % 3,281.2
Perpetual-Discount 4.80 % 4.85 % 101,241 15.67 10 0.1949 % 3,846.8
FixedReset Disc 4.25 % 3.61 % 204,524 18.00 47 -0.0692 % 2,741.3
Insurance Straight 4.93 % 4.53 % 89,765 3.69 22 -0.0610 % 3,692.4
FloatingReset 2.88 % 3.18 % 67,499 19.24 2 0.2286 % 2,472.1
FixedReset Prem 4.88 % 3.45 % 216,303 1.25 29 -0.1959 % 2,741.7
FixedReset Bank Non 1.81 % 2.15 % 132,654 0.72 1 0.1204 % 2,886.2
FixedReset Ins Non 4.22 % 3.59 % 164,201 17.77 21 -0.4081 % 2,870.9
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.70 %
BIP.PR.B FixedReset Prem -2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 4.54 %
BAM.PF.G FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.23 %
GWO.PR.N FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.41 %
MFC.PR.F FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 3.37 %
BAM.PR.B Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 3.56 %
MFC.PR.J FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 23.40
Evaluated at bid price : 24.45
Bid-YTW : 3.66 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 3.75 %
CU.PR.I FixedReset Prem -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.27 %
BAM.PF.B FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 21.44
Evaluated at bid price : 21.79
Bid-YTW : 4.23 %
TRP.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 4.03 %
TRP.PR.A FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.15 %
CIU.PR.A Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 4.70 %
BAM.PR.K Floater 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 3.44 %
IFC.PR.I Perpetual-Premium 3.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 4.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 92,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 22.56
Evaluated at bid price : 23.21
Bid-YTW : 3.38 %
TD.PF.L FixedReset Prem 57,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.53 %
TD.PF.C FixedReset Disc 43,251 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 22.65
Evaluated at bid price : 23.52
Bid-YTW : 3.43 %
MFC.PR.Q FixedReset Ins Non 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 23.42
Evaluated at bid price : 24.65
Bid-YTW : 3.57 %
NA.PR.W FixedReset Disc 42,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 22.50
Evaluated at bid price : 23.25
Bid-YTW : 3.45 %
BAM.PR.M Perpetual-Discount 41,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.87 %
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.T FixedReset Disc Quote: 22.55 – 23.99
Spot Rate : 1.4400
Average : 0.8329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 3.75 %
CU.PR.C FixedReset Disc Quote: 22.02 – 22.78
Spot Rate : 0.7600
Average : 0.5749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 21.62
Evaluated at bid price : 22.02
Bid-YTW : 3.70 %
BIP.PR.B FixedReset Prem Quote: 26.18 – 27.00
Spot Rate : 0.8200
Average : 0.6708

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 4.54 %
BAM.PR.Z FixedReset Disc Quote: 23.14 – 23.56
Spot Rate : 0.4200
Average : 0.2719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 22.75
Evaluated at bid price : 23.14
Bid-YTW : 4.26 %
IFC.PR.C FixedReset Ins Non Quote: 24.00 – 24.47
Spot Rate : 0.4700
Average : 0.3268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 23.15
Evaluated at bid price : 24.00
Bid-YTW : 3.66 %
SLF.PR.G FixedReset Ins Non Quote: 15.00 – 15.50
Spot Rate : 0.5000
Average : 0.3669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-12
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.70 %

Posted in Market Action | No Comments »

May 11, 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 -1.1959 % 2,509.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1959 % 4,605.6
Floater 3.46 % 3.50 % 77,085 18.49 3 -1.1959 % 2,654.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0434 % 3,706.6
SplitShare 4.76 % 3.90 % 37,689 3.48 8 0.0434 % 4,426.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0434 % 3,453.7
Perpetual-Premium 5.25 % -13.67 % 68,828 0.09 24 -0.1170 % 3,274.9
Perpetual-Discount 4.81 % 4.85 % 102,325 15.70 10 -0.2147 % 3,839.3
FixedReset Disc 4.25 % 3.62 % 196,859 18.00 47 -0.1429 % 2,743.2
Insurance Straight 4.93 % 4.55 % 90,865 3.70 22 -0.0287 % 3,694.6
FloatingReset 2.88 % 3.18 % 70,117 19.24 2 -1.3531 % 2,466.4
FixedReset Prem 4.87 % 3.41 % 219,754 1.25 29 -0.0831 % 2,747.1
FixedReset Bank Non 1.81 % 2.31 % 134,238 0.72 1 -0.1603 % 2,882.7
FixedReset Ins Non 4.20 % 3.57 % 158,746 17.79 21 -0.2202 % 2,882.7
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.53 %
CIU.PR.A Perpetual-Discount -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.78 %
CU.PR.C FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 21.62
Evaluated at bid price : 22.01
Bid-YTW : 3.70 %
IFC.PR.I Perpetual-Premium -2.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.88 %
TRP.PR.C FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 14.23
Evaluated at bid price : 14.23
Bid-YTW : 4.08 %
BIP.PR.B FixedReset Prem -2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 4.03 %
TRP.PR.B FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 13.28
Evaluated at bid price : 13.28
Bid-YTW : 3.93 %
TRP.PR.F FloatingReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 3.18 %
IFC.PR.A FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 3.57 %
BMO.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 22.41
Evaluated at bid price : 23.00
Bid-YTW : 3.43 %
SLF.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.60 %
PWF.PR.T FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 22.38
Evaluated at bid price : 22.85
Bid-YTW : 3.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset Prem 225,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 1.60 %
NA.PR.S FixedReset Disc 127,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 22.72
Evaluated at bid price : 23.50
Bid-YTW : 3.56 %
POW.PR.D Perpetual-Premium 75,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-10
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -14.72 %
CM.PR.T FixedReset Prem 70,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 3.74 %
TD.PF.L FixedReset Prem 47,407 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.38 %
CM.PR.S FixedReset Disc 42,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 24.14
Evaluated at bid price : 24.45
Bid-YTW : 3.51 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 17.48 – 23.00
Spot Rate : 5.5200
Average : 2.9485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 3.31 %
PWF.PR.E Perpetual-Premium Quote: 25.60 – 26.30
Spot Rate : 0.7000
Average : 0.3972

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-10
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -20.28 %
CIU.PR.A Perpetual-Discount Quote: 24.00 – 24.82
Spot Rate : 0.8200
Average : 0.5644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.78 %
CU.PR.H Perpetual-Premium Quote: 25.66 – 26.92
Spot Rate : 1.2600
Average : 1.0144

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.66
Bid-YTW : 4.35 %
BIP.PR.B FixedReset Prem Quote: 26.72 – 27.45
Spot Rate : 0.7300
Average : 0.5073

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 4.03 %
GWO.PR.H Insurance Straight Quote: 25.06 – 25.57
Spot Rate : 0.5100
Average : 0.3096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-11
Maturity Price : 24.85
Evaluated at bid price : 25.06
Bid-YTW : 4.89 %

Posted in Market Action | No Comments »

May 10, 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 -1.6466 % 2,540.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6466 % 4,661.3
Floater 3.42 % 3.42 % 77,691 18.68 3 -1.6466 % 2,686.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0483 % 3,705.0
SplitShare 4.76 % 4.04 % 42,405 3.99 8 0.0483 % 4,424.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0483 % 3,452.2
Perpetual-Premium 5.24 % -8.50 % 70,643 0.09 24 0.0960 % 3,278.8
Perpetual-Discount 4.80 % 4.85 % 102,201 15.72 10 0.1460 % 3,847.6
FixedReset Disc 4.24 % 3.61 % 196,063 17.97 47 0.4180 % 2,747.1
Insurance Straight 4.93 % 4.52 % 92,131 3.69 22 0.0036 % 3,695.7
FloatingReset 2.84 % 3.12 % 70,807 19.39 2 1.4711 % 2,500.3
FixedReset Prem 4.87 % 3.35 % 220,172 1.26 29 0.1248 % 2,749.3
FixedReset Bank Non 1.81 % 2.08 % 139,538 0.72 1 -0.0400 % 2,887.3
FixedReset Ins Non 4.19 % 3.54 % 158,885 17.82 21 0.4886 % 2,889.0
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 3.51 %
TD.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.59
Evaluated at bid price : 23.30
Bid-YTW : 3.43 %
TRP.PR.D FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.16 %
SLF.PR.J FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 2.57 %
TD.PF.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.56
Evaluated at bid price : 23.30
Bid-YTW : 3.41 %
NA.PR.W FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.47
Evaluated at bid price : 23.19
Bid-YTW : 3.46 %
MFC.PR.F FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 3.31 %
TRP.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.16 %
MFC.PR.N FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.55
Evaluated at bid price : 23.36
Bid-YTW : 3.48 %
BMO.PR.T FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.56
Evaluated at bid price : 23.27
Bid-YTW : 3.38 %
TRP.PR.F FloatingReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 3.12 %
IFC.PR.I Perpetual-Premium 2.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 4.49 %
CU.PR.C FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.00
Evaluated at bid price : 22.59
Bid-YTW : 3.59 %
GWO.PR.N FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 3.32 %
SLF.PR.G FixedReset Ins Non 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 3.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset Prem 85,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.55 %
TD.PF.M FixedReset Prem 57,509 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.39 %
BAM.PF.J FixedReset Prem 39,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.09 %
PWF.PR.S Perpetual-Discount 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 24.61
Evaluated at bid price : 24.90
Bid-YTW : 4.84 %
TRP.PR.E FixedReset Disc 31,101 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.16 %
TRP.PR.G FixedReset Disc 29,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.36
Evaluated at bid price : 23.10
Bid-YTW : 4.03 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 23.75 – 24.96
Spot Rate : 1.2100
Average : 0.7772

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.73
Evaluated at bid price : 23.75
Bid-YTW : 4.55 %
CU.PR.H Perpetual-Premium Quote: 25.80 – 26.92
Spot Rate : 1.1200
Average : 0.7452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.80
Bid-YTW : 3.50 %
BAM.PR.B Floater Quote: 12.32 – 13.14
Spot Rate : 0.8200
Average : 0.5392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 3.51 %
MFC.PR.L FixedReset Ins Non Quote: 22.35 – 23.00
Spot Rate : 0.6500
Average : 0.4360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.00
Evaluated at bid price : 22.35
Bid-YTW : 3.54 %
TRP.PR.E FixedReset Disc Quote: 20.12 – 20.75
Spot Rate : 0.6300
Average : 0.4430

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.16 %
TD.PF.D FixedReset Disc Quote: 24.19 – 24.85
Spot Rate : 0.6600
Average : 0.4863

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-10
Maturity Price : 22.92
Evaluated at bid price : 24.19
Bid-YTW : 3.61 %

Posted in Market Action | No Comments »

May 7, 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 1.0832 % 2,582.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0832 % 4,739.4
Floater 3.36 % 3.41 % 77,327 18.71 3 1.0832 % 2,731.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0482 % 3,703.2
SplitShare 4.77 % 3.94 % 39,403 3.49 8 -0.0482 % 4,422.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0482 % 3,450.5
Perpetual-Premium 5.25 % -14.89 % 71,630 0.09 24 0.0309 % 3,275.6
Perpetual-Discount 4.80 % 4.88 % 103,543 15.65 10 0.1951 % 3,841.9
FixedReset Disc 4.26 % 3.66 % 187,985 17.89 47 0.0504 % 2,735.7
Insurance Straight 4.93 % 4.52 % 95,441 3.70 22 0.2157 % 3,695.5
FloatingReset 2.88 % 3.18 % 71,377 19.25 2 0.2951 % 2,464.0
FixedReset Prem 4.87 % 3.49 % 222,779 1.26 29 0.1223 % 2,745.9
FixedReset Bank Non 1.81 % 1.91 % 140,700 0.30 1 0.0000 % 2,888.5
FixedReset Ins Non 4.21 % 3.61 % 160,000 17.72 21 0.1212 % 2,875.0
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.76 %
BNS.PR.I FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 23.45
Evaluated at bid price : 25.05
Bid-YTW : 3.44 %
MFC.PR.J FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 23.59
Evaluated at bid price : 24.92
Bid-YTW : 3.61 %
BAM.PR.X FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 4.19 %
CU.PR.I FixedReset Prem 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.03 %
TRP.PR.D FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 4.26 %
BAM.PR.T FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.24 %
BAM.PR.C Floater 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 12.63
Evaluated at bid price : 12.63
Bid-YTW : 3.42 %
BIP.PR.B FixedReset Prem 2.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.31
Bid-YTW : 3.49 %
SLF.PR.H FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 3.62 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset Prem 102,774 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 4.01 %
CM.PR.Y FixedReset Prem 82,011 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.56 %
BAM.PR.R FixedReset Disc 64,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.29 %
BNS.PR.H FixedReset Prem 60,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 1.41 %
POW.PR.D Perpetual-Premium 52,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-06
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -14.89 %
SLF.PR.D Insurance Straight 50,065 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.52 %
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.PR.K Floater Quote: 12.68 – 25.00
Spot Rate : 12.3200
Average : 6.6472

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 3.41 %
TRP.PR.F FloatingReset Quote: 15.99 – 17.50
Spot Rate : 1.5100
Average : 0.9256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 3.18 %
BIP.PR.D FixedReset Prem Quote: 25.25 – 26.00
Spot Rate : 0.7500
Average : 0.5034

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.48 %
BIK.PR.A FixedReset Prem Quote: 26.26 – 26.80
Spot Rate : 0.5400
Average : 0.3801

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 4.24 %
TD.PF.A FixedReset Disc Quote: 23.03 – 23.50
Spot Rate : 0.4700
Average : 0.3157

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-07
Maturity Price : 22.40
Evaluated at bid price : 23.03
Bid-YTW : 3.50 %
CM.PR.Y FixedReset Prem Quote: 26.25 – 26.80
Spot Rate : 0.5500
Average : 0.4080

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.56 %

Posted in Market Action | No Comments »

May 6, 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 2.8812 % 2,555.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.8812 % 4,688.6
Floater 3.40 % 3.43 % 77,539 18.66 3 2.8812 % 2,702.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0145 % 3,705.0
SplitShare 4.76 % 4.03 % 41,021 4.00 8 0.0145 % 4,424.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0145 % 3,452.2
Perpetual-Premium 5.25 % -14.50 % 71,994 0.09 24 -0.0407 % 3,274.6
Perpetual-Discount 4.81 % 4.85 % 105,043 15.64 10 0.1873 % 3,834.5
FixedReset Disc 4.26 % 3.67 % 183,747 17.89 47 0.0656 % 2,734.3
Insurance Straight 4.94 % 4.54 % 99,255 3.70 22 0.0432 % 3,687.6
FloatingReset 2.89 % 3.20 % 70,651 19.21 2 0.3620 % 2,456.8
FixedReset Prem 4.88 % 3.49 % 229,123 1.27 29 -0.1007 % 2,742.6
FixedReset Bank Non 1.81 % 1.90 % 145,361 0.30 1 0.0401 % 2,888.5
FixedReset Ins Non 4.22 % 3.66 % 159,602 17.74 21 -0.0355 % 2,871.5
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 21.71
Evaluated at bid price : 22.15
Bid-YTW : 3.73 %
IFC.PR.I Perpetual-Premium -2.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.87 %
CU.PR.I FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.35 %
MFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 24.55
Evaluated at bid price : 25.00
Bid-YTW : 3.85 %
SLF.PR.J FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.60 %
CM.PR.Q FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 22.81
Evaluated at bid price : 23.95
Bid-YTW : 3.69 %
IFC.PR.G FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 23.22
Evaluated at bid price : 24.20
Bid-YTW : 3.72 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 22.19
Evaluated at bid price : 22.63
Bid-YTW : 3.54 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 3.46 %
TRP.PR.F FloatingReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.20 %
TRP.PR.E FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.28 %
BAM.PR.K Floater 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 3.43 %
TRP.PR.C FixedReset Disc 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.04 %
BAM.PR.B Floater 4.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 158,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 3.43 %
TRP.PR.J FixedReset Prem 109,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.21 %
TRP.PR.E FixedReset Disc 105,352 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.28 %
TD.PF.E FixedReset Disc 67,020 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 23.01
Evaluated at bid price : 24.47
Bid-YTW : 3.66 %
PWF.PR.P FixedReset Disc 55,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 3.97 %
RY.PR.H FixedReset Disc 51,661 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 22.60
Evaluated at bid price : 23.34
Bid-YTW : 3.44 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.M Perpetual-Discount Quote: 24.43 – 25.25
Spot Rate : 0.8200
Average : 0.5256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 4.91 %
MFC.PR.K FixedReset Ins Non Quote: 22.95 – 24.00
Spot Rate : 1.0500
Average : 0.7675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 22.49
Evaluated at bid price : 22.95
Bid-YTW : 3.60 %
IFC.PR.I Perpetual-Premium Quote: 26.05 – 27.25
Spot Rate : 1.2000
Average : 0.9550

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.87 %
CU.PR.I FixedReset Prem Quote: 26.15 – 26.90
Spot Rate : 0.7500
Average : 0.5285

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.35 %
BAM.PR.C Floater Quote: 12.40 – 13.00
Spot Rate : 0.6000
Average : 0.4246

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-06
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 3.48 %
BIP.PR.B FixedReset Prem Quote: 26.75 – 27.55
Spot Rate : 0.8000
Average : 0.6326

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.99 %

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May 5, 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 0.7393 % 2,483.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7393 % 4,557.3
Floater 3.50 % 3.53 % 71,569 18.44 3 0.7393 % 2,626.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,704.4
SplitShare 4.77 % 4.02 % 42,706 4.01 8 0.0000 % 4,423.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,451.7
Perpetual-Premium 5.24 % -7.53 % 71,170 0.09 24 -0.0406 % 3,275.9
Perpetual-Discount 4.82 % 4.88 % 108,433 15.66 10 0.1346 % 3,827.3
FixedReset Disc 4.27 % 3.65 % 170,455 17.83 47 0.7311 % 2,732.5
Insurance Straight 4.94 % 4.55 % 100,592 3.71 22 -0.0539 % 3,686.0
FloatingReset 2.90 % 3.25 % 70,610 19.08 2 1.1651 % 2,447.9
FixedReset Prem 4.88 % 3.33 % 231,085 1.27 29 0.1156 % 2,745.3
FixedReset Bank Non 1.81 % 2.01 % 147,096 0.31 1 0.0401 % 2,887.3
FixedReset Ins Non 4.22 % 3.60 % 155,598 17.75 21 0.6372 % 2,872.5
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.69
Evaluated at bid price : 23.70
Bid-YTW : 3.74 %
GWO.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 3.50 %
BAM.PF.F FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.14
Evaluated at bid price : 22.60
Bid-YTW : 4.25 %
CU.PR.F Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 23.75
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %
MFC.PR.L FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.01
Evaluated at bid price : 22.37
Bid-YTW : 3.59 %
RY.PR.M FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.78
Evaluated at bid price : 23.93
Bid-YTW : 3.50 %
IFC.PR.I Perpetual-Premium 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 4.50 %
NA.PR.S FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.68
Evaluated at bid price : 23.43
Bid-YTW : 3.61 %
MFC.PR.N FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.43
Evaluated at bid price : 23.14
Bid-YTW : 3.56 %
BAM.PF.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 23.07
Evaluated at bid price : 24.00
Bid-YTW : 4.13 %
BAM.PF.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.38 %
TD.PF.E FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.98
Evaluated at bid price : 24.40
Bid-YTW : 3.68 %
BAM.PR.C Floater 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.51 %
BAM.PR.Z FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.88
Evaluated at bid price : 23.28
Bid-YTW : 4.28 %
BAM.PF.B FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.25 %
BAM.PF.G FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 21.60
Evaluated at bid price : 21.90
Bid-YTW : 4.20 %
IAF.PR.G FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 24.57
Evaluated at bid price : 24.90
Bid-YTW : 3.81 %
TRP.PR.A FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.30 %
TRP.PR.G FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.23
Evaluated at bid price : 22.88
Bid-YTW : 4.12 %
TRP.PR.F FloatingReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 3.25 %
MFC.PR.M FixedReset Ins Non 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.65
Evaluated at bid price : 23.50
Bid-YTW : 3.57 %
BAM.PR.T FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.29 %
CU.PR.I FixedReset Prem 2.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.02 %
TRP.PR.B FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 3.98 %
MFC.PR.F FixedReset Ins Non 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 3.42 %
BAM.PR.X FixedReset Disc 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 4.22 %
CU.PR.C FixedReset Disc 6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.13
Evaluated at bid price : 22.82
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset Prem 150,548 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.13 %
TRP.PR.K FixedReset Prem 124,865 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.12 %
RY.PR.S FixedReset Disc 64,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 23.35
Evaluated at bid price : 24.83
Bid-YTW : 3.42 %
RY.PR.J FixedReset Disc 57,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.98
Evaluated at bid price : 24.30
Bid-YTW : 3.58 %
BAM.PF.A FixedReset Disc 49,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 23.07
Evaluated at bid price : 24.00
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem 38,305 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.73 %
There were 37 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: 12.24 – 13.24
Spot Rate : 1.0000
Average : 0.5670

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 12.24
Evaluated at bid price : 12.24
Bid-YTW : 3.53 %
IFC.PR.G FixedReset Ins Non Quote: 23.93 – 24.92
Spot Rate : 0.9900
Average : 0.6822

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 23.09
Evaluated at bid price : 23.93
Bid-YTW : 3.77 %
PWF.PR.P FixedReset Disc Quote: 15.06 – 15.80
Spot Rate : 0.7400
Average : 0.4996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.00 %
CM.PR.Q FixedReset Disc Quote: 23.70 – 24.38
Spot Rate : 0.6800
Average : 0.4563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 22.69
Evaluated at bid price : 23.70
Bid-YTW : 3.74 %
TRP.PR.C FixedReset Disc Quote: 14.05 – 14.77
Spot Rate : 0.7200
Average : 0.5099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 4.20 %
GWO.PR.N FixedReset Ins Non Quote: 15.27 – 16.00
Spot Rate : 0.7300
Average : 0.5292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-05-05
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 3.50 %

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