Archive for the ‘Market Action’ Category

November 23, 2020

Monday, November 23rd, 2020

Pace Credit Union (last discussed June 22) is back in the news:

The Financial Services Regulators Authority of Ontario (FSRA) announced late Friday that is has taken over daily oversight of PACE for the second time in two years.

The directors who resigned over a three-day span include board chair George Cooke, a former insurance executive who was hand-picked by FSRA to help turn PACE around after two years of turmoil. Also stepping down are CEO Barbara Dirks and head of risk Terri O’Brien, both of whom joined PACE in April.

More recently, however, regulators have been investigating whether a now-defunct investment dealer started by the previous executives, Pace Securities Corp., improperly sold $46-million in risky investment products to retail investors
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. Those investments plunged in value early this year, and another regulator, the Investment Industry Regulatory Organization of Canada (IIROC), is seeking to discipline the two former executives who led Pace Securities, Joseph Thomson and Gerald McRae.

In August, law firm Paliare Roland Rosenberg Rothstein LLP was appointed to represent investors in negotiating a settlement who say they were misled. Yet even after the deadline for talks was extended, no deal has been announced.

A FSRA investigation recently concluded that the sales of the investment products had breached the act that governs credit unions, and PACE’s management agreed. But “there was not consensus on how best to address those breaches,” said Mark White, FSRA’s CEO, in a statement.

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 1.1173 % 1,796.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1173 % 3,295.7
Floater 4.74 % 4.81 % 37,857 15.78 3 1.1173 % 1,899.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1144 % 3,583.2
SplitShare 4.83 % 4.40 % 43,824 3.89 9 0.1144 % 4,279.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1144 % 3,338.8
Perpetual-Premium 5.34 % 2.48 % 76,664 0.39 14 -0.0056 % 3,186.7
Perpetual-Discount 5.13 % 5.07 % 80,739 15.14 19 0.3246 % 3,613.6
FixedReset Disc 5.28 % 4.09 % 115,518 16.55 64 0.3016 % 2,193.7
Insurance Straight 5.06 % 4.87 % 99,358 15.13 22 0.1033 % 3,511.8
FloatingReset 1.97 % 2.44 % 46,803 1.17 3 0.1499 % 1,820.1
FixedReset Prem 5.19 % 2.86 % 214,645 0.71 15 -0.1440 % 2,668.1
FixedReset Bank Non 1.94 % 2.06 % 194,240 1.17 2 0.0402 % 2,864.8
FixedReset Ins Non 5.31 % 4.12 % 74,720 16.72 22 0.2305 % 2,291.1
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 4.81 %
BIK.PR.A FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.58 %
BNS.PR.I FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 3.85 %
GWO.PR.R Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 24.29
Evaluated at bid price : 24.80
Bid-YTW : 4.88 %
TRP.PR.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.33 %
SLF.PR.H FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.12 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 11.38
Evaluated at bid price : 11.38
Bid-YTW : 4.11 %
TD.PF.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 3.91 %
BAM.PR.N Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.27 %
SLF.PR.I FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.04 %
TRP.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 9.52
Evaluated at bid price : 9.52
Bid-YTW : 5.26 %
SLF.PR.A Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 4.84 %
TD.PF.I FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 23.50
Evaluated at bid price : 23.84
Bid-YTW : 3.73 %
BAM.PR.B Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 4.77 %
TRP.PR.B FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 8.80
Evaluated at bid price : 8.80
Bid-YTW : 4.94 %
TD.PF.A FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 3.87 %
BAM.PF.C Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 22.81
Evaluated at bid price : 23.20
Bid-YTW : 5.29 %
BIP.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 22.49
Evaluated at bid price : 22.95
Bid-YTW : 5.51 %
BAM.PR.M Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.23 %
BAM.PR.K Floater 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 9.04
Evaluated at bid price : 9.04
Bid-YTW : 4.81 %
TRP.PR.F FloatingReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 10.62
Evaluated at bid price : 10.62
Bid-YTW : 4.84 %
BMO.PR.S FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.92 %
BIP.PR.D FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 23.29
Evaluated at bid price : 23.75
Bid-YTW : 5.32 %
BAM.PR.R FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.17 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 56,455 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.09 %
SLF.PR.C Insurance Straight 34,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 23.32
Evaluated at bid price : 23.60
Bid-YTW : 4.77 %
TD.PF.A FixedReset Disc 29,721 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 3.87 %
TRP.PR.K FixedReset Disc 29,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 23.65
Evaluated at bid price : 24.81
Bid-YTW : 4.89 %
TD.PF.C FixedReset Disc 21,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 3.90 %
NA.PR.C FixedReset Disc 21,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 23.35
Evaluated at bid price : 24.41
Bid-YTW : 3.97 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Insurance Straight Quote: 23.65 – 24.27
Spot Rate : 0.6200
Average : 0.3494

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 4.81 %

RY.PR.M FixedReset Disc Quote: 19.15 – 19.85
Spot Rate : 0.7000
Average : 0.5442

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.02 %

SLF.PR.I FixedReset Ins Non Quote: 20.10 – 20.56
Spot Rate : 0.4600
Average : 0.3115

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.04 %

IFC.PR.I Perpetual-Premium Quote: 25.72 – 26.25
Spot Rate : 0.5300
Average : 0.4023

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 5.13 %

MFC.PR.H FixedReset Ins Non Quote: 22.10 – 22.41
Spot Rate : 0.3100
Average : 0.1981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 4.06 %

BMO.PR.Y FixedReset Disc Quote: 19.75 – 20.30
Spot Rate : 0.5500
Average : 0.4388

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.98 %

November 20, 2020

Friday, November 20th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.0919 % 1,776.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0919 % 3,259.3
Floater 4.79 % 4.84 % 39,026 15.73 3 1.0919 % 1,878.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0154 % 3,579.2
SplitShare 4.84 % 4.31 % 45,607 3.90 9 0.0154 % 4,274.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0154 % 3,335.0
Perpetual-Premium 5.34 % 2.43 % 76,782 0.39 14 0.1285 % 3,186.9
Perpetual-Discount 5.15 % 5.14 % 79,033 15.16 19 0.0894 % 3,601.9
FixedReset Disc 5.30 % 4.13 % 117,312 16.51 64 0.0998 % 2,187.1
Insurance Straight 5.07 % 4.90 % 99,942 15.14 22 0.0926 % 3,508.2
FloatingReset 1.97 % 2.08 % 47,220 1.18 3 0.0500 % 1,817.3
FixedReset Prem 5.18 % 2.65 % 219,660 0.72 15 0.0681 % 2,671.9
FixedReset Bank Non 1.94 % 2.13 % 195,140 1.18 2 -0.1205 % 2,863.6
FixedReset Ins Non 5.33 % 4.15 % 74,841 16.67 22 0.1006 % 2,285.8
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.33 %
SLF.PR.G FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.19 %
CM.PR.Q FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.18 %
TRP.PR.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 5.37 %
BMO.PR.Y FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.02 %
TRP.PR.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 12.63
Evaluated at bid price : 12.63
Bid-YTW : 5.35 %
BAM.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.19 %
TRP.PR.B FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 8.67
Evaluated at bid price : 8.67
Bid-YTW : 5.06 %
BAM.PR.C Floater 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.82 %
BAM.PR.B Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 8.97
Evaluated at bid price : 8.97
Bid-YTW : 4.84 %
CIU.PR.A Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 4.96 %
TRP.PR.D FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.35 %
BAM.PF.B FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.S FixedReset Disc 58,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 3.80 %
TRP.PR.K FixedReset Disc 49,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.81 %
BNS.PR.Z FixedReset Bank Non 38,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 2.13 %
MFC.PR.Q FixedReset Ins Non 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.13 %
RS.PR.A SplitShare 25,861 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.13
Bid-YTW : 4.97 %
TRP.PR.E FixedReset Disc 18,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.42 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.F FixedReset Disc Quote: 23.10 – 23.90
Spot Rate : 0.8000
Average : 0.4663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 5.58 %

BAM.PR.B Floater Quote: 8.97 – 9.65
Spot Rate : 0.6800
Average : 0.4210

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 8.97
Evaluated at bid price : 8.97
Bid-YTW : 4.84 %

CM.PR.Q FixedReset Disc Quote: 19.42 – 20.08
Spot Rate : 0.6600
Average : 0.4653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.18 %

BAM.PR.R FixedReset Disc Quote: 13.20 – 13.75
Spot Rate : 0.5500
Average : 0.3660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.33 %

PWF.PR.E Perpetual-Discount Quote: 25.16 – 25.59
Spot Rate : 0.4300
Average : 0.2691

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-20
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 1.37 %

BAM.PF.C Perpetual-Discount Quote: 22.85 – 23.25
Spot Rate : 0.4000
Average : 0.2756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-20
Maturity Price : 22.59
Evaluated at bid price : 22.85
Bid-YTW : 5.38 %

November 19, 2020

Thursday, November 19th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5988 % 1,757.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5988 % 3,224.1
Floater 4.84 % 4.90 % 40,567 15.63 3 -0.5988 % 1,858.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3358 % 3,578.6
SplitShare 4.84 % 4.31 % 47,465 3.90 9 0.3358 % 4,273.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3358 % 3,334.4
Perpetual-Premium 5.35 % 3.65 % 76,491 0.40 14 -0.0865 % 3,182.8
Perpetual-Discount 5.15 % 5.14 % 79,292 15.16 19 0.2624 % 3,598.7
FixedReset Disc 5.30 % 4.12 % 119,041 16.52 64 0.0008 % 2,184.9
Insurance Straight 5.06 % 4.89 % 103,753 15.14 22 -0.0498 % 3,505.0
FloatingReset 1.98 % 2.07 % 48,611 1.19 3 0.2339 % 1,816.4
FixedReset Prem 5.19 % 2.94 % 221,982 0.72 15 0.0288 % 2,670.1
FixedReset Bank Non 1.94 % 2.06 % 180,665 1.18 2 0.0402 % 2,867.1
FixedReset Ins Non 5.29 % 4.19 % 71,587 16.53 22 0.1659 % 2,283.5
Performance Highlights
Issue Index Change Notes
NA.PR.G FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.33 %
BAM.PR.B Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 8.82
Evaluated at bid price : 8.82
Bid-YTW : 4.92 %
PWF.PR.T FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.48 %
BAM.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 5.22 %
GWO.PR.N FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 10.28
Evaluated at bid price : 10.28
Bid-YTW : 4.36 %
TRP.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 5.50 %
TRP.PR.A FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.41 %
IFC.PR.A FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 4.41 %
IAF.PR.G FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 4.25 %
BAM.PF.D Perpetual-Discount 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 23.04
Evaluated at bid price : 23.45
Bid-YTW : 5.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.Y FixedReset Disc 109,944 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 3.98 %
SLF.PR.A Insurance Straight 81,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.89 %
POW.PR.D Perpetual-Discount 77,617 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.10 %
RS.PR.A SplitShare 64,240 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.10
Bid-YTW : 5.03 %
TRP.PR.C FixedReset Disc 60,754 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.32 %
MFC.PR.I FixedReset Ins Non 55,767 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 4.11 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 17.01 – 18.01
Spot Rate : 1.0000
Average : 0.6492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.25 %

CU.PR.G Perpetual-Discount Quote: 23.49 – 24.00
Spot Rate : 0.5100
Average : 0.3428

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 23.07
Evaluated at bid price : 23.49
Bid-YTW : 4.78 %

PVS.PR.F SplitShare Quote: 25.40 – 26.00
Spot Rate : 0.6000
Average : 0.4432

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.31 %

NA.PR.G FixedReset Disc Quote: 20.30 – 20.70
Spot Rate : 0.4000
Average : 0.2553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.33 %

BAM.PF.B FixedReset Disc Quote: 16.20 – 16.70
Spot Rate : 0.5000
Average : 0.3780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.29 %

TRP.PR.F FloatingReset Quote: 10.36 – 10.99
Spot Rate : 0.6300
Average : 0.5145

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-19
Maturity Price : 10.36
Evaluated at bid price : 10.36
Bid-YTW : 4.96 %

November 18, 2020

Wednesday, November 18th, 2020

PerpetualDiscounts now yield 5.14%, equivalent to 6.68% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 375bp reported November 11.

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 0.5267 % 1,767.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5267 % 3,243.5
Floater 4.81 % 4.86 % 40,738 15.69 3 0.5267 % 1,869.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2806 % 3,566.6
SplitShare 4.75 % 4.42 % 38,385 3.49 8 0.2806 % 4,259.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2806 % 3,323.3
Perpetual-Premium 5.35 % 2.70 % 76,247 0.40 14 0.2097 % 3,185.5
Perpetual-Discount 5.17 % 5.14 % 78,022 15.15 19 -0.0459 % 3,589.2
FixedReset Disc 5.30 % 4.11 % 120,361 16.51 64 0.3021 % 2,184.9
Insurance Straight 5.06 % 4.90 % 101,336 15.14 22 0.0701 % 3,506.7
FloatingReset 1.98 % 2.34 % 49,037 1.19 3 -0.0334 % 1,812.2
FixedReset Prem 5.19 % 2.99 % 220,741 0.72 15 0.1154 % 2,669.4
FixedReset Bank Non 1.94 % 2.09 % 183,517 1.18 2 0.0000 % 2,865.9
FixedReset Ins Non 5.30 % 4.18 % 70,400 16.53 22 0.3599 % 2,279.7
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 22.52
Evaluated at bid price : 22.80
Bid-YTW : 5.44 %
TRP.PR.B FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 5.16 %
BAM.PR.B Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 8.93
Evaluated at bid price : 8.93
Bid-YTW : 4.86 %
PWF.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.42 %
NA.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 23.28
Evaluated at bid price : 24.25
Bid-YTW : 4.02 %
BAM.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.24 %
SLF.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.09 %
IFC.PR.I Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 5.12 %
MFC.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 4.12 %
IFC.PR.C FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.41 %
BIP.PR.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 22.36
Evaluated at bid price : 22.76
Bid-YTW : 5.56 %
PWF.PR.P FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.64 %
BAM.PR.X FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 4.97 %
TRP.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.46 %
PVS.PR.F SplitShare 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.24 %
BIK.PR.A FixedReset Prem 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.10 %
TD.PF.C FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset Disc 157,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.46 %
TRP.PR.C FixedReset Disc 81,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.32 %
TRP.PR.B FixedReset Disc 81,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 5.16 %
BMO.PR.Q FixedReset Bank Non 76,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 2.28 %
CM.PR.R FixedReset Disc 75,290 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 23.42
Evaluated at bid price : 23.80
Bid-YTW : 4.10 %
CM.PR.O FixedReset Disc 35,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.17 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 10.36 – 10.99
Spot Rate : 0.6300
Average : 0.3879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 10.36
Evaluated at bid price : 10.36
Bid-YTW : 4.96 %

BAM.PF.D Perpetual-Discount Quote: 22.80 – 23.54
Spot Rate : 0.7400
Average : 0.5172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 22.52
Evaluated at bid price : 22.80
Bid-YTW : 5.44 %

BIP.PR.D FixedReset Disc Quote: 23.11 – 23.60
Spot Rate : 0.4900
Average : 0.2918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 22.67
Evaluated at bid price : 23.11
Bid-YTW : 5.47 %

BAM.PF.E FixedReset Disc Quote: 15.18 – 15.95
Spot Rate : 0.7700
Average : 0.6532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.28 %

CIU.PR.A Perpetual-Discount Quote: 22.90 – 23.40
Spot Rate : 0.5000
Average : 0.3882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-18
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.03 %

BIK.PR.A FixedReset Prem Quote: 25.80 – 26.40
Spot Rate : 0.6000
Average : 0.4884

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.10 %

November 17, 2020

Tuesday, November 17th, 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 0.0376 % 1,758.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0376 % 3,226.5
Floater 4.84 % 4.90 % 41,267 15.63 3 0.0376 % 1,859.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0148 % 3,556.6
SplitShare 4.77 % 4.49 % 38,858 3.48 8 -0.0148 % 4,247.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0148 % 3,314.0
Perpetual-Premium 5.36 % 3.63 % 77,280 0.40 14 -0.0754 % 3,178.9
Perpetual-Discount 5.17 % 5.14 % 77,607 15.15 19 0.3817 % 3,590.9
FixedReset Disc 5.32 % 4.12 % 120,942 16.51 64 0.1480 % 2,178.3
Insurance Straight 5.07 % 4.90 % 102,507 15.15 22 0.0923 % 3,504.2
FloatingReset 1.98 % 2.34 % 48,987 1.19 3 0.2511 % 1,812.8
FixedReset Prem 5.19 % 2.98 % 221,254 0.73 15 -0.0603 % 2,666.3
FixedReset Bank Non 1.94 % 2.08 % 185,971 1.19 2 0.0201 % 2,865.9
FixedReset Ins Non 5.32 % 4.19 % 70,628 16.50 22 0.7102 % 2,271.5
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.04 %
BNS.PR.I FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 3.88 %
BMO.PR.Y FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 4.01 %
IFC.PR.I Perpetual-Premium -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 5.28 %
CM.PR.R FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 23.52
Evaluated at bid price : 23.90
Bid-YTW : 4.08 %
SLF.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.78 %
MFC.PR.K FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.19 %
BAM.PR.Z FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.30 %
GWO.PR.N FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 10.23
Evaluated at bid price : 10.23
Bid-YTW : 4.38 %
CM.PR.Q FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.12 %
PWF.PR.T FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.47 %
BAM.PF.A FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.23 %
MFC.PR.G FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.14 %
MFC.PR.H FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 21.62
Evaluated at bid price : 22.03
Bid-YTW : 4.16 %
TRP.PR.G FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 5.55 %
MFC.PR.F FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 4.17 %
BAM.PR.R FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 5.17 %
MFC.PR.R FixedReset Ins Non 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 23.88
Evaluated at bid price : 25.25
Bid-YTW : 4.26 %
BAM.PF.D Perpetual-Discount 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 23.09
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %
CU.PR.F Perpetual-Discount 7.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 23.13
Evaluated at bid price : 23.60
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset Bank Non 156,009 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 2.08 %
BMO.PR.Q FixedReset Bank Non 44,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 2.27 %
TRP.PR.A FixedReset Disc 35,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 5.47 %
CM.PR.R FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 23.52
Evaluated at bid price : 23.90
Bid-YTW : 4.08 %
BMO.PR.C FixedReset Disc 30,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 24.16
Evaluated at bid price : 24.50
Bid-YTW : 3.91 %
BIP.PR.A FixedReset Disc 27,046 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.94 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 19.53 – 20.25
Spot Rate : 0.7200
Average : 0.5236

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.35 %

TD.PF.C FixedReset Disc Quote: 18.45 – 18.90
Spot Rate : 0.4500
Average : 0.3227

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.04 %

TRP.PR.J FixedReset Prem Quote: 25.32 – 25.63
Spot Rate : 0.3100
Average : 0.1928

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.70 %

PVS.PR.I SplitShare Quote: 25.20 – 25.50
Spot Rate : 0.3000
Average : 0.1839

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.70 %

GWO.PR.N FixedReset Ins Non Quote: 10.23 – 10.73
Spot Rate : 0.5000
Average : 0.3843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 10.23
Evaluated at bid price : 10.23
Bid-YTW : 4.38 %

GWO.PR.G Insurance Straight Quote: 25.05 – 25.39
Spot Rate : 0.3400
Average : 0.2333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-17
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.26 %

November 16, 2020

Monday, November 16th, 2020

An article in the Globe about drone deliveries led to two source papers. The first, The sky may not be the limit – A case study in Berlin, attempts to estimate the volume of deliveries attainable:

Using the city of Berlin as an example, we consider practical questions such as how will drones be controlled, how many parcels could be delivered and, critically, what are the challenges to implementation. For example, we calculate that the usable air space above Berlin could accommodate 1,200 cargo drones at any one time, enabling the possible delivery of up to four million parcels every year.

Regarding minimum safety distances, we assume a scale factor of 10% compared to commercial air traffic rules. This means minimum horizontal distances for cargo drones would be 550 m and minimum vertical distances 30 m.

So, if drone operations are allowed on 280 days a year (excludes Sundays and 30 other non-operating days due to adverse weather conditions and public holidays), up to 4 million parcels can possibly be delivered by cargo drones in Berlin every year.

And what percentage of a Berlin’s parcel delivery needs will drones be able to cover? Around 135 million parcels were delivered in Berlin in 2018, with about 80% (110 million) weighing less than 2 kg (the assumed maximum load of a parcel drone). Thus, at maximum capacity and based on 2019 figures, drones could handle 3.6% of parcel deliveries under 2 kg.

Over half a click of horizontal safety space? I will readily admit to not being an expert on Drone Air Traffic Control, but that seems excessive. The figure is not justified in the paper, beyond the seemingly arbitrary scaling to 10% of commercial air traffic rules.

The other paper is titled Estimation of traffic density from drone-based delivery in very low level urban airspace:

When considering that the probability for traffic conflicts grows quadratically with traffic density (Hoekstra, 2001), managing airspace complexity will be one of the main challenges of unmanned traffic management concepts such as U-Space.

Each of the U-Space level consists of a set services aimed at supporting and adopting the growth of drone operations for European Union (EU) member states. However, challenges associated with integrating high densities of drone traffic to the urban airspace in a safe and efficient manner, is yet to be tackled by the regulatory and technological apparatus of U-Space.

The question remains what would be the expected volume of drone traffic for a typical urban airspace such as Paris. The study conducted by (Airbus UTM, 2018) estimated an average of 16,667 delivery drones per hour, or a traffic density of 8333 delivery drones, for Paris by 2035. The latter figure is nearly eight-fold lower than the potential scenario of traffic density delivery drones of 63,596 estimated in this study for both express parcel and food deliveries.

I am sorely tempted to imagine a regulatory regime in which the bulk of a drone’s flight is restricted to arterial roads; this will reduce noise complaints from old ladies. When the drone gets sufficiently close to its destination, then it can veer off – still using existing streets – and make its deliveries. Surely such a regime would enable the required horizontal clearance to be reduced to a mere fraction of 550m.

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 1.3349 % 1,757.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3349 % 3,225.3
Floater 4.84 % 4.90 % 41,737 15.62 3 1.3349 % 1,858.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2912 % 3,557.2
SplitShare 4.77 % 4.46 % 38,982 3.49 8 0.2912 % 4,248.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2912 % 3,314.5
Perpetual-Premium 5.35 % 3.61 % 79,836 0.40 14 -0.0558 % 3,181.3
Perpetual-Discount 5.19 % 5.15 % 77,942 15.13 19 -0.3258 % 3,577.2
FixedReset Disc 5.33 % 4.13 % 121,566 16.52 64 0.3914 % 2,175.1
Insurance Straight 5.07 % 4.87 % 98,713 15.16 22 0.0776 % 3,501.0
FloatingReset 1.98 % 2.44 % 50,996 1.19 3 0.1173 % 1,808.2
FixedReset Prem 5.19 % 2.83 % 226,860 0.73 15 0.1313 % 2,667.9
FixedReset Bank Non 1.94 % 2.11 % 172,172 1.19 2 0.1207 % 2,865.4
FixedReset Ins Non 5.36 % 4.23 % 70,366 16.42 22 0.3291 % 2,255.5
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 21.65
Evaluated at bid price : 22.05
Bid-YTW : 5.10 %
MFC.PR.R FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 24.12
Evaluated at bid price : 24.50
Bid-YTW : 4.46 %
BAM.PF.D Perpetual-Discount -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 22.52
Evaluated at bid price : 22.80
Bid-YTW : 5.44 %
BAM.PR.R FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.32 %
BMO.PR.W FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 3.98 %
MFC.PR.C Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 4.83 %
BAM.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 5.23 %
IAF.PR.G FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.39 %
BAM.PR.X FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 5.09 %
BAM.PR.C Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 4.90 %
BAM.PR.B Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 8.84
Evaluated at bid price : 8.84
Bid-YTW : 4.91 %
NA.PR.W FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.29 %
MFC.PR.Q FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.21 %
CM.PR.Q FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.18 %
CU.PR.E Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 24.44
Evaluated at bid price : 24.70
Bid-YTW : 4.96 %
TRP.PR.D FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.51 %
TD.PF.E FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.03 %
TRP.PR.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.56 %
BAM.PR.K Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 8.88
Evaluated at bid price : 8.88
Bid-YTW : 4.89 %
PWF.PR.P FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.72 %
BAM.PF.G FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.26 %
TRP.PR.A FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 12.27
Evaluated at bid price : 12.27
Bid-YTW : 5.51 %
TRP.PR.C FixedReset Disc 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 9.47
Evaluated at bid price : 9.47
Bid-YTW : 5.33 %
SLF.PR.G FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 4.11 %
BAM.PF.E FixedReset Disc 3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.29 %
RY.PR.Z FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 3.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 104,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 3.25 %
TRP.PR.A FixedReset Disc 93,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 12.27
Evaluated at bid price : 12.27
Bid-YTW : 5.51 %
MFC.PR.B Insurance Straight 60,288 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 23.96
Evaluated at bid price : 24.21
Bid-YTW : 4.86 %
IFC.PR.I Perpetual-Premium 49,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 5.12 %
TRP.PR.E FixedReset Disc 47,242 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.56 %
MFC.PR.M FixedReset Ins Non 45,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.18 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 22.05 – 23.82
Spot Rate : 1.7700
Average : 0.9659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 21.65
Evaluated at bid price : 22.05
Bid-YTW : 5.10 %

PWF.PR.T FixedReset Disc Quote: 17.05 – 17.98
Spot Rate : 0.9300
Average : 0.5882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.53 %

MFC.PR.R FixedReset Ins Non Quote: 24.50 – 25.24
Spot Rate : 0.7400
Average : 0.5023

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 24.12
Evaluated at bid price : 24.50
Bid-YTW : 4.46 %

BAM.PF.E FixedReset Disc Quote: 15.15 – 15.95
Spot Rate : 0.8000
Average : 0.6075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.29 %

BAM.PF.D Perpetual-Discount Quote: 22.80 – 23.50
Spot Rate : 0.7000
Average : 0.5392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 22.52
Evaluated at bid price : 22.80
Bid-YTW : 5.44 %

BMO.PR.W FixedReset Disc Quote: 18.38 – 18.82
Spot Rate : 0.4400
Average : 0.3000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-16
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 3.98 %

November 13, 2020

Friday, November 13th, 2020

Everybody’s got an idea for a new tax:

As brightening vaccine prospects tease a return to pre-pandemic normalcy and employers map out when and how remote workers return to the office, analysts at Deutsche Bank are proposing a “privilege tax” on post-pandemic work from home to subsidize lost wages for low-income workers.
  • Deutsche argues that remote workers contribute less to the economy’s infrastructure while still receiving its benefits, and says that a 5% tax on individuals levied against their wages on days they decide to work remotely would “leave them no worse off than if they had chosen to go into the office.”
  • Similarly, the bank proposes levying the 5% tax on employers for each employee who decides to work from home permanently, saying that companies could even be better off despite the tax given potential savings on office downsizing and general maintenance.
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 0.4983 % 1,734.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4983 % 3,182.8
Floater 4.91 % 4.97 % 41,061 15.52 3 0.4983 % 1,834.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1724 % 3,546.8
SplitShare 4.78 % 4.56 % 40,260 3.49 8 -0.1724 % 4,235.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1724 % 3,304.9
Perpetual-Premium 5.35 % 3.12 % 76,687 0.28 14 0.0391 % 3,183.0
Perpetual-Discount 5.17 % 5.17 % 78,630 15.16 19 0.1445 % 3,588.9
FixedReset Disc 5.35 % 4.13 % 125,716 16.53 64 0.2452 % 2,166.6
Insurance Straight 5.07 % 4.88 % 99,866 15.13 22 0.1518 % 3,498.3
FloatingReset 1.99 % 2.42 % 50,518 1.20 3 -0.0503 % 1,806.1
FixedReset Prem 5.20 % 3.08 % 221,143 0.74 15 0.0850 % 2,664.4
FixedReset Bank Non 1.94 % 2.20 % 173,941 1.20 2 -0.0201 % 2,861.9
FixedReset Ins Non 5.37 % 4.25 % 69,289 16.43 22 1.0753 % 2,248.1
Performance Highlights
Issue Index Change Notes
RY.PR.Z FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.96 %
SLF.PR.G FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 4.24 %
NA.PR.W FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 4.36 %
PWF.PR.P FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.81 %
CM.PR.Q FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.24 %
MFC.PR.Q FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.27 %
BMO.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 22.94
Evaluated at bid price : 23.32
Bid-YTW : 3.95 %
MFC.PR.F FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 4.29 %
BMO.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.03 %
BNS.PR.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.81 %
TD.PF.I FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 22.87
Evaluated at bid price : 23.21
Bid-YTW : 3.84 %
SLF.PR.H FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.24 %
BAM.PR.R FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.22 %
BMO.PR.Y FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.99 %
MFC.PR.H FixedReset Ins Non 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 4.23 %
TD.PF.C FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.93 %
MFC.PR.N FixedReset Ins Non 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.20 %
MFC.PR.M FixedReset Ins Non 15.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset Prem 104,242 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.19 %
TD.PF.H FixedReset Prem 47,925 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.78 %
SLF.PR.A Insurance Straight 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 4.88 %
TRP.PR.G FixedReset Disc 35,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.64 %
PWF.PR.K Perpetual-Discount 34,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.16 %
BAM.PF.G FixedReset Disc 32,635 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 5.36 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 17.08 – 17.75
Spot Rate : 0.6700
Average : 0.3974

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 4.36 %

CU.PR.E Perpetual-Discount Quote: 24.35 – 25.00
Spot Rate : 0.6500
Average : 0.3814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 24.05
Evaluated at bid price : 24.35
Bid-YTW : 5.03 %

PWF.PR.G Perpetual-Premium Quote: 25.35 – 25.94
Spot Rate : 0.5900
Average : 0.3609

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-13
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -8.32 %

RY.PR.Z FixedReset Disc Quote: 18.05 – 18.65
Spot Rate : 0.6000
Average : 0.3959

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.96 %

MFC.PR.F FixedReset Ins Non Quote: 11.12 – 11.94
Spot Rate : 0.8200
Average : 0.6259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 4.29 %

CU.PR.C FixedReset Disc Quote: 17.10 – 17.81
Spot Rate : 0.7100
Average : 0.5304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.25 %

November 12, 2020

Thursday, November 12th, 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 -1.5843 % 1,725.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5843 % 3,167.0
Floater 4.93 % 4.99 % 41,498 15.48 3 -1.5843 % 1,825.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1085 % 3,553.0
SplitShare 4.77 % 4.46 % 40,684 3.50 8 0.1085 % 4,243.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1085 % 3,310.6
Perpetual-Premium 5.35 % 3.66 % 76,690 0.41 14 0.0671 % 3,181.8
Perpetual-Discount 5.18 % 5.16 % 79,432 15.16 19 -0.0328 % 3,583.8
FixedReset Disc 5.36 % 4.16 % 127,208 16.47 64 -0.0821 % 2,161.3
Insurance Straight 5.08 % 4.93 % 100,499 15.14 22 -0.1128 % 3,493.0
FloatingReset 1.97 % 2.20 % 52,493 1.20 3 -0.1839 % 1,807.0
FixedReset Prem 5.20 % 3.06 % 230,046 0.74 15 -0.0184 % 2,662.1
FixedReset Bank Non 1.94 % 2.18 % 179,706 1.20 2 -0.0603 % 2,862.5
FixedReset Ins Non 5.43 % 4.36 % 69,639 16.30 22 -1.2715 % 2,224.2
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset Ins Non -13.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.92 %
MFC.PR.N FixedReset Ins Non -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.37 %
BMO.PR.Y FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.10 %
TD.PF.C FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.06 %
TRP.PR.B FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.11 %
BAM.PR.K Floater -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 4.99 %
MFC.PR.F FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.38 %
IAF.PR.G FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.49 %
MFC.PR.H FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.38 %
BAM.PR.B Floater -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 4.99 %
MFC.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.20 %
BAM.PF.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.44 %
BAM.PR.C Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.69
Evaluated at bid price : 8.69
Bid-YTW : 4.99 %
SLF.PR.H FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.34 %
BIK.PR.A FixedReset Prem -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.66 %
CM.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.13 %
IFC.PR.G FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.59 %
NA.PR.G FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.32 %
BAM.PF.D Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.07
Evaluated at bid price : 23.35
Bid-YTW : 5.31 %
BIP.PR.D FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 22.39
Evaluated at bid price : 22.80
Bid-YTW : 5.54 %
BIP.PR.F FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 22.27
Evaluated at bid price : 22.75
Bid-YTW : 5.66 %
PWF.PR.P FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset Disc 402,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.72 %
RY.PR.M FixedReset Disc 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.14 %
CM.PR.T FixedReset Disc 68,868 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.17
Evaluated at bid price : 24.60
Bid-YTW : 4.05 %
NA.PR.E FixedReset Disc 59,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.29 %
CM.PR.R FixedReset Disc 56,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.13
Evaluated at bid price : 23.52
Bid-YTW : 4.16 %
TD.PF.L FixedReset Disc 33,445 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.24
Evaluated at bid price : 24.79
Bid-YTW : 3.95 %
There were 16 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: 15.80 – 18.56
Spot Rate : 2.7600
Average : 1.5414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.92 %

BMO.PR.Y FixedReset Disc Quote: 19.30 – 20.30
Spot Rate : 1.0000
Average : 0.6777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.10 %

BMO.PR.C FixedReset Disc Quote: 24.20 – 25.00
Spot Rate : 0.8000
Average : 0.4932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.82
Evaluated at bid price : 24.20
Bid-YTW : 3.97 %

TD.PF.C FixedReset Disc Quote: 18.45 – 19.00
Spot Rate : 0.5500
Average : 0.3371

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.06 %

MFC.PR.H FixedReset Ins Non Quote: 21.20 – 21.90
Spot Rate : 0.7000
Average : 0.5163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.38 %

IAF.PR.G FixedReset Ins Non Quote: 19.00 – 19.75
Spot Rate : 0.7500
Average : 0.5700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.49 %

November 11, 2020

Wednesday, November 11th, 2020

PerpetualDiscounts now yield 5.15%, equivalent to 6.70% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.96%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 375bp from the 365bp reported November 4.

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 -1.0821 % 1,753.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0821 % 3,218.0
Floater 4.85 % 4.91 % 41,740 15.62 3 -1.0821 % 1,854.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0592 % 3,549.1
SplitShare 4.78 % 4.51 % 42,321 3.50 8 0.0592 % 4,238.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0592 % 3,307.0
Perpetual-Premium 5.36 % 3.31 % 75,558 0.12 14 -0.0726 % 3,179.7
Perpetual-Discount 5.17 % 5.15 % 80,276 15.19 19 0.1952 % 3,584.9
FixedReset Disc 5.35 % 4.17 % 127,765 16.47 64 0.2192 % 2,163.1
Insurance Straight 5.08 % 4.90 % 104,185 15.14 22 0.1574 % 3,496.9
FloatingReset 1.97 % 1.93 % 52,901 1.21 3 0.0837 % 1,810.4
FixedReset Prem 5.20 % 2.95 % 233,656 0.74 15 0.0762 % 2,662.6
FixedReset Bank Non 1.94 % 2.10 % 181,276 1.20 2 0.0201 % 2,864.2
FixedReset Ins Non 5.36 % 4.28 % 65,746 16.35 22 0.3444 % 2,252.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.52 %
PWF.PR.P FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.88 %
BAM.PR.C Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 4.92 %
BMO.PR.S FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.07 %
BAM.PF.A FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.37 %
BAM.PR.B Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.84
Evaluated at bid price : 8.84
Bid-YTW : 4.91 %
TRP.PR.C FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 9.09
Evaluated at bid price : 9.09
Bid-YTW : 5.61 %
RY.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.84 %
BMO.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 23.87
Evaluated at bid price : 24.25
Bid-YTW : 3.96 %
BMO.PR.E FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.06 %
MFC.PR.F FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.30 %
CM.PR.Q FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.21 %
BAM.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 5.19 %
TRP.PR.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.67 %
MFC.PR.N FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.19 %
CM.PR.S FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.09 %
MFC.PR.I FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.14 %
BIK.PR.A FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 5.30 %
CM.PR.P FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
SLF.PR.G FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.48
Evaluated at bid price : 11.48
Bid-YTW : 4.13 %
TRP.PR.G FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.66 %
TRP.PR.B FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.83
Evaluated at bid price : 8.83
Bid-YTW : 5.00 %
NA.PR.W FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 4.28 %
BAM.PR.R FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 5.34 %
BMO.PR.Y FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.X FixedReset Disc 68,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 5.19 %
BAM.PR.T FixedReset Disc 38,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.33 %
RY.PR.Z FixedReset Disc 37,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.86 %
MFC.PR.J FixedReset Ins Non 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.32 %
TRP.PR.A FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.67 %
BMO.PR.T FixedReset Disc 18,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.04 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 18.04 – 21.00
Spot Rate : 2.9600
Average : 2.4036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.19 %

MFC.PR.I FixedReset Ins Non Quote: 21.05 – 21.87
Spot Rate : 0.8200
Average : 0.4732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.14 %

PWF.PR.P FixedReset Disc Quote: 10.75 – 11.75
Spot Rate : 1.0000
Average : 0.7374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.88 %

GWO.PR.N FixedReset Ins Non Quote: 10.00 – 10.49
Spot Rate : 0.4900
Average : 0.2999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.52 %

SLF.PR.H FixedReset Ins Non Quote: 15.71 – 16.40
Spot Rate : 0.6900
Average : 0.5231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.28 %

BMO.PR.T FixedReset Disc Quote: 17.94 – 18.36
Spot Rate : 0.4200
Average : 0.2743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.04 %

November 10, 2020

Tuesday, November 10th, 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 2.2121 % 1,772.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2121 % 3,253.2
Floater 4.80 % 4.85 % 41,416 15.74 3 2.2121 % 1,874.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2573 % 3,547.0
SplitShare 4.78 % 4.50 % 43,949 3.50 8 0.2573 % 4,235.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2573 % 3,305.0
Perpetual-Premium 5.35 % 0.02 % 78,235 0.12 14 0.0895 % 3,182.0
Perpetual-Discount 5.18 % 5.16 % 82,572 15.17 19 0.1692 % 3,577.9
FixedReset Disc 5.37 % 4.16 % 129,420 16.47 64 0.6511 % 2,158.4
Insurance Straight 5.08 % 4.90 % 105,481 15.14 22 0.0259 % 3,491.4
FloatingReset 1.97 % 2.29 % 51,553 1.21 3 0.1844 % 1,808.8
FixedReset Prem 5.20 % 3.02 % 237,361 0.74 15 0.0894 % 2,660.6
FixedReset Bank Non 1.94 % 2.20 % 184,138 1.21 2 -0.0402 % 2,863.6
FixedReset Ins Non 5.38 % 4.31 % 67,925 16.41 22 1.9550 % 2,245.1
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.13 %
NA.PR.G FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.42 %
BAM.PF.D Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 5.39 %
CM.PR.Q FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.26 %
TRP.PR.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 5.75 %
MFC.PR.B Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 23.89
Evaluated at bid price : 24.14
Bid-YTW : 4.87 %
CM.PR.P FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 4.11 %
RY.PR.J FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.05 %
TD.PF.B FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.01 %
TD.PF.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 3.99 %
MFC.PR.J FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.34 %
TRP.PR.F FloatingReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 10.27
Evaluated at bid price : 10.27
Bid-YTW : 4.98 %
TRP.PR.C FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 5.54 %
TRP.PR.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.76 %
TD.PF.D FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 4.10 %
TD.PF.I FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 22.59
Evaluated at bid price : 22.92
Bid-YTW : 3.91 %
TD.PF.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 3.95 %
BAM.PF.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.38 %
MFC.PR.H FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.35 %
MFC.PR.Q FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 4.24 %
RY.PR.H FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.89 %
BMO.PR.W FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.95 %
MFC.PR.F FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 4.34 %
CU.PR.D Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 24.21
Evaluated at bid price : 24.45
Bid-YTW : 5.01 %
BIP.PR.E FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 5.72 %
TRP.PR.D FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.66 %
BNS.PR.I FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.84 %
IFC.PR.G FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.54 %
RY.PR.S FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.79 %
BMO.PR.T FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.07 %
CM.PR.O FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.20 %
BAM.PR.Z FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 5.35 %
BAM.PR.C Floater 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 8.96
Evaluated at bid price : 8.96
Bid-YTW : 4.84 %
RY.PR.Z FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 3.84 %
BAM.PR.K Floater 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 8.89
Evaluated at bid price : 8.89
Bid-YTW : 4.88 %
MFC.PR.M FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.23 %
BAM.PR.B Floater 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.76 %
IFC.PR.A FixedReset Ins Non 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 4.56 %
TRP.PR.B FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.11 %
SLF.PR.B Insurance Straight 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.90 %
BMO.PR.S FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 4.01 %
MFC.PR.R FixedReset Ins Non 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 23.80
Evaluated at bid price : 25.05
Bid-YTW : 4.32 %
BAM.PR.R FixedReset Disc 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.48 %
BAM.PR.T FixedReset Disc 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.34 %
MFC.PR.G FixedReset Ins Non 30.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset Prem 110,334 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 2.59 %
TD.PF.G FixedReset Prem 92,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 2.76 %
TRP.PR.E FixedReset Disc 62,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 5.75 %
W.PR.K FixedReset Disc 41,116 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.55 %
BAM.PR.X FixedReset Disc 38,648 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 5.26 %
RY.PR.Q FixedReset Prem 28,874 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.07 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 17.81 – 21.00
Spot Rate : 3.1900
Average : 1.7935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.25 %

MFC.PR.F FixedReset Ins Non Quote: 11.08 – 12.00
Spot Rate : 0.9200
Average : 0.5449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 4.34 %

BAM.PR.X FixedReset Disc Quote: 11.20 – 11.95
Spot Rate : 0.7500
Average : 0.4860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 5.26 %

CM.PR.P FixedReset Disc Quote: 18.31 – 19.00
Spot Rate : 0.6900
Average : 0.4964

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 4.11 %

RY.PR.M FixedReset Disc Quote: 18.78 – 19.85
Spot Rate : 1.0700
Average : 0.8884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.14 %

BMO.PR.Y FixedReset Disc Quote: 19.15 – 19.88
Spot Rate : 0.7300
Average : 0.5592

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.13 %