CVE To Acquire HSE

October 27th, 2020

Husky Energy Inc. has announced:

a transaction to create a new integrated Canadian oil and natural gas company with an advantaged upstream and downstream portfolio that is expected to provide enhanced free funds flow generation and superior return opportunities for investors.

The companies have entered into a definitive arrangement agreement under which Cenovus and Husky will combine in an all-stock transaction valued at $23.6 billion, inclusive of debt. The combined company will operate as Cenovus Energy Inc. and remain headquartered in Calgary, Alberta. The transaction has been unanimously approved by the Boards of Directors of Cenovus and Husky and is expected to close in the first quarter of 2021.

Transaction highlights:

  • Accretive to all shareholders on cash flow and free funds flow per share
  • Anticipated annual run rate synergies of $1.2 billion, largely achieved within the first year, independent of commodity prices
  • Expected free funds flow break-even at West Texas Intermediate (WTI) pricing of US$36 per barrel (bbl) in 2021, and at less than WTI US$33/bbl by 2023
  • Low exposure to Western Canadian Select (WCS) locational differential risk while maintaining healthy exposure to global commodity prices
  • Increased and more stable cash flows support investment grade credit profile
  • Net-debt-to-adjusted-EBITDA ratio of less than 2x expected to be achieved in 2022
  • Anticipated quarterly dividend of $0.0175 per share (upon Board approval) and positioned for consistent growth
  • Husky shareholders will receive 0.7845 of a Cenovus share plus 0.0651 of a Cenovus share purchase warrant in exchange for each Husky common share


The transaction is structured through a plan of arrangement in respect of the securities of Husky under the Business Corporations Act (Alberta), and is subject to the approval of at least two-thirds of the votes cast by holders of Husky common shares. Hutchison Whampoa Europe Investments S.à r.l., which holds 40.19% of the Husky common shares and L.F. Investments S.à r.l., which holds 29.32% of the Husky common shares, have each entered into a separate irrevocable voting support agreement with Cenovus pursuant to which each has committed to vote all of its Husky common shares, representing, in total, approximately 70% of the Husky common shares, in favour of the transaction at the special meeting of Husky shareholders. In addition, Husky will also seek the approval of at least two-thirds of the votes cast by holders of outstanding Husky preferred shares voting together as a single class. If Husky preferred shareholder approval is obtained, each Husky preferred share will be exchanged for one Cenovus preferred share with substantially the same commercial terms and conditions as the Husky preferred shares. The transaction is not conditional on Husky preferred shareholder approval and, if not obtained, the Husky preferred shares will remain outstanding in a subsidiary of the combined company.

As a consequence DBRS placed HSE under Review-Negative:

DBRS Limited (DBRS Morningstar) placed Husky Energy Inc.’s (Husky or the Company) Issuer Rating and Senior Unsecured Notes and Debentures rating of BBB (high), Commercial Paper rating of R-2 (high), and Preferred Shares – Cumulative rating of Pfd-3 (high) Under Review with Negative Implications.

DBRS Morningstar assesses the business risk profile of the Combined Entity to be moderately stronger relative to Husky’s stand-alone business risk profile. However, the Under Review with Negative Implications status reflects DBRS Morningstar’s opinion that the impact of the stronger business risk profile will be more than offset by the weakness in the financial risk profile of the Combined Entity due to a material increase in debt levels at close and weaker financial metrics.

DBRS Morningstar expects to resolve the Under Review with Negative Implications status by the close of the transaction. Assuming the transaction closes as described in the plan of arrangement and based on DBRS Morningstar’s assumptions, the ratings of Husky by close is likely to be one notch lower than its current ratings.

… while placing CVE under Review-Positive:

DBRS Limited (DBRS Morningstar) placed Cenovus Energy Inc.’s (Cenovus or the Company) Issuer Rating and Senior Unsecured Debt rating of BBB (low) Under Review with Positive Implications.

The Under Review with Positive Implications status reflects DBRS Morningstar’s opinion that the Combined Entity’s overall risk profile will be stronger relative to Cenovus’s stand-alone risk profile given the material improvement in the business risk profile and a modest improvement in the financial risk profile.

DBRS Morningstar expects to resolve the Under Review with Positive Implications status by the close of the transaction. Assuming the transaction closes as described in the plan of arrangement and based on DBRS Morningstar’s assumptions, the ratings of Cenovus by close is likely to be one notch higher than its current ratings.

Meanwhile, S&P placed HSE on Review-Negative:

  • On Oct. 25, 2020, Husky Energy Inc. and Cenovus Energy Inc. announced their intention to merge under a plan of arrangement.
  • At the close of the transaction, Husky’s existing shareholders will own 39% of the combined company, which will operate under the Cenovus name.
    Upon completion, we expect the ownership interest of entities related to C.K. Hutchison Holdings Ltd. (A/Stable/–) will fall to 27%; accordingly, the one-notch uplift we currently apply to our issuer credit rating on Husky, based on our assessment of Husky as a moderately strategic investment for C.K. Hutchison, would no longer apply.
  • As a result, S&P Global Ratings placed all of its ratings on Husky, including its ‘BBB’ long-term issuer credit rating, on CreditWatch with negative implications.
  • We expect to resolve the CreditWatch placement when the transaction closes in the first quarter of 2021. The downside risk to all ratings is limited to one notch.


Despite the normalizing cash flow contribution from the company’s midstream assets and downstream operations, we expect the heavy oil-dominant upstream product mix will continue to amplify cash flow volatility. Our projected two-year (2021-2022) cash flow and leverage metrics, and overall financial risk profile estimate pro forma adjusted funds from operations to debt in the mid 20% area.

We expect to resolve the CreditWatch placement when the transaction is completed in the first quarter of 2021. The rating downside on the issuer credit rating on Husky is limited to one notch.

… while retaining the Negative Outlook for CVE:

  • On Oct. 25, 2020, Cenovus Energy Inc. and Husky Energy Inc. announced their intention to combine in an all-stock transaction valued at C$23.6 billion, under a plan of arrangement. The new integrated Canadian oil and natural gas company will operate under the Cenovus name.
  • At closing, pro forma share ownership for Cenovus and Husky shareholders is estimated at 61% and 39%, respectively. We expect the ownership interest of entities related to Husky’s major shareholder, C.K. Hutchison Holdings Ltd. (A/Stable/–), will decrease to about 27% of the pro forma company.
  • We take into account our ‘BBB-‘ issuer credit rating on Cenovus, and the ‘bbb-‘ stand-alone credit profile on Husky, before rating enhancement for Husky’s strategic relationship with its major shareholder, also at the same level.
  • S&P Global Ratings affirmed its ‘BBB-‘ long-term issuer credit and senior unsecured debt ratings on Cenovus.
  • The outlook remains negative pending completion of the combination.


The negative outlook continues to reflect the very weak near-term leverage metrics, and the risk cash flow and leverage ratios could underperform our base-case assumptions, if hydrocarbon prices again weaken beyond 2020. The substantial deterioration of the current year’s cash flow ratios highlights the company’s vulnerability to volatility in crude oil prices and heavy oil differentials, as bitumen production will continue to account for the majority of Cenovus’ upstream product mix.

In an environment of persistently weak crude oil prices and weak refining margins, we could lower the rating to ‘BB+’ if our estimate of the company’s three-year, weighted-average FFO-to-debt ratio remained near 20%, with limited prospects for improvement during our 24-month outlook period.

With the company’s capital spending expected to remain near maintenance levels throughout our 24-month rating outlook period, we believe cash flow metrics could only improve in tandem with rising crude oil prices. We could revise our outlook to stable if Cenovus was able to strengthen and sustain its three-year, weighted-average FFO-to-debt ratio at the upper end of the 20%-30% range, while continuing to generate positive discretionary cash flow (DCF).

Affected issues are HSE.PR.A, HSE.PR.B, HSE.PR.C, HSE.PR.E and HSE.PR.G.

Assiduous Reader ER writes in and says:

I was wondering if you could talk about what might happen to Husky preferred share holders on prefblog. What are the possible outcomes?

Assuming that the deal goes through, there are two possibilities for the HSE preferreds:

  • They are replaced by equivalent CVE preferreds, or
  • They remain as HSE preferreds, with HSE becoming a wholly-owned subsidiary of CVE

Of the two possibilities, the second is preferable for the preferred shareholders, since HSE is the better credit. Thus, I suggest that HSE preferred shareholders vote against the deal in order to ensure the continued existence of the HSE entity.

The logical thing for CVE to do to avoid this would be to offer a little sweetener to the preferred shareholders to vote yes … a few beeps extra on the Issue Reset Spreads, for instance, or an outright cash payment. This, however, would be a very rare happening.

October 26, 2020

October 26th, 2020
explosion_201026
Click for Big

TXPR closed at 582.18, down 0.52% on the day. Volume today was 1.57-million, well below the median of the past thirty days.

CPD closed at 11.60, down 0.86% on the day. Volume was 81,514, about the median of the past 30 trading days.

ZPR closed at 9.16, unchanged on the day. Volume of 133,121 was well below the median of the past 30 trading days.

Five-year Canada yields were unchanged at 0.39% today.

Equities had a bad day, attributed to a familiar culprit:

A rise in coronavirus cases in the United States, new restrictions on activity in Europe and a standoff in Washington over aid for struggling businesses and out-of-work Americans left investors reeling on Monday.

The S&P 500 fell 1.9 percent in Wall Street’s worst day in over a month.

Shares in Europe also ended lower as more limits were introduced to try to combat a second wave of the coronavirus pandemic. In Spain, the government declared a state of emergency and imposed a nighttime curfew. In Italy, cinemas and gyms are closing and indoor dining ending at 6 p.m. In France, a six-week curfew for most of the country began on Friday.

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 -0.3630 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3630 % 2,998.3
Floater 5.21 % 5.26 % 39,338 15.05 3 -0.3630 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,532.7
SplitShare 4.80 % 4.72 % 52,871 3.54 8 0.0744 % 4,218.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,291.6
Perpetual-Premium 5.31 % 0.73 % 90,021 0.09 17 -0.2685 % 3,192.0
Perpetual-Discount 5.12 % 5.10 % 77,583 15.30 17 -0.5929 % 3,593.4
FixedReset Disc 5.48 % 4.18 % 124,284 16.43 65 -1.0718 % 2,109.2
Deemed-Retractible 5.11 % 4.93 % 118,245 15.23 22 -0.6623 % 3,471.3
FloatingReset 1.97 % 2.45 % 47,506 1.25 3 -0.0841 % 1,794.2
FixedReset Prem 5.21 % 3.31 % 275,636 0.81 14 -0.1041 % 2,650.1
FixedReset Bank Non 1.94 % 2.11 % 141,751 1.24 2 0.0000 % 2,860.0
FixedReset Ins Non 5.46 % 4.21 % 79,635 16.48 22 -0.4977 % 2,213.0
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %
MFC.PR.F FixedReset Ins Non -4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.43 %
SLF.PR.B Deemed-Retractible -4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.09 %
MFC.PR.N FixedReset Ins Non -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.20 %
CM.PR.Q FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.23 %
BAM.PF.J FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.12
Evaluated at bid price : 24.00
Bid-YTW : 4.95 %
BAM.PR.Z FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.33 %
BAM.PF.F FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.30 %
BAM.PF.G FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.27 %
NA.PR.W FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.39 %
PWF.PR.S Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.49
Evaluated at bid price : 23.77
Bid-YTW : 5.06 %
NA.PR.S FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 5.72 %
SLF.PR.H FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.30 %
SLF.PR.A Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.89
Evaluated at bid price : 24.14
Bid-YTW : 4.96 %
PWF.PR.L Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.18 %
BIP.PR.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.05
Evaluated at bid price : 24.11
Bid-YTW : 5.72 %
BIP.PR.F FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 21.96
Evaluated at bid price : 22.31
Bid-YTW : 5.76 %
MFC.PR.K FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.17 %
SLF.PR.E Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 4.89 %
BNS.PR.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 3.95 %
SLF.PR.D Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.87 %
BAM.PR.M Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
TRP.PR.B FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 5.05 %
BAM.PF.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.22 %
CU.PR.D Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.41
Evaluated at bid price : 24.67
Bid-YTW : 5.03 %
MFC.PR.C Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.89
Evaluated at bid price : 23.16
Bid-YTW : 4.90 %
PWF.PR.F Perpetual-Premium -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.53
Evaluated at bid price : 24.78
Bid-YTW : 5.31 %
BAM.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.21 %
GWO.PR.H Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 5.06 %
BAM.PF.B FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Disc 113,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.30
Evaluated at bid price : 22.60
Bid-YTW : 3.86 %
RY.PR.M FixedReset Disc 45,059 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %
NA.PR.W FixedReset Disc 39,694 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.39 %
BNS.PR.H FixedReset Prem 32,660 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.71 %
W.PR.K FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.87
Evaluated at bid price : 24.75
Bid-YTW : 5.30 %
TD.PF.A FixedReset Disc 28,208 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.98 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.65
Spot Rate : 6.6700
Average : 4.7047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %

IFC.PR.C FixedReset Ins Non Quote: 17.20 – 18.88
Spot Rate : 1.6800
Average : 1.0566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.48 %

MFC.PR.F FixedReset Ins Non Quote: 10.30 – 11.30
Spot Rate : 1.0000
Average : 0.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.43 %

SLF.PR.B Deemed-Retractible Quote: 23.75 – 24.53
Spot Rate : 0.7800
Average : 0.4586

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.09 %

BAM.PF.J FixedReset Disc Quote: 24.00 – 24.70
Spot Rate : 0.7000
Average : 0.4338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.12
Evaluated at bid price : 24.00
Bid-YTW : 4.95 %

BIP.PR.B FixedReset Disc Quote: 24.11 – 24.75
Spot Rate : 0.6400
Average : 0.4332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.05
Evaluated at bid price : 24.11
Bid-YTW : 5.72 %

October 23, 2020

October 23rd, 2020
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 0.4050 % 1,639.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4050 % 3,009.2
Floater 5.19 % 5.24 % 39,035 15.09 3 0.4050 % 1,734.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1387 % 3,530.0
SplitShare 4.80 % 4.72 % 51,523 3.55 8 -0.1387 % 4,215.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1387 % 3,289.2
Perpetual-Premium 5.30 % -2.25 % 90,081 0.09 17 0.0643 % 3,200.6
Perpetual-Discount 5.09 % 5.03 % 78,247 15.03 17 0.2216 % 3,614.9
FixedReset Disc 5.43 % 4.10 % 132,817 16.59 65 0.3277 % 2,132.0
Deemed-Retractible 5.08 % 4.86 % 118,606 15.24 22 -0.2104 % 3,494.4
FloatingReset 1.97 % 2.44 % 44,235 1.26 3 -0.0673 % 1,795.7
FixedReset Prem 5.21 % 3.16 % 277,658 0.79 14 0.0302 % 2,652.8
FixedReset Bank Non 1.94 % 2.08 % 140,781 1.25 2 0.0201 % 2,860.0
FixedReset Ins Non 5.43 % 4.17 % 80,352 16.69 22 0.1729 % 2,224.1
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.30 %
TRP.PR.D FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 5.56 %
BAM.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.16 %
CU.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 4.27 %
CM.PR.P FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.02 %
MFC.PR.J FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.21 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.46 %
TD.PF.L FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.12
Evaluated at bid price : 24.50
Bid-YTW : 3.89 %
BAM.PF.G FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 5.12 %
PVS.PR.F SplitShare -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.86 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 5.56 %
BAM.PF.F FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 5.14 %
TD.PF.J FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.02 %
BMO.PR.Y FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.02 %
CU.PR.F Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.38
Evaluated at bid price : 23.88
Bid-YTW : 4.75 %
PWF.PR.P FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.73 %
IAF.PR.G FixedReset Ins Non 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc 56.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.N FixedReset Ins Non 305,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 10.02
Evaluated at bid price : 10.02
Bid-YTW : 4.17 %
TD.PF.A FixedReset Disc 180,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.94 %
TD.PF.F Perpetual-Premium 113,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.75
Evaluated at bid price : 25.97
Bid-YTW : 3.81 %
TD.PF.H FixedReset Prem 74,580 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.44 %
BNS.PR.H FixedReset Prem 61,710 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.36 %
CM.PR.Q FixedReset Disc 59,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.07 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 15.68 – 16.36
Spot Rate : 0.6800
Average : 0.4015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.30 %

IFC.PR.C FixedReset Ins Non Quote: 17.10 – 17.70
Spot Rate : 0.6000
Average : 0.3730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.46 %

CM.PR.P FixedReset Disc Quote: 18.05 – 18.68
Spot Rate : 0.6300
Average : 0.4331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.02 %

BIK.PR.A FixedReset Prem Quote: 25.05 – 25.60
Spot Rate : 0.5500
Average : 0.3579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.33
Evaluated at bid price : 25.05
Bid-YTW : 5.82 %

IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.95
Spot Rate : 0.8000
Average : 0.6446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.20 %

PVS.PR.G SplitShare Quote: 25.15 – 25.50
Spot Rate : 0.3500
Average : 0.2416

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.93 %

October 22, 2020

October 22nd, 2020
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 -0.1214 % 1,633.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1214 % 2,997.1
Floater 5.21 % 5.27 % 39,645 15.04 3 -0.1214 % 1,727.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,534.9
SplitShare 4.80 % 4.68 % 51,812 3.55 8 -0.0050 % 4,221.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,293.8
Perpetual-Premium 5.29 % -1.74 % 88,220 0.09 17 0.0138 % 3,198.5
Perpetual-Discount 5.10 % 5.00 % 79,260 15.02 17 0.4329 % 3,606.9
FixedReset Disc 5.44 % 4.12 % 130,598 16.59 65 -0.3319 % 2,125.0
Deemed-Retractible 5.07 % 4.83 % 120,314 15.24 22 0.0074 % 3,501.8
FloatingReset 1.97 % 2.43 % 42,664 1.26 3 -0.0168 % 1,796.9
FixedReset Prem 5.20 % 3.27 % 266,226 0.81 14 0.1491 % 2,652.0
FixedReset Bank Non 1.94 % 2.24 % 130,322 1.25 2 0.0000 % 2,859.4
FixedReset Ins Non 5.44 % 4.15 % 80,655 16.62 22 -0.0275 % 2,220.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %
IAF.PR.G FixedReset Ins Non -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %
PWF.PR.P FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.83 %
NA.PR.W FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.26 %
BMO.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.74
Evaluated at bid price : 23.10
Bid-YTW : 3.93 %
MFC.PR.F FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.83
Evaluated at bid price : 10.83
Bid-YTW : 4.13 %
BAM.PR.R FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 5.02 %
CU.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.54
Evaluated at bid price : 24.80
Bid-YTW : 5.00 %
CU.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.21 %
CM.PR.Q FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.08 %
TD.PF.I FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 3.82 %
TD.PF.D FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.01 %
CU.PR.F Perpetual-Discount 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 511,872 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.27 %
CM.PR.R FixedReset Disc 197,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.94
Evaluated at bid price : 23.32
Bid-YTW : 4.06 %
BMO.PR.C FixedReset Disc 99,249 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
MFC.PR.M FixedReset Ins Non 66,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %
TD.PF.J FixedReset Disc 42,395 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.07 %
TRP.PR.K FixedReset Disc 29,461 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.66
Evaluated at bid price : 24.90
Bid-YTW : 4.92 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.99
Spot Rate : 7.0100
Average : 3.9201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %

IAF.PR.G FixedReset Ins Non Quote: 18.25 – 19.40
Spot Rate : 1.1500
Average : 0.7255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %

BIP.PR.B FixedReset Disc Quote: 24.43 – 24.90
Spot Rate : 0.4700
Average : 0.3124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.40
Evaluated at bid price : 24.43
Bid-YTW : 5.64 %

ELF.PR.F Perpetual-Discount Quote: 24.75 – 25.26
Spot Rate : 0.5100
Average : 0.3669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.38 %

MFC.PR.M FixedReset Ins Non Quote: 18.20 – 18.60
Spot Rate : 0.4000
Average : 0.2678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %

IFC.PR.E Deemed-Retractible Quote: 25.00 – 25.60
Spot Rate : 0.6000
Average : 0.4742

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2050-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.26 %

October 21, 2020

October 21st, 2020

PerpetualDiscounts now yield 5.07%, equivalent to 6.59% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.91%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 370bp from the 365bp reported October 14.

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 -0.1616 % 1,635.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1616 % 3,000.7
Floater 5.20 % 5.25 % 39,734 15.08 3 -0.1616 % 1,729.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2034 % 3,535.1
SplitShare 4.80 % 4.70 % 52,347 3.56 8 0.2034 % 4,221.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2034 % 3,293.9
Perpetual-Premium 5.29 % -1.66 % 88,600 0.09 17 0.0367 % 3,198.1
Perpetual-Discount 5.12 % 5.07 % 80,283 15.07 17 -0.4795 % 3,591.3
FixedReset Disc 5.42 % 4.15 % 127,947 16.65 65 0.0597 % 2,132.1
Deemed-Retractible 5.07 % 4.84 % 117,387 15.19 22 0.1683 % 3,501.5
FloatingReset 1.97 % 2.79 % 42,728 1.26 3 0.1010 % 1,797.3
FixedReset Prem 5.20 % 3.33 % 276,615 0.81 14 0.1211 % 2,648.1
FixedReset Bank Non 1.94 % 2.23 % 129,032 1.26 2 0.0402 % 2,859.4
FixedReset Ins Non 5.44 % 4.16 % 80,843 16.65 22 0.3292 % 2,220.9
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -8.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.15 %
CM.PR.Q FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.15 %
MFC.PR.F FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 4.18 %
CU.PR.D Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.20
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
TD.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.03 %
RY.PR.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.86 %
PVS.PR.F SplitShare 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.54 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 9.02
Evaluated at bid price : 9.02
Bid-YTW : 5.27 %
TD.PF.I FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 22.08
Evaluated at bid price : 22.30
Bid-YTW : 3.89 %
TRP.PR.B FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.92 %
CU.PR.C FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.27 %
SLF.PR.G FixedReset Ins Non 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 4.11 %
IAF.PR.I FixedReset Ins Non 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.Z Perpetual-Premium 35,184 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-20
Maturity Price : 26.00
Evaluated at bid price : 26.25
Bid-YTW : 2.22 %
TRP.PR.F FloatingReset 32,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.11
Evaluated at bid price : 10.11
Bid-YTW : 5.02 %
TD.PF.K FixedReset Disc 27,889 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.07 %
TRP.PR.B FixedReset Disc 26,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.92 %
TD.PF.L FixedReset Disc 23,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 23.23
Evaluated at bid price : 24.78
Bid-YTW : 3.83 %
BAM.PF.D Perpetual-Discount 22,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 23.06
Evaluated at bid price : 23.35
Bid-YTW : 5.28 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 22.06 – 24.27
Spot Rate : 2.2100
Average : 1.2245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.15 %

CU.PR.D Perpetual-Discount Quote: 24.45 – 24.99
Spot Rate : 0.5400
Average : 0.3517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.20
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %

IFC.PR.A FixedReset Ins Non Quote: 12.65 – 13.10
Spot Rate : 0.4500
Average : 0.2960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.47 %

TD.PF.D FixedReset Disc Quote: 19.41 – 20.00
Spot Rate : 0.5900
Average : 0.4406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.08 %

IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.60
Spot Rate : 0.4500
Average : 0.3362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.19 %

PWF.PR.E Perpetual-Premium Quote: 25.10 – 25.43
Spot Rate : 0.3300
Average : 0.2290

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-20
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -1.20 %

October 20, 2020

October 20th, 2020
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 0.2835 % 1,638.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2835 % 3,005.6
Floater 5.19 % 5.25 % 40,173 15.08 3 0.2835 % 1,732.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0694 % 3,527.9
SplitShare 4.81 % 4.70 % 50,950 3.55 8 -0.0694 % 4,213.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0694 % 3,287.2
Perpetual-Premium 5.29 % -1.64 % 90,469 0.09 17 0.1056 % 3,196.9
Perpetual-Discount 5.10 % 5.05 % 83,243 15.05 17 -0.0705 % 3,608.6
FixedReset Disc 5.42 % 4.10 % 127,310 16.59 65 0.0976 % 2,130.8
Deemed-Retractible 5.08 % 4.85 % 118,403 15.19 22 -0.1938 % 3,495.6
FloatingReset 1.97 % 2.79 % 40,373 1.27 3 0.1686 % 1,795.4
FixedReset Prem 5.21 % 3.31 % 280,649 0.82 14 0.0676 % 2,644.9
FixedReset Bank Non 1.94 % 2.23 % 127,365 1.26 2 0.0000 % 2,858.3
FixedReset Ins Non 5.46 % 4.17 % 83,383 16.63 22 0.3050 % 2,213.6
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.01 %
SLF.PR.C Deemed-Retractible -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 4.82 %
TRP.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.33 %
PWF.PR.Z Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.05 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.04 %
TRP.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 5.49 %
BIP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 5.82 %
RY.PR.J FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.98 %
MFC.PR.G FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 89,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 22.81
Evaluated at bid price : 23.18
Bid-YTW : 4.08 %
CM.PR.Q FixedReset Disc 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.06 %
TD.PF.G FixedReset Prem 53,878 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 2.84 %
RY.PR.M FixedReset Disc 53,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.97 %
NA.PR.C FixedReset Disc 53,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 23.49
Evaluated at bid price : 23.81
Bid-YTW : 4.02 %
BAM.PR.Z FixedReset Disc 52,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.09 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.21 – 26.17
Spot Rate : 0.9600
Average : 0.5792

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.73 %

TRP.PR.C FixedReset Disc Quote: 8.91 – 9.44
Spot Rate : 0.5300
Average : 0.3483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.33 %

TD.PF.E FixedReset Disc Quote: 19.85 – 20.25
Spot Rate : 0.4000
Average : 0.3031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.07 %

TD.PF.K FixedReset Disc Quote: 19.86 – 20.20
Spot Rate : 0.3400
Average : 0.2487

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.06 %

TRP.PR.B FixedReset Disc Quote: 8.30 – 8.64
Spot Rate : 0.3400
Average : 0.2615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.01 %

GWO.PR.G Deemed-Retractible Quote: 25.05 – 25.35
Spot Rate : 0.3000
Average : 0.2223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.23 %

October 19, 2020

October 19th, 2020
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 0.0811 % 1,633.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0811 % 2,997.1
Floater 5.21 % 5.26 % 41,655 15.06 3 0.0811 % 1,727.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,530.4
SplitShare 4.80 % 4.72 % 51,329 3.56 8 -0.0793 % 4,216.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,289.5
Perpetual-Premium 5.30 % -1.56 % 93,605 0.09 17 -0.1261 % 3,193.5
Perpetual-Discount 5.10 % 5.02 % 86,504 15.25 17 -0.0851 % 3,611.2
FixedReset Disc 5.43 % 4.10 % 125,919 16.62 65 0.0541 % 2,128.8
Deemed-Retractible 5.07 % 4.86 % 115,587 15.17 22 -0.0811 % 3,502.4
FloatingReset 1.97 % 2.78 % 41,828 1.27 3 -0.1010 % 1,792.4
FixedReset Prem 5.21 % 3.50 % 282,659 0.82 14 0.0338 % 2,643.1
FixedReset Bank Non 1.94 % 2.22 % 126,417 1.26 2 0.0603 % 2,858.3
FixedReset Ins Non 5.47 % 4.19 % 76,999 16.63 22 0.2501 % 2,206.9
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.33 %
RY.PR.J FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.09 %
IAF.PR.I FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.35 %
CU.PR.C FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.36 %
SLF.PR.E Deemed-Retractible -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 23.01
Evaluated at bid price : 23.28
Bid-YTW : 4.86 %
TRP.PR.A FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 5.57 %
SLF.PR.G FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.16 %
BIP.PR.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.91 %
BAM.PF.H FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 24.14
Evaluated at bid price : 24.95
Bid-YTW : 5.01 %
MFC.PR.Q FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.10 %
PWF.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.45 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.19 %
BAM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 5.07 %
PWF.PR.P FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.75 %
MFC.PR.J FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.15 %
IAF.PR.G FixedReset Ins Non 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.26 %
TRP.PR.G FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.57 %
IFC.PR.A FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.47 %
TRP.PR.C FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.28 %
MFC.PR.I FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Prem 113,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.30 %
BNS.PR.Z FixedReset Bank Non 65,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 2.15 %
BNS.PR.H FixedReset Prem 41,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.81 %
RY.PR.M FixedReset Disc 35,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.01 %
NA.PR.G FixedReset Disc 30,139 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.26 %
BNS.PR.G FixedReset Prem 26,797 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.50 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 19.40 – 21.50
Spot Rate : 2.1000
Average : 1.4027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.10 %

CU.PR.C FixedReset Disc Quote: 16.30 – 18.00
Spot Rate : 1.7000
Average : 1.1709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.36 %

MFC.PR.G FixedReset Ins Non Quote: 19.20 – 20.26
Spot Rate : 1.0600
Average : 0.7293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.33 %

IAF.PR.I FixedReset Ins Non Quote: 19.35 – 20.45
Spot Rate : 1.1000
Average : 0.7701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.35 %

CM.PR.P FixedReset Disc Quote: 18.15 – 19.00
Spot Rate : 0.8500
Average : 0.5992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.99 %

RY.PR.J FixedReset Disc Quote: 19.32 – 19.90
Spot Rate : 0.5800
Average : 0.4267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.09 %

TD.PF.E : No Conversion To FloatingReset

October 19th, 2020

The Toronto-Dominion Bank has announced:

that none of its 8 million Non-Cumulative 5-Year Rate Reset Preferred Shares, Series 9 (Non-Viability Contingent Capital (NVCC)) (the “Series 9 Shares”) will be converted on November 2, 2020 (being the first business day following the conversion date of October 31, 2020) into Non-Cumulative Floating Rate Preferred Shares, Series 10 (NVCC) (the “Series 10 Shares”) of TD.

During the conversion period, which ran from October 1, 2020 to October 16, 2020, 52,872 Series 9 Shares were tendered for conversion into Series 10 Shares, which is less than the minimum 1,000,000 shares required to give effect to the conversion, as described in the prospectus supplement for the Series 9 Shares dated April 17, 2015. As a result, no Series 10 Shares will be issued on November 2, 2020 and holders of Series 9 Shares will retain their Series 9 Shares.

The Series 9 Shares are currently listed on the Toronto Stock Exchange under the symbol TD.PF.E. As previously announced on October 1, 2020, the dividend rate for the Series 9 Shares for the 5 year period from and including October 31, 2020 to but excluding October 31, 2025 will be 3.242%.

TD.PF.E is a FixedReset, 3.70%+287, that commenced trading 2015-4-24 after being announced 2015-4-15. Notice of extension was provided on 2020-9-17. TD.PF.E will reset at 3.242% effective 2020-10-31. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

October 16, 2020

October 16th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 1,632.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,994.6
Floater 5.21 % 5.27 % 42,068 15.05 3 0.0000 % 1,725.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,533.2
SplitShare 4.80 % 4.69 % 49,217 3.57 8 0.0744 % 4,219.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,292.1
Perpetual-Premium 5.29 % -6.96 % 96,893 0.09 17 0.0390 % 3,197.6
Perpetual-Discount 5.09 % 5.04 % 89,940 15.34 17 0.1046 % 3,614.2
FixedReset Disc 5.43 % 4.16 % 126,875 16.55 65 0.1877 % 2,127.6
Deemed-Retractible 5.06 % 4.83 % 116,705 15.18 22 0.0277 % 3,505.3
FloatingReset 1.97 % 2.76 % 41,522 1.28 3 0.0505 % 1,794.2
FixedReset Prem 5.22 % 3.48 % 267,486 0.81 14 -0.0395 % 2,642.2
FixedReset Bank Non 1.94 % 2.25 % 118,452 1.27 2 0.1813 % 2,856.6
FixedReset Ins Non 5.49 % 4.24 % 77,765 16.49 22 0.1823 % 2,201.3
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 5.75 %
BAM.PF.J FixedReset Disc -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.12
Evaluated at bid price : 24.02
Bid-YTW : 4.93 %
TRP.PR.C FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.54 %
IFC.PR.A FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 4.63 %
SLF.PR.H FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.29 %
MFC.PR.F FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 10.94
Evaluated at bid price : 10.94
Bid-YTW : 4.16 %
CU.PR.G Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.30
Evaluated at bid price : 23.75
Bid-YTW : 4.77 %
IAF.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.27 %
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 4.11 %
TRP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 4.95 %
NA.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.21 %
BIP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.59 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.16 %
NA.PR.W FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.22 %
RY.PR.J FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.01 %
TRP.PR.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 5.52 %
BAM.PR.R FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.10 %
BAM.PF.G FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.11 %
MFC.PR.G FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.G FixedReset Disc 240,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 5.75 %
PWF.PR.P FixedReset Disc 210,052 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.89 %
PWF.PR.O Perpetual-Premium 155,648 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -9.47 %
W.PR.K FixedReset Disc 136,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.81
Evaluated at bid price : 24.68
Bid-YTW : 5.30 %
BMO.PR.C FixedReset Disc 107,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.58
Evaluated at bid price : 23.97
Bid-YTW : 3.96 %
CM.PR.R FixedReset Disc 101,586 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 22.88
Evaluated at bid price : 23.25
Bid-YTW : 4.10 %
There were 81 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 15.06 – 16.00
Spot Rate : 0.9400
Average : 0.5819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.29 %

BAM.PF.J FixedReset Disc Quote: 24.02 – 24.86
Spot Rate : 0.8400
Average : 0.5201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.12
Evaluated at bid price : 24.02
Bid-YTW : 4.93 %

NA.PR.S FixedReset Disc Quote: 17.85 – 18.49
Spot Rate : 0.6400
Average : 0.3914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.21 %

GWO.PR.P Deemed-Retractible Quote: 25.30 – 25.93
Spot Rate : 0.6300
Average : 0.4038

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -6.17 %

TD.PF.J FixedReset Disc Quote: 20.00 – 20.63
Spot Rate : 0.6300
Average : 0.4270

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.12 %

MFC.PR.J FixedReset Ins Non Quote: 19.03 – 19.70
Spot Rate : 0.6700
Average : 0.4700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.26 %

October 15, 2020

October 15th, 2020
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 -0.3232 % 1,632.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3232 % 2,994.6
Floater 5.21 % 5.26 % 42,687 15.08 3 -0.3232 % 1,725.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,530.6
SplitShare 4.80 % 4.69 % 51,234 3.57 8 -0.0347 % 4,216.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,289.7
Perpetual-Premium 5.29 % -6.08 % 93,657 0.09 17 -0.0092 % 3,196.3
Perpetual-Discount 5.10 % 5.07 % 88,138 15.32 17 -0.0584 % 3,610.5
FixedReset Disc 5.44 % 4.15 % 124,718 16.58 65 0.7071 % 2,123.6
Deemed-Retractible 5.07 % 4.84 % 114,898 15.18 22 0.1626 % 3,504.3
FloatingReset 1.97 % 2.76 % 40,985 1.28 3 -0.0337 % 1,793.3
FixedReset Prem 5.21 % 3.22 % 258,968 0.82 14 0.1835 % 2,643.2
FixedReset Bank Non 1.95 % 2.37 % 111,947 1.27 2 -0.1809 % 2,851.4
FixedReset Ins Non 5.50 % 4.24 % 75,485 16.46 22 0.2385 % 2,197.3
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.34 %
BIP.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.90 %
IAF.PR.G FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.39 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 8.41
Evaluated at bid price : 8.41
Bid-YTW : 5.01 %
MFC.PR.C Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 4.85 %
IAF.PR.I FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.31 %
IFC.PR.C FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.56 %
BAM.PR.M Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.25 %
BAM.PF.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 5.23 %
BAM.PR.R FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.20 %
IFC.PR.G FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.55 %
TRP.PR.K FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.65
Evaluated at bid price : 24.90
Bid-YTW : 4.91 %
SLF.PR.B Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.89 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 4.51 %
MFC.PR.G FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.29 %
MFC.PR.R FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 24.39
Evaluated at bid price : 24.71
Bid-YTW : 4.33 %
BAM.PF.E FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 5.17 %
PWF.PR.S Perpetual-Discount 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.18
Evaluated at bid price : 23.66
Bid-YTW : 5.06 %
MFC.PR.N FixedReset Ins Non 3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.15 %
MFC.PR.F FixedReset Ins Non 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 4.09 %
SLF.PR.G FixedReset Ins Non 4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 4.18 %
TRP.PR.G FixedReset Disc 7.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.54 %
RY.PR.M FixedReset Disc 56.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 222,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : 5.04 %
RY.PR.P Perpetual-Premium 151,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-24
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : 3.17 %
TD.PF.A FixedReset Disc 128,386 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.01 %
TD.PF.H FixedReset Prem 106,835 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 3.17 %
CM.PR.R FixedReset Disc 86,943 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 22.74
Evaluated at bid price : 23.11
Bid-YTW : 4.12 %
TD.PF.L FixedReset Disc 82,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.21
Evaluated at bid price : 24.75
Bid-YTW : 3.86 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 19.15 – 20.50
Spot Rate : 1.3500
Average : 0.9838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.14 %

MFC.PR.I FixedReset Ins Non Quote: 19.50 – 20.16
Spot Rate : 0.6600
Average : 0.5241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.34 %

PWF.PR.T FixedReset Disc Quote: 16.56 – 16.99
Spot Rate : 0.4300
Average : 0.2952

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 4.55 %

POW.PR.A Perpetual-Premium Quote: 25.31 – 25.70
Spot Rate : 0.3900
Average : 0.2696

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -9.20 %

RY.PR.H FixedReset Disc Quote: 18.38 – 18.66
Spot Rate : 0.2800
Average : 0.1711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 3.91 %

MFC.PR.C Deemed-Retractible Quote: 23.35 – 23.75
Spot Rate : 0.4000
Average : 0.2946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 4.85 %