Archive for the ‘Market Action’ Category

August 12, 2020

Wednesday, August 12th, 2020

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.79%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 455bp from the 450bp reported August 5. We remain above 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 2.2286 % 1,608.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2286 % 2,950.9
Floater 5.19 % 5.26 % 63,074 15.01 3 2.2286 % 1,700.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,509.1
SplitShare 4.65 % 4.32 % 40,924 3.26 8 0.0839 % 4,190.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,269.7
Perpetual-Premium 5.56 % 4.69 % 83,081 4.03 4 -0.0694 % 3,094.8
Perpetual-Discount 5.45 % 5.65 % 77,608 14.39 31 -0.1099 % 3,348.6
FixedReset Disc 5.64 % 4.35 % 115,360 16.08 67 0.2327 % 2,029.5
Deemed-Retractible 5.23 % 5.33 % 90,489 14.57 27 -0.0095 % 3,284.4
FloatingReset 2.90 % 2.23 % 42,810 1.45 3 0.0451 % 1,771.7
FixedReset Prem 5.28 % 4.42 % 229,428 0.92 11 -0.1044 % 2,604.6
FixedReset Bank Non 1.95 % 2.39 % 105,673 1.44 2 0.0000 % 2,839.4
FixedReset Ins Non 5.79 % 4.55 % 97,982 15.87 22 -0.0399 % 2,057.7
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
CM.PR.Q FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.80
Evaluated at bid price : 8.80
Bid-YTW : 5.38 %
TRP.PR.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.42 %
RY.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 3.96 %
BAM.PF.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BIP.PR.D FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 5.76 %
CM.PR.S FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.11 %
TD.PF.K FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.15 %
BAM.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 5.08 %
BAM.PR.C Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.23
Evaluated at bid price : 8.23
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 5.26 %
BAM.PF.J FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 23.08
Evaluated at bid price : 24.00
Bid-YTW : 4.96 %
BAM.PR.B Floater 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.29
Evaluated at bid price : 8.29
Bid-YTW : 5.24 %
SLF.PR.G FixedReset Ins Non 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.33 %
GWO.PR.N FixedReset Ins Non 4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 57,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
BAM.PF.B FixedReset Disc 56,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.45 %
RY.PR.Q FixedReset Prem 37,293 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.16 %
BAM.PF.G FixedReset Disc 35,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BMO.PR.E FixedReset Disc 32,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.16 %
MFC.PR.G FixedReset Ins Non 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Ins Non Quote: 9.97 – 13.00
Spot Rate : 3.0300
Average : 1.8259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.18 %

EIT.PR.A SplitShare Quote: 25.61 – 27.00
Spot Rate : 1.3900
Average : 0.9979

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.32 %

BAM.PR.R FixedReset Disc Quote: 12.12 – 13.21
Spot Rate : 1.0900
Average : 0.7021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.55 %

CM.PR.Q FixedReset Disc Quote: 17.80 – 18.45
Spot Rate : 0.6500
Average : 0.4381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.42 %

TD.PF.J FixedReset Disc Quote: 18.50 – 19.99
Spot Rate : 1.4900
Average : 1.3241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %

MFC.PR.I FixedReset Ins Non Quote: 18.35 – 18.90
Spot Rate : 0.5500
Average : 0.3864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %

August 11, 2020

Tuesday, August 11th, 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 0.6647 % 1,573.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6647 % 2,886.6
Floater 5.31 % 5.37 % 60,757 14.82 3 0.6647 % 1,663.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,506.2
SplitShare 4.66 % 4.53 % 42,521 3.26 8 0.0395 % 4,187.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,267.0
Perpetual-Premium 5.55 % 4.70 % 81,581 4.03 4 -0.0297 % 3,097.0
Perpetual-Discount 5.45 % 5.64 % 80,207 14.42 31 0.1251 % 3,352.3
FixedReset Disc 5.66 % 4.38 % 115,740 16.02 67 0.5267 % 2,024.8
Deemed-Retractible 5.22 % 5.33 % 89,500 14.58 27 -0.0379 % 3,284.7
FloatingReset 2.90 % 2.23 % 44,355 1.45 3 0.3850 % 1,770.9
FixedReset Prem 5.27 % 4.42 % 232,635 0.92 11 -0.0540 % 2,607.3
FixedReset Bank Non 1.95 % 2.39 % 106,942 1.45 2 -0.0605 % 2,839.4
FixedReset Ins Non 5.79 % 4.51 % 92,328 15.93 22 0.2162 % 2,058.5
Performance Highlights
Issue Index Change Notes
BIK.PR.A FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.11
Evaluated at bid price : 24.50
Bid-YTW : 5.99 %
NA.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.40 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 5.36 %
IAF.PR.I FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.35 %
MFC.PR.K FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 4.55 %
CU.PR.I FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.39 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.46 %
GWO.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.34 %
NA.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.53 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 4.95 %
BAM.PF.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 24.13
Evaluated at bid price : 24.80
Bid-YTW : 5.07 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 5.06 %
CM.PR.O FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
SLF.PR.I FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.46 %
CM.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.16 %
BAM.PF.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.41 %
BMO.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.28 %
NA.PR.S FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.41 %
TRP.PR.F FloatingReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.10 %
MFC.PR.H FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 4.51 %
BIP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.01 %
TRP.PR.C FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.15 %
CM.PR.P FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.29 %
PWF.PR.P FixedReset Disc 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset Ins Non 245,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.32
Evaluated at bid price : 23.73
Bid-YTW : 4.48 %
GWO.PR.N FixedReset Ins Non 79,519 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PF.B FixedReset Disc 52,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 5.45 %
CM.PR.O FixedReset Disc 48,734 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
CM.PR.Y FixedReset Disc 43,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 22.79
Evaluated at bid price : 23.85
Bid-YTW : 4.38 %
TD.PF.K FixedReset Disc 42,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.21 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 18.55 – 20.04
Spot Rate : 1.4900
Average : 1.1423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.44 %

TD.PF.K FixedReset Disc Quote: 19.25 – 19.85
Spot Rate : 0.6000
Average : 0.3507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.21 %

CM.PR.Y FixedReset Disc Quote: 23.85 – 24.45
Spot Rate : 0.6000
Average : 0.4251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 22.79
Evaluated at bid price : 23.85
Bid-YTW : 4.38 %

NA.PR.G FixedReset Disc Quote: 19.51 – 19.95
Spot Rate : 0.4400
Average : 0.2695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.40 %

IFC.PR.C FixedReset Ins Non Quote: 16.15 – 16.80
Spot Rate : 0.6500
Average : 0.5353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.72 %

NA.PR.E FixedReset Disc Quote: 18.30 – 18.69
Spot Rate : 0.3900
Average : 0.2923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.33 %

August 7, 2020

Friday, August 7th, 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 -0.1228 % 1,584.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1228 % 2,908.1
Floater 5.27 % 5.33 % 56,817 14.90 3 -0.1228 % 1,675.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,493.6
SplitShare 4.67 % 4.63 % 44,656 3.27 8 0.0644 % 4,172.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,255.2
Perpetual-Premium 5.56 % 4.71 % 78,918 4.05 4 0.2488 % 3,094.2
Perpetual-Discount 5.47 % 5.66 % 75,251 14.39 31 0.2019 % 3,336.2
FixedReset Disc 5.71 % 4.37 % 136,766 16.05 67 0.4336 % 2,005.7
Deemed-Retractible 5.23 % 5.30 % 90,436 14.56 27 0.1932 % 3,282.5
FloatingReset 2.94 % 2.08 % 37,989 1.46 3 0.5708 % 1,759.8
FixedReset Prem 5.28 % 4.40 % 230,024 0.99 11 -0.0612 % 2,604.6
FixedReset Bank Non 1.95 % 2.24 % 106,800 1.46 2 0.0202 % 2,837.2
FixedReset Ins Non 5.79 % 4.53 % 94,376 16.08 22 0.2939 % 2,057.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 4.68 %
NA.PR.S FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.52 %
IFC.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.54 %
PWF.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
BMO.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.31 %
IAF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.28 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.36 %
TRP.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.35 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %
GWO.PR.Q Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 23.20
Evaluated at bid price : 23.45
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.48 %
CM.PR.Q FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.40 %
MFC.PR.J FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.53 %
NA.PR.W FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.36 %
BAM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 5.35 %
MFC.PR.F FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.49 %
BAM.PF.D Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.21
Evaluated at bid price : 22.21
Bid-YTW : 5.59 %
SLF.PR.J FloatingReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.34 %
BAM.PR.T FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.33 %
MFC.PR.L FixedReset Ins Non 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.65 %
BAM.PR.X FixedReset Disc 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
BMO.PR.F FixedReset Disc 14.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.85
Evaluated at bid price : 23.95
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.C Deemed-Retractible 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.30 %
SLF.PR.B Deemed-Retractible 53,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 5.27 %
CU.PR.C FixedReset Disc 49,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 4.50 %
CU.PR.I FixedReset Disc 35,686 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.54 %
SLF.PR.D Deemed-Retractible 34,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.28 %
BAM.PR.X FixedReset Disc 33,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
There were 15 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: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.6464

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.65 %

MFC.PR.K FixedReset Ins Non Quote: 16.20 – 16.95
Spot Rate : 0.7500
Average : 0.4532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.46 %

TD.PF.I FixedReset Disc Quote: 20.98 – 21.70
Spot Rate : 0.7200
Average : 0.5137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.14 %

MFC.PR.M FixedReset Ins Non Quote: 16.12 – 16.67
Spot Rate : 0.5500
Average : 0.3748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %

MFC.PR.H FixedReset Ins Non Quote: 19.62 – 20.18
Spot Rate : 0.5600
Average : 0.3907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.55 %

RY.PR.S FixedReset Disc Quote: 18.85 – 19.25
Spot Rate : 0.4000
Average : 0.2708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.08 %

August 6, 2020

Thursday, August 6th, 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 -0.0818 % 1,586.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0818 % 2,911.6
Floater 5.26 % 5.33 % 56,655 14.91 3 -0.0818 % 1,678.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,491.3
SplitShare 4.68 % 4.72 % 46,168 3.27 8 0.1340 % 4,169.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,253.1
Perpetual-Premium 5.57 % 4.77 % 79,007 4.05 4 0.0498 % 3,086.5
Perpetual-Discount 5.48 % 5.67 % 77,878 14.38 31 0.0900 % 3,329.5
FixedReset Disc 5.74 % 4.45 % 124,816 16.10 67 0.1344 % 1,997.0
Deemed-Retractible 5.24 % 5.33 % 91,572 14.55 27 0.1570 % 3,276.1
FloatingReset 2.96 % 2.35 % 35,156 1.46 3 -0.8601 % 1,749.8
FixedReset Prem 5.27 % 4.36 % 237,736 0.94 11 0.1371 % 2,606.2
FixedReset Bank Non 1.95 % 2.46 % 107,983 1.46 2 0.3038 % 2,836.6
FixedReset Ins Non 5.80 % 4.53 % 94,028 16.02 22 0.4779 % 2,051.6
Performance Highlights
Issue Index Change Notes
BMO.PR.F FixedReset Disc -12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.87 %
SLF.PR.J FloatingReset -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.43 %
MFC.PR.L FixedReset Ins Non -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.81 %
SLF.PR.G FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.33 %
IFC.PR.C FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 4.67 %
BAM.PF.D Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.67 %
BAM.PR.R FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.42 %
TD.PF.D FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 4.23 %
CM.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 22.14
Evaluated at bid price : 22.63
Bid-YTW : 4.33 %
TRP.PR.K FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 23.44
Evaluated at bid price : 23.80
Bid-YTW : 5.22 %
PWF.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.62 %
IAF.PR.B Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.33 %
MFC.PR.K FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.46 %
RY.PR.H FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 4.06 %
BMO.PR.D FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.12 %
BAM.PF.H FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 23.76
Evaluated at bid price : 24.52
Bid-YTW : 5.12 %
RY.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.08 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.41 %
TRP.PR.A FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.35 %
CM.PR.Q FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.19 %
PWF.PR.P FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.82 %
RY.PR.M FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.97 %
SLF.PR.I FixedReset Ins Non 13.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.F FloatingReset 120,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 2.35 %
BAM.PR.X FixedReset Disc 95,797 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 5.36 %
IAF.PR.I FixedReset Ins Non 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.33 %
RY.PR.M FixedReset Disc 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.97 %
BMO.PR.D FixedReset Disc 54,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.12 %
CM.PR.R FixedReset Disc 50,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.37 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.F FixedReset Disc Quote: 21.00 – 24.06
Spot Rate : 3.0600
Average : 1.6991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.87 %

CU.PR.H Perpetual-Premium Quote: 24.90 – 25.68
Spot Rate : 0.7800
Average : 0.4605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 24.60
Evaluated at bid price : 24.90
Bid-YTW : 5.26 %

NA.PR.W FixedReset Disc Quote: 16.25 – 16.99
Spot Rate : 0.7400
Average : 0.4945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.42 %

TRP.PR.F FloatingReset Quote: 10.10 – 10.91
Spot Rate : 0.8100
Average : 0.5832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 5.23 %

GWO.PR.R Deemed-Retractible Quote: 21.95 – 22.49
Spot Rate : 0.5400
Average : 0.3179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.58
Evaluated at bid price : 21.95
Bid-YTW : 5.52 %

BAM.PF.D Perpetual-Discount Quote: 21.91 – 22.50
Spot Rate : 0.5900
Average : 0.3994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.67 %

August 5, 2020

Wednesday, August 5th, 2020

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 450bp, the same as the 450bp reported July 29. We remain slightly above 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 -0.3666 % 1,588.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3666 % 2,914.0
Floater 5.26 % 5.32 % 58,631 14.92 3 -0.3666 % 1,679.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,486.6
SplitShare 4.68 % 4.72 % 45,775 3.27 8 0.0099 % 4,163.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,248.8
Perpetual-Premium 5.58 % 4.87 % 81,918 4.05 4 0.2468 % 3,085.0
Perpetual-Discount 5.49 % 5.66 % 75,407 14.38 31 0.1622 % 3,326.5
FixedReset Disc 5.74 % 4.44 % 120,506 16.11 67 0.4148 % 1,994.3
Deemed-Retractible 5.25 % 5.34 % 92,274 14.53 27 0.0730 % 3,271.0
FloatingReset 2.93 % 2.35 % 32,537 1.47 3 0.3863 % 1,765.0
FixedReset Prem 5.28 % 4.39 % 239,728 1.00 11 0.0722 % 2,602.6
FixedReset Bank Non 1.96 % 2.54 % 112,192 1.46 2 0.1217 % 2,828.0
FixedReset Ins Non 5.83 % 4.54 % 97,581 15.73 22 -0.4836 % 2,041.8
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset Ins Non -13.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %
PWF.PR.P FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.92 %
IFC.PR.A FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %
RY.PR.S FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.13 %
CM.PR.Q FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.54 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.20 %
CCS.PR.C Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 5.61 %
POW.PR.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.02 %
PWF.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
IFC.PR.C FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.22 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.52 %
CU.PR.I FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 24.14
Evaluated at bid price : 24.85
Bid-YTW : 4.49 %
BMO.PR.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.21 %
TRP.PR.G FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.44 %
BAM.PR.R FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
TRP.PR.B FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 17.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 204,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 80,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
TD.PF.H FixedReset Prem 41,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.85
Evaluated at bid price : 25.05
Bid-YTW : 4.39 %
RY.PR.Q FixedReset Prem 33,842 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.11 %
BMO.PR.B FixedReset Prem 27,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.75
Evaluated at bid price : 25.10
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc 23,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.50 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 15.50 – 18.26
Spot Rate : 2.7600
Average : 1.6030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %

BAM.PR.R FixedReset Disc Quote: 12.45 – 13.27
Spot Rate : 0.8200
Average : 0.5967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %

RY.PR.H FixedReset Disc Quote: 17.01 – 17.43
Spot Rate : 0.4200
Average : 0.2639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.11 %

TRP.PR.A FixedReset Disc Quote: 11.98 – 12.54
Spot Rate : 0.5600
Average : 0.4165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 5.43 %

TRP.PR.C FixedReset Disc Quote: 8.53 – 9.25
Spot Rate : 0.7200
Average : 0.5791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %

IFC.PR.A FixedReset Ins Non Quote: 12.21 – 12.90
Spot Rate : 0.6900
Average : 0.5583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %

August 4, 2020

Tuesday, August 4th, 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 0.0408 % 1,593.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0408 % 2,924.7
Floater 5.24 % 5.30 % 58,226 14.97 3 0.0408 % 1,685.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,486.3
SplitShare 4.68 % 4.69 % 46,341 3.27 8 0.1292 % 4,163.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,248.4
Perpetual-Premium 5.57 % 4.84 % 78,560 4.05 4 0.0498 % 3,077.4
Perpetual-Discount 5.49 % 5.66 % 74,278 14.39 31 0.2024 % 3,321.1
FixedReset Disc 5.76 % 4.46 % 139,046 16.03 67 -0.2536 % 1,986.1
Deemed-Retractible 5.25 % 5.34 % 93,252 14.53 27 0.0746 % 3,268.6
FloatingReset 2.94 % 2.46 % 33,863 1.47 3 -0.1361 % 1,758.2
FixedReset Prem 5.28 % 4.40 % 245,340 1.02 11 0.1084 % 2,600.8
FixedReset Bank Non 1.96 % 2.56 % 113,146 1.46 2 0.2032 % 2,824.6
FixedReset Ins Non 5.80 % 4.53 % 98,879 16.02 22 0.1525 % 2,051.8
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -15.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.50 %
TD.PF.I FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.12 %
BIP.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.28 %
CM.PR.T FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 21.98
Evaluated at bid price : 22.40
Bid-YTW : 4.38 %
TRP.PR.G FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.55 %
TD.PF.K FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.27 %
MFC.PR.N FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.64 %
BMO.PR.F FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 22.78
Evaluated at bid price : 23.80
Bid-YTW : 4.21 %
BMO.PR.W FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 4.21 %
IFC.PR.A FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.50 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 23.22
Evaluated at bid price : 23.59
Bid-YTW : 5.27 %
SLF.PR.H FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 4.46 %
TRP.PR.A FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.41 %
CU.PR.C FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 4.50 %
MFC.PR.F FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 9.81
Evaluated at bid price : 9.81
Bid-YTW : 4.50 %
BAM.PF.J FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
BMO.PR.Y FixedReset Disc 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.18 %
TD.PF.D FixedReset Disc 5.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.P FixedReset Disc 103,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.43 %
W.PR.M FixedReset Disc 66,055 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 24.03
Evaluated at bid price : 24.45
Bid-YTW : 5.35 %
NA.PR.X FixedReset Prem 62,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.85 %
CU.PR.C FixedReset Disc 51,549 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 4.50 %
BAM.PF.B FixedReset Disc 44,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.53 %
BMO.PR.E FixedReset Disc 39,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.29 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.25 – 25.00
Spot Rate : 6.7500
Average : 3.6124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.47 %

RY.PR.M FixedReset Disc Quote: 15.32 – 18.50
Spot Rate : 3.1800
Average : 2.3424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.80 %

EIT.PR.B SplitShare Quote: 25.30 – 26.30
Spot Rate : 1.0000
Average : 0.6217

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.69 %

MFC.PR.N FixedReset Ins Non Quote: 15.71 – 17.00
Spot Rate : 1.2900
Average : 0.9471

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.64 %

EIT.PR.A SplitShare Quote: 25.22 – 26.00
Spot Rate : 0.7800
Average : 0.5514

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.76 %

MFC.PR.J FixedReset Ins Non Quote: 17.55 – 19.17
Spot Rate : 1.6200
Average : 1.4221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.60 %

July 31, 2020

Friday, July 31st, 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 -0.9685 % 1,593.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9685 % 2,923.5
Floater 5.24 % 5.29 % 58,829 14.98 3 -0.9685 % 1,684.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1763 % 3,481.8
SplitShare 4.83 % 4.77 % 53,253 3.73 7 0.1763 % 4,158.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1763 % 3,244.2
Perpetual-Premium 5.19 % 4.90 % 78,366 4.06 1 -0.0395 % 3,075.9
Perpetual-Discount 5.51 % 5.65 % 74,588 14.35 35 0.1888 % 3,314.4
FixedReset Disc 5.68 % 4.48 % 153,376 15.97 75 0.0656 % 1,991.1
Deemed-Retractible 5.25 % 5.32 % 94,629 14.50 27 0.1814 % 3,266.2
FloatingReset 2.37 % 2.74 % 35,244 1.48 4 -0.1415 % 1,760.6
FixedReset Prem 5.45 % 4.08 % 349,011 1.04 3 -0.1055 % 2,597.9
FixedReset Bank Non 1.97 % 2.56 % 117,468 1.48 2 -0.3781 % 2,818.8
FixedReset Ins Non 5.81 % 4.59 % 97,922 15.92 22 0.3949 % 2,048.6
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc -5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.49 %
BMO.PR.Y FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.47 %
SLF.PR.G FixedReset Ins Non -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 4.28 %
TRP.PR.B FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.19 %
BNS.PR.I FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.05 %
BAM.PF.J FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 5.31 %
CU.PR.C FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.63 %
PWF.PR.P FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.87 %
BIP.PR.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.33 %
BAM.PR.B Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 5.29 %
BAM.PR.C Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.19
Evaluated at bid price : 8.19
Bid-YTW : 5.29 %
IFC.PR.I Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 24.34
Evaluated at bid price : 24.73
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 4.20 %
IFC.PR.E Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 23.81
Evaluated at bid price : 24.26
Bid-YTW : 5.40 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.56 %
BMO.PR.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.17 %
IFC.PR.A FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.61 %
BIK.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 23.11
Evaluated at bid price : 24.51
Bid-YTW : 5.98 %
IAF.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.53 %
TD.PF.I FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 4.09 %
IFC.PR.F Deemed-Retractible 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 24.04
Evaluated at bid price : 24.50
Bid-YTW : 5.45 %
ELF.PR.G Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.49 %
TRP.PR.E FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.46 %
SLF.PR.I FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.39 %
TRP.PR.C FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.44 %
RY.PR.M FixedReset Disc 18.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 135,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.10 %
TD.PF.K FixedReset Disc 47,221 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.25 %
CM.PR.Q FixedReset Disc 44,909 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.52 %
CM.PR.R FixedReset Disc 38,036 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.40 %
TRP.PR.E FixedReset Disc 31,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.46 %
RY.PR.F Deemed-Retractible 26,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-30
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : -0.57 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 14.90 – 18.50
Spot Rate : 3.6000
Average : 2.0928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.72 %

TD.PF.E FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.4954

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.49 %

TD.PF.D FixedReset Disc Quote: 17.70 – 19.10
Spot Rate : 1.4000
Average : 0.8838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.45 %

MFC.PR.J FixedReset Ins Non Quote: 17.50 – 19.17
Spot Rate : 1.6700
Average : 1.2052

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.65 %

MFC.PR.G FixedReset Ins Non Quote: 18.15 – 19.17
Spot Rate : 1.0200
Average : 0.6159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.59 %

BMO.PR.Y FixedReset Disc Quote: 17.10 – 18.10
Spot Rate : 1.0000
Average : 0.6301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.47 %

July 30, 2020

Thursday, July 30th, 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 -0.8403 % 1,608.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8403 % 2,952.1
Floater 5.19 % 5.23 % 58,923 15.08 3 -0.8403 % 1,701.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,475.7
SplitShare 4.83 % 4.87 % 54,074 3.74 7 -0.0512 % 4,150.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,238.5
Perpetual-Premium 5.19 % 4.89 % 74,795 4.06 1 -0.0395 % 3,077.1
Perpetual-Discount 5.52 % 5.67 % 77,288 14.37 35 0.1324 % 3,308.2
FixedReset Disc 5.69 % 4.45 % 148,515 15.90 75 -0.3223 % 1,989.8
Deemed-Retractible 5.26 % 5.33 % 94,708 14.50 27 0.1482 % 3,260.3
FloatingReset 2.37 % 2.55 % 35,798 1.48 4 -0.0146 % 1,763.1
FixedReset Prem 5.44 % 4.11 % 353,903 1.04 3 -0.5249 % 2,600.7
FixedReset Bank Non 1.95 % 2.48 % 118,788 1.48 2 -0.3823 % 2,829.5
FixedReset Ins Non 5.84 % 4.63 % 96,549 15.90 22 0.9574 % 2,040.6
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.22 %
TRP.PR.D FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.62 %
PWF.PR.T FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.74 %
BAM.PR.C Floater -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.28
Evaluated at bid price : 8.28
Bid-YTW : 5.23 %
BAM.PF.B FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.55 %
BIP.PR.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.99 %
TRP.PR.A FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.53 %
TD.PF.I FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.16 %
BIK.PR.A FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.98
Evaluated at bid price : 24.21
Bid-YTW : 6.06 %
CU.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.54 %
TRP.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 5.61 %
TD.PF.G FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %
W.PR.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %
BAM.PR.X FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 5.43 %
TD.PF.L FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
ELF.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.60 %
CCS.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 5.60 %
W.PR.M FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.98
Evaluated at bid price : 24.41
Bid-YTW : 5.35 %
IAF.PR.I FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.41 %
SLF.PR.H FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.57 %
SLF.PR.I FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.53 %
MFC.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 5.29 %
SLF.PR.G FixedReset Ins Non 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.13 %
PWF.PR.Z Perpetual-Discount 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.51
Evaluated at bid price : 22.80
Bid-YTW : 5.67 %
MFC.PR.I FixedReset Ins Non 19.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 118,782 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.46 %
NA.PR.C FixedReset Disc 81,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.40 %
RY.PR.Q FixedReset Disc 78,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.28 %
TD.PF.M FixedReset Disc 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.02
Evaluated at bid price : 24.40
Bid-YTW : 4.17 %
TD.PF.K FixedReset Disc 57,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.25 %
TD.PF.L FixedReset Disc 49,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
There were 27 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: 15.32 – 18.50
Spot Rate : 3.1800
Average : 2.5467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %

W.PR.K FixedReset Disc Quote: 24.35 – 24.94
Spot Rate : 0.5900
Average : 0.4161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %

CU.PR.I FixedReset Disc Quote: 24.80 – 25.45
Spot Rate : 0.6500
Average : 0.4783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.08
Evaluated at bid price : 24.80
Bid-YTW : 4.56 %

IFC.PR.C FixedReset Ins Non Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.8285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.63 %

TD.PF.G FixedReset Prem Quote: 25.06 – 25.51
Spot Rate : 0.4500
Average : 0.2817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %

PVS.PR.G SplitShare Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.8617

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.08 %

July 29, 2020

Thursday, July 30th, 2020

There were no real surprises in the FOMC statement:

The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals.

The coronavirus outbreak is causing tremendous human and economic hardship across the United States and around the world. Following sharp declines, economic activity and employment have picked up somewhat in recent months but remain well below their levels at the beginning of the year. Weaker demand and significantly lower oil prices are holding down consumer price inflation. Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.

The path of the economy will depend significantly on the course of the virus. The ongoing public health crisis will weigh heavily on economic activity, employment, and inflation in the near term, and poses considerable risks to the economic outlook over the medium term. In light of these developments, the Committee decided to maintain the target range for the federal funds rate at 0 to 1/4 percent. The Committee expects to maintain this target range until it is confident that the economy has weathered recent events and is on track to achieve its maximum employment and price stability goals.

The Committee will continue to monitor the implications of incoming information for the economic outlook, including information related to public health, as well as global developments and muted inflation pressures, and will use its tools and act as appropriate to support the economy. In determining the timing and size of future adjustments to the stance of monetary policy, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

To support the flow of credit to households and businesses, over coming months the Federal Reserve will increase its holdings of Treasury securities and agency residential and commercial mortgage-backed securities at least at the current pace to sustain smooth market functioning, thereby fostering effective transmission of monetary policy to broader financial conditions. In addition, the Open Market Desk will continue to offer large-scale overnight and term repurchase agreement operations. The Committee will closely monitor developments and is prepared to adjust its plans as appropriate.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; Richard H. Clarida; Patrick Harker; Robert S. Kaplan; Neel Kashkari; Loretta J. Mester; and Randal K. Quarles.

Powell’s a bit nervous:

“The path forward for the economy is extraordinarily uncertain and will depend in large part on our success in keeping the virus in check,” Mr. Powell said at a news conference following the Fed’s two-day meeting, noting that infections have surged since late June and the “pace of recovery looks like it has slowed.”

Mr. Powell said policymakers needed more data before drawing firm conclusions about the scope of the pullback, but he noted that debit and credit card spending were slowing and labor market indicators suggested that recent job gains might be weakening. More than 14 million people who held jobs in February are no longer employed, Mr. Powell said, warning that it will take a while for workers in certain industries, like restaurants, hotels and travel, to find new jobs.

“There’s probably going to be a long tail where a large number of people are struggling to get back to work,” he said, adding that the Fed was “not even thinking about thinking about thinking about” raising rates.

While the Fed took no major actions on Wednesday, Mr. Powell’s comments underlined both the peril ahead for American workers and the reality that interest rates are likely to be very low — making money cheap to borrow — for an extended period of time. Stock prices climbed following his remarks as investors took heart in the Fed’s patient stance.

Meanwhile US stimulus talks are going nowhere:

The prospects for a quick agreement between the Trump administration and congressional Democrats on a new round of aid for the ailing economy faded on Wednesday, as President Trump undercut his own party’s efforts to negotiate a deal and a top White House official declared that a lifeline to unemployed workers would run out as scheduled at week’s end.

With negotiations barely started to find a middle ground between Republicans’ $1 trillion plan and Democrats’ $3 trillion package, Mr. Trump poured cold water on the entire enterprise, saying that he would prefer a bare-bones package that would send “payments to the people” and protect them from being evicted.

“The rest of it, we’re so far apart, we don’t care,” Mr. Trump said before leaving the White House for an event in Texas. “We really don’t care.”

The breakdown reflects a predicament for Republicans that has placed Mr. Trump in a difficult negotiating position. After the enactment of nearly $3 trillion in pandemic-related stimulus in the spring, many Senate Republicans are opposed to additional deficit spending to fuel the economy, meaning that any agreement would need to attract significant support from Democrats to clear Congress.

As previously noted, monetary and fiscal policy should work in tandem, but loose monetary policy helps the rich get richer, while loose fiscal policy makes them poorer. So guess what policy mix is favoured by those who run the country!

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 450bp from the 445bp reported July 22. We are now slightly above 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 -2.5731 % 1,622.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5731 % 2,977.2
Floater 5.15 % 5.13 % 61,069 15.27 3 -2.5731 % 1,715.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1362 % 3,477.5
SplitShare 4.83 % 4.86 % 56,186 3.74 7 -0.1362 % 4,152.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1362 % 3,240.2
Perpetual-Premium 5.18 % 4.87 % 75,705 4.07 1 -0.1183 % 3,078.3
Perpetual-Discount 5.53 % 5.65 % 79,716 14.36 35 0.0564 % 3,303.8
FixedReset Disc 5.67 % 4.41 % 148,555 15.88 75 0.3023 % 1,996.3
Deemed-Retractible 5.27 % 5.39 % 95,255 14.48 27 -0.0414 % 3,255.4
FloatingReset 2.37 % 2.54 % 35,968 1.48 4 0.6742 % 1,763.3
FixedReset Prem 5.41 % 3.63 % 349,531 0.96 3 0.5012 % 2,614.4
FixedReset Bank Non 1.95 % 2.05 % 102,364 1.48 2 0.1209 % 2,840.4
FixedReset Ins Non 5.89 % 4.63 % 96,998 15.53 22 -0.5395 % 2,021.2
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -16.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %
MFC.PR.I FixedReset Ins Non -15.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %
BAM.PR.K Floater -5.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 8.03
Evaluated at bid price : 8.03
Bid-YTW : 5.40 %
PWF.PR.Z Perpetual-Discount -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.70
Evaluated at bid price : 22.00
Bid-YTW : 5.87 %
W.PR.M FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.63
Evaluated at bid price : 24.10
Bid-YTW : 5.42 %
SLF.PR.H FixedReset Ins Non -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 4.63 %
MFC.PR.C Deemed-Retractible -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.39 %
BAM.PR.B Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 8.51
Evaluated at bid price : 8.51
Bid-YTW : 5.09 %
BIP.PR.C FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.71
Evaluated at bid price : 23.20
Bid-YTW : 5.81 %
PVS.PR.G SplitShare -1.15 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.15 %
W.PR.K FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.95
Evaluated at bid price : 24.63
Bid-YTW : 5.34 %
TD.PF.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.26 %
TD.PF.H FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.35 %
CU.PR.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 24.01
Evaluated at bid price : 24.75
Bid-YTW : 4.57 %
BAM.PF.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.51
Evaluated at bid price : 24.30
Bid-YTW : 5.16 %
CM.PR.Y FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.96
Evaluated at bid price : 24.25
Bid-YTW : 4.28 %
CU.PR.E Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.30
Evaluated at bid price : 23.60
Bid-YTW : 5.26 %
TRP.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 8.48
Evaluated at bid price : 8.48
Bid-YTW : 5.60 %
ELF.PR.H Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 24.07
Evaluated at bid price : 24.36
Bid-YTW : 5.68 %
CM.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.32 %
BMO.PR.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.50
Evaluated at bid price : 22.85
Bid-YTW : 4.14 %
SLF.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.61 %
BNS.PR.H FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.05 %
BAM.PF.J FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.53
Evaluated at bid price : 23.03
Bid-YTW : 5.19 %
BIK.PR.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.14
Evaluated at bid price : 24.60
Bid-YTW : 5.95 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.48 %
BMO.PR.F FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.00
Evaluated at bid price : 24.30
Bid-YTW : 4.20 %
PVS.PR.H SplitShare 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 5.05 %
TRP.PR.D FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.49 %
MFC.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.64 %
BAM.PF.B FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 5.45 %
TRP.PR.E FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.53 %
BAM.PF.I FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.00
Evaluated at bid price : 23.40
Bid-YTW : 5.16 %
PWF.PR.T FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.63 %
TRP.PR.A FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 5.43 %
TD.PF.J FixedReset Disc 4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.13 %
TRP.PR.F FloatingReset 5.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.W Perpetual-Discount 111,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.91 %
TD.PF.M FixedReset Disc 73,614 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.94
Evaluated at bid price : 24.20
Bid-YTW : 4.22 %
CM.PR.R FixedReset Disc 69,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.41 %
BNS.PR.H FixedReset Disc 66,929 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.05 %
GWO.PR.H Deemed-Retractible 61,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.59 %
TRP.PR.D FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.49 %
There were 42 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: 15.32 – 18.50
Spot Rate : 3.1800
Average : 1.8523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 18.44
Spot Rate : 3.0400
Average : 1.9364

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %

IFC.PR.E Deemed-Retractible Quote: 23.99 – 25.00
Spot Rate : 1.0100
Average : 0.6106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.58
Evaluated at bid price : 23.99
Bid-YTW : 5.46 %

PWF.PR.Z Perpetual-Discount Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.6197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.70
Evaluated at bid price : 22.00
Bid-YTW : 5.87 %

BAM.PF.J FixedReset Disc Quote: 23.03 – 24.00
Spot Rate : 0.9700
Average : 0.6463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.53
Evaluated at bid price : 23.03
Bid-YTW : 5.19 %

TD.PF.C FixedReset Disc Quote: 17.02 – 18.89
Spot Rate : 1.8700
Average : 1.5618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.26 %

July 28, 2020

Tuesday, July 28th, 2020

DBRS finalized the RBC LRCN rating today:

DBRS, Inc. (DBRS Morningstar) assigned a final rating of A (low) with a Stable trend to Royal Bank of Canada’s (RBC or the Bank) NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes (Capital Notes). DBRS Morningstar assigned the rating equal to the Bank’s Intrinsic Assessment of AA less four rating notches, which is consistent with DBRS Morningstar’s standard notching for capital instruments with contingent risks and its ratings for the Bank’s NVCC Preferred Shares. This is one notch below the rating of RBC’s NVCC Subordinated Debt.

On July 28, 2020, RBC issued $1.75 billion of Capital Notes that mature on November 24, 2080, and will have an initial five-year fixed rate of 4.5%. DBRS Morningstar notes that the Capital Notes were granted Tier 1 capital treatment by the Office of the Superintendent of Financial Institutions.

RATING DRIVERS
Given RBC’s high rating level and the current economic environment, an upgrade of the ratings is unlikely. Ratings would be downgraded if there is a prolonged adverse impact of the Coronavirus Disease (COVID-19) pandemic resulting in a sustained deterioration in asset quality, especially due to deficiencies in risk management. Additionally, a sustained weakening of profitability metrics would also result in a downgrade of ratings.

There was something of a peculiar Staff Note published by the Bank of Canada today, Will exchange-traded funds shape the future of bond dealing?, by Rohan Arora, Jean-Sébastien Fontaine, Corey Garriott and Guillaume Ouellet Leblanc:

The rise of exchange-traded funds (ETFs) makes JIT possible in bond markets. ETFs are securities traded on an exchange, just like stocks, that entitle the bearer to a share in a pool of assets (such as stocks or bonds). For example, a fixed-income ETF might entitle its bearers to a share of a pool of 100 bonds. We find that a dealer can use bond ETFs as a warehouse to meet investor demand to buy and sell bonds. Similar to a car maker using JIT production, the dealer can reduce its inventories of “parts” and order them from its “suppliers” through a JIT approach.

Admittedly, ETFs make up only a small share of the Canadian asset management industry. Our analysis shows that ETFs in Canada are not yet used as warehouses to a large extent. But the practice is growing in the United States. These changes to the way dealers handle bonds can transform the market by:

  • improving prices
  • reducing the costs of large trades
  • making it easier for issuers themselves to borrow funds


ETF warehousing is when dealers use bond ETFs to deposit and withdraw—or push and pull—bonds instead of using inventory. Figure 1 compares the ETF warehousing model with the traditional bond dealer model:

  • Typically, a dealer distributes bonds by keeping them in inventory until it finds a client that wants them. If the dealer does not hold bond inventory, it cannot fulfill client orders promptly. As a result, it might lose a trade to another dealer.
  • The ETF warehousing model works differently. Instead of holding individual bonds in inventory, a dealer relies on a pool of bonds held within an ETF—an outside warehouse. Using a JIT approach, the dealer could pull bonds from the ETF to fulfill client orders or push bonds acquired from clients to the ETF.


The 2019 US Securities and Exchange Commission ETF rule, which allows all ETFs to conduct custom exchanges, could make ETF warehousing more common. In addition, bond ETFs may become more willing to engage in custom exchanges as they grow their assets under management

The SEC rule is explained in part with:

Rule 6c-11 will provide certain exemptions from the Act and also impose certain conditions. The conditions include the following:
  • Transparency. Under rule 6c-11, an ETF will be required to provide daily portfolio transparency on its website.
  • Custom basket policies and procedures. An ETF relying on rule 6c-11 will be permitted to use baskets that do not reflect a pro-rata representation of the fund’s portfolio or that differ from the initial basket used in transactions on the same business day (“custom baskets”) if the ETF adopts written policies and procedures setting forth detailed parameters for the construction and acceptance of custom baskets that are in the best interests of the ETF and its shareholders. The rule also will require an ETF to comply with certain recordkeeping requirements.
  • Website disclosure. The rule will require an ETF to disclose certain information on its website, including historical information regarding premiums and discounts and bid-ask spread information. These disclosures are intended to inform investors about the costs of investing in ETFs and the efficiency of an ETF’s arbitrage process.

So what I’m not entirely clear on about all this is: why ETFs? The only reason I can think of is because ETFs are so big … Blackrock Canada has seven corporate bond funds on offer, with a total of about 4.6-billion under management. That’s a lot of inventory and makes it very likely that Blackrock could meet an order for just about anything in any kind of reasonable size.

But there are plenty of other corporate bond portfolios under management in Canada. The Canada Pension Plan, for instance, has $40-billion in credit investments (see the 2020 Annual Report, page 14) or possibly 50.8-billion (see page 67). Why aren’t they doing this, using either extant staff or hiring an ‘overlay’ manager with a mandate to be market neutral, borrowing their short positions from the main fund?

Teachers’ has $93-billion in Fixed Income (see page 11 of the 2019 Annual Report. Where are they at?

When I was with Greydanus Boeckh so many years ago, I used to explain our basic strategy as providing month-to-month liquidity (in Canada bonds) to the dealers, who provided day-to-day liquidity to the market; much to the consternation of the smart guys who would explain to me that it’s impossible to outperform a market. I have predicted – so far unsuccessfully, I think – that US restrictions on proprietary trading by the Big Banks would bring an increase in market making by hedge funds.

Liquidity provision is fundamental to the market and there’s a lot of money to be made. I simply don’t understand why this ‘warehousing’ (I always used a car dealership analogy) concept is considered such a new idea.

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 0.2345 % 1,665.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2345 % 3,055.8
Floater 5.01 % 5.08 % 63,565 15.36 3 0.2345 % 1,761.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1474 % 3,482.2
SplitShare 4.82 % 4.82 % 52,014 3.74 7 -0.1474 % 4,158.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1474 % 3,244.6
Perpetual-Premium 5.18 % 4.84 % 74,008 4.07 1 0.1976 % 3,082.0
Perpetual-Discount 5.53 % 5.67 % 76,747 14.40 35 0.1019 % 3,301.9
FixedReset Disc 5.69 % 4.50 % 150,782 16.02 75 0.0819 % 1,990.3
Deemed-Retractible 5.27 % 5.36 % 94,849 14.49 27 0.1084 % 3,256.8
FloatingReset 2.38 % 2.54 % 37,434 1.49 4 -0.5394 % 1,751.5
FixedReset Prem 5.44 % 4.29 % 346,222 0.96 3 0.1321 % 2,601.4
FixedReset Bank Non 1.95 % 2.19 % 99,536 1.48 2 0.3436 % 2,837.0
FixedReset Ins Non 5.86 % 4.64 % 97,017 15.82 22 0.6626 % 2,032.2
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 8.39
Evaluated at bid price : 8.39
Bid-YTW : 5.66 %
TRP.PR.F FloatingReset -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 9.61
Evaluated at bid price : 9.61
Bid-YTW : 5.50 %
TD.PF.J FixedReset Disc -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.32 %
BAM.PF.I FixedReset Disc -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 22.48
Evaluated at bid price : 22.85
Bid-YTW : 5.29 %
SLF.PR.I FixedReset Ins Non -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.66 %
PWF.PR.T FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.77 %
BAM.PF.J FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 22.35
Evaluated at bid price : 22.75
Bid-YTW : 5.26 %
BIP.PR.A FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.33 %
PVS.PR.H SplitShare -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 5.32 %
TRP.PR.B FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 5.03 %
BAM.PF.H FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 23.23
Evaluated at bid price : 24.05
Bid-YTW : 5.21 %
BIP.PR.D FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.93 %
CCS.PR.C Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.67 %
BMO.PR.D FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.21 %
BAM.PR.N Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.63 %
MFC.PR.G FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.64 %
MFC.PR.F FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 9.76
Evaluated at bid price : 9.76
Bid-YTW : 4.59 %
TD.PF.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.22 %
NA.PR.G FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.40 %
BAM.PF.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.52 %
CM.PR.Q FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.58 %
TD.PF.L FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 22.69
Evaluated at bid price : 23.60
Bid-YTW : 4.10 %
W.PR.M FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 24.40
Evaluated at bid price : 24.75
Bid-YTW : 5.28 %
TD.PF.E FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.19 %
BAM.PR.R FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 5.45 %
EML.PR.A FixedReset Ins Non 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 24.45
Evaluated at bid price : 24.90
Bid-YTW : 5.39 %
BMO.PR.F FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 22.85
Evaluated at bid price : 23.95
Bid-YTW : 4.28 %
MFC.PR.Q FixedReset Ins Non 6.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.60 %
MFC.PR.I FixedReset Ins Non 6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.K FixedReset Disc 112,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.29 %
BNS.PR.F FloatingReset 111,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 2.40 %
PWF.PR.T FixedReset Disc 84,810 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.77 %
BAM.PF.G FixedReset Disc 66,599 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 5.45 %
GWO.PR.T Deemed-Retractible 66,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 23.00
Evaluated at bid price : 23.36
Bid-YTW : 5.56 %
TRP.PR.K FixedReset Disc 56,671 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 23.08
Evaluated at bid price : 23.45
Bid-YTW : 5.29 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 25.20 – 26.89
Spot Rate : 1.6900
Average : 1.0061

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.90 %

BAM.PF.I FixedReset Disc Quote: 22.85 – 24.50
Spot Rate : 1.6500
Average : 1.1778

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 22.48
Evaluated at bid price : 22.85
Bid-YTW : 5.29 %

TD.PF.C FixedReset Disc Quote: 17.20 – 18.89
Spot Rate : 1.6900
Average : 1.2239

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.22 %

SLF.PR.I FixedReset Ins Non Quote: 17.00 – 18.25
Spot Rate : 1.2500
Average : 0.7942

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.66 %

MFC.PR.L FixedReset Ins Non Quote: 14.87 – 15.75
Spot Rate : 0.8800
Average : 0.5384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 4.72 %

TD.PF.J FixedReset Disc Quote: 19.05 – 19.90
Spot Rate : 0.8500
Average : 0.5186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.32 %