May 29, 2020

May 29th, 2020

Laurentian Bank chopped its dividend today:

At its meeting held on May 28, 2020, given the highly uncertain economic environment, the Board of Directors of the Laurentian Bank of Canada (TSX: LB) (the “Bank”) has approved a reduction of the quarterly dividend on its common shares by $0.27 or 40% to provide greater financial strength and flexibility to support continued growth, the pursuit of the Bank’s Strategic Plan, and the alignment of the Bank’s payout ratio with the Bank’s policy.

… and the stock got hammered, down 9.14% with volume at a thirty-day (at least) high. Paul Chiasson comments in the Globe:

Laurentian Bank of Canada slashed its dividend by 40 per cent on Friday after a sharp drop in profit, becoming the first large Canadian bank to cut its payout in nearly 30 years.

The Montreal-based bank came into the COVID-19 crisis on a back foot, having struggled in recent years with wage disputes and a challenging transition toward digital banking that has seen it shutter many branches and phase out teller services.

Canada’s seventh largest bank reported a 79-per-cent drop in profit for the three months ended April 30, with net income falling to $8.9-million from $43.3-million in the same quarter last year. The decline was largely attributed to a spike in provisions for potential loan losses tied to weakening economic conditions.

Laurentian responded by cutting its quarterly dividend to 40 cents a share, down from 67 cents. This is the first time a large Canadian bank has cut its dividend since National Bank of Canada did so in 1992, according to data from Refinitiv.

The bank’s capital position deteriorated slightly in the quarter, with the closely watched common equity Tier 1 ratio falling to 8.8 per cent from 9 per cent. The bank said it now expects its capital levels ”will remain below the level observed over the recent quarters.”

The preferreds were relatively unscathed, with LB.PR.H down 1.5% on elevated volume and LB.PR.J down 0.38% on slightly above average volume.

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 -0.6654 % 1,411.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6654 % 2,590.0
Floater 5.47 % 5.89 % 32,434 13.97 4 -0.6654 % 1,492.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0926 % 3,417.0
SplitShare 4.92 % 5.15 % 61,165 3.89 7 0.0926 % 4,080.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0926 % 3,183.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2170 % 2,946.3
Perpetual-Discount 5.71 % 5.94 % 78,973 13.95 35 0.2170 % 3,160.2
FixedReset Disc 6.45 % 5.28 % 177,909 14.58 83 0.6730 % 1,766.3
Deemed-Retractible 5.44 % 5.78 % 90,841 14.05 27 0.0941 % 3,127.8
FloatingReset 5.12 % 5.22 % 47,479 15.19 3 1.5156 % 1,759.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.6730 % 2,442.7
FixedReset Bank Non 2.00 % 3.60 % 151,856 1.63 2 0.1865 % 2,755.4
FixedReset Ins Non 6.74 % 5.36 % 112,051 14.49 22 0.2940 % 1,770.3
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.40
Evaluated at bid price : 7.40
Bid-YTW : 5.89 %
BAM.PR.K Floater -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.35
Evaluated at bid price : 7.35
Bid-YTW : 5.93 %
BAM.PF.E FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 12.74
Evaluated at bid price : 12.74
Bid-YTW : 6.24 %
CCS.PR.C Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.90 %
TRP.PR.H FloatingReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.27
Evaluated at bid price : 7.27
Bid-YTW : 5.22 %
BAM.PR.C Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.40
Evaluated at bid price : 7.40
Bid-YTW : 5.89 %
IFC.PR.E Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.55
Evaluated at bid price : 22.85
Bid-YTW : 5.78 %
MFC.PR.H FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 5.52 %
BIK.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.05
Evaluated at bid price : 22.51
Bid-YTW : 6.48 %
MFC.PR.L FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.33 %
IAF.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.54 %
BMO.PR.W FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 5.16 %
BNS.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 24.21
Evaluated at bid price : 24.61
Bid-YTW : 5.23 %
ELF.PR.H Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 23.11
Evaluated at bid price : 23.40
Bid-YTW : 5.95 %
TD.PF.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.13 %
ELF.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.73 %
BAM.PR.Z FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 6.07 %
PVS.PR.H SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.21 %
TRP.PR.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 8.34
Evaluated at bid price : 8.34
Bid-YTW : 5.81 %
GWO.PR.I Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 5.79 %
MFC.PR.R FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.45 %
BMO.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.23 %
BIP.PR.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.42 %
BMO.PR.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 5.14 %
PWF.PR.S Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.86 %
HSE.PR.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 9.77 %
IAF.PR.B Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.62 %
BMO.PR.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.23 %
RY.PR.W Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.20 %
SLF.PR.I FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.36 %
BIP.PR.E FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.46 %
IFC.PR.A FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 5.28 %
CM.PR.Y FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.25 %
BMO.PR.D FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 5.28 %
TRP.PR.A FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 5.82 %
TD.PF.D FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.14 %
RY.PR.M FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 5.15 %
PWF.PR.A Floater 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.70 %
HSE.PR.A FixedReset Disc 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 6.00
Evaluated at bid price : 6.00
Bid-YTW : 9.03 %
RY.PR.J FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.22 %
SLF.PR.G FixedReset Ins Non 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.82 %
CU.PR.C FixedReset Disc 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 4.53 %
TRP.PR.F FloatingReset 4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 5.50 %
GWO.PR.N FixedReset Ins Non 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 4.60 %
TRP.PR.G FixedReset Disc 6.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.99 %
PWF.PR.P FixedReset Disc 17.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.55
Evaluated at bid price : 9.55
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 116,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.23 %
RY.PR.H FixedReset Disc 106,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.92 %
TD.PF.A FixedReset Disc 101,636 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 5.11 %
BMO.PR.S FixedReset Disc 100,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.27 %
CM.PR.R FixedReset Disc 96,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.54 %
MFC.PR.C Deemed-Retractible 59,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.55 %
There were 18 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: 15.67 – 18.00
Spot Rate : 2.3300
Average : 1.4781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 4.53 %

BMO.PR.C FixedReset Disc Quote: 18.20 – 19.51
Spot Rate : 1.3100
Average : 0.7303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.23 %

TD.PF.D FixedReset Disc Quote: 15.55 – 18.80
Spot Rate : 3.2500
Average : 2.7136

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.14 %

MFC.PR.F FixedReset Ins Non Quote: 8.99 – 10.20
Spot Rate : 1.2100
Average : 0.6991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 8.99
Evaluated at bid price : 8.99
Bid-YTW : 4.99 %

MFC.PR.Q FixedReset Ins Non Quote: 15.21 – 16.38
Spot Rate : 1.1700
Average : 0.7224

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.30 %

BIK.PR.A FixedReset Disc Quote: 22.51 – 24.00
Spot Rate : 1.4900
Average : 1.1496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.05
Evaluated at bid price : 22.51
Bid-YTW : 6.48 %

A case study in how not to invest in bank stocks

May 29th, 2020

Many thanks to John Heinzl for quoting me in his piece A case study in how not to invest in bank stocks:

BK and BK.PR.A are two different classes of shares issued by Canadian Banc Corp., an investment vehicle known as a “split share” corporation. Canadian Banc Corp. holds a portfolio of the six biggest Canadian bank stocks, and while BK and BK.PR.A both provide exposure to those underlying stocks, they do so in different ways and with dramatically different results.

You may be wondering how BK can pay a 10-per-cent dividend when the preferred shares are already yielding 5 per cent. According to the prospectus, “to supplement the dividends received on the portfolio and to reduce risk, the company will from time to time write covered call options in respect of some or all of the common shares in the portfolio.”

But many split share corporations also resort to selling stocks in the underlying portfolio to generate cash required to pay dividends on their class A shares, said James Hymas, president of Hymas Investment Management. “It is my belief that, if people understood class A split shares, they wouldn’t buy them.”

What’s more, your adviser should have known that, although BK and BK.PR.A have different characteristics on their own, they are complementary pieces of the same underlying portfolio. When you put them together you’re essentially buying a portfolio of bank stocks – just in two different wrappers that add unnecessary layers of complexity and fees. Canadian Banc Corp.’s management expense ratio of 1.35 per cent is more than double ZEB’s MER of 0.62 per cent.

“Your reader was given really stupid advice by the adviser, because when you own the class A shares and preferred shares in equal proportions, all you own is a fund with a lot of bells and whistles that owns bank stocks,” Mr. Hymas said. “You can do that a whole lot easier by buying an ETF that owns bank stocks. And it’s much cheaper.”

Neither Mr. Heizl nor I can be faulted for any lack of consistency, since nine years ago he quoted me as saying:

For those reasons, Mr. Hymas says the capital shares are only appropriate for “suckers.”

That sparked a certain amount of debate. I look forward to receiving a lot of angry mail from everyone who’s ever made a nickel on their Capital Unit investments!

May 28, 2020

May 28th, 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 -1.1588 % 1,420.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1588 % 2,607.3
Floater 5.43 % 5.72 % 32,861 14.23 4 -1.1588 % 1,502.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0290 % 3,413.8
SplitShare 4.92 % 5.19 % 63,424 3.90 7 0.0290 % 4,076.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0290 % 3,180.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3783 % 2,939.9
Perpetual-Discount 5.72 % 5.95 % 79,938 13.94 35 0.3783 % 3,153.4
FixedReset Disc 6.49 % 5.36 % 178,062 14.57 83 0.3696 % 1,754.5
Deemed-Retractible 5.44 % 5.71 % 91,998 14.02 27 0.2219 % 3,124.9
FloatingReset 5.13 % 5.14 % 47,615 15.18 3 0.6199 % 1,733.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.3696 % 2,426.4
FixedReset Bank Non 2.00 % 3.70 % 153,095 1.64 2 -0.1035 % 2,750.2
FixedReset Ins Non 6.76 % 5.42 % 112,747 14.51 22 1.1582 % 1,765.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -6.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 4.84 %
MFC.PR.I FixedReset Ins Non -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %
HSE.PR.A FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 5.82
Evaluated at bid price : 5.82
Bid-YTW : 9.32 %
PWF.PR.A Floater -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.83 %
IAF.PR.B Deemed-Retractible -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.71 %
SLF.PR.I FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.45 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 4.73 %
CM.PR.Y FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.36 %
HSE.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 9.56 %
BAM.PF.H FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.56
Evaluated at bid price : 24.25
Bid-YTW : 5.20 %
NA.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.60
Evaluated at bid price : 23.07
Bid-YTW : 5.49 %
BIK.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 6.41 %
SLF.PR.J FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 4.62 %
MFC.PR.L FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.27 %
TD.PF.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 24.11
Evaluated at bid price : 24.58
Bid-YTW : 5.16 %
BAM.PF.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 5.93 %
MFC.PR.H FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.46 %
BMO.PR.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.15 %
RY.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 4.90 %
GWO.PR.P Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.86 %
TD.PF.K FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.18 %
BMO.PR.T FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 5.30 %
TRP.PR.K FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.58
Evaluated at bid price : 22.90
Bid-YTW : 5.36 %
RY.PR.W Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.29 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.49 %
TD.PF.J FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.16 %
CM.PR.O FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.60 %
SLF.PR.G FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 5.00 %
TRP.PR.C FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.24
Evaluated at bid price : 8.24
Bid-YTW : 5.88 %
CM.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.36 %
BAM.PF.E FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.12 %
MFC.PR.N FixedReset Ins Non 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 5.22 %
BAM.PF.B FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.94 %
TRP.PR.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 5.98 %
BAM.PR.X FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 9.67
Evaluated at bid price : 9.67
Bid-YTW : 5.89 %
IFC.PR.A FixedReset Ins Non 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.39 %
PWF.PR.P FixedReset Disc 12.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.15 %
SLF.PR.H FixedReset Ins Non 37.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 5.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.G FixedReset Ins Non 64,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 5.42 %
IAF.PR.G FixedReset Ins Non 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.48 %
RY.PR.Q FixedReset Disc 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.51
Evaluated at bid price : 24.05
Bid-YTW : 5.12 %
TD.PF.D FixedReset Disc 49,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.26 %
TD.PF.J FixedReset Disc 43,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.16 %
BAM.PF.E FixedReset Disc 31,866 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.12 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 15.18 – 18.80
Spot Rate : 3.6200
Average : 2.1254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.26 %

BIK.PR.A FixedReset Disc Quote: 22.75 – 24.00
Spot Rate : 1.2500
Average : 0.7764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 6.41 %

CM.PR.Y FixedReset Disc Quote: 20.18 – 21.35
Spot Rate : 1.1700
Average : 0.7223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.36 %

MFC.PR.J FixedReset Ins Non Quote: 15.44 – 16.50
Spot Rate : 1.0600
Average : 0.6531

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 5.27 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 16.50
Spot Rate : 1.1000
Average : 0.7826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %

TD.PF.M FixedReset Disc Quote: 20.75 – 21.67
Spot Rate : 0.9200
Average : 0.6160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.13 %

May 27, 2020

May 27th, 2020

Pembina Pipeline has announced (on 2020-5-26):

that it has agreed to issue $500 million of senior unsecured medium-term notes (the “Offering”). The Offering will be conducted in two tranches consisting of $400 million in senior unsecured medium-term notes, series 16 (the “Series 16 Notes”) having a fixed coupon of 4.67 percent per annum, paid semi-annually, and maturing on May 28, 2050; and $100 million principal amount to be issued through a re-opening of the Company’s 3.71 percent medium-term notes, series 7, due August 11, 2026 (the “Series 7 Notes”).

Closing of the Offering is expected to occur on May 28, 2020 and the net proceeds are intended to be used to repay indebtedness of the Company under its unsecured $2.5 billion revolving credit facility due May 2024 incurred in connection with the acquisition of the U.S. portion of the Cochin Pipeline system, as well as to fund Pembina’s capital program and for general corporate purposes.

The Series 16 Notes and the re-opening of the Series 7 Notes are being offered through a syndicate of dealers under Pembina’s short-form base shelf prospectus dated August 30, 2019, as supplemented by related pricing supplements dated May 26, 2020.

Yesterday, PPL’s FixedResets closed with a fairly wide range of yields, given GOC-5 of 0.36% and 3-Month Bills of 0.24%; from 6.92% (PPL.PR.K; has a minimum rate guarantee) to 8.22% (PPL.PR.O); the interest-equivalent range is 9.00% to 10.69%. The spread between the newly issued 30-year bonds and the FixedResets is therefore between 433bp to 602bp – not directly comparable to the Seniority Spread, of course, because these are FixedResets, but an indication nevertheless of why issuers aren’t coming out with new issues!

PerpetualDiscounts now yield 5.97%, equivalent to 7.76% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously), to 445bp from the 450bp reported May 20. We are still equal to the pre-2020 record of 445bp briefly touched in 2008.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.4295 % 1,437.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4295 % 2,637.9
Floater 5.37 % 5.68 % 33,403 14.30 4 1.4295 % 1,520.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0753 % 3,412.8
SplitShare 4.92 % 5.14 % 65,955 3.90 7 0.0753 % 4,075.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0753 % 3,180.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0942 % 2,928.9
Perpetual-Discount 5.75 % 5.97 % 80,342 13.91 35 -0.0942 % 3,141.5
FixedReset Disc 6.50 % 5.37 % 179,585 14.52 83 -0.3548 % 1,748.0
Deemed-Retractible 5.45 % 5.76 % 92,384 13.94 27 0.0082 % 3,118.0
FloatingReset 5.16 % 5.14 % 47,921 15.19 3 -0.3090 % 1,722.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.3548 % 2,417.5
FixedReset Bank Non 2.00 % 3.69 % 159,353 1.64 2 0.2907 % 2,753.1
FixedReset Ins Non 6.82 % 5.43 % 113,424 14.40 22 -1.2285 % 1,744.9
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -22.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc -8.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.22
Evaluated at bid price : 7.22
Bid-YTW : 6.96 %
IFC.PR.A FixedReset Ins Non -4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 5.58 %
TD.PF.J FixedReset Disc -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.24 %
BAM.PR.X FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 9.44
Evaluated at bid price : 9.44
Bid-YTW : 6.04 %
MFC.PR.O FixedReset Ins Non -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 23.11
Evaluated at bid price : 23.65
Bid-YTW : 5.63 %
BMO.PR.F FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.22 %
RY.PR.Z FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.97 %
CM.PR.S FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.37 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.21 %
BMO.PR.S FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.30 %
TD.PF.B FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.18 %
BMO.PR.T FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.38 %
TD.PF.K FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.26 %
PVS.PR.H SplitShare -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.42 %
HSE.PR.C FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 9.42 %
TRP.PR.C FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.08
Evaluated at bid price : 8.08
Bid-YTW : 5.99 %
RY.PR.W Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.64
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
TD.PF.I FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 5.14 %
CM.PR.T FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.30 %
TD.PF.M FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.13 %
TD.PF.C FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.21 %
HSE.PR.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 6.06
Evaluated at bid price : 6.06
Bid-YTW : 8.94 %
NA.PR.S FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.70 %
TRP.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.45 %
BMO.PR.E FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
CM.PR.Q FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.70 %
MFC.PR.M FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.36 %
CM.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.72
Evaluated at bid price : 13.72
Bid-YTW : 5.48 %
IFC.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.64 %
BAM.PF.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 6.00 %
CU.PR.G Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.40 %
BMO.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.34 %
BAM.PR.Z FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 6.10 %
TRP.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 6.04 %
BIP.PR.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.62 %
IAF.PR.B Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.63 %
BAM.PF.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 23.96
Evaluated at bid price : 24.57
Bid-YTW : 5.14 %
PWF.PR.A Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 9.18
Evaluated at bid price : 9.18
Bid-YTW : 4.70 %
BAM.PR.C Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.57
Evaluated at bid price : 7.57
Bid-YTW : 5.75 %
EIT.PR.A SplitShare 1.49 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 5.28 %
BIP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 6.99 %
BAM.PR.B Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.67
Evaluated at bid price : 7.67
Bid-YTW : 5.68 %
IFC.PR.C FixedReset Ins Non 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.62 %
BIP.PR.F FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.48 %
TRP.PR.B FixedReset Disc 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.44
Evaluated at bid price : 7.44
Bid-YTW : 5.61 %
BAM.PF.B FixedReset Disc 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.M Perpetual-Discount 75,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.03 %
BMO.PR.E FixedReset Disc 63,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
BAM.PF.D Perpetual-Discount 61,363 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.05 %
PWF.PR.T FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 5.58 %
BAM.PR.R FixedReset Disc 50,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 6.10 %
MFC.PR.G FixedReset Ins Non 46,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.43 %
There were 39 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: 8.86 – 12.17
Spot Rate : 3.3100
Average : 1.9498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 7.22 %

PWF.PR.P FixedReset Disc Quote: 7.22 – 9.71
Spot Rate : 2.4900
Average : 1.8592

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.22
Evaluated at bid price : 7.22
Bid-YTW : 6.96 %

TD.PF.H FixedReset Disc Quote: 22.40 – 23.25
Spot Rate : 0.8500
Average : 0.4956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 5.06 %

MFC.PR.M FixedReset Ins Non Quote: 14.01 – 16.17
Spot Rate : 2.1600
Average : 1.8383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.36 %

EML.PR.A FixedReset Ins Non Quote: 22.75 – 23.47
Spot Rate : 0.7200
Average : 0.4057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.96 %

TD.PF.E FixedReset Disc Quote: 15.20 – 16.03
Spot Rate : 0.8300
Average : 0.5393

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.40 %

May 26, 2020

May 26th, 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 0.0636 % 1,417.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0636 % 2,600.7
Floater 5.45 % 5.81 % 31,817 14.11 4 0.0636 % 1,498.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1219 % 3,410.2
SplitShare 4.93 % 5.09 % 68,613 3.90 7 0.1219 % 4,072.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1219 % 3,177.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4782 % 2,931.6
Perpetual-Discount 5.74 % 5.96 % 80,468 13.93 35 0.4782 % 3,144.5
FixedReset Disc 6.48 % 5.34 % 180,759 14.61 83 0.4043 % 1,754.2
Deemed-Retractible 5.45 % 5.77 % 90,057 13.97 27 0.2891 % 3,117.7
FloatingReset 5.15 % 5.14 % 48,691 15.19 3 -0.3026 % 1,728.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.4043 % 2,426.1
FixedReset Bank Non 2.01 % 3.64 % 160,851 1.64 2 0.0000 % 2,745.1
FixedReset Ins Non 6.74 % 5.38 % 113,083 14.48 22 0.0178 % 1,766.6
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -13.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.85
Evaluated at bid price : 7.85
Bid-YTW : 6.39 %
TRP.PR.B FixedReset Disc -6.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.20
Evaluated at bid price : 7.20
Bid-YTW : 5.80 %
BAM.PF.B FixedReset Disc -5.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 6.36 %
IFC.PR.C FixedReset Ins Non -4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.76 %
SLF.PR.H FixedReset Ins Non -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.55 %
MFC.PR.N FixedReset Ins Non -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 5.34 %
BIP.PR.F FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.67 %
TRP.PR.E FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 6.12 %
TD.PF.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.18 %
IFC.PR.A FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 5.33 %
HSE.PR.C FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 9.23 %
HSE.PR.E FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 9.77 %
HSE.PR.G FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 9.63 %
CU.PR.I FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.58
Evaluated at bid price : 24.30
Bid-YTW : 4.60 %
BIP.PR.A FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 7.12 %
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.81 %
EIT.PR.A SplitShare -1.02 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.71 %
MFC.PR.O FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.76
Evaluated at bid price : 24.25
Bid-YTW : 5.49 %
PWF.PR.S Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.94 %
CM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.60 %
TD.PF.B FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.07 %
MFC.PR.C Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.50 %
PWF.PR.R Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 22.79
Evaluated at bid price : 23.08
Bid-YTW : 6.02 %
W.PR.M FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.85
Evaluated at bid price : 24.26
Bid-YTW : 5.41 %
BAM.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.16 %
MFC.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.46 %
BAM.PF.G FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.16 %
CU.PR.F Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.33 %
BMO.PR.F FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.08 %
TD.PF.L FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.05 %
PWF.PR.T FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.60 %
BMO.PR.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.09 %
POW.PR.B Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.02 %
TD.PF.M FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.04 %
CU.PR.G Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.34 %
BNS.PR.I FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.68 %
BMO.PR.Y FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.33 %
TD.PF.I FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.04 %
MFC.PR.L FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.31 %
PWF.PR.A Floater 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 9.06
Evaluated at bid price : 9.06
Bid-YTW : 4.77 %
BMO.PR.B FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 5.01 %
CCS.PR.C Deemed-Retractible 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 5.78 %
MFC.PR.J FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 5.25 %
NA.PR.G FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.51 %
MFC.PR.I FixedReset Ins Non 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.27 %
RY.PR.J FixedReset Disc 4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.15 %
W.PR.K FixedReset Disc 6.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.15
Evaluated at bid price : 23.85
Bid-YTW : 5.54 %
BAM.PF.I FixedReset Disc 6.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.06
Evaluated at bid price : 23.42
Bid-YTW : 5.19 %
BMO.PR.D FixedReset Disc 7.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.34 %
GWO.PR.N FixedReset Ins Non 7.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Disc 89,473 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.61 %
BAM.PF.G FixedReset Disc 65,479 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.16 %
TRP.PR.J FixedReset Disc 60,021 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 24.54
Evaluated at bid price : 24.90
Bid-YTW : 5.54 %
NA.PR.W FixedReset Disc 28,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.41 %
TRP.PR.E FixedReset Disc 27,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 6.12 %
CM.PR.R FixedReset Disc 25,661 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.60 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 14.22 – 16.17
Spot Rate : 1.9500
Average : 1.4855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 5.28 %

BAM.PF.B FixedReset Disc Quote: 13.42 – 14.40
Spot Rate : 0.9800
Average : 0.6559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 6.36 %

PWF.PR.P FixedReset Disc Quote: 7.85 – 9.26
Spot Rate : 1.4100
Average : 1.1675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.85
Evaluated at bid price : 7.85
Bid-YTW : 6.39 %

SLF.PR.H FixedReset Ins Non Quote: 11.50 – 12.17
Spot Rate : 0.6700
Average : 0.4584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.55 %

TRP.PR.G FixedReset Disc Quote: 13.16 – 14.29
Spot Rate : 1.1300
Average : 0.9520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 6.37 %

BIP.PR.A FixedReset Disc Quote: 14.06 – 14.53
Spot Rate : 0.4700
Average : 0.3114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 7.12 %

May 25, 2020

May 25th, 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 % 1,416.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,599.1
Floater 5.45 % 5.73 % 31,283 14.23 4 0.0000 % 1,497.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.5778 % 3,406.1
SplitShare 4.93 % 5.16 % 71,376 3.91 7 0.5778 % 4,067.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5778 % 3,173.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0473 % 2,917.7
Perpetual-Discount 5.77 % 6.00 % 79,640 13.89 35 -0.0473 % 3,129.5
FixedReset Disc 6.51 % 5.36 % 183,301 14.57 83 -0.6431 % 1,747.2
Deemed-Retractible 5.45 % 5.73 % 90,477 13.94 27 0.0379 % 3,108.7
FloatingReset 5.09 % 5.14 % 50,783 15.19 3 0.0765 % 1,733.3
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.6431 % 2,416.3
FixedReset Bank Non 2.01 % 3.86 % 166,550 1.64 2 -0.0415 % 2,745.1
FixedReset Ins Non 6.73 % 5.41 % 117,677 14.46 22 0.0185 % 1,766.3
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -8.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 6.37 %
BMO.PR.D FixedReset Disc -6.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.74 %
BAM.PF.I FixedReset Disc -6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.52 %
GWO.PR.N FixedReset Ins Non -6.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 4.87 %
W.PR.K FixedReset Disc -5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 5.89 %
RY.PR.J FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.36 %
MFC.PR.I FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %
NA.PR.G FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.68 %
BMO.PR.B FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.14 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 5.94 %
SLF.PR.H FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.35 %
BMO.PR.F FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.16 %
MFC.PR.L FixedReset Ins Non -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.41 %
TD.PF.M FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.13 %
TD.PF.L FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.13 %
CU.PR.C FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.66 %
BMO.PR.T FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.31 %
TRP.PR.A FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.11 %
BMO.PR.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
BNS.PR.I FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.77 %
BMO.PR.Y FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.43 %
PWF.PR.T FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.69 %
W.PR.M FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 23.53
Evaluated at bid price : 23.97
Bid-YTW : 5.48 %
IFC.PR.I Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 23.32
Evaluated at bid price : 23.63
Bid-YTW : 5.85 %
CM.PR.Y FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 5.29 %
MFC.PR.G FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 5.53 %
BAM.PF.E FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 12.63
Evaluated at bid price : 12.63
Bid-YTW : 6.29 %
PWF.PR.R Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 6.08 %
CU.PR.G Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.42 %
BAM.PF.J FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.35
Evaluated at bid price : 22.78
Bid-YTW : 5.27 %
MFC.PR.J FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.39 %
TRP.PR.K FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.58
Evaluated at bid price : 22.90
Bid-YTW : 5.36 %
IFC.PR.E Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.69
Evaluated at bid price : 23.01
Bid-YTW : 5.73 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.30 %
MFC.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.18 %
MFC.PR.B Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.55 %
BMO.PR.Z Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.88
Evaluated at bid price : 23.30
Bid-YTW : 5.38 %
SLF.PR.G FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.05 %
TRP.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.99 %
ELF.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.88 %
HSE.PR.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 9.49 %
PVS.PR.H SplitShare 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.16 %
PVS.PR.F SplitShare 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 5.14 %
BIP.PR.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 7.02 %
BIP.PR.F FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.50 %
IFC.PR.A FixedReset Ins Non 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 5.23 %
IFC.PR.C FixedReset Ins Non 7.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 10.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.12 %
PWF.PR.P FixedReset Disc 11.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 5.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 21,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 5.41 %
BAM.PR.T FixedReset Disc 19,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.24 %
TRP.PR.C FixedReset Disc 18,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 5.94 %
BMO.PR.T FixedReset Disc 11,834 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.31 %
TD.PF.J FixedReset Disc 11,163 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.11 %
RY.PR.F Deemed-Retractible 10,715 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.47 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 15.40 – 18.00
Spot Rate : 2.6000
Average : 1.5599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %

BAM.PF.I FixedReset Disc Quote: 22.00 – 23.81
Spot Rate : 1.8100
Average : 1.0562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.52 %

W.PR.K FixedReset Disc Quote: 22.50 – 23.83
Spot Rate : 1.3300
Average : 0.8018

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 5.89 %

TRP.PR.G FixedReset Disc Quote: 13.16 – 14.35
Spot Rate : 1.1900
Average : 0.7569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 6.37 %

BMO.PR.D FixedReset Disc Quote: 16.00 – 16.99
Spot Rate : 0.9900
Average : 0.5776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.74 %

CCS.PR.C Deemed-Retractible Quote: 21.44 – 22.75
Spot Rate : 1.3100
Average : 0.9366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.94 %

May 22, 2020

May 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 -0.9134 % 1,416.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9134 % 2,599.1
Floater 5.45 % 5.72 % 31,752 14.25 4 -0.9134 % 1,497.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5572 % 3,386.5
SplitShare 4.96 % 5.43 % 71,643 3.91 7 -0.5572 % 4,044.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5572 % 3,155.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1998 % 2,919.1
Perpetual-Discount 5.77 % 6.00 % 81,343 13.87 35 0.1998 % 3,131.0
FixedReset Disc 6.47 % 5.42 % 186,302 14.54 83 -0.7619 % 1,758.5
Deemed-Retractible 5.45 % 5.71 % 89,092 13.93 27 -0.1941 % 3,107.5
FloatingReset 5.10 % 5.14 % 51,197 15.20 3 -1.4329 % 1,732.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.7619 % 2,431.9
FixedReset Bank Non 2.01 % 3.88 % 172,774 1.65 2 0.1039 % 2,746.3
FixedReset Ins Non 6.73 % 5.47 % 117,813 14.27 22 -0.7617 % 1,766.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -13.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.35 %
BMO.PR.W FixedReset Disc -10.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.77 %
IFC.PR.C FixedReset Ins Non -7.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 6.07 %
IFC.PR.A FixedReset Ins Non -6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 5.59 %
TRP.PR.H FloatingReset -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.14 %
SLF.PR.G FixedReset Ins Non -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 5.31 %
HSE.PR.G FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 9.80 %
BAM.PR.X FixedReset Disc -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 9.70
Evaluated at bid price : 9.70
Bid-YTW : 6.03 %
BIP.PR.F FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.67 %
TD.PF.J FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.43
Evaluated at bid price : 16.43
Bid-YTW : 5.22 %
CM.PR.Q FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.83 %
BMO.PR.C FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.52 %
MFC.PR.B Deemed-Retractible -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.61 %
TD.PF.K FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.26 %
BAM.PR.C Floater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 7.51
Evaluated at bid price : 7.51
Bid-YTW : 5.80 %
GWO.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 9.32
Evaluated at bid price : 9.32
Bid-YTW : 4.75 %
MFC.PR.H FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 5.67 %
HSE.PR.E FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 9.71 %
TD.PF.I FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.19 %
BNS.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.13
Evaluated at bid price : 23.71
Bid-YTW : 5.26 %
TRP.PR.C FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.36
Evaluated at bid price : 8.36
Bid-YTW : 5.99 %
MFC.PR.F FixedReset Ins Non -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 9.01
Evaluated at bid price : 9.01
Bid-YTW : 5.16 %
NA.PR.X FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.51
Evaluated at bid price : 24.05
Bid-YTW : 5.57 %
MFC.PR.J FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 5.43 %
MFC.PR.R FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.60 %
BMO.PR.Y FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.45 %
PVS.PR.F SplitShare -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.51 %
BMO.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.17 %
TD.PF.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.44 %
TD.PF.B FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.20 %
RY.PR.H FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.04 %
BAM.PR.K Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 7.46
Evaluated at bid price : 7.46
Bid-YTW : 5.84 %
RY.PR.R FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 24.10
Evaluated at bid price : 24.50
Bid-YTW : 5.37 %
PWF.PR.T FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 5.68 %
CM.PR.P FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.47 %
BMO.PR.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 21.84
Evaluated at bid price : 22.36
Bid-YTW : 5.05 %
TD.PF.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 5.15 %
W.PR.K FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.08
Evaluated at bid price : 23.77
Bid-YTW : 5.56 %
RY.PR.W Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.30 %
TD.PF.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.89
Evaluated at bid price : 24.40
Bid-YTW : 5.26 %
PVS.PR.H SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.41 %
PVS.PR.G SplitShare -1.01 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.30 %
BMO.PR.F FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.10 %
BAM.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 6.05 %
SLF.PR.H FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
MFC.PR.L FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 5.40 %
MFC.PR.Q FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.40 %
MFC.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.56 %
RY.PR.P Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 24.31
Evaluated at bid price : 24.80
Bid-YTW : 5.30 %
MFC.PR.M FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.46 %
CU.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.67 %
NA.PR.C FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.72 %
IFC.PR.I Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.66
Evaluated at bid price : 24.00
Bid-YTW : 5.75 %
NA.PR.W FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Disc 41,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.74
Evaluated at bid price : 24.25
Bid-YTW : 5.14 %
TD.PF.B FixedReset Disc 36,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.20 %
CM.PR.P FixedReset Disc 35,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.47 %
BMO.PR.E FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.17 %
CM.PR.O FixedReset Disc 29,701 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.62 %
TD.PF.C FixedReset Disc 25,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 5.21 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 15.12 – 18.80
Spot Rate : 3.6800
Average : 2.4431

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 5.39 %

BMO.PR.W FixedReset Disc Quote: 12.95 – 14.72
Spot Rate : 1.7700
Average : 1.0419

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.77 %

IFC.PR.C FixedReset Ins Non Quote: 13.05 – 14.12
Spot Rate : 1.0700
Average : 0.7688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 6.07 %

PWF.PR.P FixedReset Disc Quote: 8.15 – 9.75
Spot Rate : 1.6000
Average : 1.3418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.35 %

PVS.PR.F SplitShare Quote: 24.30 – 24.95
Spot Rate : 0.6500
Average : 0.3981

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.51 %

IFC.PR.A FixedReset Ins Non Quote: 10.68 – 11.38
Spot Rate : 0.7000
Average : 0.4819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 5.59 %

DF.PR.A On Review-Negative by DBRS

May 22nd, 2020

DBRS has announced that it:

placed the Preferred Shares issued by Dividend 15 Split Corp. II (the Company) Under Review with Negative Implications. The Company invests in a portfolio of securities (the Portfolio) funded by issuing two classes of shares: dividend-yielding Preferred Shares and capital shares (the Capital Shares). In such structure, the Preferred Shares normally benefit from the downside protection provided by the net asset value (NAV) of the Capital Shares. Following the stock market sell-off in response to the worldwide spread of the Coronavirus Disease (COVID-19) and various geopolitical news, the Preferred Shares experienced substantial declines in their downside protection. As a result, DBRS Morningstar has placed the Preferred Shares Under Review with Negative Implications. DBRS Morningstar will take further rating action on the Preferred Shares once a longer-term trend has been established for the NAV of the Company.

This rating action was based on factors that included additional analysis and, where appropriate, additional assumptions were applied to expected performance as a result of the global efforts to contain the spread of the coronavirus. On April 16, 2020, the DBRS Morningstar Sovereigns group published its outlook on the impact on key economic indicators for the 2020–22 time frame. For details see https://www.dbrsmorningstar.com/research/359679. For the current rating action, DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced commentary.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

The NAVPU was 11.67 as of May 15, so it’s no real surprise!

OSP.PR.A No Longer Rated by DBRS

May 22nd, 2020

DBRS has announced (on May 15):

DBRS Limited (DBRS Morningstar) discontinued and withdrew its rating on the Preferred Shares issued by Brompton Oil Split Corp. following the downgrade of the Preferred Shares rating to D on April 9, 2020.

About 70% of the fund disappeared following the preferred shareholders exercise of their special retraction rights. There was widespread confusion over the calculated redemption price on this retraction, but it’s because they have two ways of determining security value for NAV calculation purposes, depending on the purpose of the calculation:

the value of any security, that is listed or traded upon a stock exchange (or if more than one, on the principal stock exchange for the security, as determined by the Manager) shall be determined by taking the latest available sale price of recent date, or lacking any recent sales or any record thereof, the simple average of the latest available offer price and the latest available bid price (unless in the opinion of the Manager such value does not reflect the value thereof and in which case the latest offer price or bid price shall be used), as at the NAV Valuation Date on which the NAV of the Company is being determined, all as reported by any means in common use. For a retraction or redemption of the Company’s shares, the value of the common shares will be equal to the weighted average trading price of such shares over the last three business days of the relevant month;

At one point, long ago, I discussed “gating” of mutual fund redemptions in times of serious illiquidity and suggested that the approaches being discussed were wrong; it wasn’t enough to delay the redemption, I argued, one also had to take an average of the daily prices over the delay period to calculate the final redemption price, because a simple delay simply moved the problem from “You are assumed to be selling all your securities at this particular price” to “You are assumed to be selling all your securities at that particular price.” For gating to be fair and effective, you have to calculate the price in a manner similar to that in which you expect the manager to accomplish the liquidation.

Unfortunately, I can’t find the posts where I discussed this. It has me very upset.

SBC.PR.A To Get Bigger

May 21st, 2020

Brompton Group announced (on May 19):

Brompton Split Banc Corp. (the “Company”) is pleased to announce it is undertaking an overnight treasury offering of class A and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively).

The sales period for this overnight offering will end at 9:00 a.m. (ET) on Wednesday, May 20, 2020. The offering is expected to close on or about May 27, 2020 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (“TSX”).

The Class A Shares will be offered at a price of $8.00 per Class A Share for a distribution rate of 15% on the issue price, and the Preferred Shares will be offered at a price of $9.60 per Preferred Share for a yield to maturity of 7.1%.(1) The closing price on the TSX for each of the Class A and Preferred Shares on May 15, 2020 was $7.72 and $9.59, respectively. The Class A Share and Preferred Share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (calculated as at May 15, 2020), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

The Company invests in a portfolio (the “Portfolio”) consisting of common shares of the six largest Canadian banks: Royal Bank of Canada, The Bank of Nova Scotia, National Bank of Canada, The Toronto-Dominion Bank, Canadian Imperial Bank of Commerce and Bank of Montreal. In addition, the Company may hold up to 10% of the total assets of the Portfolio in investments in global financial companies for the purpose of enhanced diversification and return potential.

The investment objectives for the Class A Shares are to provide holders with regular monthly cash distributions targeted to be at least $0.10 per Class A Share and to provide the opportunity for growth in the net asset value per Class A Share.

The investment objectives for the Preferred Shares are to provide holders with fixed cumulative preferential quarterly cash distributions, currently in the amount of $0.125 per Preferred Share, and to return the original issue price to holders of Preferred Shares on November 29, 2022.

The syndicate of agents for the offering is being led by RBC Capital Markets, CIBC Capital Markets, National Bank Financial Inc. and Scotiabank.

They later announced (on May 20):

Brompton Split Banc Corp. (the “Company”) is pleased to announce a successful overnight treasury offering of class A shares and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively). Gross proceeds of the offering are expected to be approximately $22.9 million. The offering is expected to close on or about May 27, 2020 and is subject to certain closing conditions. The Company has granted the Agents (as defined below) an over-allotment option, exercisable for 30 days following the closing date of the offering, to purchase up to an additional 15% of the number of Class A Shares and Preferred Shares issued at the closing of the offering.

The Class A Shares were offered at a price of $8.00 per Class A Share for a distribution rate of 15.0% on the issue price, and the Preferred Shares were offered at a price of $9.60 per Preferred Share for a yield to maturity of 7.1%.(1) The Class A Share and Preferred Share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (calculated as at May 15, 2020), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

The Company invests in a portfolio (the “Portfolio”) consisting of common shares of the six largest Canadian banks: Royal Bank of Canada, The Bank of Nova Scotia, National Bank of Canada, The Toronto-Dominion Bank, Canadian Imperial Bank of Commerce and Bank of Montreal. In addition, the Company may hold up to 10% of the total assets of the Portfolio in investments in global financial companies for the purpose of enhanced diversification and return potential.

The syndicate of agents for the offering was led by RBC Capital Markets, CIBC Capital Markets, National Bank Financial Inc. and Scotiabank and includes BMO Capital Markets, TD Securities Inc., Canaccord Genuity Corp., Stifel Nicolaus Canada Inc., Raymond James Ltd., Echelon Wealth Partners Inc., Hampton Securities Limited, Industrial Alliance Securities Inc., Desjardins Securities Inc., and Mackie Research Capital Corporation.

The NAVPU on May 20 was 16.49, indicated a premium on this offering of 6.7% … not a bad business, when it works!