BSC.PR.C : Redemption & Delisting Details

September 22nd, 2020

Scotia Managed Companies Administration Inc. has announced:

that the redemption prices for all outstanding Class A Capital Shares (the “Capital Shares”) and Class B Preferred Shares, Series 2 (the “Preferred Shares”) to be paid on September 22, 2020 are as follows:

Redemption Price per Preferred Share: $19.71
Redemption Price per Capital Share: $14.4828

BNS Split Corp. II is a mutual fund corporation created to hold a portfolio of common shares of The Bank of Nova Scotia. Capital Shares and Preferred Shares of BNS Split Corp. II are listed for trading on The Toronto Stock Exchange under the symbols BSC and BSC.PR.C respectively. The Capital Shares and Preferred Shares will be de-listed from the TSX as at the close of trading on September 22, 2020.

For more information, please contact:
Investor Relations
BNS Split Corp. II
(416) 863-7301
E-mail: mc.bnssplit2@scotiabank.com
Web site: www.scotiamanagedcompanies.com

The redemption has been previously reported on PrefBlog.

The issue commenced trading 2015-9-22 after being announced 2015-9-17. The issue is tracked by HIMIPref™ but is relegated to the Scraps subindex on volume concerns.

September 21, 2020

September 21st, 2020
explosion_200921
Click for Big

TXPR closed at 577.70, down 0.61% on the day. Volume today was 1.92-million, below the median of the past thirty days.

CPD closed at 11.53, down 0.77% on the day. Volume was 72,709, above the median of the past 30 trading days.

ZPR closed at 9.07, down 0.87% on the day. Volume of 145,118 was well below the median of the past 30 trading days.

Five-year Canada yields were down 1bp to 0.36% 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 -0.9596 % 1,638.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9596 % 3,006.8
Floater 5.19 % 5.20 % 56,821 15.17 3 -0.9596 % 1,732.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1242 % 3,546.7
SplitShare 4.79 % 4.35 % 43,467 3.64 7 0.1242 % 4,235.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1242 % 3,304.7
Perpetual-Premium 5.36 % 4.93 % 81,060 14.13 17 -0.1420 % 3,118.3
Perpetual-Discount 5.24 % 5.32 % 93,455 14.87 17 -0.4079 % 3,498.2
FixedReset Disc 5.49 % 4.27 % 131,915 16.25 68 -0.8133 % 2,081.4
Deemed-Retractible 5.04 % 4.93 % 115,768 15.13 27 -0.1216 % 3,443.4
FloatingReset 2.86 % 2.39 % 45,196 1.34 3 -0.7792 % 1,796.9
FixedReset Prem 5.27 % 4.50 % 252,200 0.87 11 -0.1796 % 2,612.6
FixedReset Bank Non 1.96 % 2.57 % 123,595 1.33 2 -0.3628 % 2,831.4
FixedReset Ins Non 5.72 % 4.46 % 86,160 16.22 22 -0.3517 % 2,112.0
Performance Highlights
Issue Index Change Notes
RY.PR.H FixedReset Disc -10.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.37 %
TD.PF.J FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.18 %
SLF.PR.J FloatingReset -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 9.61
Evaluated at bid price : 9.61
Bid-YTW : 4.03 %
BIK.PR.A FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.14
Evaluated at bid price : 24.55
Bid-YTW : 5.92 %
IFC.PR.A FixedReset Ins Non -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 4.67 %
BAM.PR.Z FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.38 %
TRP.PR.K FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.88
Evaluated at bid price : 24.23
Bid-YTW : 5.09 %
BAM.PF.H FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.26
Evaluated at bid price : 24.20
Bid-YTW : 5.13 %
BIP.PR.A FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.90 %
BAM.PR.T FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.27 %
BMO.PR.D FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 4.07 %
MFC.PR.F FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.46 %
MFC.PR.M FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.63 %
TRP.PR.J FixedReset Prem -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 24.37
Evaluated at bid price : 24.85
Bid-YTW : 5.57 %
BAM.PF.C Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 21.83
Evaluated at bid price : 22.26
Bid-YTW : 5.45 %
BAM.PF.B FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 5.31 %
TRP.PR.D FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.52 %
TRP.PR.G FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.52 %
BAM.PF.D Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 22.52
Evaluated at bid price : 22.81
Bid-YTW : 5.38 %
BAM.PR.B Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 8.26
Evaluated at bid price : 8.26
Bid-YTW : 5.20 %
BIP.PR.D FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 5.55 %
BAM.PF.E FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.26 %
BAM.PF.J FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.03
Evaluated at bid price : 23.33
Bid-YTW : 5.10 %
BAM.PR.M Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 21.69
Evaluated at bid price : 21.94
Bid-YTW : 5.42 %
BIP.PR.C FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.20
Evaluated at bid price : 23.75
Bid-YTW : 5.63 %
TD.PF.L FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 22.80
Evaluated at bid price : 23.80
Bid-YTW : 4.10 %
BMO.PR.S FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.18 %
CM.PR.R FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 22.97
Evaluated at bid price : 23.33
Bid-YTW : 4.11 %
BAM.PR.N Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 5.45 %
RY.PR.M FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 3.88 %
IAF.PR.I FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.30 %
IFC.PR.E Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 24.22
Evaluated at bid price : 24.70
Bid-YTW : 5.26 %
CCS.PR.C Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 24.06
Evaluated at bid price : 24.32
Bid-YTW : 5.15 %
TD.PF.D FixedReset Disc 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 4.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 59,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.86
Evaluated at bid price : 25.21
Bid-YTW : 4.51 %
TD.PF.H FixedReset Prem 56,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.96
Evaluated at bid price : 25.20
Bid-YTW : 4.44 %
CM.PR.R FixedReset Disc 54,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 22.97
Evaluated at bid price : 23.33
Bid-YTW : 4.11 %
TRP.PR.J FixedReset Prem 52,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 24.37
Evaluated at bid price : 24.85
Bid-YTW : 5.57 %
RY.PR.E Deemed-Retractible 47,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.54 %
TD.PF.M FixedReset Disc 43,848 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.23
Evaluated at bid price : 24.90
Bid-YTW : 4.11 %
There were 30 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: 16.33 – 18.30
Spot Rate : 1.9700
Average : 1.0885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.37 %

BIK.PR.A FixedReset Disc Quote: 24.55 – 25.50
Spot Rate : 0.9500
Average : 0.6090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 23.14
Evaluated at bid price : 24.55
Bid-YTW : 5.92 %

TD.PF.J FixedReset Disc Quote: 19.90 – 20.73
Spot Rate : 0.8300
Average : 0.5013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.18 %

BIP.PR.A FixedReset Disc Quote: 16.75 – 17.95
Spot Rate : 1.2000
Average : 0.9219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.90 %

BAM.PR.Z FixedReset Disc Quote: 16.40 – 17.27
Spot Rate : 0.8700
Average : 0.5931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.38 %

BAM.PF.E FixedReset Disc Quote: 14.71 – 15.45
Spot Rate : 0.7400
Average : 0.4979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-21
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.26 %

September 18, 2020

September 18th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2003 % 1,654.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2003 % 3,035.9
Floater 5.14 % 5.15 % 56,895 15.26 3 0.2003 % 1,749.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0621 % 3,542.3
SplitShare 4.80 % 4.34 % 42,975 3.65 7 0.0621 % 4,230.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0621 % 3,300.6
Perpetual-Premium 5.35 % 4.88 % 81,346 3.93 17 0.0419 % 3,122.8
Perpetual-Discount 5.22 % 5.29 % 94,060 14.95 17 0.0817 % 3,512.5
FixedReset Disc 5.45 % 4.22 % 125,019 16.32 68 -0.2429 % 2,098.5
Deemed-Retractible 5.03 % 4.89 % 113,074 15.14 27 -0.1730 % 3,447.6
FloatingReset 2.85 % 2.18 % 47,049 1.35 3 0.6498 % 1,811.0
FixedReset Prem 5.26 % 4.46 % 253,884 0.82 11 0.0431 % 2,617.3
FixedReset Bank Non 1.95 % 2.44 % 127,864 1.34 2 -0.0403 % 2,841.7
FixedReset Ins Non 5.70 % 4.42 % 86,707 16.26 22 0.6073 % 2,119.4
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %
TRP.PR.B FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 4.80 %
MFC.PR.H FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.52 %
BIP.PR.A FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 5.77 %
TD.PF.E FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.96 %
BAM.PR.X FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 5.03 %
BIP.PR.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 5.71 %
TRP.PR.F FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 5.08 %
RY.PR.J FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 3.95 %
TD.PF.L FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 22.94
Evaluated at bid price : 24.10
Bid-YTW : 4.04 %
IAF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.49 %
MFC.PR.K FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.39 %
PWF.PR.P FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 10.44
Evaluated at bid price : 10.44
Bid-YTW : 4.78 %
MFC.PR.Q FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.45 %
IFC.PR.A FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 4.57 %
SLF.PR.J FloatingReset 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 3.94 %
SLF.PR.G FixedReset Ins Non 5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 10.61
Evaluated at bid price : 10.61
Bid-YTW : 4.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 98,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.02 %
TD.PF.H FixedReset Prem 78,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 23.93
Evaluated at bid price : 25.15
Bid-YTW : 4.46 %
SLF.PR.J FloatingReset 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 3.94 %
BNS.PR.E FixedReset Prem 61,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.74 %
SLF.PR.B Deemed-Retractible 53,888 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 4.90 %
RY.PR.E Deemed-Retractible 52,425 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-18
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.88 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.50 – 26.50
Spot Rate : 1.0000
Average : 0.6342

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.34 %

TD.PF.D FixedReset Disc Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.7336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %

BIP.PR.A FixedReset Disc Quote: 17.13 – 17.90
Spot Rate : 0.7700
Average : 0.6169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 5.77 %

SLF.PR.H FixedReset Ins Non Quote: 14.80 – 15.20
Spot Rate : 0.4000
Average : 0.3013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.31 %

IAF.PR.B Deemed-Retractible Quote: 23.61 – 24.15
Spot Rate : 0.5400
Average : 0.4465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 23.33
Evaluated at bid price : 23.61
Bid-YTW : 4.87 %

GWO.PR.N FixedReset Ins Non Quote: 10.01 – 10.27
Spot Rate : 0.2600
Average : 0.1801

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-18
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.18 %

September 17, 2020

September 17th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6369 % 1,651.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6369 % 3,029.8
Floater 5.15 % 5.17 % 59,168 15.24 3 -0.6369 % 1,746.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1188 % 3,540.1
SplitShare 4.80 % 4.35 % 44,636 3.65 7 0.1188 % 4,227.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1188 % 3,298.5
Perpetual-Premium 5.35 % 5.18 % 79,843 14.13 17 0.0210 % 3,121.4
Perpetual-Discount 5.22 % 5.28 % 94,043 14.95 17 0.1611 % 3,509.7
FixedReset Disc 5.43 % 4.24 % 123,065 16.38 68 -0.1168 % 2,103.6
Deemed-Retractible 5.02 % 4.87 % 113,149 15.15 27 0.1535 % 3,453.5
FloatingReset 2.87 % 2.47 % 48,976 1.35 3 -0.1343 % 1,799.3
FixedReset Prem 5.26 % 4.46 % 255,258 0.88 11 -0.0287 % 2,616.2
FixedReset Bank Non 1.95 % 2.38 % 125,525 1.35 2 0.1412 % 2,842.9
FixedReset Ins Non 5.74 % 4.44 % 89,960 16.20 22 -0.1345 % 2,106.6
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.20 %
MFC.PR.Q FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.55 %
BAM.PR.R FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.20 %
NA.PR.C FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.99
Evaluated at bid price : 23.30
Bid-YTW : 4.17 %
BIP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 23.38
Evaluated at bid price : 24.30
Bid-YTW : 5.63 %
RY.PR.J FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.99 %
IFC.PR.G FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.57 %
TD.PF.L FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.83
Evaluated at bid price : 23.85
Bid-YTW : 4.10 %
PWF.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.86 %
TRP.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 5.50 %
BMO.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.92
Evaluated at bid price : 23.31
Bid-YTW : 4.04 %
TD.PF.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 3.90 %
TD.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 4.03 %
PWF.PR.S Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.20 %
SLF.PR.G FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 4.43 %
BAM.PF.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.22 %
IFC.PR.E Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 24.49
Evaluated at bid price : 24.98
Bid-YTW : 5.20 %
BIP.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 21.94
Evaluated at bid price : 22.20
Bid-YTW : 5.64 %
BMO.PR.Z Perpetual-Premium 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.27 %
BAM.PR.X FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 4.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset Ins Non 70,617 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.42 %
NA.PR.X FixedReset Prem 63,478 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.76 %
TD.PF.A FixedReset Disc 51,552 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 4.03 %
MFC.PR.G FixedReset Ins Non 41,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.42 %
GWO.PR.S Deemed-Retractible 28,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.94 %
BMO.PR.T FixedReset Disc 27,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.14 %
There were 29 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: 18.76 – 20.87
Spot Rate : 2.1100
Average : 1.1653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.42 %

IAF.PR.G FixedReset Ins Non Quote: 18.02 – 20.00
Spot Rate : 1.9800
Average : 1.3195

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.54 %

TRP.PR.A FixedReset Disc Quote: 12.01 – 12.95
Spot Rate : 0.9400
Average : 0.5694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.41 %

EIT.PR.A SplitShare Quote: 25.39 – 27.00
Spot Rate : 1.6100
Average : 1.3021

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.35 %

BAM.PF.G FixedReset Disc Quote: 15.35 – 16.00
Spot Rate : 0.6500
Average : 0.4297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.26 %

MFC.PR.I FixedReset Ins Non Quote: 19.05 – 20.00
Spot Rate : 0.9500
Average : 0.7518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.40 %

CU Outlook Cut to Negative by S&P

September 17th, 2020

Standard & Poor’s has announced:

  • We expect Calgary, Alberta-based diversified global infrastructure holding company ATCO Ltd.’s (ATCO) financial measures to be weaker than we previously expected during our two-year outlook period, including a funds from operations (FFO) to debt ratio of about 14% in 2020, which is below our 15% downside trigger. In addition, we expect ATCO’s FFO to debt to reflect the 14%-15% range over the next two years, which implies minimal cushion amidst our view of a somewhat weaker operating and regulatory environment primarily in the Alberta region.
  • As a result, we are revising the rating outlooks on ATCO, and its intermediary holding company subsidiary, Canadian Utilities Ltd. (CUL) to negative from stable and affirming the ratings on both entities, including the ‘A-‘ issuer credit rating.
  • At the same time we are affirming the ratings for regulated operating subsidiary CU Inc. (CUI) and maintaining the stable outlook, reflecting the cumulative value of the protections in place between CUI and parent ATCO, which we view as sufficient to insulate our issuer credit rating on CUI from the group credit profile of parent ATCO.


The negative outlook on ATCO and CUL reflects financial measures that are weaker than previously expected under the current challenging economic environment. When ATCO announced its divestiture plan in 2018 we forecast a steady improvement in the company’s consolidated financial measures, with FFO to debt consistently above 15% by 2020. ATCO has been performing to our expectation for the past few years with FFO to debt improving to about 14% in 2019 from about 11% in 2017. However, the global pandemic and economic recession create uncertainty in the company’s operating environment. As a result, we do not expect the company will meet our expectation of reaching a 15% FFO to debt ratio by 2020.

Our view of ATCO’s business risk profile as excellent has not changed. The assessment largely reflects the company’s lower-risk regulated electric and natural gas utility operations, large customer base, regulatory and geographic diversity, and effective management of regulatory risk. However, the majority of ATCO’s regulated cash flow comes from Alberta, which makes ATCO mostly dependent on the Alberta Utilities Commission (AUC) to support its credit quality. Other offsetting factors to the business risk include exposure to nonutility operations that consists of structures and logistics, energy infrastructure, transportation, and commercial real estate segments, all of which collectively represent about 10%-15% of ATCO’s consolidated cash flow, and are susceptible to cyclical economic conditions, which can affect the consistency of the company’s overall profit measures.

The ratings affirmation and stable outlook on CUI reflects our view of the company’s separateness and strength of the cumulative value of the insulation provisions in place between CUI and ATCO are sufficient to rate CUI up to one-notch higher than ATCO. Our analysis of the insulating measures takes into account the following:

  • CUI is a separate legal entity with its own capital structure, maintains its own records, does not commingle funds, assets, cash flows, or participate in a money pool with the rest of the ATCO group.
  • CUI has its own credit facility, makes its own debt arrangements, and has operations that are separate from the rest of the ATCO group.
  • We believe there is a strong economic basis for the ATCO group to preserve the credit strength of CUI given ATCO indirectly owns more than half of CUI through CUL and that CUI contributes a significant portion of ATCO’s consolidated cash flow.
  • There are no cross-default provisions between CUI and the rest of the ATCO group (or its subsidiaries) that could directly lead to a default at CUI.
  • While we assess the above insulation measures as sufficient to insulate the ratings on CUI from the group credit profile of ATCO by one notch, the issuer credit rating on CUI is limited by its stand-alone credit profile (SACP).

The negative outlook on ATCO and CUL reflects our view that ATCO’s credit measures will be weaker than we previously expected over our two-year outlook period with a FFO to debt ratio that we expect to range from 14%-15%.

Affected issues are CU.PR.C, CU.PR.D, CU.PR.E, CU.PR.F, CU.PR.G, CU.PR.H and CU.PR.I.

L.PR.B Upgraded to Pfd-3(high) by DBRS

September 17th, 2020

DBRS has announced that it:

upgraded the Issuer Rating, Medium-Term Notes, and Debentures ratings of Loblaw Companies Limited (Loblaw or the Company) to BBB (high) from BBB. DBRS Morningstar also upgraded Loblaw’s Short-Term Issuer Rating to R-2 (high) from R-2 (middle) and its Second Preferred Shares rating to Pfd-3 (high) from Pfd-3. DBRS Morningstar changed all trends to Stable from Positive. The upgrades reflect Loblaw’s sound operating performance over the last number of years, independent of the Coronavirus Disease (COVID19) pandemic-related effects on operating results, combined with improved credit metrics following the spin-out of Choice Properties Real Estate Investment Trust (Choice; rated BBB (high) with a Stable trend by DBRS Morningstar). While uncertainties related to the intensity and duration of the coronavirus pandemic as well as the macroeconomic aftereffects remain, the Stable trends reflect DBRS Morningstar’s view that Loblaw is well positioned to navigate the current environment within the new BBB (high) rating category. The BBB (high) ratings also reflect the Company’s strong business risk profile, including its position as Canada’s largest food and drug retailer, and continue to consider the intense competition in Canadian food retail.

DBRS Morningstar expects Loblaw’s financial profile to improve modestly over the medium term, benefitting from growth in earnings, while the Company’s debt balance is projected to remain relatively flat. DBRS Morningstar believes cash flow from operations will continue to track operating income, while capital expenditures (capex) are forecast to remain in the $1.1 billion range in 2020 and 2021. Capex is expected to primarily focus on existing store improvements and process and efficiency improvements as well as e-commerce and information technology projects. DBRS Morningstar believes dividends on a per-share basis will continue to grow but not exceed $500 million in 2020 and 2021 (normalized for timing). As such, DBRS Morningstar forecasts Loblaw’s FCF (before working capital changes) to be well above $2.0 billion in 2020 and 2021. DBRS Morningstar believes the Company will continue to use its FCF to buy back approximately $0.8 billion and $1.0 billion of shares in 2020 and 2021, respectively, with the majority of the balance accounting for lease principal payments. Consequently, credit metrics should improve marginally within the rating category in line with earnings growth and remain acceptable for the new BBB (high) rating (i.e., adjusted debt-to-EBITDA of approximately 3.25x).

The affected issue is L.PR.B

September 16, 2020

September 16th, 2020

Canadian inflation is quiescent:

Statistics Canada reported Wednesday that the consumer price index (CPI) 12-month inflation rate was just 0.1 per cent in August, the second straight month at that low level, amid slumping prices for air travel and at the gas pumps. On a month-over-month basis, the index actually fell 0.1 per cent in August from July.

However, the central bank’s three measures of “core” inflation – aimed at filtering out transitory price swings in segments of the CPI – look healthier than the pandemic-distorted CPI number, averaging 1.7 per cent, up from 1.6 per cent in July.

The pandemic’s impacts on the inflation picture were most evident in prices for two key consumer products that typically rise in the summer due to high demand: Airline tickets were down 16 per cent in August compared with a year earlier, while gasoline was down 11 per cent.

Statscan said that excluding gasoline – a major component of the CPI – year-over-year inflation was 0.6 per cent in August, down from 0.7 per cent in July.

And the FOMC issued a statement after its meeting:

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 COVID-19 pandemic is causing tremendous human and economic hardship across the United States and around the world. Economic activity and employment have picked up in recent months but remain well below their levels at the beginning of the year. Weaker demand and significantly lower oil prices are holding down consumer price inflation. Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.

The path of the economy will depend significantly on the course of the virus. The ongoing public health crisis will continue to weigh on economic activity, employment, and inflation in the near term, and poses considerable risks to the economic outlook over the medium term.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With inflation running persistently below this longer-run goal, the Committee will aim to achieve inflation moderately above 2 percent for some time so that inflation averages 2 percent over time and longer-term inflation expectations remain well anchored at 2 percent. The Committee expects to maintain an accommodative stance of monetary policy until these outcomes are achieved. The Committee decided to keep the target range for the federal funds rate at 0 to 1/4 percent and expects it will be appropriate to maintain this target range until labor market conditions have reached levels consistent with the Committee’s assessments of maximum employment and inflation has risen to 2 percent and is on track to moderately exceed 2 percent for some time. In addition, over coming months the Federal Reserve will increase its holdings of Treasury securities and agency mortgage-backed securities at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions, thereby supporting the flow of credit to households and businesses.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on public health, labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

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; Loretta J. Mester; and Randal K. Quarles.

Voting against the action were Robert S. Kaplan, who expects that it will be appropriate to maintain the current target range until the Committee is confident that the economy has weathered recent events and is on track to achieve its maximum employment and price stability goals as articulated in its new policy strategy statement, but prefers that the Committee retain greater policy rate flexibility beyond that point; and Neel Kashkari, who prefers that the Committee to indicate that it expects to maintain the current target range until core inflation has reached 2 percent on a sustained basis.

So, not much change in Fed monetary policy, as expected; and as usual the most interesting part of the release is the list of dissenters and their rationale.

PerpetualDiscounts now yield 5.31%, equivalent to 6.90% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 400bp from the 395bp reported September 9.

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 -0.8682 % 1,661.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8682 % 3,049.3
Floater 5.12 % 5.13 % 61,572 15.31 3 -0.8682 % 1,757.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1412 % 3,535.9
SplitShare 4.81 % 4.35 % 43,258 3.65 7 -0.1412 % 4,222.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1412 % 3,294.6
Perpetual-Premium 5.35 % 4.88 % 79,790 6.84 17 0.1469 % 3,120.8
Perpetual-Discount 5.23 % 5.31 % 94,008 14.93 17 0.1887 % 3,504.0
FixedReset Disc 5.43 % 4.19 % 126,115 16.36 68 0.2272 % 2,106.1
Deemed-Retractible 5.03 % 4.88 % 114,225 15.10 27 0.1340 % 3,448.2
FloatingReset 2.86 % 2.53 % 49,518 1.35 3 0.1344 % 1,801.7
FixedReset Prem 5.26 % 4.49 % 257,451 0.88 11 0.1655 % 2,616.9
FixedReset Bank Non 1.95 % 2.43 % 127,509 1.35 2 0.1212 % 2,838.9
FixedReset Ins Non 5.73 % 4.45 % 85,877 16.18 22 0.3249 % 2,109.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 9.98
Evaluated at bid price : 9.98
Bid-YTW : 4.48 %
BAM.PF.I FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 23.60
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %
TD.PF.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.08 %
TD.PF.L FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 22.98
Evaluated at bid price : 24.20
Bid-YTW : 4.02 %
TRP.PR.B FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 4.69 %
NA.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.24 %
IAF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.27 %
MFC.PR.J FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.45 %
CU.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 4.38 %
BAM.PR.Z FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.22 %
MFC.PR.N FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.49 %
SLF.PR.J FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 9.69
Evaluated at bid price : 9.69
Bid-YTW : 4.02 %
IFC.PR.I Perpetual-Premium 1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 5.08 %
TRP.PR.A FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.42 %
IFC.PR.F Deemed-Retractible 1.81 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.19 %
BAM.PR.R FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 5.10 %
BAM.PR.T FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.19 %
BAM.PF.A FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.08 %
TD.PF.J FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.02 %
MFC.PR.I FixedReset Ins Non 4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 74,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.32 %
BAM.PF.A FixedReset Disc 68,629 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.08 %
SLF.PR.C Deemed-Retractible 34,142 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 22.69
Evaluated at bid price : 22.98
Bid-YTW : 4.84 %
BMO.PR.B FixedReset Prem 32,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.27 %
IFC.PR.I Perpetual-Premium 31,923 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 5.08 %
TRP.PR.D FixedReset Disc 28,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.42 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.39 – 27.00
Spot Rate : 1.6100
Average : 0.9645

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.35 %

NA.PR.E FixedReset Disc Quote: 18.90 – 19.50
Spot Rate : 0.6000
Average : 0.4050

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.24 %

BAM.PF.I FixedReset Disc Quote: 24.00 – 24.67
Spot Rate : 0.6700
Average : 0.4971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 23.60
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %

TD.PF.A FixedReset Disc Quote: 17.55 – 18.00
Spot Rate : 0.4500
Average : 0.2909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.08 %

BIK.PR.A FixedReset Disc Quote: 25.01 – 25.55
Spot Rate : 0.5400
Average : 0.3822

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 23.31
Evaluated at bid price : 25.01
Bid-YTW : 5.79 %

BAM.PF.B FixedReset Disc Quote: 15.65 – 16.19
Spot Rate : 0.5400
Average : 0.3935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-16
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 5.29 %

September PrefLetter Released!

September 15th, 2020

Sorry this is late!

The September, 2020, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the September, 2020, issue, while the “Next Edition” will be the October, 2020, issue, scheduled to be prepared as of the close October 9, 2020, and eMailed to subscribers prior to market-opening on October 13 – just after Thanksgiving.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

September 15, 2020

September 15th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5556 % 1,676.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5556 % 3,076.0
Floater 5.08 % 5.08 % 58,829 15.39 3 0.5556 % 1,772.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2591 % 3,540.9
SplitShare 4.80 % 4.38 % 41,530 3.65 7 -0.2591 % 4,228.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2591 % 3,299.3
Perpetual-Premium 5.36 % 4.90 % 78,510 6.83 17 -0.0443 % 3,116.2
Perpetual-Discount 5.24 % 5.31 % 94,874 14.91 17 -0.0893 % 3,497.4
FixedReset Disc 5.44 % 4.19 % 126,373 16.38 68 0.1969 % 2,101.3
Deemed-Retractible 5.04 % 4.88 % 114,830 15.14 27 -0.0320 % 3,443.6
FloatingReset 2.87 % 2.37 % 51,552 1.35 3 0.6995 % 1,799.3
FixedReset Prem 5.27 % 4.60 % 252,705 0.91 11 0.0756 % 2,612.6
FixedReset Bank Non 1.95 % 2.43 % 129,283 1.35 2 0.1011 % 2,835.4
FixedReset Ins Non 5.74 % 4.49 % 86,789 16.04 22 0.0449 % 2,102.6
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.16 %
MFC.PR.I FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.63 %
TRP.PR.A FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 11.79
Evaluated at bid price : 11.79
Bid-YTW : 5.52 %
TD.PF.E FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.94 %
TRP.PR.E FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.50 %
BAM.PR.T FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 5.30 %
TRP.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.43 %
BAM.PF.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 24.03
Evaluated at bid price : 24.80
Bid-YTW : 5.01 %
NA.PR.G FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 %
BAM.PF.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 5.21 %
TD.PF.C FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.98 %
MFC.PR.M FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %
TD.PF.D FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 4.03 %
SLF.PR.G FixedReset Ins Non 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.34 %
SLF.PR.J FloatingReset 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 9.55
Evaluated at bid price : 9.55
Bid-YTW : 4.08 %
TRP.PR.G FixedReset Disc 7.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 5.47 %
BAM.PR.Z FixedReset Disc 11.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 130,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 3.91 %
CM.PR.R FixedReset Disc 72,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 23.41
Evaluated at bid price : 23.76
Bid-YTW : 4.04 %
BAM.PF.G FixedReset Disc 53,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.27 %
CU.PR.C FixedReset Disc 52,252 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.43 %
SLF.PR.B Deemed-Retractible 44,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.88 %
NA.PR.A FixedReset Prem 41,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 24.05
Evaluated at bid price : 25.21
Bid-YTW : 4.99 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 20.00 – 20.89
Spot Rate : 0.8900
Average : 0.5412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.16 %

TD.PF.F Perpetual-Premium Quote: 25.25 – 25.99
Spot Rate : 0.7400
Average : 0.4325

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2050-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.90 %

MFC.PR.I FixedReset Ins Non Quote: 18.15 – 19.20
Spot Rate : 1.0500
Average : 0.7805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.63 %

TD.PF.C FixedReset Disc Quote: 18.40 – 18.96
Spot Rate : 0.5600
Average : 0.3672

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.98 %

MFC.PR.F FixedReset Ins Non Quote: 10.06 – 11.04
Spot Rate : 0.9800
Average : 0.8225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.45 %

MFC.PR.M FixedReset Ins Non Quote: 16.12 – 16.81
Spot Rate : 0.6900
Average : 0.5433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-15
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %

September 14, 2020

September 14th, 2020

There’s a couple of preferred share lawsuits brewing:

Both client groups allege that throughout 2017 and the first half of 2018, Mr. Liu recommended a new investment strategy that “assured safety” of their principal and provided “reasonable” investment returns.

Shortly after, clients allege they were instead placed in a high-risk strategy that involved short-selling bonds – particularly Canadian government bonds – to purchase long positions in preferred shares, many of which had variable rates or rates that reset based on interest rate movement.

According to court documents, Mr. Liu further advised the clients to begin trading on margin – investing using borrowed money – in order to purchase a larger amount of preferred shares. In some instances, clients allege Mr. Liu engaged in this strategy without informing them or seeking their permission.

None of the clients were told it was “a high-risk, speculative strategy” that was inconsistent with their low-risk investment objectives, the suit alleges.

Shorting governments is similar in investment characteristics to taking a mortgage … see this comment and my answer which refers back to this old comment and my answer. One of the risks I didn’t mention was price risk – the risk that the market values of the two sides of the position could move against you. Unless something else goes wrong, this shouldn’t hurt a long-term investor … but what were the investors in this strategy told?

Eventually, we get down to the same old question: just what the hell does “risk” mean, anyway?

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 1.8116 % 1,667.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8116 % 3,059.0
Floater 5.10 % 5.12 % 58,125 15.32 3 1.8116 % 1,762.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2032 % 3,550.1
SplitShare 4.79 % 4.38 % 38,440 3.66 7 0.2032 % 4,239.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2032 % 3,307.8
Perpetual-Premium 5.36 % 4.88 % 77,858 6.83 17 0.0880 % 3,117.6
Perpetual-Discount 5.24 % 5.31 % 90,255 14.91 17 0.4405 % 3,500.5
FixedReset Disc 5.45 % 4.18 % 127,643 16.38 68 -0.1201 % 2,097.2
Deemed-Retractible 5.04 % 4.88 % 114,628 15.12 27 0.1685 % 3,444.7
FloatingReset 2.89 % 2.16 % 50,292 1.36 3 -0.2476 % 1,786.8
FixedReset Prem 5.27 % 4.55 % 253,829 0.91 11 0.0504 % 2,610.6
FixedReset Bank Non 1.96 % 2.30 % 130,388 1.35 2 -0.0808 % 2,832.6
FixedReset Ins Non 5.74 % 4.47 % 90,193 16.16 22 -0.2745 % 2,101.7
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -9.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.90 %
TRP.PR.G FixedReset Disc -7.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.88 %
TD.PF.D FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.10 %
IAF.PR.G FixedReset Ins Non -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.53 %
CU.PR.C FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.42 %
SLF.PR.J FloatingReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.24 %
MFC.PR.I FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.50 %
TD.PF.I FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 21.76
Evaluated at bid price : 22.25
Bid-YTW : 3.93 %
PWF.PR.T FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 4.70 %
BNS.PR.I FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 3.98 %
BMO.PR.D FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 4.03 %
MFC.PR.K FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.47 %
BAM.PR.M Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 5.38 %
BIP.PR.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.65 %
CU.PR.I FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 24.00
Evaluated at bid price : 24.85
Bid-YTW : 4.51 %
TD.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 4.03 %
BAM.PR.N Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 21.78
Evaluated at bid price : 22.03
Bid-YTW : 5.40 %
BAM.PF.D Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 22.84
Evaluated at bid price : 23.13
Bid-YTW : 5.30 %
BAM.PF.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 23.87
Evaluated at bid price : 24.25
Bid-YTW : 4.94 %
BAM.PF.J FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 22.75
Evaluated at bid price : 23.35
Bid-YTW : 5.07 %
TD.PF.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.05 %
BAM.PF.H FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 23.69
Evaluated at bid price : 24.55
Bid-YTW : 5.06 %
NA.PR.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.18 %
IFC.PR.G FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.46 %
BAM.PR.C Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 8.38
Evaluated at bid price : 8.38
Bid-YTW : 5.12 %
BIP.PR.D FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 22.49
Evaluated at bid price : 22.88
Bid-YTW : 5.46 %
BIP.PR.B FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 23.89
Evaluated at bid price : 24.70
Bid-YTW : 5.55 %
IFC.PR.C FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 4.66 %
BAM.PR.B Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 5.08 %
IFC.PR.I Perpetual-Premium 1.95 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 8.37
Evaluated at bid price : 8.37
Bid-YTW : 5.13 %
IAF.PR.B Deemed-Retractible 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 4.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 106,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 23.26
Evaluated at bid price : 23.62
Bid-YTW : 4.06 %
BMO.PR.B FixedReset Prem 49,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 23.81
Evaluated at bid price : 25.17
Bid-YTW : 4.37 %
SLF.PR.C Deemed-Retractible 47,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 22.68
Evaluated at bid price : 22.92
Bid-YTW : 4.85 %
BMO.PR.D FixedReset Disc 46,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 4.03 %
BAM.PF.D Perpetual-Discount 39,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 22.84
Evaluated at bid price : 23.13
Bid-YTW : 5.30 %
RY.PR.R FixedReset Prem 35,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.14 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.05 – 20.00
Spot Rate : 1.9500
Average : 1.4508

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.53 %

TRP.PR.G FixedReset Disc Quote: 14.26 – 15.70
Spot Rate : 1.4400
Average : 1.1412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.88 %

TD.PF.D FixedReset Disc Quote: 19.52 – 20.54
Spot Rate : 1.0200
Average : 0.7402

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.10 %

MFC.PR.N FixedReset Ins Non Quote: 16.10 – 17.80
Spot Rate : 1.7000
Average : 1.4785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.53 %

BAM.PR.Z FixedReset Disc Quote: 15.00 – 17.05
Spot Rate : 2.0500
Average : 1.8300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.90 %

BAM.PF.E FixedReset Disc Quote: 14.68 – 15.30
Spot Rate : 0.6200
Average : 0.4475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-14
Maturity Price : 14.68
Evaluated at bid price : 14.68
Bid-YTW : 5.27 %