Archive for April, 2020

April 30, 2020

Thursday, April 30th, 2020

Well, that’s another month done! This one was considerably more pleasant than the last one!

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 -0.4259 % 1,473.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4259 % 2,704.0
Floater 5.24 % 5.46 % 38,197 14.71 4 -0.4259 % 1,558.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1820 % 3,320.1
SplitShare 5.00 % 5.83 % 68,315 3.91 7 -0.1820 % 3,964.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1820 % 3,093.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6252 % 2,905.4
Perpetual-Discount 5.78 % 5.90 % 89,840 14.04 35 0.6252 % 3,116.4
FixedReset Disc 6.38 % 5.34 % 209,778 14.78 83 0.0986 % 1,783.2
Deemed-Retractible 5.54 % 5.83 % 97,495 13.91 27 0.0637 % 3,059.5
FloatingReset 4.95 % 4.83 % 63,702 15.80 3 0.4876 % 1,775.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0986 % 2,466.1
FixedReset Bank Non 1.99 % 3.10 % 184,591 1.72 2 0.7282 % 2,775.3
FixedReset Ins Non 6.67 % 5.52 % 132,626 14.13 22 0.7320 % 1,782.9
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -11.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.87 %
TRP.PR.G FixedReset Disc -6.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.45 %
RY.PR.J FixedReset Disc -5.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.31 %
TRP.PR.F FloatingReset -4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 9.63
Evaluated at bid price : 9.63
Bid-YTW : 5.65 %
BAM.PF.A FixedReset Disc -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.87 %
CM.PR.P FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 5.28 %
BAM.PF.G FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 13.83
Evaluated at bid price : 13.83
Bid-YTW : 6.03 %
CM.PR.R FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.77 %
NA.PR.E FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.38 %
NA.PR.C FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.79 %
CM.PR.S FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.25 %
TRP.PR.C FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 5.76 %
BAM.PR.B Floater -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 7.94
Evaluated at bid price : 7.94
Bid-YTW : 5.46 %
PVS.PR.H SplitShare -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.68 %
TRP.PR.K FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.53 %
BAM.PR.Z FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.00 %
IFC.PR.A FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 5.41 %
TD.PF.D FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 5.29 %
BIP.PR.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.60 %
BAM.PF.E FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 6.56 %
BIP.PR.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.17 %
GWO.PR.G Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 6.05 %
BIP.PR.B FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.26 %
BIP.PR.D FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.45 %
NA.PR.G FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 5.45 %
TD.PF.K FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 4.98 %
NA.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.64
Evaluated at bid price : 14.64
Bid-YTW : 5.35 %
TD.PF.C FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.00 %
PWF.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 5.92 %
BNS.PR.H FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 22.82
Evaluated at bid price : 23.20
Bid-YTW : 5.03 %
PWF.PR.K Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.05 %
PWF.PR.R Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 22.74
Evaluated at bid price : 22.99
Bid-YTW : 6.01 %
PWF.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.05 %
BAM.PF.C Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 5.90 %
GWO.PR.M Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 24.04
Evaluated at bid price : 24.29
Bid-YTW : 6.04 %
BMO.PR.S FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 5.04 %
MFC.PR.H FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.71 %
MFC.PR.O FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 5.67 %
BMO.PR.Q FixedReset Bank Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 3.60 %
ELF.PR.H Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 22.75
Evaluated at bid price : 23.04
Bid-YTW : 6.01 %
IFC.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 5.42 %
BMO.PR.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 22.46
Evaluated at bid price : 22.80
Bid-YTW : 4.97 %
GWO.PR.F Deemed-Retractible 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 5.99 %
BMO.PR.Y FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.31 %
ELF.PR.G Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.85 %
MFC.PR.I FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.86 %
BAM.PF.H FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 5.26 %
IFC.PR.C FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.37 %
CM.PR.Q FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.63 %
BMO.PR.C FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.34 %
TRP.PR.B FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 8.05
Evaluated at bid price : 8.05
Bid-YTW : 5.44 %
PWF.PR.F Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 21.82
Evaluated at bid price : 22.06
Bid-YTW : 5.98 %
PWF.PR.L Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 5.98 %
TRP.PR.A FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.71 %
HSE.PR.E FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 9.62 %
SLF.PR.I FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.45 %
POW.PR.D Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.90 %
SLF.PR.H FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 5.29 %
MFC.PR.K FixedReset Ins Non 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.34 %
MFC.PR.F FixedReset Ins Non 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 9.15
Evaluated at bid price : 9.15
Bid-YTW : 5.21 %
W.PR.K FixedReset Disc 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 23.62
Evaluated at bid price : 24.25
Bid-YTW : 5.43 %
HSE.PR.G FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 10.61
Evaluated at bid price : 10.61
Bid-YTW : 9.54 %
SLF.PR.G FixedReset Ins Non 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 9.35
Evaluated at bid price : 9.35
Bid-YTW : 5.03 %
BNS.PR.I FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.61 %
BMO.PR.E FixedReset Disc 4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.96 %
HSE.PR.C FixedReset Disc 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 9.35 %
TD.PF.J FixedReset Disc 5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.90 %
TRP.PR.E FixedReset Disc 8.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.74 %
TRP.PR.H FloatingReset 8.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 7.90
Evaluated at bid price : 7.90
Bid-YTW : 4.83 %
PWF.PR.P FixedReset Disc 9.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 5.17 %
CU.PR.C FixedReset Disc 10.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.70 %
BAM.PR.X FixedReset Disc 12.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 5.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.K FixedReset Ins Non 82,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.34 %
TRP.PR.A FixedReset Disc 66,104 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.71 %
TRP.PR.J FixedReset Disc 42,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 5.64 %
BMO.PR.Y FixedReset Disc 42,248 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.31 %
TD.PF.A FixedReset Disc 37,836 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.94
Evaluated at bid price : 14.94
Bid-YTW : 4.96 %
BAM.PF.C Perpetual-Discount 37,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 5.90 %
There were 38 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: 15.44 – 18.80
Spot Rate : 3.3600
Average : 2.2556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 5.29 %

BIP.PR.C FixedReset Disc Quote: 21.85 – 24.24
Spot Rate : 2.3900
Average : 1.4520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 21.50
Evaluated at bid price : 21.85
Bid-YTW : 6.19 %

TD.PF.E FixedReset Disc Quote: 14.30 – 16.53
Spot Rate : 2.2300
Average : 1.5228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.87 %

TRP.PR.G FixedReset Disc Quote: 13.55 – 15.09
Spot Rate : 1.5400
Average : 0.9692

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.45 %

RY.PR.J FixedReset Disc Quote: 15.05 – 16.19
Spot Rate : 1.1400
Average : 0.7474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.31 %

IFC.PR.G FixedReset Ins Non Quote: 15.65 – 16.86
Spot Rate : 1.2100
Average : 0.8277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-30
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 5.42 %

DBRS Confirms NA at Pfd-2(low); cuts Trend to Stable

Thursday, April 30th, 2020

DBRS has announced that it:

confirmed the ratings of National Bank of Canada (National or the Bank) and its related entities, including the Bank’s Long-Term Issuer Rating at AA (low) and Short-Term Issuer Rating at R-1 (middle). DBRS Morningstar also changed the trend on all ratings to Stable from Positive. National’s Long-Term Issuer Rating is composed of an Intrinsic Assessment of A (high) and a Support Assessment of SA2, reflecting the expectation of timely systemic support from the Government of Canada (rated AAA with a Stable trend by DBRS Morningstar). The SA2 designation results in a one-notch uplift to the Long-Term Issuer Rating. Once the Bank has issued a sufficient level of Bail-inable Senior Debt to provide for an adequate buffer for other obligations under the Canadian Bank Recapitalization Regime, DBRS Morningstar expects to remove the uplift from systemic support.

KEY RATING CONSIDERATIONS
The change in trend to Stable from Positive reflects DBRS Morningstar’s concern regarding the negative impact of the Coronavirus Disease (COVID-19) pandemic on the Bank’s revenue, earnings, and asset quality, reflecting the wide and growing scale of the economic disruption it has caused. Nevertheless, there has been unprecedented support measures put in place by governments and regulators around the globe, which will mitigate some of the negative impacts of this crisis. Additionally, National is entering this downturn from a position of strength with a strong balance sheet.

Capitalization is strong as National continues to organically generate sufficient capital to support its balance sheet growth and enable the Bank to support its customers during this period. As at January 31, 2020, National’s Common Equity Tier 1 ratio stood at 11.7%, well above the Office of the Superintendent of Financial Institutions’ (OSFI) minimum requirements and at the top range of large Canadian bank peers. On March 13, 2020, OSFI lowered the Domestic Stability Buffer (DSB) requirement for Domestic Systemically Important Banks (D-SIBs) to 1.0%, which effectively reduces the CET1 regulatory minimum to 9.0%. As the DSB was intended, OSFI is providing the D-SIBs with more flexibility to extend loans to their customers during the coronavirus pandemic. Simultaneously, OSFI announced that it expects all D-SIBs to halt any new dividend increases and common share buyback activity.

Affected issues are: NA.PR.A, NA.PR.C, NA.PR.E, NA.PR.G, NA.PR.S, NA.PR.W and NA.PR.X.

April 29, 2020

Wednesday, April 29th, 2020
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The markets got excited over initial testing of remdesivir today:

A top U.S. health official said Gilead Sciences Inc’s experimental antiviral drug remdesivir is likely to become the standard of care for COVID-19 after early results from a key clinical trial on Wednesday showed it helped certain patients recover more quickly from the illness caused by the coronavirus.

Preliminary results from a U.S. government trial show that patients given remdesivir had a 31 per cent faster recovery time than those who received a placebo, results hailed by Dr. Anthony Fauci, the nation’s top infectious disease expert, as “highly significant.”

Gilead earlier on Wednesday said remdesivir helped improve outcomes for patients with COVID-19 in the government-run trial, and provided additional data suggesting it worked better when given earlier in the course of illness, sending its shares up more than 7 per cent.

The FOMC also met, but nothing really new was said, although they hint at forward guidance suggesting rates are stuck for a while:

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

The coronavirus outbreak is causing tremendous human and economic hardship across the United States and around the world. The virus and the measures taken to protect public health are inducing sharp declines in economic activity and a surge in job losses. Weaker demand and significantly lower oil prices are holding down consumer price inflation. The disruptions to economic activity here and abroad have significantly affected financial conditions and have impaired the flow of credit to U.S. households and businesses.

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

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

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

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

Implementation Note issued April 29, 2020

TXPR closed at 524.34, up 2.76% on the day. Volume today was 3.59-million, very high in the context of the past thirty days.

CPD closed at 10.49, up 2.44% on the day. Volume was 227,152, second only to April 9 in the past 30 trading days.

ZPR closed at 8.195, up 2.69% on the day. Volume of 358,272 was high in the context of the past 30 trading days.

Five-year Canada yields were down 1bp to 0.41% today.

PerpetualDiscounts now yield 5.96%, equivalent to 7.75% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.38%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened somewhat, to 435bp from the 425bp reported April 22.

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 2.6225 % 1,479.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.6225 % 2,715.6
Floater 5.22 % 5.35 % 36,826 14.89 4 2.6225 % 1,565.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.6737 % 3,326.1
SplitShare 4.99 % 5.88 % 68,241 3.91 7 0.6737 % 3,972.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6737 % 3,099.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 1.5399 % 2,887.4
Perpetual-Discount 5.81 % 5.96 % 90,871 13.95 35 1.5399 % 3,097.0
FixedReset Disc 6.37 % 5.35 % 208,959 14.67 83 2.6856 % 1,781.4
Deemed-Retractible 5.54 % 5.79 % 96,888 13.92 27 1.8130 % 3,057.6
FloatingReset 4.97 % 5.22 % 66,011 15.11 3 5.4172 % 1,766.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 2.6856 % 2,463.6
FixedReset Bank Non 2.00 % 3.22 % 186,428 1.72 2 0.0413 % 2,755.3
FixedReset Ins Non 6.72 % 5.58 % 134,071 14.16 22 2.8112 % 1,769.9
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -7.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 6.35 %
CU.PR.C FixedReset Disc -5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.19 %
TD.PF.J FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 5.17 %
MFC.PR.O FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.39
Evaluated at bid price : 23.90
Bid-YTW : 5.74 %
BMO.PR.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.23 %
PVS.PR.D SplitShare 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.73 %
PVS.PR.H SplitShare 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.34 %
BAM.PF.H FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.79
Evaluated at bid price : 23.45
Bid-YTW : 5.35 %
TD.PF.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.70
Evaluated at bid price : 24.22
Bid-YTW : 5.30 %
BIP.PR.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.50 %
GWO.PR.I Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.98 %
MFC.PR.K FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 5.49 %
PWF.PR.L Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.11 %
TD.PF.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.55
Evaluated at bid price : 22.90
Bid-YTW : 5.36 %
GWO.PR.F Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 6.07 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.21 %
SLF.PR.I FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.58 %
PWF.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.98
Evaluated at bid price : 24.23
Bid-YTW : 6.12 %
PWF.PR.R Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.34
Evaluated at bid price : 22.75
Bid-YTW : 6.07 %
CU.PR.I FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.50
Evaluated at bid price : 24.20
Bid-YTW : 4.68 %
BAM.PR.N Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.93 %
BIP.PR.F FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.43 %
BAM.PR.K Floater 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 7.88
Evaluated at bid price : 7.88
Bid-YTW : 5.50 %
GWO.PR.Q Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.64
Evaluated at bid price : 21.64
Bid-YTW : 6.03 %
RY.PR.W Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.36 %
BIP.PR.D FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 6.36 %
GWO.PR.M Deemed-Retractible 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.71
Evaluated at bid price : 24.02
Bid-YTW : 6.10 %
BIP.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.50
Evaluated at bid price : 21.85
Bid-YTW : 6.18 %
TRP.PR.K FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.56
Evaluated at bid price : 22.87
Bid-YTW : 5.43 %
BAM.PF.I FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.42
Evaluated at bid price : 22.75
Bid-YTW : 5.32 %
GWO.PR.P Deemed-Retractible 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.35
Evaluated at bid price : 22.62
Bid-YTW : 6.03 %
EIT.PR.A SplitShare 1.68 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.88 %
POW.PR.B Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.00
Evaluated at bid price : 22.23
Bid-YTW : 6.07 %
POW.PR.D Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.04 %
RY.PR.Q FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.54
Evaluated at bid price : 24.06
Bid-YTW : 5.18 %
BAM.PF.F FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 6.08 %
GWO.PR.T Deemed-Retractible 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 5.98 %
POW.PR.C Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.09 %
CM.PR.Y FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.27 %
ELF.PR.G Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.95 %
PWF.PR.H Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 6.07 %
TRP.PR.J FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 24.52
Evaluated at bid price : 24.87
Bid-YTW : 5.61 %
BAM.PF.C Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.96 %
CU.PR.E Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.70 %
PWF.PR.F Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.34
Evaluated at bid price : 21.61
Bid-YTW : 6.10 %
TD.PF.L FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 5.10 %
MFC.PR.Q FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.45 %
BAM.PF.D Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.89 %
GWO.PR.H Deemed-Retractible 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 5.98 %
CM.PR.T FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.23 %
GWO.PR.S Deemed-Retractible 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.77
Evaluated at bid price : 22.04
Bid-YTW : 6.02 %
GWO.PR.R Deemed-Retractible 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.92 %
HSE.PR.C FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 10.36
Evaluated at bid price : 10.36
Bid-YTW : 9.83 %
BAM.PR.R FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 5.97 %
SLF.PR.C Deemed-Retractible 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.71 %
PWF.PR.K Perpetual-Discount 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.11 %
RY.PR.S FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.60 %
IFC.PR.G FixedReset Ins Non 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.50 %
GWO.PR.L Deemed-Retractible 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 5.94 %
PWF.PR.O Perpetual-Discount 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.07 %
EML.PR.A FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.20
Evaluated at bid price : 23.77
Bid-YTW : 5.76 %
IFC.PR.F Deemed-Retractible 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.40
Evaluated at bid price : 22.80
Bid-YTW : 5.86 %
BMO.PR.F FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.13 %
BAM.PR.M Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.86 %
PWF.PR.S Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.04 %
CU.PR.D Perpetual-Discount 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 5.65 %
NA.PR.G FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.43 %
MFC.PR.R FixedReset Ins Non 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.77 %
BIP.PR.A FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 7.07 %
BNS.PR.E FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.56
Evaluated at bid price : 24.10
Bid-YTW : 5.18 %
TD.PF.I FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.02 %
MFC.PR.H FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.78 %
TD.PF.H FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.94
Evaluated at bid price : 22.52
Bid-YTW : 5.10 %
CU.PR.H Perpetual-Discount 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.11
Evaluated at bid price : 23.55
Bid-YTW : 5.65 %
SLF.PR.A Deemed-Retractible 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 5.70 %
PWF.PR.E Perpetual-Discount 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.00 %
MFC.PR.N FixedReset Ins Non 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.60 %
NA.PR.E FixedReset Disc 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 5.25 %
RY.PR.H FixedReset Disc 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 4.92 %
PWF.PR.Z Perpetual-Discount 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.06 %
SLF.PR.E Deemed-Retractible 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.70 %
TD.PF.D FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 5.21 %
W.PR.M FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.89
Evaluated at bid price : 24.28
Bid-YTW : 5.38 %
POW.PR.A Perpetual-Discount 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.94 %
POW.PR.G Perpetual-Discount 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.18
Evaluated at bid price : 23.47
Bid-YTW : 6.01 %
MFC.PR.J FixedReset Ins Non 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.39 %
SLF.PR.B Deemed-Retractible 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.65 %
SLF.PR.D Deemed-Retractible 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 5.62 %
GWO.PR.G Deemed-Retractible 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 5.97 %
SLF.PR.H FixedReset Ins Non 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 5.42 %
CM.PR.R FixedReset Disc 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.62 %
BNS.PR.H FixedReset Disc 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.60
Evaluated at bid price : 22.97
Bid-YTW : 5.08 %
MFC.PR.B Deemed-Retractible 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.73 %
TRP.PR.H FloatingReset 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 7.31
Evaluated at bid price : 7.31
Bid-YTW : 5.22 %
RY.PR.Z FixedReset Disc 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 4.81 %
IAF.PR.G FixedReset Ins Non 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.58 %
TD.PF.B FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 4.99 %
TD.PF.A FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.97 %
BAM.PF.E FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.45 %
BMO.PR.B FixedReset Disc 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.46
Evaluated at bid price : 22.80
Bid-YTW : 5.05 %
MFC.PR.C Deemed-Retractible 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.74 %
BAM.PR.Z FixedReset Disc 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.89 %
BMO.PR.C FixedReset Disc 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.54
Evaluated at bid price : 14.54
Bid-YTW : 5.93 %
NA.PR.A FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.19
Evaluated at bid price : 23.67
Bid-YTW : 5.41 %
TRP.PR.B FixedReset Disc 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 7.89
Evaluated at bid price : 7.89
Bid-YTW : 5.55 %
IFC.PR.E Deemed-Retractible 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 5.79 %
SLF.PR.G FixedReset Ins Non 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 5.20 %
PWF.PR.T FixedReset Disc 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 5.86 %
IFC.PR.C FixedReset Ins Non 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.46 %
BMO.PR.Y FixedReset Disc 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.42 %
RY.PR.J FixedReset Disc 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.99 %
HSE.PR.E FixedReset Disc 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 9.85 %
CM.PR.Q FixedReset Disc 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.74 %
BAM.PF.A FixedReset Disc 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.64 %
IAF.PR.I FixedReset Ins Non 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 5.51 %
IFC.PR.A FixedReset Ins Non 4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 11.23
Evaluated at bid price : 11.23
Bid-YTW : 5.32 %
GWO.PR.N FixedReset Ins Non 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 4.90 %
TRP.PR.D FixedReset Disc 4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.75 %
BAM.PF.G FixedReset Disc 4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 5.88 %
CM.PR.O FixedReset Disc 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 5.39 %
BMO.PR.S FixedReset Disc 4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.13 %
TRP.PR.F FloatingReset 4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 5.41 %
NA.PR.S FixedReset Disc 4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.28 %
TD.PF.C FixedReset Disc 4.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 4.95 %
HSE.PR.G FixedReset Disc 4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 9.82 %
NA.PR.C FixedReset Disc 5.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.65 %
BMO.PR.D FixedReset Disc 5.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 5.36 %
MFC.PR.G FixedReset Ins Non 5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.73 %
CM.PR.S FixedReset Disc 5.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.13 %
TRP.PR.A FixedReset Disc 5.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.85 %
TD.PF.K FixedReset Disc 5.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.92 %
BMO.PR.W FixedReset Disc 5.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.02 %
BMO.PR.T FixedReset Disc 6.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 5.07 %
BAM.PR.T FixedReset Disc 6.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 5.92 %
TRP.PR.C FixedReset Disc 6.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 8.93
Evaluated at bid price : 8.93
Bid-YTW : 5.64 %
TRP.PR.G FixedReset Disc 7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.02 %
CM.PR.P FixedReset Disc 7.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 5.13 %
MFC.PR.L FixedReset Ins Non 7.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.43 %
SLF.PR.J FloatingReset 8.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 4.45 %
NA.PR.W FixedReset Disc 8.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.18 %
PWF.PR.A Floater 8.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.76 %
MFC.PR.F FixedReset Ins Non 9.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.36 %
TD.PF.E FixedReset Disc 12.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 5.22 %
HSE.PR.A FixedReset Disc 16.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 6.45
Evaluated at bid price : 6.45
Bid-YTW : 8.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.A Floater 104,240 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.76 %
BNS.PR.E FixedReset Disc 74,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 23.56
Evaluated at bid price : 24.10
Bid-YTW : 5.18 %
PWF.PR.I Perpetual-Discount 67,898 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 6.12 %
TD.PF.K FixedReset Disc 63,287 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.92 %
TRP.PR.D FixedReset Disc 60,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.75 %
CM.PR.T FixedReset Disc 58,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.23 %
There were 86 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 9.25 – 11.33
Spot Rate : 2.0800
Average : 1.2176

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 6.35 %

BNS.PR.I FixedReset Disc Quote: 17.25 – 19.18
Spot Rate : 1.9300
Average : 1.0939

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.78 %

TD.PF.D FixedReset Disc Quote: 15.69 – 17.50
Spot Rate : 1.8100
Average : 1.0446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 5.21 %

RY.PR.M FixedReset Disc Quote: 14.80 – 16.85
Spot Rate : 2.0500
Average : 1.3636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.21 %

NA.PR.S FixedReset Disc Quote: 14.80 – 16.19
Spot Rate : 1.3900
Average : 0.7594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.28 %

TD.PF.J FixedReset Disc Quote: 16.61 – 18.13
Spot Rate : 1.5200
Average : 0.8904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-29
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 5.17 %

April 28, 2020

Tuesday, April 28th, 2020
rainbow_200428
Click for Big

TXPR closed at 510.24, up 0.76% on the day. Volume today was 2.72-million, below average in the context of the past thirty days.

CPD closed at 10.24, up 1.69% on the day. Volume was 77,422, quite low in the context of the past 30 trading days.

ZPR closed at 7.98, up 0.88% on the day. Volume of 258,059 was average in the context of the past 30 trading days.

Five-year Canada yields were down 5bp to 0.42% 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 -1.4462 % 1,442.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4462 % 2,646.2
Floater 5.35 % 5.40 % 37,462 14.82 4 -1.4462 % 1,525.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2310 % 3,303.9
SplitShare 5.02 % 6.00 % 68,934 3.91 7 0.2310 % 3,945.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2310 % 3,078.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6492 % 2,843.6
Perpetual-Discount 5.90 % 6.07 % 88,185 13.76 35 0.6492 % 3,050.0
FixedReset Disc 6.54 % 5.51 % 207,804 14.40 83 0.6632 % 1,734.8
Deemed-Retractible 5.64 % 5.97 % 96,979 13.75 27 0.7077 % 3,003.2
FloatingReset 5.24 % 5.39 % 65,941 14.83 3 0.6768 % 1,675.6
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.6632 % 2,399.2
FixedReset Bank Non 2.00 % 3.57 % 172,472 1.72 2 0.2692 % 2,754.1
FixedReset Ins Non 6.90 % 5.76 % 136,239 13.88 22 1.1903 % 1,721.5
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -5.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 12.08
Evaluated at bid price : 12.08
Bid-YTW : 6.69 %
TD.PF.E FixedReset Disc -4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 5.86 %
PWF.PR.A Floater -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 8.32
Evaluated at bid price : 8.32
Bid-YTW : 5.16 %
TRP.PR.E FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 6.23 %
HSE.PR.A FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 5.55
Evaluated at bid price : 5.55
Bid-YTW : 10.10 %
BAM.PR.K Floater -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 7.76
Evaluated at bid price : 7.76
Bid-YTW : 5.59 %
SLF.PR.G FixedReset Ins Non -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 8.71
Evaluated at bid price : 8.71
Bid-YTW : 5.40 %
BAM.PR.T FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 6.33 %
IFC.PR.C FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.68 %
IFC.PR.G FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 5.62 %
PWF.PR.T FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 6.10 %
GWO.PR.N FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 8.71
Evaluated at bid price : 8.71
Bid-YTW : 5.12 %
BAM.PF.H FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.57
Evaluated at bid price : 23.20
Bid-YTW : 5.41 %
GWO.PR.M Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.35
Evaluated at bid price : 23.64
Bid-YTW : 6.20 %
SLF.PR.I FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.66 %
TD.PF.B FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.17 %
BMO.PR.B FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.24 %
TD.PF.D FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 5.35 %
BNS.PR.H FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 21.78
Evaluated at bid price : 22.27
Bid-YTW : 5.24 %
CM.PR.Y FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.37 %
BMO.PR.Y FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.64 %
BAM.PR.R FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.10 %
CM.PR.R FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 5.80 %
BMO.PR.D FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.64 %
NA.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 5.55 %
MFC.PR.C Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.95 %
RY.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.09
Evaluated at bid price : 22.45
Bid-YTW : 5.44 %
BIP.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.57 %
MFC.PR.F FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 8.13
Evaluated at bid price : 8.13
Bid-YTW : 5.87 %
TD.PF.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.15 %
MFC.PR.O FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.78
Evaluated at bid price : 24.25
Bid-YTW : 5.66 %
MFC.PR.B Deemed-Retractible 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.91 %
BAM.PR.Z FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.12 %
CU.PR.F Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.60 %
CU.PR.I FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.13
Evaluated at bid price : 23.85
Bid-YTW : 4.75 %
BAM.PF.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.15 %
TD.PF.C FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.20 %
BAM.PF.B FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 6.16 %
BAM.PF.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.90 %
RY.PR.Z FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.97 %
TD.PF.J FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.08 %
PWF.PR.R Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.07
Evaluated at bid price : 22.43
Bid-YTW : 6.16 %
POW.PR.C Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.30
Evaluated at bid price : 23.58
Bid-YTW : 6.20 %
BNS.PR.G FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.88
Evaluated at bid price : 24.31
Bid-YTW : 5.35 %
IFC.PR.A FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 5.57 %
HSE.PR.G FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 9.82
Evaluated at bid price : 9.82
Bid-YTW : 10.32 %
NA.PR.X FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.64
Evaluated at bid price : 24.15
Bid-YTW : 5.54 %
CU.PR.H Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.58
Evaluated at bid price : 22.95
Bid-YTW : 5.80 %
TRP.PR.B FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 7.60
Evaluated at bid price : 7.60
Bid-YTW : 5.76 %
BIK.PR.A FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 6.57 %
TRP.PR.D FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 6.02 %
MFC.PR.Q FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.56 %
MFC.PR.J FixedReset Ins Non 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.56 %
BMO.PR.C FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.67 %
MFC.PR.R FixedReset Ins Non 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 5.91 %
IAF.PR.I FixedReset Ins Non 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.76 %
EML.PR.A FixedReset Ins Non 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.70
Evaluated at bid price : 23.25
Bid-YTW : 5.89 %
TRP.PR.C FixedReset Disc 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 8.36
Evaluated at bid price : 8.36
Bid-YTW : 6.02 %
IAF.PR.G FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.77 %
GWO.PR.L Deemed-Retractible 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 6.07 %
TD.PF.I FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.15 %
HSE.PR.E FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 10.30 %
SLF.PR.H FixedReset Ins Non 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 5.59 %
HSE.PR.C FixedReset Disc 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 10.05 %
RY.PR.M FixedReset Disc 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.28 %
CCS.PR.C Deemed-Retractible 4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Disc 186,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.17 %
CM.PR.R FixedReset Disc 127,886 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 5.80 %
HSE.PR.C FixedReset Disc 119,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 10.05 %
BNS.PR.G FixedReset Disc 92,066 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 23.88
Evaluated at bid price : 24.31
Bid-YTW : 5.35 %
MFC.PR.H FixedReset Ins Non 88,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.93 %
RY.PR.J FixedReset Disc 70,837 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.21 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 14.28 – 16.50
Spot Rate : 2.2200
Average : 1.4998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 6.05 %

MFC.PR.M FixedReset Ins Non Quote: 13.52 – 15.20
Spot Rate : 1.6800
Average : 1.0255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 5.79 %

W.PR.K FixedReset Disc Quote: 23.41 – 25.05
Spot Rate : 1.6400
Average : 1.2208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.77
Evaluated at bid price : 23.41
Bid-YTW : 5.62 %

BAM.PF.E FixedReset Disc Quote: 12.08 – 13.20
Spot Rate : 1.1200
Average : 0.7538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 12.08
Evaluated at bid price : 12.08
Bid-YTW : 6.69 %

POW.PR.A Perpetual-Discount Quote: 23.10 – 23.98
Spot Rate : 0.8800
Average : 0.5476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 6.11 %

TD.PF.E FixedReset Disc Quote: 14.33 – 15.74
Spot Rate : 1.4100
Average : 1.1172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-28
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 5.86 %

April 27, 2020

Monday, April 27th, 2020
rainbow_200427
Click for Big

TXPR closed at 506.38, up 0.59% on the day. Volume today was 3.22-million, maybe a hair above average in the context of the past thirty days.

CPD closed at 10.07, up 0.10% on the day. Volume was 65,422, second-lowest of the past 30 trading days, ahead of only April 22

ZPR closed at 7.91, up 0.89% on the day. Volume of 180,599 was well below average in the context of the past 30 trading days.

Five-year Canada yields were up 3bp to 0.47% 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 2.3945 % 1,463.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.3945 % 2,685.0
Floater 5.28 % 5.36 % 37,783 14.89 4 2.3945 % 1,547.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.4462 % 3,296.3
SplitShare 5.03 % 6.04 % 71,664 3.92 7 0.4462 % 3,936.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4462 % 3,071.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1715 % 2,825.2
Perpetual-Discount 5.94 % 6.10 % 88,757 13.76 35 0.1715 % 3,030.4
FixedReset Disc 6.59 % 5.53 % 207,978 14.34 83 0.6786 % 1,723.4
Deemed-Retractible 5.68 % 6.03 % 97,778 13.67 27 0.4157 % 2,982.0
FloatingReset 5.27 % 5.40 % 67,039 14.82 3 -0.2190 % 1,664.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.6786 % 2,383.4
FixedReset Bank Non 2.00 % 3.57 % 174,274 1.72 2 0.4247 % 2,746.7
FixedReset Ins Non 6.99 % 5.80 % 127,079 13.71 22 1.2407 % 1,701.3
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 7.07
Evaluated at bid price : 7.07
Bid-YTW : 5.40 %
TRP.PR.A FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 6.25 %
MFC.PR.F FixedReset Ins Non -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 8.02
Evaluated at bid price : 8.02
Bid-YTW : 5.96 %
TD.PF.E FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.57 %
CCS.PR.C Deemed-Retractible -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.24 %
TRP.PR.G FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.44 %
TD.PF.F Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 22.07
Evaluated at bid price : 22.41
Bid-YTW : 5.48 %
HSE.PR.C FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 9.78
Evaluated at bid price : 9.78
Bid-YTW : 10.46 %
BAM.PR.X FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 9.89
Evaluated at bid price : 9.89
Bid-YTW : 5.92 %
NA.PR.X FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.16
Evaluated at bid price : 23.70
Bid-YTW : 5.65 %
POW.PR.A Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 22.71
Evaluated at bid price : 22.95
Bid-YTW : 6.15 %
MFC.PR.J FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.69 %
SLF.PR.D Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 5.83 %
GWO.PR.Q Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.15 %
MFC.PR.O FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.39
Evaluated at bid price : 23.90
Bid-YTW : 5.74 %
BMO.PR.W FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.37 %
CU.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 22.80
Evaluated at bid price : 23.50
Bid-YTW : 4.82 %
MFC.PR.M FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.82 %
RY.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.05 %
NA.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.45 %
CM.PR.O FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.69 %
GWO.PR.F Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.21 %
MFC.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.78 %
IFC.PR.A FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 10.57
Evaluated at bid price : 10.57
Bid-YTW : 5.67 %
IAF.PR.B Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 5.75 %
EML.PR.A FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 22.00
Evaluated at bid price : 22.60
Bid-YTW : 6.06 %
CIU.PR.A Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 5.73 %
TRP.PR.D FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 6.16 %
SLF.PR.C Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 5.89 %
GWO.PR.I Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.06 %
PVS.PR.G SplitShare 1.26 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.77 %
POW.PR.D Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.16 %
TD.PF.J FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 5.16 %
TD.PF.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.22 %
TRP.PR.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 8.11
Evaluated at bid price : 8.11
Bid-YTW : 6.21 %
BNS.PR.I FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.86 %
MFC.PR.G FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 6.11 %
MFC.PR.K FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.56 %
RY.PR.P Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 5.45 %
SLF.PR.H FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 5.80 %
TRP.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.04 %
W.PR.K FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 22.72
Evaluated at bid price : 23.36
Bid-YTW : 5.64 %
TD.PF.G FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.32
Evaluated at bid price : 23.87
Bid-YTW : 5.37 %
HSE.PR.G FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 9.65
Evaluated at bid price : 9.65
Bid-YTW : 10.50 %
IFC.PR.C FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 5.61 %
GWO.PR.S Deemed-Retractible 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 6.16 %
TD.PF.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 5.28 %
SLF.PR.J FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 8.54
Evaluated at bid price : 8.54
Bid-YTW : 4.85 %
SLF.PR.I FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 5.72 %
MFC.PR.I FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 6.04 %
RY.PR.S FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.71 %
BMO.PR.S FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 5.42 %
TRP.PR.J FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.85
Evaluated at bid price : 24.32
Bid-YTW : 5.73 %
CM.PR.P FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.56 %
BAM.PR.C Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 7.91
Evaluated at bid price : 7.91
Bid-YTW : 5.48 %
RY.PR.J FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.24 %
BAM.PR.B Floater 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 8.09
Evaluated at bid price : 8.09
Bid-YTW : 5.36 %
CM.PR.T FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.39 %
BAM.PF.B FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 6.26 %
RY.PR.H FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 5.07 %
BNS.PR.E FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 22.75
Evaluated at bid price : 23.30
Bid-YTW : 5.36 %
NA.PR.S FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.62 %
BIP.PR.B FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 21.79
Evaluated at bid price : 22.25
Bid-YTW : 6.24 %
BMO.PR.T FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 5.42 %
BAM.PR.K Floater 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 7.94
Evaluated at bid price : 7.94
Bid-YTW : 5.46 %
IAF.PR.I FixedReset Ins Non 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.89
Evaluated at bid price : 14.89
Bid-YTW : 5.93 %
BIP.PR.A FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 7.26 %
PWF.PR.A Floater 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 8.56
Evaluated at bid price : 8.56
Bid-YTW : 5.01 %
HSE.PR.A FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 5.68
Evaluated at bid price : 5.68
Bid-YTW : 9.86 %
TRP.PR.B FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 7.45
Evaluated at bid price : 7.45
Bid-YTW : 5.88 %
GWO.PR.N FixedReset Ins Non 5.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 5.06 %
SLF.PR.G FixedReset Ins Non 7.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.K FixedReset Ins Non 170,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.56 %
TD.PF.M FixedReset Disc 154,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.29 %
RY.PR.Q FixedReset Disc 139,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 22.96
Evaluated at bid price : 23.49
Bid-YTW : 5.30 %
CU.PR.D Perpetual-Discount 116,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 5.82 %
MFC.PR.O FixedReset Ins Non 85,126 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.39
Evaluated at bid price : 23.90
Bid-YTW : 5.74 %
PWF.PR.O Perpetual-Discount 78,028 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 6.25 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.H FixedReset Disc Quote: 14.47 – 17.40
Spot Rate : 2.9300
Average : 1.5926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 5.07 %

TD.PF.A FixedReset Disc Quote: 14.20 – 15.75
Spot Rate : 1.5500
Average : 0.9366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.22 %

BAM.PR.C Floater Quote: 7.91 – 8.91
Spot Rate : 1.0000
Average : 0.6577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 7.91
Evaluated at bid price : 7.91
Bid-YTW : 5.48 %

TD.PF.I FixedReset Disc Quote: 17.12 – 17.94
Spot Rate : 0.8200
Average : 0.5462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.33 %

CM.PR.Y FixedReset Disc Quote: 20.15 – 20.98
Spot Rate : 0.8300
Average : 0.6105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.43 %

TRP.PR.A FixedReset Disc Quote: 10.89 – 11.75
Spot Rate : 0.8600
Average : 0.6434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-27
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 6.25 %

FTN.PR.A To Be Extended

Sunday, April 26th, 2020

Quadravest has announced:

Financial 15 Split Corp. (the “Company”) is pleased to announce it will extend the termination date of the Company a further five year period from December 1, 2020 to December 1, 2025.

The term extension allows holders of FTN Class A Shares (“Class A Shares”) to continue to receive ongoing leveraged exposure to a portfolio consisting of high-quality financial services companies made up of Canadian and U.S. issuers, as well as receiving targeted monthly distributions. Since inception of the Company Class A shareholders have received monthly distributions totaling $20.28 per share.

Holders of the FTN.PR.A Preferred Shares (“Preferred Shares”) are expected to continue to benefit from cumulative preferential monthly distributions. The Preferred shareholders have received a total of $8.56 per share since inception.

The extension of the term of the Company is not expected to be a taxable event and should enable shareholders to defer potential capital gains tax liability that would have otherwise been realized on the redemption of the Class A Shares or Preferred Shares at the end of the term, until such time as such shares are disposed of by shareholders.

In connection with the extension, the Company will have the right to amend the minimum rate of cumulative preferential monthly dividends to be paid to the Preferred Shares for the five year renewal period, commencing December 1, 2020. Any change to the Preferred Share minimum dividend rate for the extended term will be based on market yields for preferred shares with similar terms at such time and will be announced no later than September 30, 2020. The Company has the right to establish the rate of cumulative preferential monthly dividends to be paid to the Preferred Shares on an annual basis.

The Company invests in a high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows: Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, Toronto-Dominion Bank, National Bank of Canada, Manulife Financial Corporation, Sun Life Financial, Great-West Lifeco, CI Financial Corp, Bank of America, Citigroup Inc., Goldman Sachs Group, JP Morgan Chase & Co. and Wells Fargo & Co.

So we’ll see what dividend rate they’re offering next September! The NAVPU was 11.49 as of 2020-4-15, so unless equities do well over the next five months it will have to be pretty good!

Hat tip to Assiduous Reader JD for bringing this to my attention!

RY.PR.J To Reset At 3.20%

Friday, April 24th, 2020

Royal Bank of Canada has announced:

the applicable dividend rates for its Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BD (the “Series BD shares”) and NVCC Non-Cumulative Floating Rate First Preferred Shares, Series BE (the “Series BE shares”).

With respect to any Series BD shares that remain outstanding after May 24, 2020, holders will be entitled to receive quarterly fixed rate non-cumulative preferential cash dividends, as and when declared by the Board of Directors of Royal Bank of Canada, subject to the provisions of the Bank Act (Canada).

The dividend rate for the 5-year period from and including May 24, 2020 to, but excluding, May 24, 2025 will be 3.20% for the Series BD shares, being equal to the 5-Year Government of Canada bond yield determined as of April 24, 2020 plus 2.74%, as determined in accordance with the terms of the Series BD shares.

With respect to any Series BE shares that may be issued on May 24, 2020, holders will be entitled to receive quarterly floating rate non-cumulative preferential cash dividends, calculated on the basis of the actual number of days elapsed in such quarterly period divided by 365, as and when declared by the Board of Directors of Royal Bank of Canada, subject to the provisions of the Bank Act (Canada).

The dividend rate for the floating rate period from and including May 24, 2020 to, but excluding, August 24, 2020 will be 3.01% for the Series BE shares, being equal to the 3-month Government of Canada Treasury Bill yield determined as of April 24, 2020 plus 2.74%, as determined in accordance with the terms of the Series BE shares.

Beneficial owners of Series BD shares who wish to exercise their conversion rights should instruct their broker or other nominee to exercise such rights on or prior to the deadline for notice of intention to convert, which is 5:00 p.m. (EST) on May 11, 2020.

RY.PR.J is a FixedReset, 3.60%+274, NVCC-compliant, that commenced trading 2015-1-30 after being announced 2015-1-26. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., RY.PR.J and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated). Inspection of the graph and the overall average break-even rates for extant pairs will provide a guide for estimating the break-even rate for the pair now under consideration assuming, of course, that enough conversions occur so that the pair is in fact created.

pairs_fr_200424
Click for Big

The market shows odd differences in its enthusiasm for floating rate product; the implied rates until the next interconversion are generally above the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.82% (ignoring the outlier FTS.PR.H / FTS.PR.I, which Exchanges 2020-6-1) and +0.28% (ignoring the outliers EMA.PR.A / EMA.PR.B (Exchanges 2020-8-15), and TA.PR.A / TA.PR.D (Exchanges 2021-3-31)), respectively. The utility of this approach, frankly, has been compromised in recent weeks by continued poor quality of closing quotes provided by the Toronto Stock Exchange; dispersion of the results is even higher than normal!

The breakeven rate for the junk pairs has been relatively high recently; I confess I’m not quite sure what to make of it.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the RY.PR.J FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for RY.PR.J) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.25% 0.75% 0.25%
RY.PR.J 14.95 274bp 15.74 15.24 14.74

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade at a slightly higher price than their FixedReset counterparts, RY.PR.J, although this conclusion is more speculative than usual due to the poor quality of the quotes. Therefore, it seems likely that I will recommend that holders of RY.PR.J make their own decision based on their own portfolios and financial circumstances, with a very slight bias towards the FloatinReset option, but I will wait until it’s closer to the May 11 notification deadline before making a final pronouncement. I will note that once the conversion period has passed it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

April 24, 2020

Friday, April 24th, 2020

Aristocrats have fallen on hard times:

Companies across a range of industries are slashing or suspending dividends to cope with the economic fallout from the coronavirus outbreak, complicating the stock selection process for money managers eager to buttress their portfolios with a steady stream of income.

The S&P 500 dividend aristocrats index, which tracks companies that have increased dividends annually for the past 25 years and includes Exxon and Chevron, has fallen about 19% so far in 2020 as of Thursday, greater than the 12.9% drop over that time for the S&P 500 total return index.

The S&P 500’s dividend yield recently exceeded the yield on the benchmark 10-year U.S. Treasury by its highest margin in nearly five decades.

Goldman Sachs expects S&P 500 aggregate dividends to fall 23% to $398 billion in 2020 after rising each year over the past decade.

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 -0.9054 % 1,429.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9054 % 2,622.2
Floater 5.40 % 5.46 % 37,473 14.72 4 -0.9054 % 1,511.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2744 % 3,281.6
SplitShare 5.06 % 6.04 % 74,507 3.92 7 0.2744 % 3,919.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2744 % 3,057.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2221 % 2,820.4
Perpetual-Discount 5.95 % 6.15 % 87,658 13.71 35 0.2221 % 3,025.2
FixedReset Disc 6.63 % 5.55 % 201,628 14.28 83 0.5680 % 1,711.8
Deemed-Retractible 5.71 % 6.05 % 100,293 13.69 27 0.1503 % 2,969.7
FloatingReset 3.21 % 4.87 % 29,094 14.35 4 0.1396 % 1,668.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.5680 % 2,367.3
FixedReset Bank Non 1.95 % 3.79 % 110,980 1.73 3 0.2748 % 2,735.1
FixedReset Ins Non 7.07 % 5.85 % 127,898 13.66 22 0.4295 % 1,680.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.16 %
TRP.PR.B FixedReset Disc -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 7.20
Evaluated at bid price : 7.20
Bid-YTW : 6.08 %
BAM.PF.B FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.40 %
SLF.PR.J FloatingReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 8.40
Evaluated at bid price : 8.40
Bid-YTW : 4.87 %
SLF.PR.G FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 8.31
Evaluated at bid price : 8.31
Bid-YTW : 5.66 %
RY.PR.P Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 23.19
Evaluated at bid price : 23.65
Bid-YTW : 5.53 %
BAM.PF.H FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.66
Evaluated at bid price : 23.30
Bid-YTW : 5.39 %
TRP.PR.K FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 21.76
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
CU.PR.I FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.39
Evaluated at bid price : 23.25
Bid-YTW : 4.86 %
GWO.PR.N FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 8.36
Evaluated at bid price : 8.36
Bid-YTW : 5.33 %
HSE.PR.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 10.77 %
GWO.PR.T Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.14 %
PWF.PR.H Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 6.24 %
PVS.PR.F SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.04 %
HSE.PR.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 10.66 %
TD.PF.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.37 %
TRP.PR.F FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 9.45
Evaluated at bid price : 9.45
Bid-YTW : 5.70 %
W.PR.M FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.87
Evaluated at bid price : 23.30
Bid-YTW : 5.60 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.96 %
CM.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.50 %
BIK.PR.A FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 21.87
Evaluated at bid price : 22.25
Bid-YTW : 6.64 %
RY.PR.Z FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.11 %
IFC.PR.F Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 21.75
Evaluated at bid price : 22.10
Bid-YTW : 6.05 %
BAM.PR.T FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 6.21 %
IAF.PR.B Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.82 %
IAF.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 6.00 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.19 %
BNS.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 23.35
Evaluated at bid price : 23.83
Bid-YTW : 5.45 %
MFC.PR.Q FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.69 %
CIU.PR.A Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.80 %
BAM.PR.X FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 5.85 %
RY.PR.M FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.47 %
PVS.PR.H SplitShare 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.66 %
W.PR.K FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 5.71 %
MFC.PR.N FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.85 %
PWF.PR.S Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.18 %
TD.PF.B FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.27 %
BMO.PR.F FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.29 %
BIP.PR.F FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.59 %
TRP.PR.H FloatingReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 7.39
Evaluated at bid price : 7.39
Bid-YTW : 5.09 %
NA.PR.A FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.55
Evaluated at bid price : 23.00
Bid-YTW : 5.57 %
BMO.PR.W FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.43 %
TD.PF.M FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.27 %
TRP.PR.D FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.23 %
IFC.PR.A FixedReset Ins Non 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 5.73 %
TRP.PR.A FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 11.19
Evaluated at bid price : 11.19
Bid-YTW : 6.07 %
MFC.PR.M FixedReset Ins Non 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.88 %
BMO.PR.S FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 5.52 %
HSE.PR.C FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 10.31 %
TD.PF.D FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 5.45 %
CU.PR.C FixedReset Disc 4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.97 %
PWF.PR.P FixedReset Disc 10.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 9.03
Evaluated at bid price : 9.03
Bid-YTW : 5.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
W.PR.M FixedReset Disc 63,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.87
Evaluated at bid price : 23.30
Bid-YTW : 5.60 %
TRP.PR.E FixedReset Disc 52,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 6.14 %
NA.PR.W FixedReset Disc 51,419 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.68 %
RY.PR.Q FixedReset Disc 27,959 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.88
Evaluated at bid price : 23.41
Bid-YTW : 5.32 %
BNS.PR.I FixedReset Disc 27,288 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 4.93 %
TD.PF.M FixedReset Disc 26,108 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.27 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 14.10 – 16.85
Spot Rate : 2.7500
Average : 1.7529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.47 %

CU.PR.I FixedReset Disc Quote: 23.25 – 24.48
Spot Rate : 1.2300
Average : 0.7870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 22.39
Evaluated at bid price : 23.25
Bid-YTW : 4.86 %

PVS.PR.F SplitShare Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.6386

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.04 %

CCS.PR.C Deemed-Retractible Quote: 20.75 – 21.90
Spot Rate : 1.1500
Average : 0.8619

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.10 %

BIP.PR.E FixedReset Disc Quote: 19.15 – 20.00
Spot Rate : 0.8500
Average : 0.5925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.61 %

MFC.PR.R FixedReset Ins Non Quote: 18.18 – 18.93
Spot Rate : 0.7500
Average : 0.5462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-24
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.07 %

April 23, 2020

Thursday, April 23rd, 2020

Amidst frequent reports of commercial evictions, there is talk of a new federal program to pay the rent:

Ottawa is proposing to offer commercial rent relief in the form of loans for landlords of small and medium-sized businesses that would cover up to three-quarters of tenants’ payments for three months, according to sources familiar with the negotiations.

A portion of the loans – as much as two-thirds, according to three sources – is expected to be forgivable. Discussions with provinces and territories were continuing as next month’s rent payments loom, said the sources.

Three of the sources said the current proposal would require tenants to cover the remaining 25 per cent of their rent, and that the program would initially cover April, May and June rent, with further months subject to a later decision.

Significant questions remained over measures that would guarantee landlords use the money to relieve their tenants, two sources said.

I must say, I’m getting more than a little tired of the continuing execrable quality of the quotes provided by the Exchange.

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 -1.4668 % 1,442.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4668 % 2,646.2
Floater 5.35 % 5.48 % 39,168 14.69 4 -1.4668 % 1,525.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2737 % 3,272.6
SplitShare 5.07 % 6.30 % 75,260 3.92 7 -0.2737 % 3,908.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2737 % 3,049.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2186 % 2,814.1
Perpetual-Discount 5.96 % 6.15 % 89,663 13.70 35 0.2186 % 3,018.5
FixedReset Disc 6.67 % 5.56 % 203,534 14.22 83 0.0646 % 1,702.1
Deemed-Retractible 5.72 % 6.05 % 101,943 13.66 27 -0.0604 % 2,965.2
FloatingReset 3.21 % 4.77 % 29,509 14.26 4 -0.0598 % 1,665.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0646 % 2,354.0
FixedReset Bank Non 1.95 % 4.27 % 115,484 1.73 3 0.2065 % 2,727.6
FixedReset Ins Non 7.10 % 5.89 % 132,595 13.63 22 0.1597 % 1,673.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -10.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.37 %
GWO.PR.N FixedReset Ins Non -7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 5.27 %
MFC.PR.F FixedReset Ins Non -5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 8.16
Evaluated at bid price : 8.16
Bid-YTW : 5.85 %
CU.PR.C FixedReset Disc -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.18 %
TD.PF.D FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.63 %
MFC.PR.R FixedReset Ins Non -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.09 %
BAM.PR.C Floater -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 7.75
Evaluated at bid price : 7.75
Bid-YTW : 5.59 %
BAM.PR.T FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 11.46
Evaluated at bid price : 11.46
Bid-YTW : 6.29 %
TRP.PR.D FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 6.39 %
HSE.PR.C FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 10.66 %
BAM.PR.B Floater -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 7.90
Evaluated at bid price : 7.90
Bid-YTW : 5.48 %
TRP.PR.A FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 6.24 %
BAM.PR.X FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 5.94 %
IFC.PR.G FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 5.61 %
MFC.PR.G FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 6.21 %
BAM.PR.K Floater -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 7.80
Evaluated at bid price : 7.80
Bid-YTW : 5.55 %
BMO.PR.F FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.39 %
PVS.PR.H SplitShare -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.92 %
IFC.PR.F Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 21.56
Evaluated at bid price : 21.84
Bid-YTW : 6.12 %
BNS.PR.I FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.90 %
IFC.PR.A FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 5.89 %
EIT.PR.A SplitShare -1.25 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.46 %
TD.PF.M FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.39 %
CM.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.52 %
BMO.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.28 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.54 %
MFC.PR.N FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.94 %
GWO.PR.P Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.13 %
TD.PF.B FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 5.35 %
RY.PR.H FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 5.25 %
BMO.PR.T FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 5.56 %
MFC.PR.Q FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.78 %
TD.PF.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.46 %
TD.PF.A FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.32 %
TRP.PR.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.36 %
MFC.PR.M FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.05 %
CM.PR.T FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.57 %
HSE.PR.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 10.77 %
BIP.PR.A FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 7.45 %
RY.PR.P Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 5.45 %
IAF.PR.G FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.08 %
EML.PR.A FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 21.95
Evaluated at bid price : 22.52
Bid-YTW : 6.08 %
W.PR.M FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 22.63
Evaluated at bid price : 23.05
Bid-YTW : 5.66 %
NA.PR.X FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 23.53
Evaluated at bid price : 24.05
Bid-YTW : 5.56 %
TRP.PR.K FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.52 %
MFC.PR.J FixedReset Ins Non 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.77 %
CU.PR.I FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 22.81
Evaluated at bid price : 23.51
Bid-YTW : 4.81 %
SLF.PR.H FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 5.85 %
HSE.PR.A FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 5.55
Evaluated at bid price : 5.55
Bid-YTW : 10.08 %
MFC.PR.H FixedReset Ins Non 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.00 %
SLF.PR.G FixedReset Ins Non 5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 5.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.J FixedReset Disc 152,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.22 %
CM.PR.R FixedReset Disc 132,994 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.90 %
BMO.PR.Y FixedReset Disc 80,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.73 %
MFC.PR.Q FixedReset Ins Non 70,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.78 %
TD.PF.K FixedReset Disc 68,257 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.32 %
MFC.PR.C Deemed-Retractible 53,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 6.05 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 13.91 – 16.50
Spot Rate : 2.5900
Average : 1.5349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 6.21 %

TD.PF.E FixedReset Disc Quote: 15.35 – 17.00
Spot Rate : 1.6500
Average : 1.1067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.46 %

BAM.PF.I FixedReset Disc Quote: 22.55 – 23.75
Spot Rate : 1.2000
Average : 0.7515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 22.24
Evaluated at bid price : 22.55
Bid-YTW : 5.36 %

PWF.PR.P FixedReset Disc Quote: 8.15 – 9.88
Spot Rate : 1.7300
Average : 1.3335

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.37 %

BIP.PR.B FixedReset Disc Quote: 21.75 – 22.75
Spot Rate : 1.0000
Average : 0.6678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 6.38 %

CU.PR.C FixedReset Disc Quote: 14.30 – 15.26
Spot Rate : 0.9600
Average : 0.6378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-23
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.18 %

April 22, 2020

Wednesday, April 22nd, 2020

PerpetualDiscounts now yield 6.15%, equivalent to 8.00% interest at the standard equivalency factor of 1.3x. Long corporates continue to yield 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed significantly, to 425bp from the 445bp reported April 15.

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 2.0319 % 1,463.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.0319 % 2,685.5
Floater 5.25 % 5.37 % 40,870 14.87 4 2.0319 % 1,547.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.4002 % 3,281.6
SplitShare 5.06 % 6.09 % 75,037 3.92 7 0.4002 % 3,919.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4002 % 3,057.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2582 % 2,808.0
Perpetual-Discount 5.98 % 6.15 % 90,430 13.70 35 0.2582 % 3,011.9
FixedReset Disc 6.67 % 5.64 % 205,165 14.15 83 0.5046 % 1,701.0
Deemed-Retractible 5.71 % 6.01 % 102,962 13.64 27 0.3779 % 2,967.0
FloatingReset 3.21 % 4.75 % 30,051 14.26 4 0.9859 % 1,666.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.5046 % 2,352.5
FixedReset Bank Non 1.96 % 4.26 % 116,648 1.73 3 0.0275 % 2,722.0
FixedReset Ins Non 7.12 % 5.89 % 135,452 13.55 22 0.4912 % 1,670.6
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -6.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.88 %
IFC.PR.A FixedReset Ins Non -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.81 %
TRP.PR.K FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.63 %
BAM.PF.B FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.28 %
CM.PR.Y FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 5.49 %
CM.PR.Q FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 6.07 %
TRP.PR.G FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.45 %
TD.PF.H FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.30 %
NA.PR.X FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 23.06
Evaluated at bid price : 23.60
Bid-YTW : 5.67 %
BAM.PF.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 12.74
Evaluated at bid price : 12.74
Bid-YTW : 6.32 %
TD.PF.M FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.33 %
BIP.PR.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.57 %
RY.PR.P Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 23.15
Evaluated at bid price : 23.60
Bid-YTW : 5.54 %
RY.PR.S FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.87 %
PWF.PR.S Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.26 %
EML.PR.A FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 21.69
Evaluated at bid price : 22.11
Bid-YTW : 6.20 %
BAM.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.13 %
MFC.PR.Q FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.86 %
RY.PR.H FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.32 %
PWF.PR.P FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 5.70 %
POW.PR.B Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 21.48
Evaluated at bid price : 21.74
Bid-YTW : 6.19 %
RY.PR.E Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.24 %
TD.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 5.42 %
RY.PR.R FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 23.83
Evaluated at bid price : 24.25
Bid-YTW : 5.41 %
CU.PR.G Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.72 %
EIT.PR.A SplitShare 1.26 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 6.09 %
GWO.PR.L Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.26 %
GWO.PR.I Deemed-Retractible 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.12 %
IFC.PR.G FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %
NA.PR.S FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 5.77 %
CU.PR.F Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.68 %
BAM.PR.M Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.04 %
PWF.PR.I Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.15 %
RY.PR.G Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 5.05 %
RY.PR.Z FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 5.22 %
BAM.PF.D Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.03 %
PWF.PR.T FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.12 %
NA.PR.W FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.68 %
TRP.PR.A FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 6.11 %
MFC.PR.I FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 6.15 %
TD.PF.C FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 5.48 %
TD.PF.A FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.40 %
TRP.PR.F FloatingReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 9.35
Evaluated at bid price : 9.35
Bid-YTW : 5.75 %
RY.PR.M FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.60 %
BNS.PR.H FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 5.27 %
BAM.PR.C Floater 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 7.96
Evaluated at bid price : 7.96
Bid-YTW : 5.44 %
IAF.PR.G FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.19 %
BAM.PR.B Floater 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 8.06
Evaluated at bid price : 8.06
Bid-YTW : 5.37 %
BAM.PR.K Floater 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 7.92
Evaluated at bid price : 7.92
Bid-YTW : 5.47 %
EIT.PR.B SplitShare 2.13 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.90 %
PWF.PR.A Floater 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.00 %
BMO.PR.C FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.75 %
TRP.PR.C FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 8.11
Evaluated at bid price : 8.11
Bid-YTW : 6.20 %
BIK.PR.A FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 21.69
Evaluated at bid price : 22.00
Bid-YTW : 6.72 %
BAM.PF.H FixedReset Disc 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 22.79
Evaluated at bid price : 23.45
Bid-YTW : 5.35 %
MFC.PR.G FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 6.11 %
BAM.PR.X FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 5.82 %
TD.PF.D FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.44 %
SLF.PR.J FloatingReset 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 4.75 %
TRP.PR.B FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 7.40
Evaluated at bid price : 7.40
Bid-YTW : 5.91 %
MFC.PR.R FixedReset Ins Non 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.91 %
SLF.PR.I FixedReset Ins Non 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.75 %
HSE.PR.A FixedReset Disc 4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 5.41
Evaluated at bid price : 5.41
Bid-YTW : 10.35 %
BAM.PR.T FixedReset Disc 5.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 6.13 %
HSE.PR.G FixedReset Disc 8.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 10.95 %
HSE.PR.C FixedReset Disc 9.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 10.42 %
HSE.PR.E FixedReset Disc 11.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 10.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.B Deemed-Retractible 233,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.98 %
PWF.PR.T FixedReset Disc 156,424 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.12 %
POW.PR.D Perpetual-Discount 56,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.25 %
MFC.PR.R FixedReset Ins Non 29,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.91 %
BMO.PR.E FixedReset Disc 28,244 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 5.33 %
TRP.PR.D FixedReset Disc 27,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.23 %
There were 54 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: 12.75 – 15.20
Spot Rate : 2.4500
Average : 1.6968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.15 %

SLF.PR.G FixedReset Ins Non Quote: 8.00 – 9.00
Spot Rate : 1.0000
Average : 0.7042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.88 %

BAM.PF.J FixedReset Disc Quote: 22.00 – 24.20
Spot Rate : 2.2000
Average : 1.9141

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.43 %

RY.PR.P Perpetual-Discount Quote: 23.60 – 24.40
Spot Rate : 0.8000
Average : 0.5392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 23.15
Evaluated at bid price : 23.60
Bid-YTW : 5.54 %

GWO.PR.N FixedReset Ins Non Quote: 9.10 – 9.79
Spot Rate : 0.6900
Average : 0.4640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 4.89 %

CM.PR.Y FixedReset Disc Quote: 19.93 – 20.84
Spot Rate : 0.9100
Average : 0.6996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-22
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 5.49 %