Category: Market Action

Market Action

February 12, 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 1.7105 % 2,158.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7105 % 3,960.7
Floater 4.01 % 4.05 % 56,038 17.29 3 1.7105 % 2,282.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0633 % 3,644.4
SplitShare 4.68 % 4.37 % 36,484 3.67 8 0.0633 % 4,352.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0633 % 3,395.8
Perpetual-Premium 5.33 % -5.05 % 69,367 0.09 18 0.0108 % 3,249.9
Perpetual-Discount 4.91 % 4.88 % 75,018 15.49 13 0.0404 % 3,773.5
FixedReset Disc 4.65 % 3.63 % 167,267 17.89 56 0.9391 % 2,522.1
Insurance Straight 4.95 % 4.55 % 82,988 4.07 22 -0.0468 % 3,634.9
FloatingReset 3.11 % 2.59 % 28,056 20.76 2 1.0145 % 2,220.1
FixedReset Prem 5.12 % 2.52 % 230,688 0.93 20 0.1256 % 2,714.1
FixedReset Bank Non 1.80 % 1.66 % 174,047 0.96 1 0.0000 % 2,892.0
FixedReset Ins Non 4.42 % 3.37 % 110,060 18.37 22 -0.1551 % 2,757.9
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 3.15 %
IAF.PR.I FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 23.34
Evaluated at bid price : 24.46
Bid-YTW : 3.43 %
MFC.PR.M FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.94
Evaluated at bid price : 22.35
Bid-YTW : 3.40 %
IAF.PR.B Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 4.70 %
SLF.PR.J FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 2.59 %
BMO.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 3.44 %
CM.PR.O FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 3.55 %
IFC.PR.C FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.98
Evaluated at bid price : 22.55
Bid-YTW : 3.49 %
BAM.PF.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.47 %
BMO.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.91
Evaluated at bid price : 22.25
Bid-YTW : 3.33 %
TD.PF.I FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 23.61
Evaluated at bid price : 24.85
Bid-YTW : 3.53 %
TRP.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.33 %
RY.PR.H FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.90
Evaluated at bid price : 22.26
Bid-YTW : 3.23 %
BIP.PR.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 22.17
Evaluated at bid price : 22.76
Bid-YTW : 4.44 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.75
Evaluated at bid price : 22.15
Bid-YTW : 3.46 %
CM.PR.P FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 3.51 %
BAM.PF.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.49 %
BAM.PR.B Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 4.07 %
GWO.PR.N FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 3.08 %
BAM.PR.C Floater 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.02 %
MFC.PR.J FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 23.21
Evaluated at bid price : 24.15
Bid-YTW : 3.35 %
BAM.PF.A FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.32 %
BAM.PR.K Floater 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
TRP.PR.C FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.19 %
TRP.PR.B FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 3.85 %
BAM.PR.T FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.29 %
TRP.PR.E FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.29 %
TRP.PR.F FloatingReset 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 13.53
Evaluated at bid price : 13.53
Bid-YTW : 3.71 %
BAM.PF.B FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.43 %
BAM.PF.F FixedReset Disc 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.38 %
BAM.PR.X FixedReset Disc 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.09 %
PWF.PR.T FixedReset Disc 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.63 %
BAM.PR.R FixedReset Disc 5.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.30 %
BMO.PR.Y FixedReset Disc 5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.95
Evaluated at bid price : 22.42
Bid-YTW : 3.50 %
BAM.PR.Z FixedReset Disc 5.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 674,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.48 %
BMO.PR.Y FixedReset Disc 227,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.95
Evaluated at bid price : 22.42
Bid-YTW : 3.50 %
PWF.PR.P FixedReset Disc 209,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.78 %
NA.PR.X FixedReset Prem 162,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 0.65 %
GWO.PR.N FixedReset Ins Non 112,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 3.08 %
MFC.PR.F FixedReset Ins Non 101,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 3.15 %
There were 28 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: 17.80 – 22.24
Spot Rate : 4.4400
Average : 2.4413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.49 %
BAM.PR.T FixedReset Disc Quote: 16.74 – 18.18
Spot Rate : 1.4400
Average : 0.7903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.29 %
SLF.PR.H FixedReset Ins Non Quote: 20.68 – 22.00
Spot Rate : 1.3200
Average : 0.8300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 3.26 %
PWF.PR.T FixedReset Disc Quote: 21.15 – 22.00
Spot Rate : 0.8500
Average : 0.5618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.63 %
TD.PF.D FixedReset Disc Quote: 23.30 – 24.00
Spot Rate : 0.7000
Average : 0.4753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.45 %
RY.PR.M FixedReset Disc Quote: 22.15 – 23.00
Spot Rate : 0.8500
Average : 0.6267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.75
Evaluated at bid price : 22.15
Bid-YTW : 3.46 %
Market Action

February 11, 2021

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Click for Big

S&P has weighed in on the MFC LRCNs discussed yesterday:

S&P Global Ratings said today it assigned its ‘BBB+’ issue-level rating to Manulife Financial Corp.’s (MFC; A/Stable/–) Canadian dollar-denominated limited recourse capital notes.

The notes are subordinated obligations, not callable in the first five years, and have a 60-year maturity. At the same time, MFC will issue an equivalent amount of perpetual preferred shares, also not callable within the first five years, that offer a typical features of preferred shares including subordination to senior obligations and dividend payments payable at MFC’s discretion. The preferred shares will be held in a dedicated trust and the trustee will provide a revocable waiver for all dividends while the shares remain in the trust. We have assigned the same ‘BBB+’ issue-level rating to the preferred shares.

While the notes do not explicitly allow MFC to defer or cancel any payments of interest or principal, the sole recourse the noteholders have for any nonpayment or any event of default is their proportional part of the preferred shares held in the trust. MFC could decide at any point to stop payment on the notes, trigger the delivery of the preferred shares to the noteholders, simultaneously cancel the preferred shares’ dividends, and suffer no negative consequences thereafter. This, in our view, effectively renders the payments on the notes cancelable at MFC’s discretion.

The ‘BBB+’ ratings for both the notes and the preferred shares are two notches below MFC’s issuer credit rating, incorporating a deduction of one notch, reflecting subordination of the issuances; and a deduction of an additional notch, reflecting optional coupon and dividend cancelability.

We have assigned the equity content of the notes and the preferred shares as intermediate, because we view their features as contributing to MFC’s loss-absorption capacity. In addition, the notes and the preferred shares are only redeemable after five years, with no additional incentive to call either at that date. Therefore, the notes’ and preferred shares’ longevity is also a factor in our evaluation of their intermediate equity content.

We do not expect the issuance of the notes to materially change MFC’s financial leverage or fixed-charge coverage because we anticipate the company will use the proceeds mostly to fund upcoming maturities and redemptions. Since the preferred shares are held in trust solely for the purpose of potential recourse to the noteholders, we will exclude them from any capital, leverage, and coverage calculations while the shares remain in the trust.

TXPR closed at 645.98, up 0.68% on the day. Volume today was 5.49-million, by far the highest daily volume in the past 20 trading days, well ahead of second-place February 3 with 3.87-million.

CPD closed at 12.90, up 1.02% on the day. Volume was 59,103, perhaps a little below the median of the past 20 trading days.

ZPR closed at 10.45, up 0.97% on the day. Volume of 433,493 was second-highest of the past 20 trading days, behind only February 4.

Five-year Canada yields were unchanged at 0.49% today.

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 0.7018 % 2,122.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7018 % 3,894.1
Floater 4.07 % 4.12 % 55,570 17.13 3 0.7018 % 2,244.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0536 % 3,642.1
SplitShare 4.69 % 4.36 % 36,451 3.68 8 0.0536 % 4,349.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0536 % 3,393.6
Perpetual-Premium 5.33 % -5.20 % 69,742 0.09 18 0.1063 % 3,249.5
Perpetual-Discount 4.92 % 4.92 % 75,846 15.49 13 0.0747 % 3,772.0
FixedReset Disc 4.70 % 3.74 % 166,883 17.86 56 0.7857 % 2,498.7
Insurance Straight 4.94 % 4.56 % 86,183 4.07 22 0.3794 % 3,636.6
FloatingReset 3.14 % 2.57 % 27,220 20.83 2 7.1845 % 2,197.8
FixedReset Prem 5.12 % 2.73 % 213,592 0.93 20 0.1552 % 2,710.7
FixedReset Bank Non 1.80 % 1.66 % 174,223 0.96 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.34 % 107,372 18.34 22 4.5276 % 2,762.2
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.74 %
MFC.PR.H FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.93
Evaluated at bid price : 25.11
Bid-YTW : 3.60 %
BIP.PR.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.99
Evaluated at bid price : 22.48
Bid-YTW : 4.51 %
BAM.PF.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 4.52 %
BMO.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.42 %
SLF.PR.D Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.53 %
BMO.PR.S FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 3.37 %
BMO.PR.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.00
Evaluated at bid price : 23.98
Bid-YTW : 3.47 %
BAM.PR.Z FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.47 %
BMO.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.47 %
BAM.PF.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.41 %
TRP.PR.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.43 %
NA.PR.S FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 3.62 %
BAM.PR.X FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 4.25 %
SLF.PR.E Insurance Straight 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.56 %
TRP.PR.G FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.48 %
TRP.PR.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.38 %
PWF.PR.T FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 3.78 %
SLF.PR.C Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.51 %
TRP.PR.B FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 3.97 %
IAF.PR.G FixedReset Ins Non 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.13
Evaluated at bid price : 24.50
Bid-YTW : 3.45 %
TRP.PR.A FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 4.44 %
MFC.PR.I FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.62
Evaluated at bid price : 24.80
Bid-YTW : 3.41 %
MFC.PR.G FixedReset Ins Non 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.52
Evaluated at bid price : 24.92
Bid-YTW : 3.43 %
MFC.PR.J FixedReset Ins Non 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 3.46 %
NA.PR.W FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.56 %
IAF.PR.I FixedReset Ins Non 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.51
Evaluated at bid price : 24.89
Bid-YTW : 3.34 %
BAM.PR.C Floater 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 10.59
Evaluated at bid price : 10.59
Bid-YTW : 4.09 %
CU.PR.C FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 3.77 %
SLF.PR.I FixedReset Ins Non 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.42
Evaluated at bid price : 24.00
Bid-YTW : 3.37 %
BAM.PR.T FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 4.29 %
MFC.PR.Q FixedReset Ins Non 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.06
Evaluated at bid price : 23.95
Bid-YTW : 3.34 %
IFC.PR.G FixedReset Ins Non 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.38
Evaluated at bid price : 22.79
Bid-YTW : 3.58 %
IFC.PR.C FixedReset Ins Non 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.82
Evaluated at bid price : 22.30
Bid-YTW : 3.53 %
IFC.PR.A FixedReset Ins Non 4.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.39 %
PWF.PR.P FixedReset Disc 5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.78 %
MFC.PR.K FixedReset Ins Non 7.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 3.23 %
SLF.PR.H FixedReset Ins Non 7.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.28 %
MFC.PR.M FixedReset Ins Non 8.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.34 %
MFC.PR.N FixedReset Ins Non 9.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.07
Evaluated at bid price : 22.57
Bid-YTW : 3.28 %
MFC.PR.L FixedReset Ins Non 9.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 3.28 %
SLF.PR.G FixedReset Ins Non 10.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 3.14 %
GWO.PR.N FixedReset Ins Non 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.12 %
SLF.PR.J FloatingReset 14.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.57 %
MFC.PR.F FixedReset Ins Non 14.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 3.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 1,314,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.73 %
MFC.PR.F FixedReset Ins Non 480,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 3.04 %
TD.PF.D FixedReset Disc 340,823 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.45 %
SLF.PR.H FixedReset Ins Non 240,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.28 %
MFC.PR.M FixedReset Ins Non 176,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.34 %
MFC.PR.K FixedReset Ins Non 149,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 3.23 %
SLF.PR.B Insurance Straight 108,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-13
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.29 %
CM.PR.R FixedReset Disc 100,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.76
Evaluated at bid price : 25.05
Bid-YTW : 3.84 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 21.25 – 22.85
Spot Rate : 1.6000
Average : 0.9658

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.74 %
TRP.PR.E FixedReset Disc Quote: 17.15 – 18.55
Spot Rate : 1.4000
Average : 0.8419

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.43 %
RY.PR.J FixedReset Disc Quote: 22.70 – 23.56
Spot Rate : 0.8600
Average : 0.5139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.14
Evaluated at bid price : 22.70
Bid-YTW : 3.51 %
BAM.PR.Z FixedReset Disc Quote: 20.25 – 21.00
Spot Rate : 0.7500
Average : 0.4486

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.47 %
BAM.PR.R FixedReset Disc Quote: 15.62 – 16.45
Spot Rate : 0.8300
Average : 0.5388

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 4.53 %
SLF.PR.J FloatingReset Quote: 14.50 – 15.30
Spot Rate : 0.8000
Average : 0.5671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.57 %
Market Action

February 10, 2021

Manulife will be issuing LRCNs, provisionally rated A(low) by DBRS:

DBRS Limited (DBRS Morningstar) assigned a provisional rating of A (low) with a Stable trend to Manulife Financial Corporation’s (Manulife or the Company) Limited Recourse Capital Notes (the Capital Notes). DBRS Morningstar assigned the rating equal to the Company’s Issuer Rating of A (high) less two rating notches, which is consistent with DBRS Morningstar’s notching approach for capital instruments issued by insurance holding companies. This is one notch below the rating of Manulife’s Unsecured Subordinated Debentures.

RATING DRIVERS
Given Manulife’s recent ratings upgrade, DBRS Morningstar does not see upward ratings pressure over the intermediate term. Over the longer term, if Manulife continues to improve profitability and de-risk by further reducing its exposures to product guarantees and long-term care products, while maintaining its capital profile, the ratings would be upgraded.

Conversely, persistent weaker and volatile profitability combined with a sustained deterioration in financial leverage and coverage ratios would result in a ratings downgrade. An adverse event causing regulatory capital to decline substantially would also result in a ratings downgrade.

PerpetualDiscounts now yield 4.66%, equivalent to 6.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply narrower at 310bp than the 355bp reported February 3.

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 -0.0638 % 2,107.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0638 % 3,867.0
Floater 4.10 % 4.12 % 55,566 17.15 3 -0.0638 % 2,228.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0683 % 3,640.1
SplitShare 4.69 % 4.42 % 37,950 3.68 8 0.0683 % 4,347.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0683 % 3,391.8
Perpetual-Premium 5.34 % -5.08 % 69,402 0.08 18 -0.0065 % 3,246.1
Perpetual-Discount 4.92 % 4.66 % 76,890 15.48 13 0.2810 % 3,769.1
FixedReset Disc 4.73 % 3.69 % 156,210 17.68 56 -0.0535 % 2,479.2
Insurance Straight 4.96 % 4.63 % 89,713 15.37 22 0.1085 % 3,622.9
FloatingReset 3.37 % 3.83 % 29,131 17.74 2 3.5384 % 2,050.5
FixedReset Prem 5.13 % 2.92 % 215,579 0.93 20 -0.1687 % 2,706.5
FixedReset Bank Non 1.80 % 1.65 % 175,874 0.96 1 0.0000 % 2,892.0
FixedReset Ins Non 4.61 % 3.53 % 104,092 17.95 22 0.5705 % 2,642.5
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.21 %
CU.PR.C FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 3.88 %
RY.PR.M FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.40
Evaluated at bid price : 21.67
Bid-YTW : 3.54 %
MFC.PR.K FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.51 %
MFC.PR.F FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 3.50 %
CM.PR.Q FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.97
Evaluated at bid price : 22.45
Bid-YTW : 3.60 %
MFC.PR.G FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 23.80
Evaluated at bid price : 24.35
Bid-YTW : 3.50 %
BAM.PF.D Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 24.67
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %
SLF.PR.G FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.46 %
MFC.PR.J FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 22.88
Evaluated at bid price : 23.20
Bid-YTW : 3.55 %
IFC.PR.A FixedReset Ins Non 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.55 %
PWF.PR.T FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.85 %
BAM.PR.K Floater 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.12 %
TRP.PR.F FloatingReset 7.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.A FixedReset Disc 151,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 4.54 %
SLF.PR.I FixedReset Ins Non 113,777 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 22.72
Evaluated at bid price : 23.30
Bid-YTW : 3.47 %
TD.PF.G FixedReset Prem 112,350 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.98 %
MFC.PR.C Insurance Straight 111,501 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.58 %
BAM.PF.D Perpetual-Discount 108,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 24.67
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %
TRP.PR.B FixedReset Disc 84,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 4.04 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 20.60 – 21.50
Spot Rate : 0.9000
Average : 0.5756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.65 %
CU.PR.D Perpetual-Discount Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3047

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.44 %
BIK.PR.A FixedReset Prem Quote: 25.75 – 26.25
Spot Rate : 0.5000
Average : 0.3160

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 5.07 %
SLF.PR.H FixedReset Ins Non Quote: 19.10 – 19.80
Spot Rate : 0.7000
Average : 0.5262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.53 %
BAM.PR.C Floater Quote: 10.29 – 10.75
Spot Rate : 0.4600
Average : 0.3008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.21 %
IFC.PR.C FixedReset Ins Non Quote: 21.40 – 21.90
Spot Rate : 0.5000
Average : 0.3491

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.73 %
Market Action

February 9, 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 -2.4565 % 2,108.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.4565 % 3,869.4
Floater 4.10 % 4.10 % 56,280 17.19 3 -2.4565 % 2,230.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0244 % 3,637.7
SplitShare 4.69 % 4.48 % 38,103 3.68 8 0.0244 % 4,344.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0244 % 3,389.5
Perpetual-Premium 5.34 % -4.60 % 70,245 0.09 18 0.1934 % 3,246.3
Perpetual-Discount 4.93 % 4.88 % 77,125 15.44 13 0.2190 % 3,758.6
FixedReset Disc 4.73 % 3.69 % 155,511 17.75 56 0.3702 % 2,480.5
Insurance Straight 4.97 % 4.66 % 90,247 15.33 22 0.0633 % 3,618.9
FloatingReset 3.49 % 2.93 % 23,075 19.87 2 -3.0409 % 1,980.4
FixedReset Prem 5.12 % 2.78 % 212,268 0.94 20 0.0353 % 2,711.1
FixedReset Bank Non 1.80 % 1.65 % 178,168 0.97 1 0.0000 % 2,892.0
FixedReset Ins Non 4.64 % 3.55 % 98,052 17.87 22 0.0129 % 2,627.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
BAM.PR.K Floater -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
IFC.PR.A FixedReset Ins Non -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.66 %
TRP.PR.C FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 4.48 %
BAM.PR.C Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.58
Evaluated at bid price : 10.58
Bid-YTW : 4.09 %
MFC.PR.J FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.33
Evaluated at bid price : 22.62
Bid-YTW : 3.64 %
BAM.PR.B Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.57
Evaluated at bid price : 10.57
Bid-YTW : 4.10 %
CU.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 3.78 %
GWO.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.53 %
TD.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.41 %
BAM.PF.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 24.37
Evaluated at bid price : 24.65
Bid-YTW : 4.97 %
NA.PR.W FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.64 %
BMO.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.42 %
BAM.PR.R FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 3.58 %
RY.PR.H FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 3.30 %
CM.PR.Q FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.80
Evaluated at bid price : 22.20
Bid-YTW : 3.65 %
CU.PR.H Perpetual-Premium 3.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.85
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.53 %
BAM.PF.F FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 251,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.79 %
BAM.PR.K Floater 212,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
TD.PF.G FixedReset Prem 152,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.39 %
IAF.PR.G FixedReset Ins Non 101,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 23.56
Evaluated at bid price : 24.00
Bid-YTW : 3.51 %
NA.PR.W FixedReset Disc 88,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.64 %
BMO.PR.C FixedReset Disc 82,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 23.85
Evaluated at bid price : 25.10
Bid-YTW : 3.76 %
There were 48 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: 19.45 – 20.99
Spot Rate : 1.5400
Average : 0.8596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset Quote: 12.17 – 13.24
Spot Rate : 1.0700
Average : 0.6606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
MFC.PR.J FixedReset Ins Non Quote: 22.62 – 23.23
Spot Rate : 0.6100
Average : 0.3691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.33
Evaluated at bid price : 22.62
Bid-YTW : 3.64 %
TD.PF.D FixedReset Disc Quote: 23.20 – 24.00
Spot Rate : 0.8000
Average : 0.5780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.42
Evaluated at bid price : 23.20
Bid-YTW : 3.47 %
BAM.PR.K Floater Quote: 10.22 – 10.80
Spot Rate : 0.5800
Average : 0.3712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
EIT.PR.B SplitShare Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7962

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.95 %
Market Action

February 8, 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 1.6756 % 2,161.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6756 % 3,966.9
Floater 4.00 % 4.05 % 51,997 17.30 3 1.6756 % 2,286.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,636.8
SplitShare 4.69 % 4.41 % 36,971 3.68 8 0.0146 % 4,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,388.6
Perpetual-Premium 5.35 % -5.20 % 69,008 0.09 18 -0.2580 % 3,240.0
Perpetual-Discount 4.94 % 4.69 % 77,073 15.39 13 0.1347 % 3,750.4
FixedReset Disc 4.75 % 3.74 % 156,276 17.71 56 -0.2604 % 2,471.4
Insurance Straight 4.97 % 4.63 % 89,064 15.35 22 -0.1536 % 3,616.6
FloatingReset 3.38 % 3.85 % 30,365 17.72 2 0.9445 % 2,042.5
FixedReset Prem 5.12 % 2.76 % 196,544 0.94 20 -0.1665 % 2,710.1
FixedReset Bank Non 1.80 % 1.64 % 185,487 0.97 1 0.0400 % 2,892.0
FixedReset Ins Non 4.64 % 3.57 % 92,325 17.88 22 0.0000 % 2,627.2
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.77 %
SLF.PR.G FixedReset Ins Non -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.66 %
BMO.PR.Y FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %
CU.PR.H Perpetual-Premium -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %
CM.PR.Q FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 3.76 %
BAM.PR.R FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.62 %
RY.PR.H FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.41 %
TD.PF.J FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.97
Evaluated at bid price : 23.73
Bid-YTW : 3.48 %
TD.PF.B FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 3.45 %
SLF.PR.B Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
SLF.PR.A Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 3.72 %
RY.PR.J FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.18
Evaluated at bid price : 22.76
Bid-YTW : 3.50 %
BAM.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.54 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 3.57 %
BAM.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
SLF.PR.J FloatingReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 2.96 %
BAM.PR.C Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.02 %
BAM.PR.B Floater 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.45 %
TRP.PR.G FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.55 %
GWO.PR.N FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Disc 75,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 23.65
Evaluated at bid price : 25.00
Bid-YTW : 3.89 %
SLF.PR.B Insurance Straight 73,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
BAM.PF.G FixedReset Disc 71,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.57 %
TD.PF.G FixedReset Prem 64,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.36 %
RY.PR.R FixedReset Prem 62,585 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
BAM.PF.A FixedReset Disc 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 4.47 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Insurance Straight Quote: 25.28 – 27.30
Spot Rate : 2.0200
Average : 1.1406

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.28 %
EIT.PR.B SplitShare Quote: 25.85 – 26.85
Spot Rate : 1.0000
Average : 0.5728

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.11 %
CU.PR.H Perpetual-Premium Quote: 25.00 – 25.91
Spot Rate : 0.9100
Average : 0.6139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %
BMO.PR.Y FixedReset Disc Quote: 21.50 – 22.22
Spot Rate : 0.7200
Average : 0.4543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %
IFC.PR.E Insurance Straight Quote: 25.72 – 26.35
Spot Rate : 0.6300
Average : 0.3816

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Disc Quote: 12.90 – 13.60
Spot Rate : 0.7000
Average : 0.4562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 4.08 %
Market Action

February 5, 2021

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

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

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

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

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

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

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

February 4, 2021

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

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

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

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

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

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

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

February 3, 2021

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

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

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

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

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

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

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

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

February 2, 2021

unicorn_210202
Click for Big

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

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

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

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

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

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

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

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

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

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

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

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

February 1, 2021

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

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

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

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

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

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

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