Archive for October, 2020

October 20, 2020

Tuesday, 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

Monday, 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

Monday, 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

Friday, 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

Thursday, 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 %

October 14, 2020

Wednesday, October 14th, 2020

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.96%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 365bp from the 360bp reported October 7.

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 -0.1614 % 1,637.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1614 % 3,004.4
Floater 5.20 % 5.24 % 44,446 15.10 3 -0.1614 % 1,731.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0248 % 3,531.8
SplitShare 4.80 % 4.64 % 52,924 3.57 8 -0.0248 % 4,217.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0248 % 3,290.8
Perpetual-Premium 5.29 % -3.05 % 92,463 0.09 17 -0.0183 % 3,196.6
Perpetual-Discount 5.09 % 5.10 % 88,730 15.31 17 0.1095 % 3,612.6
FixedReset Disc 5.48 % 4.19 % 124,073 16.55 65 -0.1375 % 2,108.7
Deemed-Retractible 5.07 % 4.83 % 106,251 15.17 22 0.1499 % 3,498.6
FloatingReset 1.97 % 2.75 % 42,668 1.28 3 -0.2353 % 1,793.9
FixedReset Prem 5.22 % 3.52 % 259,759 0.83 14 -0.2619 % 2,638.4
FixedReset Bank Non 1.94 % 2.24 % 112,555 1.28 2 0.0000 % 2,856.6
FixedReset Ins Non 5.51 % 4.24 % 77,977 16.41 22 -0.6879 % 2,192.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.95 %
SLF.PR.G FixedReset Ins Non -5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.38 %
MFC.PR.N FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.36 %
PWF.PR.S Perpetual-Discount -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.76
Evaluated at bid price : 23.03
Bid-YTW : 5.21 %
TRP.PR.A FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 5.61 %
MFC.PR.R FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.91
Evaluated at bid price : 24.30
Bid-YTW : 4.40 %
CM.PR.P FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.07 %
BAM.PR.T FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 5.22 %
TRP.PR.F FloatingReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.00 %
MFC.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.23 %
BAM.PF.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.30 %
BIK.PR.A FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.32
Evaluated at bid price : 25.01
Bid-YTW : 5.82 %
SLF.PR.E Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.83 %
TRP.PR.J FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.79
Evaluated at bid price : 25.16
Bid-YTW : 5.53 %
PWF.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.53 %
SLF.PR.D Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.81 %
TRP.PR.E FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.56 %
TRP.PR.K FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.55
Evaluated at bid price : 24.65
Bid-YTW : 4.97 %
TD.PF.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 3.93 %
CU.PR.E Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.52
Evaluated at bid price : 24.79
Bid-YTW : 4.99 %
TRP.PR.B FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 4.93 %
CU.PR.D Perpetual-Discount 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.67
Evaluated at bid price : 24.95
Bid-YTW : 4.96 %
SLF.PR.C Deemed-Retractible 5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 155,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 3.93 %
TD.PF.M FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.32
Evaluated at bid price : 25.15
Bid-YTW : 4.02 %
CM.PR.P FixedReset Disc 82,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.07 %
BAM.PF.B FixedReset Disc 58,107 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.13 %
GWO.PR.M Deemed-Retractible 51,854 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-13
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : -9.19 %
TD.PF.B FixedReset Disc 42,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 4.05 %
There were 24 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 – 19.00
Spot Rate : 7.0200
Average : 5.4865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %

SLF.PR.G FixedReset Ins Non Quote: 10.35 – 11.50
Spot Rate : 1.1500
Average : 0.7268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.38 %

CU.PR.C FixedReset Disc Quote: 16.65 – 18.00
Spot Rate : 1.3500
Average : 0.9449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.31 %

CM.PR.Q FixedReset Disc Quote: 19.03 – 20.00
Spot Rate : 0.9700
Average : 0.5824

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.17 %

CIU.PR.A Perpetual-Discount Quote: 23.50 – 25.25
Spot Rate : 1.7500
Average : 1.3927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.94 %

PWF.PR.S Perpetual-Discount Quote: 23.03 – 23.90
Spot Rate : 0.8700
Average : 0.5144

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.76
Evaluated at bid price : 23.03
Bid-YTW : 5.21 %

October 13, 2020

Tuesday, October 13th, 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 -0.3217 % 1,639.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3217 % 3,009.2
Floater 5.19 % 5.23 % 46,271 15.12 3 -0.3217 % 1,734.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2783 % 3,532.7
SplitShare 4.80 % 4.60 % 53,688 3.58 8 0.2783 % 4,218.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2783 % 3,291.6
Perpetual-Premium 5.29 % -3.70 % 90,872 0.09 17 0.0964 % 3,197.2
Perpetual-Discount 5.10 % 5.07 % 92,164 15.17 17 -0.4193 % 3,608.6
FixedReset Disc 5.47 % 4.18 % 124,275 16.53 65 -0.2354 % 2,111.6
Deemed-Retractible 5.08 % 4.83 % 106,494 15.13 22 -0.5154 % 3,493.4
FloatingReset 1.97 % 2.71 % 42,912 1.28 3 -0.0336 % 1,798.2
FixedReset Prem 5.21 % 3.27 % 262,056 0.82 14 0.1608 % 2,645.3
FixedReset Bank Non 1.94 % 2.24 % 112,713 1.28 2 0.0000 % 2,856.6
FixedReset Ins Non 5.47 % 4.23 % 78,435 16.47 22 0.6569 % 2,207.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %
SLF.PR.C Deemed-Retractible -6.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 5.04 %
CU.PR.D Perpetual-Discount -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.73
Evaluated at bid price : 24.03
Bid-YTW : 5.15 %
CU.PR.E Perpetual-Discount -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 24.19
Evaluated at bid price : 24.43
Bid-YTW : 5.07 %
TRP.PR.B FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 8.40
Evaluated at bid price : 8.40
Bid-YTW : 5.01 %
SLF.PR.B Deemed-Retractible -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 4.93 %
SLF.PR.E Deemed-Retractible -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.39
Evaluated at bid price : 23.68
Bid-YTW : 4.77 %
SLF.PR.A Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 4.90 %
BMO.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 4.18 %
SLF.PR.D Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.75 %
IAF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 4.34 %
MFC.PR.Q FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.23 %
SLF.PR.G FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 4.15 %
IAF.PR.I FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.22 %
CM.PR.P FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 4.00 %
TRP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 5.48 %
MFC.PR.F FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.21 %
BIP.PR.A FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.78 %
IFC.PR.G FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.47 %
MFC.PR.G FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.20 %
NA.PR.G FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 4.27 %
IFC.PR.A FixedReset Ins Non 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 4.54 %
TRP.PR.G FixedReset Disc 6.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
PVS.PR.I SplitShare 42,275 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.60 %
TRP.PR.G FixedReset Disc 31,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.57 %
CM.PR.T FixedReset Disc 28,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.10
Evaluated at bid price : 24.45
Bid-YTW : 3.98 %
BAM.PR.X FixedReset Disc 23,278 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 5.05 %
RY.PR.Z FixedReset Disc 21,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 3.89 %
PWF.PR.O Perpetual-Premium 21,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-12
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -10.02 %
There were 7 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 – 18.95
Spot Rate : 6.9700
Average : 3.8051

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %

CIU.PR.A Perpetual-Discount Quote: 23.53 – 25.25
Spot Rate : 1.7200
Average : 1.0009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.23
Evaluated at bid price : 23.53
Bid-YTW : 4.93 %

SLF.PR.C Deemed-Retractible Quote: 22.21 – 23.65
Spot Rate : 1.4400
Average : 0.7927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 5.04 %

CU.PR.D Perpetual-Discount Quote: 24.03 – 24.96
Spot Rate : 0.9300
Average : 0.5297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.73
Evaluated at bid price : 24.03
Bid-YTW : 5.15 %

TRP.PR.A FixedReset Disc Quote: 11.99 – 12.95
Spot Rate : 0.9600
Average : 0.5605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 5.48 %

BAM.PF.A FixedReset Disc Quote: 17.50 – 18.30
Spot Rate : 0.8000
Average : 0.5417

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.16 %

October PrefLetter Released!

Tuesday, October 13th, 2020

The October, 2020, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the October, 2020, issue, while the “Next Edition” will be the November, 2020, issue, scheduled to be prepared as of the close November 13, 2020, and eMailed to subscribers prior to market-opening on November 16.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

RY.PR.M To Be Extended

Friday, October 9th, 2020

Royal Bank of Canada has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BF (RY.PR.M on TSX) (the “Series BF shares”) on November 24, 2020. There are currently 12,000,000 Series BF shares outstanding.

Subject to certain conditions set out in the prospectus supplement dated March 9, 2015 relating to the issuance of the Series BF shares, the holders of the Series BF shares have the right to convert all or part of their Series BF shares, on a one-for-one basis, into NVCC Non-Cumulative Floating Rate First Preferred Shares, Series BG (the “Series BG shares”) on November 24, 2020. On such date, holders who do not exercise their right to convert their Series BF shares into Series BG shares will continue to hold their Series BF shares. The foregoing conversion rights are subject to the following:

if Royal Bank of Canada determines that there would be less than 1,000,000 Series BG shares outstanding after taking into account all shares tendered for conversion on November 24, 2020, then holders of Series BF shares will not be entitled to convert their shares into Series BG shares, and
alternatively, if Royal Bank of Canada determines that there would remain outstanding less than 1,000,000 Series BF shares after taking into account all shares tendered for conversion on November 24, 2020, then all remaining Series BF shares will automatically be converted into Series BG shares on a one-for-one basis on November 24, 2020.
In either case, Royal Bank of Canada will give written notice to that effect to holders of Series BF shares no later than November 17, 2020.

The dividend rate applicable for the Series BF shares for the 5-year period from and including November 24, 2020 to, but excluding, November 24, 2025, and the dividend rate applicable to the Series BG shares for the 3-month period from and including November 24, 2020 to, but excluding, February 24, 2021, will be determined and announced by way of a press release on October 26, 2020.

Beneficial owners of Series BF shares who wish to exercise their conversion rights should instruct their broker or other nominee to exercise such rights during the conversion period, which runs from October 26, 2020 until 5:00 p.m. (EST) on November 9, 2020.

Inquiries should be directed to Shareholder Relations Officer, Shirley Boudreau, at 416-955-7806.

RY.PR.M is a FixedReset, 3.60%+262, NVCC-compliant, that commenced trading 2015-3-15 after being announced 2015-3-5. It is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

October 9, 2020

Friday, October 9th, 2020

Jobs, jobs, jobs!

Canada’s economy added 378,000 new jobs in September, Statistics Canada says, almost all of which were full-time positions.

September’s job gains mean that the job market is now within 720,000 positions of where it was in February, before the advent of COVID-19 in Canada.

September’s hiring was enough to push the jobless rate down to 9 per cent. For context, in February, Canada’s unemployment rate was 5.6 per cent, before COVID-19 walloped the economy, and pushed it up to a high of 13.7 per cent in May, the highest rate on record. It has fallen steadily in each of the four months since then.

but in Ontario:

Ontario has ordered new sweeping restrictions in the COVID-19 hot spots of Toronto, Ottawa and Peel Region in the face of “alarming” growth in coronavirus cases and hospitalizations, a decision being met with relief from health care leaders but scorn by the business community.

With the province’s COVID-19 cases hitting a daily record high of 939, Premier Doug Ford’s government announced that new restrictions will take effect Saturday at 12:01 am. The province is prohibiting indoor dining and drink service at bars, restaurants and nightclubs in the three regions, as well as shuttering indoor gyms, cinemas, casinos and performing arts venues, for at least 28 days.

The province is also limiting team sports to training sessions only, and beginning on Tuesday, capping wedding receptions at 10 people indoors and 25 outdoors. The new limits do not apply to schools, child care centres or places of worship.

Andrew Coyne in the Globe points out:

Is there a way to square that circle – to raise taxes, without hurting incentives to work, save and invest? Yes, there is. Two, in fact. The first is to broaden the tax base by ending the many preferences inserted in the tax laws over the years on behalf of this or that industry or group, for particular types of income or investment.

Every year, the Finance Department issues a list of these “tax expenditures,” together with their estimated cost to the Treasury. The lower tax rate for small business, for example, costs about $5-billion annually; the exemption for employee health and dental benefits, another $3-billion; while the non-taxation of capital gains on principal residences drains fully $6-billion from federal revenues every year.

And the other? Raise the GST. Each percentage point adds about $7-billion to the treasury, without harm, since the tax is not linked to income, to incentives to earn it. With offsetting increases in the GST tax credit, poor families would be spared any impact.

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 0.2418 % 1,645.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2418 % 3,018.9
Floater 5.17 % 5.21 % 47,850 15.16 3 0.2418 % 1,739.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1792 % 3,522.9
SplitShare 4.81 % 4.76 % 54,223 3.59 8 0.1792 % 4,207.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1792 % 3,282.5
Perpetual-Premium 5.30 % -6.67 % 91,203 0.09 17 0.0298 % 3,194.1
Perpetual-Discount 5.08 % 5.06 % 92,292 15.33 17 0.0291 % 3,623.8
FixedReset Disc 5.46 % 4.18 % 125,906 16.57 65 -0.1887 % 2,116.6
Deemed-Retractible 5.06 % 4.83 % 106,996 15.18 22 -0.5638 % 3,511.5
FloatingReset 1.97 % 2.60 % 42,511 1.30 3 -0.1007 % 1,798.8
FixedReset Prem 5.22 % 3.52 % 264,545 0.83 14 -0.0395 % 2,641.1
FixedReset Bank Non 1.94 % 2.22 % 113,326 1.29 2 -0.0402 % 2,856.6
FixedReset Ins Non 5.51 % 4.24 % 79,109 16.46 22 -0.1267 % 2,192.9
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -6.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.94 %
MFC.PR.F FixedReset Ins Non -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 10.62
Evaluated at bid price : 10.62
Bid-YTW : 4.28 %
BAM.PR.X FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 5.09 %
CCS.PR.C Deemed-Retractible -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.22 %
SLF.PR.G FixedReset Ins Non -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 10.77
Evaluated at bid price : 10.77
Bid-YTW : 4.20 %
MFC.PR.B Deemed-Retractible -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 23.71
Evaluated at bid price : 24.02
Bid-YTW : 4.87 %
IFC.PR.A FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 12.23
Evaluated at bid price : 12.23
Bid-YTW : 4.68 %
SLF.PR.I FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.26 %
GWO.PR.P Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 5.43 %
MFC.PR.Q FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.27 %
IAF.PR.B Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.77 %
POW.PR.B Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-08
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -5.36 %
GWO.PR.I Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.80 %
PWF.PR.P FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 10.14
Evaluated at bid price : 10.14
Bid-YTW : 4.89 %
TD.PF.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.18 %
RY.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.06 %
MFC.PR.C Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 23.33
Evaluated at bid price : 23.61
Bid-YTW : 4.79 %
BMO.PR.W FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.03 %
SLF.PR.D Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.70 %
NA.PR.G FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 4.36 %
IFC.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.55 %
BAM.PF.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.20 %
BAM.PF.F FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.22 %
MFC.PR.H FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.24 %
BMO.PR.S FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.08 %
BMO.PR.T FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.12 %
BAM.PR.Z FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.19 %
BAM.PF.B FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.18 %
BAM.PR.R FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 5.16 %
MFC.PR.N FixedReset Ins Non 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.14 %
TRP.PR.A FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.57 %
MFC.PR.I FixedReset Ins Non 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset Prem 89,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 3.58 %
BMO.PR.D FixedReset Disc 86,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 22.28
Evaluated at bid price : 22.60
Bid-YTW : 4.04 %
MFC.PR.N FixedReset Ins Non 70,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.14 %
TD.PF.G FixedReset Prem 64,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.90 %
BMO.PR.B FixedReset Prem 61,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.52 %
RY.PR.Q FixedReset Prem 60,626 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.34 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 16.60 – 18.00
Spot Rate : 1.4000
Average : 0.8851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.32 %

RY.PR.O Perpetual-Premium Quote: 26.35 – 27.38
Spot Rate : 1.0300
Average : 0.5863

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-24
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -1.25 %

TRP.PR.G FixedReset Disc Quote: 14.26 – 15.54
Spot Rate : 1.2800
Average : 0.9208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.94 %

MFC.PR.Q FixedReset Ins Non Quote: 18.75 – 19.59
Spot Rate : 0.8400
Average : 0.5565

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.27 %

TD.PF.D FixedReset Disc Quote: 18.98 – 19.59
Spot Rate : 0.6100
Average : 0.4150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.19 %

GWO.PR.P Deemed-Retractible Quote: 25.02 – 25.50
Spot Rate : 0.4800
Average : 0.3084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-09
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 5.43 %