Archive for the ‘Market Action’ Category

June 5, 2020

Friday, June 5th, 2020
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TXPR closed at 533.60, up 1.76% on the day. Volume today was 3.04-million, second-highest of the past thirty days, behind only May 7.

CPD closed at 10.67, up 1.72% on the day. Volume was 255,837, highest of the past 30 trading days, ahead of second place May 13.

ZPR closed at 8.31, up 2.21% on the day. Volume of 1,155,356 was highest of the past 30 trading days, more than doubling second-place June 2.

Five-year Canada yields were up 4bp at 0.52% today.

Equities did well:

Stocks on Wall Street shot higher on Friday, with the S&P 500 coming close to recouping all of its losses for 2020 so far, after the federal government reported a surprising pickup in hiring in May.

The S&P 500 rose more than 2 percent. The index is now about 1 percent below where it started the year, and less than 6 percent away from its high point in February.

Another major Wall Street index, the tech-heavy Nasdaq composite, closed just short of a record.

The rally rippled through other markets as well. Oil prices also surged, as did yields on U.S. Treasury bonds, suggesting the job numbers delivered an unexpected jolt of economic optimism to investors.

Oil prices were also strengthened by the expectation that the Organization of the Petroleum Exporting Countries, Russia and other producers will agree on Saturday to extend production cuts through July. These countries originally agreed on April 12 to trim production by a combined 9.7 million barrels a day, or about 10 percent of global supplies in normal times. Production was supposed to begin rising gradually after June.

… and in Canada:

The S&P/TSX Composite Index rose 326.20 points to 15,854.07. Gold stocks were lower, but otherwise gains were widespread across sectors, with energy rallying 7.9%. Financials rose just over 3%.

All this is attributed to jobs, jobs, jobs!

Canada and the United States posted surprise gains in employment for May, a sign the North American economy is beginning to heal from the COVID-19 pandemic.

In Canada, the number of employed people rose by 289,600 last month as provinces began to reopen their economies, Statistics Canada said Friday, or strikingly better than a loss of 500,000 that economists had expected. The unemployment rate climbed to a record high of 13.7 per cent as more people rejoined the labour market in search of work.

The U.S. notched an increase of 2.5 million jobs in May, far different from the median estimate of another 7.5 million positions lost to pandemic shutdowns. The jobless rate fell to 13.3 per cent, the second highest on record, from April’s 14.7 per cent.

Indeed, with May’s increases, Canada has recouped just less than 10 per cent of a combined three million jobs lost in March and April, while the U.S. has recovered 11.4 per cent of 22 million positions lost during those months.

The Canadian job market was jolted on several fronts. Nearly 80 per cent of May’s increase was registered in Quebec, which saw a net gain of 231,000 workers. The province allowed the construction industry to return in mid-April and other restrictions began to ease outside the Montreal area in early May.

Ontario was the only province where employment declined last month, although losses were less severe than in March and April. The first stage of the province’s reopening plan took effect after the Victoria Day weekend.

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 -0.2474 % 1,452.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2474 % 2,665.2
Floater 5.32 % 5.45 % 39,361 14.64 4 -0.2474 % 1,535.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.4580 % 3,468.2
SplitShare 4.84 % 4.77 % 65,777 3.88 7 0.4580 % 4,141.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4580 % 3,231.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5281 % 3,010.9
Perpetual-Discount 5.59 % 5.78 % 78,029 14.12 35 0.5281 % 3,229.5
FixedReset Disc 6.22 % 5.16 % 176,130 14.85 83 1.1496 % 1,832.7
Deemed-Retractible 5.36 % 5.55 % 83,450 14.41 27 0.9671 % 3,189.6
FloatingReset 4.86 % 4.74 % 50,848 16.01 3 2.7939 % 1,791.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 1.1496 % 2,534.6
FixedReset Bank Non 1.98 % 3.47 % 149,456 1.62 2 0.0410 % 2,779.9
FixedReset Ins Non 6.49 % 5.25 % 115,023 14.65 22 1.4174 % 1,837.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -6.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.82 %
BAM.PR.K Floater -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 7.36
Evaluated at bid price : 7.36
Bid-YTW : 5.93 %
IAF.PR.B Deemed-Retractible -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.62 %
BAM.PF.B FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.91 %
TD.PF.E FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 5.25 %
RY.PR.J FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.03 %
BAM.PF.H FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.85
Evaluated at bid price : 24.50
Bid-YTW : 5.16 %
TRP.PR.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 8.33
Evaluated at bid price : 8.33
Bid-YTW : 5.97 %
MFC.PR.N FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.32 %
RY.PR.O Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.17
Evaluated at bid price : 23.61
Bid-YTW : 5.21 %
CU.PR.H Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.77
Evaluated at bid price : 24.05
Bid-YTW : 5.48 %
NA.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 5.25 %
PWF.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.22 %
CM.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.13 %
EIT.PR.A SplitShare 1.01 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.79 %
BNS.PR.H FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.73
Evaluated at bid price : 23.12
Bid-YTW : 5.04 %
IFC.PR.F Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.46
Evaluated at bid price : 23.85
Bid-YTW : 5.64 %
RY.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.53 %
BNS.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.88
Evaluated at bid price : 25.02
Bid-YTW : 5.15 %
SLF.PR.A Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.39 %
BMO.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.40
Evaluated at bid price : 22.75
Bid-YTW : 4.97 %
TD.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.95 %
BMO.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.15 %
BIP.PR.F FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.41 %
BMO.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.13 %
IFC.PR.E Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.41
Evaluated at bid price : 23.80
Bid-YTW : 5.55 %
GWO.PR.T Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.30
Evaluated at bid price : 22.70
Bid-YTW : 5.66 %
BAM.PR.N Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.81 %
CM.PR.Y FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.12 %
IFC.PR.I Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.76
Evaluated at bid price : 24.10
Bid-YTW : 5.74 %
TD.PF.M FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.96 %
PWF.PR.R Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.66
Evaluated at bid price : 23.95
Bid-YTW : 5.81 %
PWF.PR.E Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 5.87 %
TRP.PR.K FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.71
Evaluated at bid price : 23.04
Bid-YTW : 5.34 %
CM.PR.R FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.31 %
TD.PF.I FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.04 %
TRP.PR.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 5.99 %
NA.PR.A FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.05
Evaluated at bid price : 23.55
Bid-YTW : 5.43 %
NA.PR.C FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 5.35 %
IFC.PR.G FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 5.34 %
NA.PR.G FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.16 %
TRP.PR.B FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 7.65
Evaluated at bid price : 7.65
Bid-YTW : 5.54 %
MFC.PR.J FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.19 %
SLF.PR.J FloatingReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 8.80
Evaluated at bid price : 8.80
Bid-YTW : 4.51 %
GWO.PR.R Deemed-Retractible 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.63 %
BMO.PR.Y FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 5.02 %
PWF.PR.K Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.74 %
PWF.PR.Z Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.17
Evaluated at bid price : 22.53
Bid-YTW : 5.78 %
GWO.PR.N FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 9.55
Evaluated at bid price : 9.55
Bid-YTW : 4.52 %
MFC.PR.K FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.19 %
MFC.PR.R FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.17 %
IFC.PR.C FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.55 %
BIP.PR.E FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.28 %
TD.PF.B FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 4.84 %
GWO.PR.F Deemed-Retractible 1.83 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-05
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : -1.44 %
MFC.PR.H FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.34 %
PWF.PR.S Perpetual-Discount 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.74 %
TD.PF.D FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.98 %
GWO.PR.G Deemed-Retractible 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.65 %
RY.PR.Z FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.71 %
GWO.PR.I Deemed-Retractible 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 5.64 %
CM.PR.O FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 5.31 %
BMO.PR.S FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 4.95 %
NA.PR.S FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 5.20 %
IFC.PR.A FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 5.20 %
BMO.PR.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.96 %
SLF.PR.I FixedReset Ins Non 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.18 %
MFC.PR.G FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.27 %
GWO.PR.S Deemed-Retractible 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.69
Evaluated at bid price : 23.07
Bid-YTW : 5.68 %
CM.PR.S FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.05 %
MFC.PR.L FixedReset Ins Non 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 5.20 %
BAM.PR.M Perpetual-Discount 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.84 %
EML.PR.A FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.41
Evaluated at bid price : 24.00
Bid-YTW : 5.71 %
CM.PR.Q FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.42 %
BMO.PR.W FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.90 %
SLF.PR.C Deemed-Retractible 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.31 %
BMO.PR.T FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.91 %
BAM.PF.E FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.75 %
NA.PR.W FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.12 %
SLF.PR.H FixedReset Ins Non 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.10 %
TRP.PR.F FloatingReset 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 5.25 %
MFC.PR.B Deemed-Retractible 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.37 %
BAM.PR.R FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.66 %
TRP.PR.E FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.88 %
BIP.PR.A FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.89
Evaluated at bid price : 14.89
Bid-YTW : 6.69 %
MFC.PR.C Deemed-Retractible 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.32 %
MFC.PR.Q FixedReset Ins Non 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.19 %
HSE.PR.C FixedReset Disc 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 8.88 %
BAM.PR.C Floater 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 7.99
Evaluated at bid price : 7.99
Bid-YTW : 5.45 %
BAM.PF.G FixedReset Disc 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.68 %
BAM.PR.Z FixedReset Disc 3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.64 %
TRP.PR.H FloatingReset 4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 7.69
Evaluated at bid price : 7.69
Bid-YTW : 4.74 %
PWF.PR.P FixedReset Disc 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 5.18 %
HSE.PR.E FixedReset Disc 4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 8.96 %
BAM.PR.X FixedReset Disc 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 10.34
Evaluated at bid price : 10.34
Bid-YTW : 5.61 %
BAM.PF.F FixedReset Disc 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.61 %
TD.PF.A FixedReset Disc 5.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.81 %
HSE.PR.G FixedReset Disc 7.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 8.86 %
HSE.PR.A FixedReset Disc 8.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 7.06
Evaluated at bid price : 7.06
Bid-YTW : 7.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset Disc 145,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 22.71
Evaluated at bid price : 23.04
Bid-YTW : 5.34 %
NA.PR.A FixedReset Disc 98,833 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.05
Evaluated at bid price : 23.55
Bid-YTW : 5.43 %
MFC.PR.Q FixedReset Ins Non 95,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.19 %
NA.PR.C FixedReset Disc 80,288 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 5.35 %
W.PR.M FixedReset Disc 78,790 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 23.70
Evaluated at bid price : 24.81
Bid-YTW : 5.26 %
BMO.PR.E FixedReset Disc 68,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.96 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 12.30 – 15.00
Spot Rate : 2.7000
Average : 1.5579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.66 %

RY.PR.J FixedReset Disc Quote: 15.80 – 17.23
Spot Rate : 1.4300
Average : 0.8087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.03 %

CU.PR.C FixedReset Disc Quote: 15.00 – 16.69
Spot Rate : 1.6900
Average : 1.0834

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.82 %

BAM.PR.K Floater Quote: 7.36 – 8.51
Spot Rate : 1.1500
Average : 0.6664

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 7.36
Evaluated at bid price : 7.36
Bid-YTW : 5.93 %

BAM.PR.B Floater Quote: 7.65 – 8.63
Spot Rate : 0.9800
Average : 0.5540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 7.65
Evaluated at bid price : 7.65
Bid-YTW : 5.70 %

TD.PF.E FixedReset Disc Quote: 15.88 – 17.23
Spot Rate : 1.3500
Average : 0.9428

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-05
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 5.25 %

June 4, 2020

Thursday, June 4th, 2020
rainbow_200604
Click for Big

TXPR closed at 524.36, up 0.80% on the day. Volume today was 2.22-million, a little above average in the context of the past thirty days.

CPD closed at 10.49, up 0.67% on the day. Volume was 75,051, slightly below the average of the past 30 trading days.

ZPR closed at 8.13, up 0.49% on the day. Volume of 455,562 was second-highest of the past 30 trading days, behind only June 2.

Five-year Canada yields were up 3bp at 0.48% today.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.0941 % 1,456.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0941 % 2,671.8
Floater 5.30 % 5.63 % 37,244 14.37 4 1.0941 % 1,539.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2123 % 3,452.3
SplitShare 4.87 % 4.92 % 64,445 3.88 7 0.2123 % 4,122.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2123 % 3,216.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1285 % 2,995.1
Perpetual-Discount 5.62 % 5.85 % 78,369 14.06 35 0.1285 % 3,212.5
FixedReset Disc 6.29 % 5.21 % 174,007 14.70 83 1.1013 % 1,811.9
Deemed-Retractible 5.41 % 5.61 % 83,019 14.28 27 0.2395 % 3,159.1
FloatingReset 5.00 % 4.94 % 49,083 15.66 3 0.2334 % 1,742.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 1.1013 % 2,505.8
FixedReset Bank Non 1.98 % 3.26 % 150,436 1.62 2 0.0000 % 2,778.7
FixedReset Ins Non 6.59 % 5.33 % 114,598 14.65 22 1.0545 % 1,812.0
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.98 %
GWO.PR.F Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.99 %
SLF.PR.J FloatingReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 8.66
Evaluated at bid price : 8.66
Bid-YTW : 4.58 %
CU.PR.E Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 22.13
Evaluated at bid price : 22.57
Bid-YTW : 5.44 %
PWF.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.40 %
BMO.PR.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 5.08 %
BMO.PR.D FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 5.21 %
BAM.PF.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 16.14
Evaluated at bid price : 16.14
Bid-YTW : 5.80 %
TRP.PR.K FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 22.42
Evaluated at bid price : 22.74
Bid-YTW : 5.41 %
TD.PF.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.04 %
BMO.PR.B FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.02 %
BMO.PR.T FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.05 %
GWO.PR.H Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.72 %
BIK.PR.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 22.77
Evaluated at bid price : 23.77
Bid-YTW : 6.12 %
IFC.PR.A FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 5.31 %
BNS.PR.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.63 %
BMO.PR.F FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.05 %
RY.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.59 %
TD.PF.F Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 23.61
Evaluated at bid price : 24.10
Bid-YTW : 5.12 %
TD.PF.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.07 %
BAM.PF.H FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 24.39
Evaluated at bid price : 24.90
Bid-YTW : 5.08 %
SLF.PR.H FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 12.41
Evaluated at bid price : 12.41
Bid-YTW : 5.24 %
TD.PF.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.96 %
HSE.PR.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 9.24 %
BAM.PF.I FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 4.94 %
BMO.PR.Z Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 23.37
Evaluated at bid price : 23.85
Bid-YTW : 5.26 %
TD.PF.K FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.02 %
TD.PF.L FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.03 %
RY.PR.J FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.93 %
NA.PR.E FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.19 %
TD.PF.J FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 5.00 %
IAF.PR.B Deemed-Retractible 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.45 %
NA.PR.W FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.26 %
NA.PR.S FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.32 %
BAM.PF.F FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.88 %
PWF.PR.T FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.28 %
TRP.PR.F FloatingReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 9.73
Evaluated at bid price : 9.73
Bid-YTW : 5.39 %
SLF.PR.B Deemed-Retractible 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.33 %
BMO.PR.W FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 5.03 %
TD.PF.B FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.93 %
BAM.PR.C Floater 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 7.70
Evaluated at bid price : 7.70
Bid-YTW : 5.66 %
MFC.PR.R FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.26 %
TRP.PR.A FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 5.94 %
IAF.PR.G FixedReset Ins Non 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.36 %
BAM.PR.K Floater 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 7.75
Evaluated at bid price : 7.75
Bid-YTW : 5.63 %
BAM.PF.B FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 5.78 %
BMO.PR.S FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 5.06 %
BAM.PF.G FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.90 %
SLF.PR.G FixedReset Ins Non 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 8.89
Evaluated at bid price : 8.89
Bid-YTW : 5.13 %
MFC.PR.H FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.44 %
BIP.PR.A FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 6.89 %
BMO.PR.Y FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.11 %
RY.PR.H FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.78 %
BAM.PR.T FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 5.95 %
HSE.PR.E FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 11.61
Evaluated at bid price : 11.61
Bid-YTW : 9.35 %
BAM.PF.E FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.91 %
TD.PF.E FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.14 %
BAM.PR.Z FixedReset Disc 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.58
Evaluated at bid price : 15.58
Bid-YTW : 5.87 %
GWO.PR.N FixedReset Ins Non 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 9.39
Evaluated at bid price : 9.39
Bid-YTW : 4.60 %
RY.PR.M FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.06 %
TRP.PR.C FixedReset Disc 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 8.46
Evaluated at bid price : 8.46
Bid-YTW : 5.88 %
MFC.PR.F FixedReset Ins Non 5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 9.23
Evaluated at bid price : 9.23
Bid-YTW : 5.00 %
BAM.PR.R FixedReset Disc 5.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 5.83 %
CU.PR.C FixedReset Disc 6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 4.52 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.F FloatingReset 61,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 9.73
Evaluated at bid price : 9.73
Bid-YTW : 5.39 %
BAM.PR.K Floater 45,206 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 7.75
Evaluated at bid price : 7.75
Bid-YTW : 5.63 %
NA.PR.C FixedReset Disc 41,864 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.44 %
BAM.PR.X FixedReset Disc 40,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 5.87 %
BAM.PF.G FixedReset Disc 38,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.90 %
CM.PR.Q FixedReset Disc 36,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 5.55 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 15.05 – 20.10
Spot Rate : 5.0500
Average : 2.7998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.88 %

IAF.PR.G FixedReset Ins Non Quote: 15.50 – 16.92
Spot Rate : 1.4200
Average : 0.8569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.36 %

PVS.PR.G SplitShare Quote: 24.96 – 25.96
Spot Rate : 1.0000
Average : 0.5559

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.95 %

PVS.PR.D SplitShare Quote: 24.90 – 25.90
Spot Rate : 1.0000
Average : 0.5727

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.81 %

BAM.PR.M Perpetual-Discount Quote: 20.25 – 21.31
Spot Rate : 1.0600
Average : 0.6349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.98 %

SLF.PR.A Deemed-Retractible Quote: 21.76 – 22.65
Spot Rate : 0.8900
Average : 0.5249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-04
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 5.45 %

June 3, 2020

Wednesday, June 3rd, 2020

Well, I wouldn’t call today’s Bank of Canada press release upbeat, but the BoC seems to feel that ‘worst-case’ scenarios have been dodged:

The Bank of Canada today maintained its target for the overnight rate at the effective lower bound of ¼ percent. The Bank Rate is correspondingly ½ percent and the deposit rate is ¼ percent.

Incoming data confirm the severe impact of the COVID-19 pandemic on the global economy. This impact appears to have peaked, although uncertainty about how the recovery will unfold remains high. Massive policy responses in advanced economies have helped to replace lost income and cushion the effect of economic shutdowns. Financial conditions have improved, and commodity prices have risen in recent weeks after falling sharply earlier this year. Because different countries’ containment measures will be lifted at different times, the global recovery likely will be protracted and uneven.

In Canada, the pandemic has led to historic losses in output and jobs. Still, the Canadian economy appears to have avoided the most severe scenario presented in the Bank’s April Monetary Policy Report (MPR). The level of real GDP in the first quarter was 2.1 percent lower than in the fourth quarter of 2019. This GDP reading is in the middle of the Bank’s April monitoring range and reflects the combined impact of falling oil prices and widespread shutdowns. The level of real GDP in the second quarter will likely show a further decline of 10-20 percent, as continued shutdowns and sharply lower investment in the energy sector take a further toll on output. Decisive and targeted fiscal actions, combined with lower interest rates, are buffering the impact of the shutdown on disposable income and helping to lay the foundation for economic recovery. While the outlook for the second half of 2020 and beyond remains heavily clouded, the Bank expects the economy to resume growth in the third quarter.

CPI inflation has decreased to near zero, as anticipated in the April MPR, mainly due to lower prices for gasoline. The Bank expects temporary factors to keep CPI inflation below the target band in the near term. The Bank’s core measures of inflation have drifted down, although by much less than the CPI, and are now between 1.6 and 2 percent.

The Bank’s programs to improve market function are having their intended effect. After significant strains in March, short-term funding conditions have improved. Therefore, the Bank is reducing the frequency of its term repo operations to once per week, and its program to purchase bankers’ acceptances to bi-weekly operations. The Bank stands ready to adjust these programs if market conditions warrant. Meanwhile, its other programs to purchase federal, provincial, and corporate debt are continuing at their present frequency and scope.

As market function improves and containment restrictions ease, the Bank’s focus will shift to supporting the resumption of growth in output and employment. The Bank maintains its commitment to continue large-scale asset purchases until the economic recovery is well underway. Any further policy actions would be calibrated to provide the necessary degree of monetary policy accommodation required to achieve the inflation target.

The AIMCo controversy is heating up again:

The Alberta Investment Management Corp., known as AIMCo, took a 10.2 per cent loss in the first three months of the year on a $50-billion portfolio belonging to the largest of its 31 clients, a fund for health care and municipal workers called the Local Authorities Pension Plan, or LAPP. AIMCo also invests the Heritage Savings Trust Fund, a provincial war chest funded by royalties on oil and gas companies.

This was the first public release of overall performance at AIMCo. The loss came when industry data show the median return for Canadian pension plans in this period, which includes the COVID-19 induced market sell off in late March, was a 7 per cent decline.

AIMCo’s performance is a significant political issue for Alberta’s governing United Conservative Party, which announced plans last fall to move an $18-billion retirement fund for the province’s teachers under the AIMCo umbrella next year, a move the teachers’ unions opposes. In a press release on Tuesday, the Alberta Teachers’ Association said: “The Alberta teachers’ pension fund would be worth $1.3 billion less today if it had been managed by AIMCo rather than the Alberta Teachers’ Retirement Fund.”

The teachers’ union found their existing fund managers turned in better performance than AIMCo in each of the past seven years. Alberta Teachers’ Association president said the results “refutes the government’s ongoing claim that the management transfer to AIMCo will save money through reduced expenses. “

PerpetualDiscounts now yield 5.85%, equivalent to 7.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed significantly to 430bp from the 445bp reported May 20. We are now below 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 0.8194 % 1,440.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8194 % 2,642.9
Floater 5.36 % 5.71 % 34,556 14.23 4 0.8194 % 1,523.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1782 % 3,445.0
SplitShare 4.88 % 4.96 % 59,616 3.88 7 0.1782 % 4,114.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1782 % 3,210.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6237 % 2,991.2
Perpetual-Discount 5.63 % 5.85 % 78,054 14.04 35 0.6237 % 3,208.4
FixedReset Disc 6.36 % 5.25 % 175,771 14.63 83 1.1078 % 1,792.2
Deemed-Retractible 5.43 % 5.55 % 81,908 14.28 27 0.3572 % 3,151.5
FloatingReset 5.01 % 4.96 % 45,507 15.62 3 -0.6569 % 1,738.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 1.1078 % 2,478.5
FixedReset Bank Non 1.98 % 3.26 % 152,744 1.62 2 0.7023 % 2,778.7
FixedReset Ins Non 6.65 % 5.37 % 114,893 14.56 22 0.8514 % 1,793.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 8.80
Evaluated at bid price : 8.80
Bid-YTW : 4.51 %
RY.PR.M FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.25 %
TRP.PR.A FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 10.97
Evaluated at bid price : 10.97
Bid-YTW : 6.07 %
TRP.PR.C FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 8.10
Evaluated at bid price : 8.10
Bid-YTW : 6.14 %
TD.PF.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 5.32 %
TRP.PR.K FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 5.47 %
MFC.PR.K FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 5.34 %
POW.PR.C Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.97 %
BAM.PR.M Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.86 %
GWO.PR.G Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 22.21
Evaluated at bid price : 22.49
Bid-YTW : 5.78 %
NA.PR.X FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.84
Evaluated at bid price : 24.35
Bid-YTW : 5.49 %
NA.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 5.41 %
GWO.PR.L Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.88 %
RY.PR.Z FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 4.84 %
TD.PF.B FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.04 %
CM.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.22 %
GWO.PR.F Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-03
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 0.59 %
SLF.PR.H FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.31 %
TD.PF.G FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 24.54
Evaluated at bid price : 24.92
Bid-YTW : 5.15 %
BAM.PR.K Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 7.59
Evaluated at bid price : 7.59
Bid-YTW : 5.75 %
BNS.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 4.69 %
BIP.PR.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 7.05 %
BAM.PR.X FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 5.87 %
ELF.PR.H Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.47
Evaluated at bid price : 23.75
Bid-YTW : 5.87 %
BMO.PR.D FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 5.26 %
TD.PF.L FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.11 %
CM.PR.P FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.35 %
BIK.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 22.63
Evaluated at bid price : 23.50
Bid-YTW : 6.19 %
RY.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.79
Evaluated at bid price : 24.90
Bid-YTW : 5.23 %
BAM.PF.C Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.89 %
BIP.PR.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 21.60
Evaluated at bid price : 21.99
Bid-YTW : 6.07 %
CM.PR.R FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 5.43 %
HSE.PR.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 9.67 %
MFC.PR.G FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.44 %
TD.PF.I FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.13 %
RY.PR.O Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.28
Evaluated at bid price : 23.73
Bid-YTW : 5.18 %
BAM.PF.A FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 5.87 %
BAM.PF.I FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.71
Evaluated at bid price : 24.05
Bid-YTW : 5.06 %
HSE.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 9.38 %
BMO.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.13 %
BMO.PR.T FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.11 %
NA.PR.E FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.28 %
CM.PR.Q FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.60 %
TD.PF.F Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.34
Evaluated at bid price : 23.80
Bid-YTW : 5.18 %
MFC.PR.R FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.37 %
RY.PR.N Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 23.40
Evaluated at bid price : 23.86
Bid-YTW : 5.15 %
BMO.PR.W FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.13 %
NA.PR.W FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 5.35 %
BMO.PR.Y FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 5.25 %
BMO.PR.S FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.03 %
BIP.PR.D FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.26 %
IAF.PR.I FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.22 %
IFC.PR.G FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.44 %
CM.PR.O FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 5.46 %
BAM.PR.T FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 6.13 %
BAM.PF.E FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 6.11 %
NA.PR.C FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.48 %
BAM.PF.G FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.03 %
TRP.PR.B FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.65 %
NA.PR.G FixedReset Disc 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.29 %
HSE.PR.G FixedReset Disc 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 9.54 %
BAM.PF.F FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.99 %
HSE.PR.A FixedReset Disc 3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 6.55
Evaluated at bid price : 6.55
Bid-YTW : 8.45 %
TRP.PR.G FixedReset Disc 4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 6.12 %
PWF.PR.T FixedReset Disc 4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.64
Evaluated at bid price : 14.64
Bid-YTW : 5.37 %
BAM.PF.B FixedReset Disc 4.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.91 %
IFC.PR.A FixedReset Ins Non 5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 5.38 %
PWF.PR.P FixedReset Disc 17.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 5.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 125,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.01 %
NA.PR.C FixedReset Disc 85,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.48 %
BNS.PR.G FixedReset Disc 70,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 24.57
Evaluated at bid price : 24.90
Bid-YTW : 5.22 %
MFC.PR.L FixedReset Ins Non 70,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.38 %
TRP.PR.J FixedReset Disc 66,304 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 24.60
Evaluated at bid price : 24.95
Bid-YTW : 5.53 %
PWF.PR.I Perpetual-Discount 54,183 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 24.60
Evaluated at bid price : 24.86
Bid-YTW : 6.11 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.B Deemed-Retractible Quote: 20.80 – 22.00
Spot Rate : 1.2000
Average : 0.7526

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.54 %

BAM.PF.A FixedReset Disc Quote: 15.97 – 16.99
Spot Rate : 1.0200
Average : 0.5752

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 5.87 %

RY.PR.M FixedReset Disc Quote: 14.60 – 15.50
Spot Rate : 0.9000
Average : 0.5467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.25 %

BAM.PR.R FixedReset Disc Quote: 11.28 – 11.98
Spot Rate : 0.7000
Average : 0.4323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 6.18 %

MFC.PR.M FixedReset Ins Non Quote: 14.20 – 16.17
Spot Rate : 1.9700
Average : 1.7733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.36 %

TD.PF.M FixedReset Disc Quote: 21.10 – 21.74
Spot Rate : 0.6400
Average : 0.4435

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-03
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.10 %

June 2, 2020

Tuesday, June 2nd, 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 0.9866 % 1,428.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9866 % 2,621.4
Floater 5.40 % 5.76 % 33,648 14.16 4 0.9866 % 1,510.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3518 % 3,438.9
SplitShare 4.89 % 5.02 % 60,282 3.89 7 0.3518 % 4,106.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3518 % 3,204.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5933 % 2,972.7
Perpetual-Discount 5.66 % 5.88 % 78,153 14.02 35 0.5933 % 3,188.5
FixedReset Disc 6.43 % 5.33 % 172,933 14.58 83 0.6240 % 1,772.5
Deemed-Retractible 5.45 % 5.69 % 85,214 14.22 27 0.0577 % 3,140.3
FloatingReset 4.97 % 4.97 % 43,612 15.62 3 0.4658 % 1,750.2
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.6240 % 2,451.4
FixedReset Bank Non 2.00 % 3.51 % 158,867 1.62 2 -0.0413 % 2,759.4
FixedReset Ins Non 6.71 % 5.37 % 114,877 14.48 22 0.6652 % 1,777.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 7.26
Evaluated at bid price : 7.26
Bid-YTW : 5.83 %
TRP.PR.G FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.38 %
RY.PR.N Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 22.99
Evaluated at bid price : 23.45
Bid-YTW : 5.24 %
RY.PR.W Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 5.14 %
BAM.PR.K Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.81 %
BAM.PR.N Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.94 %
BMO.PR.C FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.22 %
BAM.PF.D Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.96 %
NA.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.47 %
CM.PR.P FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 5.43 %
PWF.PR.O Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 23.99
Evaluated at bid price : 24.24
Bid-YTW : 6.05 %
CM.PR.Q FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.70 %
RY.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.67 %
ELF.PR.G Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.68 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 22.51
Evaluated at bid price : 22.83
Bid-YTW : 5.38 %
W.PR.K FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 23.64
Evaluated at bid price : 24.30
Bid-YTW : 5.45 %
PWF.PR.R Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.88 %
BAM.PF.J FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 5.10 %
CM.PR.R FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 5.51 %
TD.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.09 %
TD.PF.J FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 5.11 %
BAM.PR.B Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 7.57
Evaluated at bid price : 7.57
Bid-YTW : 5.76 %
TD.PF.H FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 5.07 %
PWF.PR.F Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 22.08
Evaluated at bid price : 22.31
Bid-YTW : 5.95 %
BMO.PR.Y FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.35 %
IAF.PR.B Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.54 %
NA.PR.E FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.37 %
TRP.PR.H FloatingReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 7.34
Evaluated at bid price : 7.34
Bid-YTW : 4.97 %
BMO.PR.T FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 5.19 %
BMO.PR.S FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.28 %
MFC.PR.K FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.27 %
MFC.PR.F FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.30 %
HSE.PR.C FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 10.69
Evaluated at bid price : 10.69
Bid-YTW : 9.53 %
BIK.PR.A FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 22.47
Evaluated at bid price : 23.20
Bid-YTW : 6.28 %
IFC.PR.G FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.57 %
SLF.PR.H FixedReset Ins Non 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 5.37 %
TD.PF.K FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.13 %
RY.PR.M FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 5.14 %
HSE.PR.A FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 6.30
Evaluated at bid price : 6.30
Bid-YTW : 8.80 %
TD.PF.E FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.H FixedReset Ins Non 102,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 5.37 %
TRP.PR.E FixedReset Disc 54,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 6.12 %
BNS.PR.Z FixedReset Bank Non 51,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.51 %
BAM.PR.T FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 6.28 %
IAF.PR.I FixedReset Ins Non 40,569 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.34 %
RY.PR.Q FixedReset Disc 37,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 23.93
Evaluated at bid price : 24.42
Bid-YTW : 5.10 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 14.20 – 16.17
Spot Rate : 1.9700
Average : 1.5577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.36 %

HSE.PR.E FixedReset Disc Quote: 11.10 – 12.00
Spot Rate : 0.9000
Average : 0.5264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 9.81 %

MFC.PR.J FixedReset Ins Non Quote: 15.55 – 16.50
Spot Rate : 0.9500
Average : 0.7463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.31 %

BAM.PF.F FixedReset Disc Quote: 14.30 – 14.99
Spot Rate : 0.6900
Average : 0.4890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 6.20 %

RY.PR.P Perpetual-Discount Quote: 24.96 – 25.50
Spot Rate : 0.5400
Average : 0.3475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 24.47
Evaluated at bid price : 24.96
Bid-YTW : 5.27 %

MFC.PR.F FixedReset Ins Non Quote: 8.70 – 9.79
Spot Rate : 1.0900
Average : 0.9162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-02
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.30 %

June 1, 2020

Monday, June 1st, 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 0.2233 % 1,414.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2233 % 2,595.8
Floater 5.46 % 5.84 % 32,284 14.05 4 0.2233 % 1,495.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2892 % 3,426.8
SplitShare 4.90 % 5.14 % 60,962 3.89 7 0.2892 % 4,092.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2892 % 3,193.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3001 % 2,955.2
Perpetual-Discount 5.69 % 5.93 % 77,736 13.94 35 0.3001 % 3,169.7
FixedReset Disc 6.47 % 5.36 % 175,607 14.50 83 -0.2678 % 1,761.6
Deemed-Retractible 5.45 % 5.65 % 88,080 14.22 27 0.3420 % 3,138.5
FloatingReset 5.00 % 5.04 % 45,502 15.49 3 -0.9992 % 1,742.1
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2678 % 2,436.2
FixedReset Bank Non 2.00 % 3.60 % 147,038 1.63 2 0.1862 % 2,760.5
FixedReset Ins Non 6.76 % 5.51 % 107,847 14.43 22 -0.2326 % 1,766.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -14.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.30 %
SLF.PR.G FixedReset Ins Non -5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.24 %
MFC.PR.F FixedReset Ins Non -4.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 8.55
Evaluated at bid price : 8.55
Bid-YTW : 5.39 %
IFC.PR.A FixedReset Ins Non -4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 5.66 %
CU.PR.C FixedReset Disc -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.82 %
TRP.PR.F FloatingReset -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 9.48
Evaluated at bid price : 9.48
Bid-YTW : 5.53 %
SLF.PR.H FixedReset Ins Non -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.51 %
TRP.PR.G FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.26 %
TD.PF.E FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 5.42 %
HSE.PR.G FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 9.94 %
BAM.PF.B FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 6.15 %
TD.PF.K FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.30 %
PWF.PR.T FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.63 %
BIP.PR.F FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.55 %
TRP.PR.K FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.45 %
RY.PR.M FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 5.30 %
PWF.PR.A Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 4.75 %
CM.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.29 %
BIK.PR.A FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 6.41 %
SLF.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 5.38 %
SLF.PR.J FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 4.38 %
MFC.PR.M FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 5.37 %
POW.PR.G Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 23.66
Evaluated at bid price : 23.95
Bid-YTW : 5.93 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 5.11 %
IAF.PR.G FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.54 %
CCS.PR.C Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.80 %
POW.PR.A Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.86 %
HSE.PR.A FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 6.10
Evaluated at bid price : 6.10
Bid-YTW : 9.09 %
IFC.PR.E Deemed-Retractible 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 22.99
Evaluated at bid price : 23.34
Bid-YTW : 5.65 %
POW.PR.D Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 5.80 %
MFC.PR.I FixedReset Ins Non 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset Disc 104,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.20 %
BMO.PR.D FixedReset Disc 58,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.35 %
TD.PF.A FixedReset Disc 56,401 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 5.11 %
BNS.PR.H FixedReset Disc 45,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 22.34
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
NA.PR.C FixedReset Disc 44,303 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 5.66 %
BMO.PR.S FixedReset Disc 43,733 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 5.38 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.F Perpetual-Discount Quote: 23.46 – 24.49
Spot Rate : 1.0300
Average : 0.5795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 23.03
Evaluated at bid price : 23.46
Bid-YTW : 5.26 %

PWF.PR.P FixedReset Disc Quote: 8.15 – 9.70
Spot Rate : 1.5500
Average : 1.2480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.30 %

BAM.PR.T FixedReset Disc Quote: 11.40 – 11.95
Spot Rate : 0.5500
Average : 0.3144

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 6.29 %

BMO.PR.W FixedReset Disc Quote: 14.15 – 14.76
Spot Rate : 0.6100
Average : 0.3869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.23 %

SLF.PR.G FixedReset Ins Non Quote: 8.70 – 9.31
Spot Rate : 0.6100
Average : 0.4233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.24 %

BAM.PF.J FixedReset Disc Quote: 23.20 – 23.75
Spot Rate : 0.5500
Average : 0.3660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-01
Maturity Price : 22.61
Evaluated at bid price : 23.20
Bid-YTW : 5.17 %

May 29, 2020

Friday, May 29th, 2020

Laurentian Bank chopped its dividend today:

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

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

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

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

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

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

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

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

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6654 % 1,411.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6654 % 2,590.0
Floater 5.47 % 5.89 % 32,434 13.97 4 -0.6654 % 1,492.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0926 % 3,417.0
SplitShare 4.92 % 5.15 % 61,165 3.89 7 0.0926 % 4,080.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0926 % 3,183.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2170 % 2,946.3
Perpetual-Discount 5.71 % 5.94 % 78,973 13.95 35 0.2170 % 3,160.2
FixedReset Disc 6.45 % 5.28 % 177,909 14.58 83 0.6730 % 1,766.3
Deemed-Retractible 5.44 % 5.78 % 90,841 14.05 27 0.0941 % 3,127.8
FloatingReset 5.12 % 5.22 % 47,479 15.19 3 1.5156 % 1,759.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.6730 % 2,442.7
FixedReset Bank Non 2.00 % 3.60 % 151,856 1.63 2 0.1865 % 2,755.4
FixedReset Ins Non 6.74 % 5.36 % 112,051 14.49 22 0.2940 % 1,770.3
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.40
Evaluated at bid price : 7.40
Bid-YTW : 5.89 %
BAM.PR.K Floater -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.35
Evaluated at bid price : 7.35
Bid-YTW : 5.93 %
BAM.PF.E FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 12.74
Evaluated at bid price : 12.74
Bid-YTW : 6.24 %
CCS.PR.C Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.90 %
TRP.PR.H FloatingReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.27
Evaluated at bid price : 7.27
Bid-YTW : 5.22 %
BAM.PR.C Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.40
Evaluated at bid price : 7.40
Bid-YTW : 5.89 %
IFC.PR.E Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.55
Evaluated at bid price : 22.85
Bid-YTW : 5.78 %
MFC.PR.H FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 5.52 %
BIK.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.05
Evaluated at bid price : 22.51
Bid-YTW : 6.48 %
MFC.PR.L FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.33 %
IAF.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.54 %
BMO.PR.W FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 5.16 %
BNS.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 24.21
Evaluated at bid price : 24.61
Bid-YTW : 5.23 %
ELF.PR.H Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 23.11
Evaluated at bid price : 23.40
Bid-YTW : 5.95 %
TD.PF.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.13 %
ELF.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.73 %
BAM.PR.Z FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 6.07 %
PVS.PR.H SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.21 %
TRP.PR.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 8.34
Evaluated at bid price : 8.34
Bid-YTW : 5.81 %
GWO.PR.I Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 5.79 %
MFC.PR.R FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.45 %
BMO.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.23 %
BIP.PR.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.42 %
BMO.PR.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 5.14 %
PWF.PR.S Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.86 %
HSE.PR.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 9.77 %
IAF.PR.B Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.62 %
BMO.PR.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.23 %
RY.PR.W Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.20 %
SLF.PR.I FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.36 %
BIP.PR.E FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.46 %
IFC.PR.A FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 5.28 %
CM.PR.Y FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.25 %
BMO.PR.D FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 5.28 %
TRP.PR.A FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 5.82 %
TD.PF.D FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.14 %
RY.PR.M FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 5.15 %
PWF.PR.A Floater 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.70 %
HSE.PR.A FixedReset Disc 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 6.00
Evaluated at bid price : 6.00
Bid-YTW : 9.03 %
RY.PR.J FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.22 %
SLF.PR.G FixedReset Ins Non 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.82 %
CU.PR.C FixedReset Disc 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 4.53 %
TRP.PR.F FloatingReset 4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 5.50 %
GWO.PR.N FixedReset Ins Non 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 4.60 %
TRP.PR.G FixedReset Disc 6.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.99 %
PWF.PR.P FixedReset Disc 17.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.55
Evaluated at bid price : 9.55
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 116,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.23 %
RY.PR.H FixedReset Disc 106,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.92 %
TD.PF.A FixedReset Disc 101,636 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 5.11 %
BMO.PR.S FixedReset Disc 100,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.27 %
CM.PR.R FixedReset Disc 96,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.54 %
MFC.PR.C Deemed-Retractible 59,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.55 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 15.67 – 18.00
Spot Rate : 2.3300
Average : 1.4781

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

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

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

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

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

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

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

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

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

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

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

May 28, 2020

Thursday, May 28th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1588 % 1,420.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1588 % 2,607.3
Floater 5.43 % 5.72 % 32,861 14.23 4 -1.1588 % 1,502.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0290 % 3,413.8
SplitShare 4.92 % 5.19 % 63,424 3.90 7 0.0290 % 4,076.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0290 % 3,180.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3783 % 2,939.9
Perpetual-Discount 5.72 % 5.95 % 79,938 13.94 35 0.3783 % 3,153.4
FixedReset Disc 6.49 % 5.36 % 178,062 14.57 83 0.3696 % 1,754.5
Deemed-Retractible 5.44 % 5.71 % 91,998 14.02 27 0.2219 % 3,124.9
FloatingReset 5.13 % 5.14 % 47,615 15.18 3 0.6199 % 1,733.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.3696 % 2,426.4
FixedReset Bank Non 2.00 % 3.70 % 153,095 1.64 2 -0.1035 % 2,750.2
FixedReset Ins Non 6.76 % 5.42 % 112,747 14.51 22 1.1582 % 1,765.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -6.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 4.84 %
MFC.PR.I FixedReset Ins Non -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %
HSE.PR.A FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 5.82
Evaluated at bid price : 5.82
Bid-YTW : 9.32 %
PWF.PR.A Floater -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.83 %
IAF.PR.B Deemed-Retractible -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.71 %
SLF.PR.I FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.45 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 4.73 %
CM.PR.Y FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.36 %
HSE.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 9.56 %
BAM.PF.H FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.56
Evaluated at bid price : 24.25
Bid-YTW : 5.20 %
NA.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.60
Evaluated at bid price : 23.07
Bid-YTW : 5.49 %
BIK.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 6.41 %
SLF.PR.J FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 4.62 %
MFC.PR.L FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.27 %
TD.PF.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 24.11
Evaluated at bid price : 24.58
Bid-YTW : 5.16 %
BAM.PF.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 5.93 %
MFC.PR.H FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.46 %
BMO.PR.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.15 %
RY.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 4.90 %
GWO.PR.P Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.86 %
TD.PF.K FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.18 %
BMO.PR.T FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 5.30 %
TRP.PR.K FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.58
Evaluated at bid price : 22.90
Bid-YTW : 5.36 %
RY.PR.W Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.29 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.49 %
TD.PF.J FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.16 %
CM.PR.O FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.60 %
SLF.PR.G FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 5.00 %
TRP.PR.C FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.24
Evaluated at bid price : 8.24
Bid-YTW : 5.88 %
CM.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.36 %
BAM.PF.E FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.12 %
MFC.PR.N FixedReset Ins Non 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 5.22 %
BAM.PF.B FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.94 %
TRP.PR.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 5.98 %
BAM.PR.X FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 9.67
Evaluated at bid price : 9.67
Bid-YTW : 5.89 %
IFC.PR.A FixedReset Ins Non 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.39 %
PWF.PR.P FixedReset Disc 12.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.15 %
SLF.PR.H FixedReset Ins Non 37.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 5.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.G FixedReset Ins Non 64,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 5.42 %
IAF.PR.G FixedReset Ins Non 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.48 %
RY.PR.Q FixedReset Disc 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.51
Evaluated at bid price : 24.05
Bid-YTW : 5.12 %
TD.PF.D FixedReset Disc 49,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.26 %
TD.PF.J FixedReset Disc 43,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.16 %
BAM.PF.E FixedReset Disc 31,866 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.12 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 15.18 – 18.80
Spot Rate : 3.6200
Average : 2.1254

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

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

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

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

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

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

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

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

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

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

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

May 27, 2020

Wednesday, May 27th, 2020

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

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

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

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

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

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

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.4295 % 1,437.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4295 % 2,637.9
Floater 5.37 % 5.68 % 33,403 14.30 4 1.4295 % 1,520.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0753 % 3,412.8
SplitShare 4.92 % 5.14 % 65,955 3.90 7 0.0753 % 4,075.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0753 % 3,180.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0942 % 2,928.9
Perpetual-Discount 5.75 % 5.97 % 80,342 13.91 35 -0.0942 % 3,141.5
FixedReset Disc 6.50 % 5.37 % 179,585 14.52 83 -0.3548 % 1,748.0
Deemed-Retractible 5.45 % 5.76 % 92,384 13.94 27 0.0082 % 3,118.0
FloatingReset 5.16 % 5.14 % 47,921 15.19 3 -0.3090 % 1,722.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.3548 % 2,417.5
FixedReset Bank Non 2.00 % 3.69 % 159,353 1.64 2 0.2907 % 2,753.1
FixedReset Ins Non 6.82 % 5.43 % 113,424 14.40 22 -1.2285 % 1,744.9
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -22.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc -8.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.22
Evaluated at bid price : 7.22
Bid-YTW : 6.96 %
IFC.PR.A FixedReset Ins Non -4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 5.58 %
TD.PF.J FixedReset Disc -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.24 %
BAM.PR.X FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 9.44
Evaluated at bid price : 9.44
Bid-YTW : 6.04 %
MFC.PR.O FixedReset Ins Non -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 23.11
Evaluated at bid price : 23.65
Bid-YTW : 5.63 %
BMO.PR.F FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.22 %
RY.PR.Z FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.97 %
CM.PR.S FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.37 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.21 %
BMO.PR.S FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.30 %
TD.PF.B FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.18 %
BMO.PR.T FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.38 %
TD.PF.K FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.26 %
PVS.PR.H SplitShare -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.42 %
HSE.PR.C FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 9.42 %
TRP.PR.C FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.08
Evaluated at bid price : 8.08
Bid-YTW : 5.99 %
RY.PR.W Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.64
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
TD.PF.I FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 5.14 %
CM.PR.T FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.30 %
TD.PF.M FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.13 %
TD.PF.C FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.21 %
HSE.PR.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 6.06
Evaluated at bid price : 6.06
Bid-YTW : 8.94 %
NA.PR.S FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.70 %
TRP.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.45 %
BMO.PR.E FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
CM.PR.Q FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.70 %
MFC.PR.M FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.36 %
CM.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.72
Evaluated at bid price : 13.72
Bid-YTW : 5.48 %
IFC.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.64 %
BAM.PF.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 6.00 %
CU.PR.G Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.40 %
BMO.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.34 %
BAM.PR.Z FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 6.10 %
TRP.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 6.04 %
BIP.PR.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.62 %
IAF.PR.B Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.63 %
BAM.PF.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 23.96
Evaluated at bid price : 24.57
Bid-YTW : 5.14 %
PWF.PR.A Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 9.18
Evaluated at bid price : 9.18
Bid-YTW : 4.70 %
BAM.PR.C Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.57
Evaluated at bid price : 7.57
Bid-YTW : 5.75 %
EIT.PR.A SplitShare 1.49 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 5.28 %
BIP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 6.99 %
BAM.PR.B Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.67
Evaluated at bid price : 7.67
Bid-YTW : 5.68 %
IFC.PR.C FixedReset Ins Non 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.62 %
BIP.PR.F FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.48 %
TRP.PR.B FixedReset Disc 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.44
Evaluated at bid price : 7.44
Bid-YTW : 5.61 %
BAM.PF.B FixedReset Disc 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.M Perpetual-Discount 75,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.03 %
BMO.PR.E FixedReset Disc 63,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
BAM.PF.D Perpetual-Discount 61,363 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.05 %
PWF.PR.T FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 5.58 %
BAM.PR.R FixedReset Disc 50,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 6.10 %
MFC.PR.G FixedReset Ins Non 46,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.43 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 8.86 – 12.17
Spot Rate : 3.3100
Average : 1.9498

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

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

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

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

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

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

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

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

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

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

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

May 26, 2020

Tuesday, May 26th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

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

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

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

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

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

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

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

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

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

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

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

May 25, 2020

Monday, May 25th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

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

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

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

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

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

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

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

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

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

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

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