SLF.PR.G / SLF.PR.J : 9% Net Conversion to FixedReset

June 30th, 2020

Sun Life Financial Inc. has announced (on June 19):

that 116,341 of its 5,192,686 Class A Non-cumulative Rate Reset Preferred Shares Series 8R (the “Series 8R Shares”) have been elected for conversion on June 30, 2020, on a one-for-one basis, into Class A Non-cumulative Floating Rate Preferred Shares Series 9QR (the “Series 9QR Shares”), and 1,140,986 of its 6,007,314 Series 9QR Shares have been elected for conversion on June 30, 2020 on a one-for-one basis, into Series 8R Shares. Consequently, on June 30, 2020, Sun Life will have 6,217,331 Series 8R Shares and 4,982,669 Series 9QR Shares issued and outstanding. The Series 8R Shares and Series 9QR Shares will be listed on the Toronto Stock Exchange under the symbols SLF.PR.G and SLF.PR.J, respectively.

Subject to regulatory approval, Sun Life may redeem all or any part of the outstanding Series 8R Shares, at Sun Life’s option, by the payment of an amount in cash for each share so redeemed of $25.00, together with all declared and unpaid dividends to the date fixed for redemption, on June 30, 2025 and on the 30th of June in every fifth year thereafter. Subject to regulatory approval, Sun Life may redeem all or any part of the then outstanding Series 9QR Shares, at Sun Life’s option, by the payment of an amount in cash for each share so redeemed of (i) $25.00, together with all declared and unpaid dividends to the date fixed for redemption in the case of redemptions on June 30, 2025 and on June 30 every five years thereafter, or (ii) $25.50, together with all declared and unpaid dividends to the date fixed for redemption in the case of redemptions on any other date.

SLF.PR.G was issued as a FixedReset, 4.35%+141, announced 2010-5-13 and commenced trading 2010-5-25. It reset to 2.275% effective 2015-6-30, which triggered a 50% conversion to the FloatingReset SLF.PR.J. I recommended against conversion. SLF.PR.G resets to 1.825% effective 2020-6-30. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

SLF.PR.J is a FloatingReset, Bills+141, that arose from a 50% conversion from the FixedReset SLF.PR.G. It commenced trading 2015-6-30.

June 30, 2020

June 30th, 2020

Fitch downgraded Alberta:

Alberta’s credit rating was downgraded Tuesday, hours after the province released a multibillion-dollar economic recovery plan in an attempt to climb out of the economic wreckage caused by the COVID-19 pandemic and a collapse in world oil prices.

Fitch Ratings downgraded Alberta to a double-A-minus from double-A, citing higher provincial borrowing during the pandemic-driven economic crisis and a debt burden relative to GDP that is “incompatible” with a double-A rating.

The New York-based agency also pointed to the lack of details from the government about the extent of damage to Alberta’s bottom line, and the fact the province has no planned path toward economic recovery.

Tuesday’s downgrade is the third for Alberta since December, when Moody’s Investors Service changed the province’s rating to Aa2 from Aa1, citing continued weakness in the provincial economy and its reliance on non-renewable resources. In March, DBRS Morningstar downgraded Alberta to double-A (low) from double-A.

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 0.1582 % 1,446.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1582 % 2,654.9
Floater 5.42 % 5.70 % 49,186 14.35 4 0.1582 % 1,530.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2235 % 3,440.9
SplitShare 4.88 % 5.05 % 69,443 3.81 7 -0.2235 % 4,109.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2235 % 3,206.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.8562 % 3,014.4
Perpetual-Discount 5.60 % 5.73 % 76,825 14.33 35 0.8562 % 3,233.3
FixedReset Disc 6.23 % 5.14 % 144,161 14.91 83 0.1788 % 1,823.4
Deemed-Retractible 5.34 % 5.65 % 93,263 14.35 27 0.1099 % 3,206.1
FloatingReset 5.15 % 5.20 % 41,817 15.15 3 -0.0393 % 1,719.8
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.1788 % 2,521.8
FixedReset Bank Non 1.98 % 3.25 % 127,196 1.55 2 0.1432 % 2,790.1
FixedReset Ins Non 6.56 % 5.27 % 112,282 14.69 22 -0.3373 % 1,813.9
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -9.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.68 %
CCS.PR.C Deemed-Retractible -3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 5.79 %
BAM.PF.F FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 6.10 %
BAM.PF.J FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 5.27 %
CU.PR.H Perpetual-Discount -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 23.76
Evaluated at bid price : 24.04
Bid-YTW : 5.51 %
MFC.PR.R FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.24 %
MFC.PR.J FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 5.27 %
CM.PR.Y FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.17 %
TRP.PR.H FloatingReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 7.18
Evaluated at bid price : 7.18
Bid-YTW : 5.20 %
TD.PF.A FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.06 %
IAF.PR.B Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.51 %
HSE.PR.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 10.28
Evaluated at bid price : 10.28
Bid-YTW : 9.57 %
CM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.33 %
CU.PR.I FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 23.23
Evaluated at bid price : 24.05
Bid-YTW : 4.67 %
NA.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.07 %
BAM.PR.N Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.71 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.29 %
BAM.PF.C Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.71 %
IFC.PR.C FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.48 %
TRP.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.98 %
BAM.PF.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 5.96 %
BAM.PR.M Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.69 %
GWO.PR.H Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.69 %
MFC.PR.G FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.25 %
SLF.PR.J FloatingReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 8.73
Evaluated at bid price : 8.73
Bid-YTW : 4.65 %
TRP.PR.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 7.80
Evaluated at bid price : 7.80
Bid-YTW : 5.33 %
BMO.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.99 %
NA.PR.S FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.05 %
BAM.PR.Z FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 6.10 %
TD.PF.B FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.82 %
NA.PR.E FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.89 %
RY.PR.M FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 4.78 %
BAM.PF.A FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 5.96 %
IFC.PR.G FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.31 %
BMO.PR.E FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.91 %
NA.PR.G FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 5.04 %
IFC.PR.A FixedReset Ins Non 4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 5.25 %
POW.PR.G Perpetual-Discount 37.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.87 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.C Perpetual-Discount 50,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.71 %
TD.PF.M FixedReset Disc 33,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 4.87 %
BMO.PR.E FixedReset Disc 30,622 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.91 %
TD.PF.K FixedReset Disc 30,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.89 %
TRP.PR.E FixedReset Disc 30,165 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.98 %
MFC.PR.C Deemed-Retractible 20,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.33 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 14.36 – 15.94
Spot Rate : 1.5800
Average : 0.9924

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.68 %

TD.PF.A FixedReset Disc Quote: 14.50 – 15.41
Spot Rate : 0.9100
Average : 0.6168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.06 %

CCS.PR.C Deemed-Retractible Quote: 21.69 – 23.00
Spot Rate : 1.3100
Average : 1.0491

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 5.79 %

W.PR.K FixedReset Disc Quote: 24.20 – 24.80
Spot Rate : 0.6000
Average : 0.3696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 23.48
Evaluated at bid price : 24.20
Bid-YTW : 5.40 %

CU.PR.H Perpetual-Discount Quote: 24.04 – 24.60
Spot Rate : 0.5600
Average : 0.3531

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 23.76
Evaluated at bid price : 24.04
Bid-YTW : 5.51 %

PWF.PR.T FixedReset Disc Quote: 14.59 – 15.25
Spot Rate : 0.6600
Average : 0.4734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-30
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 5.37 %

June 29, 2020

June 29th, 2020

GWO is making a major investment in US wealth management:

Canadian insurer Great-West Lifeco Inc. is boosting its presence in the United States and broadening its retail wealth management with the US$1-billion purchase of Personal Capital Corp.

On Monday, Great-West’s subsidiary Empower Retirement agreed to acquire Personal Capital for an initial US$825-million, with the potential to add up to US$175-million if certain growth metrics are met. The upfront payment is expected to be funded with cash on hand and $500-million in debt financing.

Based in Denver, Empower Retirement administers US$656-billion in assets for more than 9.7 million investors enrolled in defined contribution pension plans. Upon closing the deal, Empower will combine its retirement services, which include 401(k) group benefit plans, with Personal Capital’s online financial planning capabilities to expand into the U.S. retail wealth management sector.

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 -0.0316 % 1,444.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0316 % 2,650.7
Floater 5.43 % 5.74 % 49,597 14.29 4 -0.0316 % 1,527.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1090 % 3,448.6
SplitShare 4.87 % 5.02 % 70,079 3.81 7 0.1090 % 4,118.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1090 % 3,213.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 1.5342 % 2,988.8
Perpetual-Discount 5.65 % 5.76 % 77,147 14.29 35 1.5342 % 3,205.8
FixedReset Disc 6.29 % 5.12 % 145,573 14.94 83 0.1021 % 1,820.2
Deemed-Retractible 5.35 % 5.55 % 93,980 14.34 27 0.3291 % 3,202.6
FloatingReset 5.15 % 5.11 % 43,383 15.31 3 -0.5084 % 1,720.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.1021 % 2,517.3
FixedReset Bank Non 1.98 % 3.43 % 128,830 1.55 2 -0.0205 % 2,786.2
FixedReset Ins Non 6.58 % 5.27 % 116,348 14.69 22 0.0090 % 1,820.1
Performance Highlights
Issue Index Change Notes
POW.PR.G Perpetual-Discount -27.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.09 %
IFC.PR.A FixedReset Ins Non -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 10.53
Evaluated at bid price : 10.53
Bid-YTW : 5.50 %
NA.PR.G FixedReset Disc -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.20 %
SLF.PR.H FixedReset Ins Non -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.51 %
BAM.PF.A FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 6.06 %
BMO.PR.Y FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.03 %
TD.PF.L FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.93 %
PWF.PR.P FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 9.15
Evaluated at bid price : 9.15
Bid-YTW : 5.53 %
BAM.PR.R FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 6.02 %
BAM.PR.T FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 6.16 %
TD.PF.A FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.96 %
TRP.PR.F FloatingReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 9.51
Evaluated at bid price : 9.51
Bid-YTW : 5.62 %
MFC.PR.F FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 8.99
Evaluated at bid price : 8.99
Bid-YTW : 5.04 %
GWO.PR.L Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.91 %
MFC.PR.K FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.20 %
BMO.PR.F FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.01 %
MFC.PR.L FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.33 %
BAM.PF.B FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.14 %
TD.PF.D FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.03 %
BAM.PR.M Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.75 %
BMO.PR.W FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.01 %
CM.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.11 %
GWO.PR.S Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 22.77
Evaluated at bid price : 23.18
Bid-YTW : 5.68 %
NA.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.02 %
ELF.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.61 %
MFC.PR.C Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.37 %
BIP.PR.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 6.79 %
CIU.PR.A Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.48 %
CM.PR.Q FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.34 %
BIP.PR.D FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.11 %
GWO.PR.P Deemed-Retractible 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 5.76 %
MFC.PR.R FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 5.13 %
BIP.PR.C FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 22.45
Evaluated at bid price : 22.90
Bid-YTW : 5.86 %
TRP.PR.D FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.93 %
GWO.PR.R Deemed-Retractible 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.69 %
CCS.PR.C Deemed-Retractible 4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 22.32
Evaluated at bid price : 22.59
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.26 %
TD.PF.E FixedReset Disc 14.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.05 %
BAM.PF.D Perpetual-Discount 27.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 21.66
Evaluated at bid price : 21.66
Bid-YTW : 5.69 %
CU.PR.G Perpetual-Discount 35.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 21.66
Evaluated at bid price : 21.66
Bid-YTW : 5.25 %
CU.PR.F Perpetual-Discount 52.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 181,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.93 %
NA.PR.W FixedReset Disc 103,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.03 %
BAM.PF.F FixedReset Disc 98,556 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.92 %
RY.PR.Q FixedReset Disc 82,719 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 23.68
Evaluated at bid price : 24.23
Bid-YTW : 5.12 %
TD.PF.H FixedReset Disc 49,473 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 22.56
Evaluated at bid price : 23.00
Bid-YTW : 4.97 %
IFC.PR.F Deemed-Retractible 41,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 22.87
Evaluated at bid price : 23.20
Bid-YTW : 5.73 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.G Perpetual-Discount Quote: 17.40 – 23.92
Spot Rate : 6.5200
Average : 3.4512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.09 %

IFC.PR.A FixedReset Ins Non Quote: 10.53 – 11.60
Spot Rate : 1.0700
Average : 0.6553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 10.53
Evaluated at bid price : 10.53
Bid-YTW : 5.50 %

MFC.PR.L FixedReset Ins Non Quote: 13.30 – 15.31
Spot Rate : 2.0100
Average : 1.6067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.33 %

PWF.PR.P FixedReset Disc Quote: 9.15 – 10.20
Spot Rate : 1.0500
Average : 0.7293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 9.15
Evaluated at bid price : 9.15
Bid-YTW : 5.53 %

TD.PF.I FixedReset Disc Quote: 18.25 – 18.95
Spot Rate : 0.7000
Average : 0.4640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.94 %

TD.PF.L FixedReset Disc Quote: 20.52 – 21.30
Spot Rate : 0.7800
Average : 0.5643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-29
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.93 %

June 26, 2020

June 26th, 2020
explosion_200626
Click for Big

TXPR closed at 528.61, down 0.55% on the day. Volume today was 1.49-million, near the lows of the past thirty days.

CPD closed at 10.525, down 0.43% on the day. Volume was 135,867, a little above the median of the past 30 trading days.

ZPR closed at 8.185, down 1.50% on the day. Volume of 301,200 was near the median the context of the past 30 trading days.

Five-year Canada yields were down 2bp at 0.36% today.

The carnage has been attributed to a familiar villain:

Wall Street’s major indexes tumbled more than 2% on Friday as several U.S. states imposed business restrictions in response to a surge in coronavirus cases. The TSX lost 1.66%, with both energy and financial sectors losing more than 2.5%.

Some U.S. states that were spared the brunt of the initial coronavirus outbreak or moved early to lift restrictions are seeing a resurgence in new infections. On Friday, Texas and Florida ordered bars to close down again.

A Wall Street Journal report that the Phase 1 U.S.-China trade deal could be at risk placed additional pressure on U.S. stocks. According to that report, Chinese officials warned that “meddling” in Hong Kong and Taiwan could lead Beijing to back away from its commitment to purchase U.S. farm goods.

Among sectors, financial, communication services and energy shares outpaced the broader S&P 500 in declines. S&P 500 bank shares plummeted 6.1% after the Federal Reserve limited dividend payments and barred share repurchases until at least the fourth quarter following its annual stress test.

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 -1.0638 % 1,445.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0638 % 2,651.6
Floater 5.42 % 5.73 % 50,002 14.30 4 -1.0638 % 1,528.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2632 % 3,444.8
SplitShare 4.88 % 5.02 % 68,879 3.82 7 -0.2632 % 4,113.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2632 % 3,209.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -2.6410 % 2,943.6
Perpetual-Discount 5.73 % 5.81 % 78,260 14.18 35 -2.6410 % 3,157.4
FixedReset Disc 6.29 % 5.12 % 149,276 14.90 83 -0.4510 % 1,818.3
Deemed-Retractible 5.36 % 5.65 % 92,103 14.35 27 -0.4374 % 3,192.1
FloatingReset 5.09 % 5.07 % 44,034 15.38 3 -1.4264 % 1,729.2
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.4510 % 2,514.7
FixedReset Bank Non 1.98 % 3.38 % 133,146 1.56 2 0.1639 % 2,786.7
FixedReset Ins Non 6.58 % 5.25 % 120,293 14.66 22 -0.8394 % 1,819.9
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -33.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 8.04 %
CU.PR.G Perpetual-Discount -26.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 7.15 %
BAM.PF.D Perpetual-Discount -22.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.26 %
TD.PF.E FixedReset Disc -14.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.78 %
MFC.PR.I FixedReset Ins Non -6.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %
GWO.PR.N FixedReset Ins Non -5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 4.82 %
SLF.PR.J FloatingReset -4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 4.69 %
GWO.PR.R Deemed-Retractible -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.83 %
MFC.PR.M FixedReset Ins Non -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 5.24 %
BAM.PF.C Perpetual-Discount -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.81 %
MFC.PR.Q FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.14 %
TRP.PR.D FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.10 %
MFC.PR.F FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.13
Evaluated at bid price : 9.13
Bid-YTW : 4.93 %
GWO.PR.P Deemed-Retractible -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.87 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.03 %
IFC.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.46 %
TRP.PR.B FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.65
Evaluated at bid price : 7.65
Bid-YTW : 5.40 %
RY.PR.Z FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.81 %
RY.PR.M FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.86 %
BIP.PR.A FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 6.86 %
BAM.PR.N Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.80 %
BAM.PR.K Floater -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.41
Evaluated at bid price : 7.41
Bid-YTW : 5.81 %
BMO.PR.S FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 5.01 %
BAM.PR.Z FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 6.14 %
PWF.PR.E Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 6.03 %
MFC.PR.C Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.44 %
TRP.PR.G FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.98 %
BIP.PR.F FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.37 %
PWF.PR.S Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.86 %
CIU.PR.A Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.55 %
BAM.PR.C Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.73 %
IFC.PR.C FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.50 %
TRP.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.10 %
BAM.PR.X FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 5.83 %
IAF.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 5.27 %
HSE.PR.A FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 6.00
Evaluated at bid price : 6.00
Bid-YTW : 8.89 %
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.73 %
SLF.PR.H FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.34 %
MFC.PR.J FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 5.17 %
BMO.PR.Y FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.92 %
BAM.PF.E FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 6.01 %
PVS.PR.H SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.20 %
TD.PF.H FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.38
Evaluated at bid price : 22.80
Bid-YTW : 5.00 %
BAM.PF.A FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 5.89 %
BMO.PR.B FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.33
Evaluated at bid price : 22.69
Bid-YTW : 4.95 %
BMO.PR.T FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.02 %
PWF.PR.R Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 23.27
Evaluated at bid price : 23.55
Bid-YTW : 5.93 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 5.21 %
BAM.PF.I FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.86
Evaluated at bid price : 23.24
Bid-YTW : 5.17 %
CU.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.86 %
SLF.PR.G FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.98 %
TD.PF.J FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.85 %
TRP.PR.F FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.66
Evaluated at bid price : 9.66
Bid-YTW : 5.50 %
TD.PF.D FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 4.96 %
NA.PR.G FixedReset Disc 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.97 %
MFC.PR.H FixedReset Ins Non 7.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 5.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Deemed-Retractible 56,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.05
Evaluated at bid price : 22.34
Bid-YTW : 5.33 %
SLF.PR.E Deemed-Retractible 49,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.34 %
TD.PF.L FixedReset Disc 38,007 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 4.82 %
PWF.PR.K Perpetual-Discount 34,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.86 %
CU.PR.E Perpetual-Discount 33,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.84
Evaluated at bid price : 23.21
Bid-YTW : 5.31 %
CU.PR.G Perpetual-Discount 31,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 7.15 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 14.21 – 21.84
Spot Rate : 7.6300
Average : 4.0718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 8.04 %

CU.PR.G Perpetual-Discount Quote: 15.96 – 21.80
Spot Rate : 5.8400
Average : 3.1089

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 7.15 %

BAM.PF.D Perpetual-Discount Quote: 17.01 – 22.47
Spot Rate : 5.4600
Average : 2.9993

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.26 %

BAM.PR.X FixedReset Disc Quote: 9.62 – 17.27
Spot Rate : 7.6500
Average : 6.5353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 5.83 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 18.00
Spot Rate : 2.6000
Average : 1.4969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %

TD.PF.E FixedReset Disc Quote: 14.30 – 16.62
Spot Rate : 2.3200
Average : 1.3659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.78 %

June 25, 2020

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.3580 % 1,460.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3580 % 2,680.1
Floater 5.37 % 5.65 % 48,197 14.43 4 -1.3580 % 1,544.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4599 % 3,453.9
SplitShare 4.86 % 5.05 % 69,755 3.83 7 0.4599 % 4,124.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4599 % 3,218.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2208 % 3,023.5
Perpetual-Discount 5.58 % 5.71 % 79,057 14.35 35 -0.2208 % 3,243.0
FixedReset Disc 6.26 % 5.11 % 149,257 14.86 83 -0.6258 % 1,826.6
Deemed-Retractible 5.34 % 5.63 % 95,044 14.36 27 -0.2255 % 3,206.1
FloatingReset 5.02 % 5.02 % 43,757 15.47 3 -0.4605 % 1,754.2
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.6258 % 2,526.1
FixedReset Bank Non 1.98 % 3.40 % 129,074 1.56 2 -0.1023 % 2,782.2
FixedReset Ins Non 6.52 % 5.20 % 121,969 14.79 22 -0.7324 % 1,835.3
Performance Highlights
Issue Index Change Notes
MFC.PR.H FixedReset Ins Non -7.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.62 %
NA.PR.G FixedReset Disc -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.20 %
BAM.PF.F FixedReset Disc -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.95 %
SLF.PR.G FixedReset Ins Non -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 5.03 %
BAM.PF.B FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 6.10 %
HSE.PR.G FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 9.47 %
IFC.PR.A FixedReset Ins Non -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 5.22 %
PWF.PR.A Floater -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 9.22
Evaluated at bid price : 9.22
Bid-YTW : 4.70 %
SLF.PR.I FixedReset Ins Non -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.11 %
TD.PF.D FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.08 %
CM.PR.Q FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 5.38 %
BAM.PR.Z FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.79
Evaluated at bid price : 14.79
Bid-YTW : 6.04 %
BAM.PR.X FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 5.75 %
MFC.PR.I FixedReset Ins Non -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.12 %
TD.PF.J FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.90 %
SLF.PR.H FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 5.27 %
BAM.PF.A FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 5.82 %
TRP.PR.A FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 5.82 %
TRP.PR.E FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 6.01 %
RY.PR.H FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.75 %
HSE.PR.A FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 6.08
Evaluated at bid price : 6.08
Bid-YTW : 8.76 %
TRP.PR.G FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.89 %
BIP.PR.A FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.74 %
BIK.PR.A FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 22.64
Evaluated at bid price : 23.50
Bid-YTW : 6.22 %
BAM.PF.G FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.94 %
TD.PF.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.90 %
CM.PR.Y FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.13 %
TRP.PR.C FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 8.51
Evaluated at bid price : 8.51
Bid-YTW : 5.72 %
BAM.PF.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 5.93 %
RY.PR.J FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 16.14
Evaluated at bid price : 16.14
Bid-YTW : 4.90 %
TRP.PR.F FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 9.54
Evaluated at bid price : 9.54
Bid-YTW : 5.57 %
CM.PR.P FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.08 %
TD.PF.M FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 21.54
Evaluated at bid price : 21.81
Bid-YTW : 4.88 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 5.10 %
TD.PF.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.84 %
BMO.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 4.96 %
CM.PR.R FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 5.26 %
NA.PR.W FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.03 %
MFC.PR.M FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.10 %
BAM.PR.T FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.90 %
TD.PF.L FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.84 %
PVS.PR.F SplitShare 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.68 %
MFC.PR.N FixedReset Ins Non 8.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.29
Evaluated at bid price : 14.29
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Disc 105,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 23.81
Evaluated at bid price : 24.34
Bid-YTW : 5.08 %
TD.PF.M FixedReset Disc 93,257 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 21.54
Evaluated at bid price : 21.81
Bid-YTW : 4.88 %
BAM.PF.F FixedReset Disc 92,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.95 %
TD.PF.J FixedReset Disc 68,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.90 %
TD.PF.L FixedReset Disc 65,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.84 %
IAF.PR.B Deemed-Retractible 60,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 5.43 %
There were 32 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: 9.75 – 17.27
Spot Rate : 7.5200
Average : 5.3130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 5.75 %

MFC.PR.H FixedReset Ins Non Quote: 16.01 – 17.75
Spot Rate : 1.7400
Average : 1.1221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.62 %

CU.PR.C FixedReset Disc Quote: 14.55 – 15.80
Spot Rate : 1.2500
Average : 0.7826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.91 %

NA.PR.G FixedReset Disc Quote: 17.01 – 17.95
Spot Rate : 0.9400
Average : 0.5549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.20 %

TD.PF.C FixedReset Disc Quote: 15.31 – 15.99
Spot Rate : 0.6800
Average : 0.4468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.90 %

CM.PR.Y FixedReset Disc Quote: 21.16 – 21.80
Spot Rate : 0.6400
Average : 0.4585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-25
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.13 %

DBRS Downgrades Five SplitShare Preferreds

June 25th, 2020

DBRS has announced that it:

downgraded five ratings of preferred shares issued by various split-share companies as follows:

— the Preferred Shares issued by Dividend Growth Split Corp. to Pfd-4 (high) from Pfd-3
— the Preferred Shares issued by Brompton Lifeco Split Corp. to Pfd-4 (low) from Pfd-3 (low)
— the Preferred Shares issued by Life & Banc Split Corp to Pfd-3 (low) from Pfd-3
— the Preferred Shares issued by Prime Dividend Corp to Pfd-3 from Pfd-3 (high)
— the Preferred Shares issued by S Split Corp. to Pfd-4 from Pfd-3 (collectively, the Preferred Shares)

Each of these split-share companies invests in a portfolio of securities (the Portfolio) funded by issuing two classes of shares: dividend-yielding preferred shares or securities and capital shares or units (the Capital Shares). In such structure, preferred shares normally benefit from downside protection provided by the net asset value (NAV) of the Capital Shares.

On March 24, 2020, DBRS Morningstar placed the Preferred Shares Under Review with Negative Implications. Each of the Preferred Shares has experienced a considerable reduction in downside protection since February 2020 as a result of the rapid decline in the net asset value (NAV) of the respective portfolios in response to the stock market sell-off, which was triggered by the worldwide spread of Coronavirus Disease (COVID-19) and various geopolitical events.

DBRS Morningstar downgraded the ratings of the Preferred Shares based on longer-term trends being established for the NAVs of the affected split-share companies. Although the downside protection has experienced some recovery in all five Portfolios in the past three months, its current levels remain below the required levels for the corresponding ratings of the Preferred Shares, which they had had before they were placed Under Review with Negative Implications. Ratings assigned are also dependent on the credit quality and management of the Portfolios. For many of the split-share companies listed above, distributions to holders of the Capital Shares are now suspended due to the failure to pass the asset-coverage tests. This feature ensures greater excess income for the Company and decreases the reliance on other income-generating methods, such as option writing, when downside protection has been significantly reduced.

CORONAVIRUS-RELATED ANALYTICAL CONSIDERATIONS
Global macroeconomic forecasts have shifted dramatically amid the rapid spread of the coronavirus and associated responses from governments, corporations, and households. In the context of this highly uncertain environment, DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on June 1, 2020, and are reflecting the updated scenarios in DBRS Morningstar’s rating analysis. The updated scenarios can be found at https://www.dbrsmorningstar.com/document/361867.

To summarize in tabular form, the downgrades are as follows:

Ticker Old Rating New Rating Recent
Asset
Coverage
DGS.PR.A Pfd-3 Pfd-4(high) 1.3-:1
LCS.PR.A Pfd-3(low) Pfd-4(low) 1.2-:1
LBS.PR.A Pfd-3 Pfd-3(low) 1.4-:1
PDV.PR.A Pfd-3(high) Pfd-3 1.5-:1
SBN.PR.A Pfd-3 Pfd-4 1.2+:1

The mass review was announced by DBRS in March, 2020.

June 24, 2020

June 24th, 2020
explosion_200624
Click for Big

TXPR closed at 533.89, down 0.58% on the day. Volume today was 1.89-million, near the median of the past thirty days.

CPD closed at 10.68, down 0.65% on the day. Volume was 66,270, low in the context of the past 30 trading days.

ZPR closed at 8.37, down 0.48% on the day. Volume of 161,796 was very low in the context of the past 30 trading days.

Five-year Canada yields were down 2bp at 0.38% today.

Markets got whacked today, which was attributed to renewed coronavirus fears:

Wall Street’s three major indexes suffered their biggest daily percentage drop in almost two weeks on Wednesday as a surge in U.S. coronavirus cases intensified fears of another round of government lockdowns and worsening economic damage.

The TSX also closed lower, led by a 3.84% decline in the energy sector, with investors largely shrugging off a downgrade of Canada’s debt rating by Fitch Ratings.

The United States has recorded the second-largest rise in infections since the health crisis began, with a flare-up of cases in states where restrictions meant to contain the disease were lifted early.

Highlighting the seriousness of the resurgence in cases for many investors, the governors of New York, New Jersey and Connecticut announced that visitors from states with high coronavirus infection rates must self-quarantine for 14 days on arrival.

And, as noted above, Fitch downgraded Canada:

Fitch Ratings has downgraded Canada’s triple-A credit rating to double-A-plus in light of “much expanded” 2020 deficits due to billions in emergency spending during the novel coronavirus pandemic.

The decision reflects growing public debt at both the federal and provincial levels.

“The rating downgrade reflects the deterioration of Canada’s public finances in 2020 resulting from the coronavirus pandemic,” the agency stated. Wednesday’s announcement says Canada’s rating outlook is stable.

Fitch expects the coronavirus response to raise Canada’s consolidated gross general government debt to 115.1 per cent of GDP, up from 88.3 per cent of GDP in 2019.

“Canada has a track record of fiscal adjustment during the 1990s. However, the structure of Canada’s decentralized fiscal framework increases the complexity of any fiscal adjustment,” the agency said. “The pandemic has caused several provinces to pause deficit-reduction plans, and some premiers have urged greater direct federal financial support to the provinces.”

“Federal borrowing for crown corporations also increases debt,” Fitch said. “The federal minority Liberal government, which was returned to office in October 2019, has already loosened fiscal policy relative to the first term and postponed a pledge to stabilize net federal government debt in order to address the priorities of allied minority parties.”

PerpetualDiscounts now yield 5.71%, equivalent to 7.42% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 440bp from the 435bp reported June 17.

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 1.0920 % 1,480.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0920 % 2,717.0
Floater 5.29 % 5.61 % 47,594 14.50 4 1.0920 % 1,565.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0230 % 3,438.1
SplitShare 4.89 % 5.10 % 67,614 3.82 7 -0.0230 % 4,105.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0230 % 3,203.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3932 % 3,030.2
Perpetual-Discount 5.57 % 5.71 % 80,010 14.30 35 -0.3932 % 3,250.2
FixedReset Disc 6.22 % 5.10 % 151,456 14.92 83 -0.4898 % 1,838.1
Deemed-Retractible 5.33 % 5.61 % 91,011 14.41 27 -0.3355 % 3,213.3
FloatingReset 5.00 % 5.02 % 44,138 15.48 3 -2.0301 % 1,762.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.4898 % 2,542.0
FixedReset Bank Non 1.98 % 3.45 % 130,290 1.56 2 -0.1226 % 2,785.0
FixedReset Ins Non 6.47 % 5.16 % 122,436 14.88 22 -1.0562 % 1,848.9
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset Ins Non -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.29 %
CCS.PR.C Deemed-Retractible -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.78 %
BAM.PR.T FixedReset Disc -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 5.96 %
BAM.PR.Z FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.88 %
SLF.PR.J FloatingReset -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.48 %
MFC.PR.H FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.16 %
RY.PR.M FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.77 %
SLF.PR.G FixedReset Ins Non -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 9.21
Evaluated at bid price : 9.21
Bid-YTW : 4.83 %
RY.PR.J FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 4.83 %
MFC.PR.K FixedReset Ins Non -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 5.11 %
TD.PF.D FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.94 %
BAM.PF.G FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.84 %
BIP.PR.E FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.14 %
EML.PR.A FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.98
Evaluated at bid price : 23.60
Bid-YTW : 5.66 %
TRP.PR.F FloatingReset -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 9.67
Evaluated at bid price : 9.67
Bid-YTW : 5.49 %
PWF.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.32 %
SLF.PR.I FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.96 %
BAM.PF.E FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.85 %
HSE.PR.G FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 9.15 %
BAM.PR.N Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.66 %
BMO.PR.S FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 4.94 %
HSE.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 9.13 %
BAM.PR.M Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.62 %
IFC.PR.G FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.37 %
BMO.PR.Y FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 4.85 %
HSE.PR.A FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 6.20
Evaluated at bid price : 6.20
Bid-YTW : 8.59 %
MFC.PR.F FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 9.35
Evaluated at bid price : 9.35
Bid-YTW : 4.82 %
IFC.PR.C FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.42 %
TRP.PR.H FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 7.39
Evaluated at bid price : 7.39
Bid-YTW : 5.02 %
CM.PR.O FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 5.26 %
BAM.PF.B FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.87 %
RY.PR.Z FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.71 %
HSE.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 9.16 %
MFC.PR.M FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.05 %
NA.PR.S FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.10 %
TD.PF.B FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.80 %
BMO.PR.T FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.91 %
BAM.PR.R FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 5.83 %
IFC.PR.F Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.92
Evaluated at bid price : 23.25
Bid-YTW : 5.71 %
RY.PR.H FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.65 %
BNS.PR.H FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.99
Evaluated at bid price : 23.40
Bid-YTW : 4.95 %
IFC.PR.I Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 23.30
Evaluated at bid price : 23.60
Bid-YTW : 5.74 %
BMO.PR.C FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.03 %
TD.PF.I FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 4.89 %
PWF.PR.P FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 5.35 %
BAM.PF.D Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.97
Evaluated at bid price : 21.97
Bid-YTW : 5.61 %
BAM.PF.J FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.65
Evaluated at bid price : 23.25
Bid-YTW : 5.10 %
IAF.PR.B Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 5.40 %
IAF.PR.I FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 4.96 %
IFC.PR.E Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.67
Evaluated at bid price : 22.99
Bid-YTW : 5.67 %
CU.PR.I FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 23.54
Evaluated at bid price : 24.32
Bid-YTW : 4.62 %
GWO.PR.Q Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.51
Evaluated at bid price : 22.77
Bid-YTW : 5.67 %
NA.PR.C FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.07 %
TD.PF.M FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.72
Evaluated at bid price : 22.05
Bid-YTW : 4.82 %
BIK.PR.A FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.83
Evaluated at bid price : 23.90
Bid-YTW : 6.10 %
PWF.PR.A Floater 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 9.49
Evaluated at bid price : 9.49
Bid-YTW : 4.57 %
IFC.PR.A FixedReset Ins Non 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 5.05 %
TD.PF.J FixedReset Disc 4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.C Deemed-Retractible 98,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.34 %
PWF.PR.Z Perpetual-Discount 63,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 22.27
Evaluated at bid price : 22.66
Bid-YTW : 5.76 %
W.PR.K FixedReset Disc 63,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 24.04
Evaluated at bid price : 24.65
Bid-YTW : 5.40 %
CM.PR.Q FixedReset Disc 43,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.23 %
MFC.PR.H FixedReset Ins Non 42,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.16 %
TD.PF.I FixedReset Disc 41,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 4.89 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 21.70 – 23.00
Spot Rate : 1.3000
Average : 0.8933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.78 %

MFC.PR.G FixedReset Ins Non Quote: 15.75 – 16.64
Spot Rate : 0.8900
Average : 0.6556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.29 %

BMO.PR.C FixedReset Disc Quote: 19.00 – 19.65
Spot Rate : 0.6500
Average : 0.4603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.03 %

MFC.PR.N FixedReset Ins Non Quote: 13.21 – 14.74
Spot Rate : 1.5300
Average : 1.3410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.60 %

SLF.PR.J FloatingReset Quote: 9.00 – 9.70
Spot Rate : 0.7000
Average : 0.5153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.48 %

BAM.PF.A FixedReset Disc Quote: 16.00 – 16.50
Spot Rate : 0.5000
Average : 0.3367

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.67 %

June 23, 2020

June 23rd, 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 0.3780 % 1,456.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3780 % 2,672.5
Floater 5.38 % 5.69 % 48,122 14.39 4 0.3780 % 1,540.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5515 % 3,421.5
SplitShare 4.91 % 5.14 % 67,109 3.83 7 -0.5515 % 4,086.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5515 % 3,188.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1882 % 3,045.0
Perpetual-Discount 5.54 % 5.71 % 76,956 14.26 35 0.1882 % 3,266.1
FixedReset Disc 6.22 % 5.11 % 153,187 14.96 83 0.1785 % 1,836.3
Deemed-Retractible 5.31 % 5.40 % 86,573 14.42 27 -0.1266 % 3,226.2
FloatingReset 4.91 % 4.94 % 46,281 15.62 3 0.6444 % 1,795.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.1785 % 2,539.6
FixedReset Bank Non 1.98 % 3.31 % 121,849 1.57 2 0.1023 % 2,787.9
FixedReset Ins Non 6.43 % 5.07 % 118,758 14.92 22 0.7622 % 1,862.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -8.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.31 %
BIK.PR.A FixedReset Disc -7.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 22.11
Evaluated at bid price : 22.60
Bid-YTW : 6.49 %
BAM.PF.F FixedReset Disc -6.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.94 %
TD.PF.D FixedReset Disc -5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 5.17 %
TRP.PR.B FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 7.55
Evaluated at bid price : 7.55
Bid-YTW : 5.46 %
PVS.PR.G SplitShare -2.20 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.80 %
HSE.PR.G FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 9.06 %
IAF.PR.B Deemed-Retractible -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.40 %
PVS.PR.F SplitShare -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.14 %
TD.PF.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.96 %
CU.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.96 %
HSE.PR.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 8.96 %
PVS.PR.E SplitShare -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.60 %
BAM.PF.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.75 %
RY.PR.Z FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.64 %
BIP.PR.B FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 23.00
Evaluated at bid price : 23.75
Bid-YTW : 5.78 %
IFC.PR.C FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 5.39 %
TD.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.78 %
SLF.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.16
Evaluated at bid price : 9.16
Bid-YTW : 4.86 %
CM.PR.Q FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.26 %
CM.PR.O FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.24 %
RY.PR.H FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 4.61 %
NA.PR.W FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.00 %
TRP.PR.K FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 22.76
Evaluated at bid price : 23.10
Bid-YTW : 5.34 %
TD.PF.C FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.84 %
BMO.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.09 %
TD.PF.I FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.84 %
PWF.PR.T FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 5.20 %
MFC.PR.N FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 5.00 %
BMO.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 4.90 %
BMO.PR.D FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.04 %
NA.PR.G FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.03 %
TD.PF.M FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 4.84 %
RY.PR.M FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.73 %
SLF.PR.J FloatingReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.38 %
BMO.PR.W FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 4.86 %
CM.PR.R FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.19 %
NA.PR.S FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.05 %
TD.PF.L FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.92 %
PWF.PR.P FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.65
Evaluated at bid price : 9.65
Bid-YTW : 5.21 %
BIP.PR.A FixedReset Disc 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.53 %
NA.PR.C FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.20 %
MFC.PR.R FixedReset Ins Non 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.07 %
MFC.PR.G FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.13 %
BMO.PR.S FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.88 %
SLF.PR.I FixedReset Ins Non 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.96 %
CM.PR.P FixedReset Disc 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 5.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 69,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 67,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.96 %
TRP.PR.K FixedReset Disc 55,724 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 22.76
Evaluated at bid price : 23.10
Bid-YTW : 5.34 %
CU.PR.C FixedReset Disc 46,621 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.96 %
TRP.PR.G FixedReset Disc 44,616 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.31 %
TD.PF.B FixedReset Disc 40,423 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.78 %
There were 30 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: 9.86 – 17.27
Spot Rate : 7.4100
Average : 4.2190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 5.68 %

RY.PR.M FixedReset Disc Quote: 15.98 – 25.50
Spot Rate : 9.5200
Average : 7.4821

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.73 %

TRP.PR.G FixedReset Disc Quote: 13.35 – 14.60
Spot Rate : 1.2500
Average : 0.8507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.31 %

TD.PF.D FixedReset Disc Quote: 15.51 – 16.60
Spot Rate : 1.0900
Average : 0.6930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 5.17 %

BAM.PF.F FixedReset Disc Quote: 14.50 – 15.55
Spot Rate : 1.0500
Average : 0.7217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.94 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 16.96
Spot Rate : 1.5600
Average : 1.2450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.50 %

June 22, 2020

June 22nd, 2020

I wonder if any of the perpetuals listed today will last as long as this long bond:

YaleNews revealed that a water bond dating as far back as 1648 still contractually binds the obligated parties to pay annual interest today. Upon its discovery and subsequent analysis of its terms and agreements, reports indicate that at the time of its execution, the bond operated as a perpetual bond.

The original clauses of the agreement bound the payer to “5 percent interest in perpetuity,” a rate which was later lowered to 3.5 percent and then 2.5 percent respectively in the 1600s. At the time, physical notations of interest payments were inscribed on the bond as they were made as a means of recording them. Being of Dutch-origin and made out of goatskin, when the bond was issued, it was apparently made out to Mr. Niclaes de Meijer, a man who was ordered to pay the “sum of 1000 Carolus Guilders of 20 Stuivers a piece.”

The manuscript was filed at Yale’s Beinecke Rare Book & Manuscript Library in 2003 after Yale managed to come into possession of it. After Timothy Young, the curator of Modern Books and Manuscripts at the library, conferred with a Dutch water authority named Stichtse Rijnlanden, not only did he discover that this bond was only one of five ever found, all five of them were administered by the Hoogheemraadschap Lekdijk Bovendams.

In 2015, when Timothy Young returned from meeting with the relevant Dutch authority, he also brought back with him 12 years of back interest which was owed on the bond, a total which amounted to approximately 136.20 euros. Prior to 2015, the last time that the bond payments were collected was in 2003 when Yale first acquired it. At that time, as the reports states, “Geert Rouwenhorst, professor of corporate finance and deputy director of the International Center for Finance, took the bond back to the Netherlands to collect 26 years of back interest.”

Here’s a bit more sleaze from the Pace Credit Union Scandal discussed on June 18, from the extracts from the Pace Financial Offering Memorandum included in the First Report of the Liquidator obtained via the Receiver’s website:

The Issuer expects to pay fees to the Manager at standard rates common in the industry for those services – namely, asset management fees of 0.25% per month (3.0% per annum) calculated on the value of the Portfolio from time to time plus performance fees equal to 50% of profits earned provided that, in the event that the Issuer has a deficit (i.e. no profits or inadequate profits to provide for base dividends on the Preference Shares) for any particular quarter-yearly period, the asset management fees or performance fees will be reduced to the extent necessary to enable the Issuer to meet its dividend obligations, if possible, or, if not possible, waived for such period and, to those extents, will be payable in such reduced amount or will not be payable, as the case may be.

An extortionate (not “standard”!) 3% management fee per annum (the Manager is Pace Securities Corp), plus a 50% cut of profits, plus full ownership at no cost of all the common. It’s nice work, if you can get it.

It is regrettable that the Offering Memorandum is not published in its entirety; page 10 of the OM ends with:

3.1 Compensation and Securities Held
The following table provides specified information about each director, officer and promoter of the Issuer and each person who

… and pages 11 and 12 are missing. What a pity! It would have given me great pleasure to prominently display the names of the officers, directors and promoters of an issue such as this.

And finally, I cannot resist republishing the following comic SMBC Comics:

marketheadlinesapp
Click for Big
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 0.3780 % 1,456.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3780 % 2,672.5
Floater 5.38 % 5.69 % 48,122 14.39 4 0.3780 % 1,540.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5515 % 3,421.5
SplitShare 4.91 % 5.14 % 67,109 3.83 7 -0.5515 % 4,086.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5515 % 3,188.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1882 % 3,045.0
Perpetual-Discount 5.54 % 5.71 % 76,956 14.26 35 0.1882 % 3,266.1
FixedReset Disc 6.22 % 5.11 % 153,187 14.96 83 0.1785 % 1,836.3
Deemed-Retractible 5.31 % 5.40 % 86,573 14.42 27 -0.1266 % 3,226.2
FloatingReset 4.91 % 4.94 % 46,281 15.62 3 0.6444 % 1,795.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.1785 % 2,539.6
FixedReset Bank Non 1.98 % 3.31 % 121,849 1.57 2 0.1023 % 2,787.9
FixedReset Ins Non 6.43 % 5.07 % 118,758 14.92 22 0.7622 % 1,862.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -8.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.31 %
BIK.PR.A FixedReset Disc -7.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 22.11
Evaluated at bid price : 22.60
Bid-YTW : 6.49 %
BAM.PF.F FixedReset Disc -6.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.94 %
TD.PF.D FixedReset Disc -5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 5.17 %
TRP.PR.B FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 7.55
Evaluated at bid price : 7.55
Bid-YTW : 5.46 %
PVS.PR.G SplitShare -2.20 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.80 %
HSE.PR.G FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 9.06 %
IAF.PR.B Deemed-Retractible -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.40 %
PVS.PR.F SplitShare -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.14 %
TD.PF.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.96 %
CU.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.96 %
HSE.PR.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 8.96 %
PVS.PR.E SplitShare -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.60 %
BAM.PF.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.75 %
RY.PR.Z FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.64 %
BIP.PR.B FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 23.00
Evaluated at bid price : 23.75
Bid-YTW : 5.78 %
IFC.PR.C FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 5.39 %
TD.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.78 %
SLF.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.16
Evaluated at bid price : 9.16
Bid-YTW : 4.86 %
CM.PR.Q FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.26 %
CM.PR.O FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.24 %
RY.PR.H FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 4.61 %
NA.PR.W FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.00 %
TRP.PR.K FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 22.76
Evaluated at bid price : 23.10
Bid-YTW : 5.34 %
TD.PF.C FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.84 %
BMO.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.09 %
TD.PF.I FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.84 %
PWF.PR.T FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 5.20 %
MFC.PR.N FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 5.00 %
BMO.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 4.90 %
BMO.PR.D FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.04 %
NA.PR.G FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.03 %
TD.PF.M FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 4.84 %
RY.PR.M FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.73 %
SLF.PR.J FloatingReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.38 %
BMO.PR.W FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 4.86 %
CM.PR.R FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.19 %
NA.PR.S FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.05 %
TD.PF.L FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.92 %
PWF.PR.P FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.65
Evaluated at bid price : 9.65
Bid-YTW : 5.21 %
BIP.PR.A FixedReset Disc 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.53 %
NA.PR.C FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.20 %
MFC.PR.R FixedReset Ins Non 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.07 %
MFC.PR.G FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.13 %
BMO.PR.S FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.88 %
SLF.PR.I FixedReset Ins Non 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.96 %
CM.PR.P FixedReset Disc 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 5.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 69,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 67,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.96 %
TRP.PR.K FixedReset Disc 55,724 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 22.76
Evaluated at bid price : 23.10
Bid-YTW : 5.34 %
CU.PR.C FixedReset Disc 46,621 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.96 %
TRP.PR.G FixedReset Disc 44,616 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.31 %
TD.PF.B FixedReset Disc 40,423 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.78 %
There were 30 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: 9.86 – 17.27
Spot Rate : 7.4100
Average : 4.2190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 5.68 %

RY.PR.M FixedReset Disc Quote: 15.98 – 25.50
Spot Rate : 9.5200
Average : 7.4821

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.73 %

TRP.PR.G FixedReset Disc Quote: 13.35 – 14.60
Spot Rate : 1.2500
Average : 0.8507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.31 %

TD.PF.D FixedReset Disc Quote: 15.51 – 16.60
Spot Rate : 1.0900
Average : 0.6930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 5.17 %

BAM.PF.F FixedReset Disc Quote: 14.50 – 15.55
Spot Rate : 1.0500
Average : 0.7217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.94 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 16.96
Spot Rate : 1.5600
Average : 1.2450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-22
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.50 %

June 19, 2020

June 19th, 2020

A bit more on the PACE Savings and Credit Union preferred share scandal, mentioned yesterday, from the IIROC Notice of Hearing and Statement of Allegations against Joseph Anthony Thomson and Gerald Douglas McRae:

14. By Confidential Offering Memorandum (the “PFL OM”) dated June 27, 2017, PFL offered Series A 5% Cumulative Redeemable Retractable Non-voting Term Preference Shares (the “PFL Preference Shares”) as an exempt distribution without a prospectus. PFL had no capital other than the proceeds of sale from the PFL Preference Shares.

28. FHHI’s founding capital was $10,001 and its only other assets were the proceeds of sale from the FHHI Preference Shares.

85. The PFL OM did not disclose the use of leverage or options. McRae signed leverage and options agreements for PFL and was aware it used those strategies, yet he never raised the issue or evidenced any supervision concerning whether their use was consistent with
the PFL OM.

86. The FHHI OMs did not disclose the use of options, other than for hedging purposes, yet McRae signed options agreements for FHHI and was aware of options use in the account. He never raised the issue or evidenced any supervision concerning whether options use was consistent with the FHHI OMs.

So, capped returns on a go-go fund, with (essentially) no junior capital to take a first loss.

Wow, looks like PACE picked some real prizewinners to run their securities subsidiary. I find it very difficult to comprehend how anybody, anywhere, could recommend these securities to anybody.

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 -0.4078 % 1,451.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4078 % 2,662.5
Floater 5.40 % 5.71 % 48,264 14.35 4 -0.4078 % 1,534.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3492 % 3,440.5
SplitShare 4.88 % 5.07 % 66,074 3.85 7 -0.3492 % 4,108.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3492 % 3,205.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1367 % 3,039.3
Perpetual-Discount 5.55 % 5.72 % 76,379 14.25 35 0.1367 % 3,260.0
FixedReset Disc 6.23 % 5.15 % 154,366 14.81 83 -0.0254 % 1,833.0
Deemed-Retractible 5.30 % 5.32 % 86,513 14.44 27 0.0705 % 3,230.2
FloatingReset 4.88 % 4.87 % 48,172 15.75 3 -0.3776 % 1,784.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.0254 % 2,535.0
FixedReset Bank Non 1.98 % 3.43 % 125,798 1.58 2 0.0000 % 2,785.0
FixedReset Ins Non 6.48 % 5.21 % 119,119 14.90 22 0.1604 % 1,848.6
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset Ins Non -7.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.52 %
TD.PF.M FixedReset Disc -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.98 %
HSE.PR.A FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 6.25
Evaluated at bid price : 6.25
Bid-YTW : 8.55 %
MFC.PR.G FixedReset Ins Non -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.31 %
SLF.PR.J FloatingReset -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.42 %
GWO.PR.N FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.50 %
BAM.PF.A FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.70 %
BAM.PR.B Floater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 7.52
Evaluated at bid price : 7.52
Bid-YTW : 5.71 %
BAM.PR.R FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.70 %
PWF.PR.T FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.31 %
PVS.PR.G SplitShare -1.52 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.34 %
SLF.PR.G FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 4.94 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 5.46 %
ELF.PR.G Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.72 %
BAM.PR.X FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 9.89
Evaluated at bid price : 9.89
Bid-YTW : 5.68 %
BMO.PR.F FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.97 %
BMO.PR.S FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 5.05 %
CU.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.90 %
IFC.PR.I Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 23.71
Evaluated at bid price : 24.05
Bid-YTW : 5.62 %
BIP.PR.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 22.77
Evaluated at bid price : 23.50
Bid-YTW : 5.84 %
MFC.PR.F FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 4.87 %
IAF.PR.B Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 21.53
Evaluated at bid price : 21.79
Bid-YTW : 5.28 %
MFC.PR.K FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.00 %
PWF.PR.P FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 5.37 %
CU.PR.I FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 24.10
Evaluated at bid price : 24.75
Bid-YTW : 4.54 %
TD.PF.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.90 %
BIP.PR.C FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 21.93
Evaluated at bid price : 22.50
Bid-YTW : 5.94 %
TRP.PR.H FloatingReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 4.87 %
IFC.PR.A FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 5.09 %
BIP.PR.E FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.22 %
IAF.PR.G FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 5.24 %
TRP.PR.B FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 7.80
Evaluated at bid price : 7.80
Bid-YTW : 5.32 %
BIK.PR.A FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 23.08
Evaluated at bid price : 24.49
Bid-YTW : 5.93 %
BAM.PR.Z FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 5.74 %
MFC.PR.N FixedReset Ins Non 20.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 5.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Deemed-Retractible 95,708 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 22.34
Evaluated at bid price : 22.61
Bid-YTW : 5.26 %
BMO.PR.Q FixedReset Bank Non 77,903 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.34 %
GWO.PR.Q Deemed-Retractible 46,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.67 %
GWO.PR.P Deemed-Retractible 40,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.72 %
CU.PR.G Perpetual-Discount 37,803 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 21.63
Evaluated at bid price : 21.63
Bid-YTW : 5.25 %
RY.PR.E Deemed-Retractible 28,979 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-19
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -12.91 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 15.65 – 25.50
Spot Rate : 9.8500
Average : 5.2476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 4.84 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 16.85
Spot Rate : 1.4500
Average : 0.8996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.52 %

RY.PR.P Perpetual-Discount Quote: 25.10 – 25.99
Spot Rate : 0.8900
Average : 0.5424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 24.61
Evaluated at bid price : 25.10
Bid-YTW : 5.26 %

TD.PF.M FixedReset Disc Quote: 21.51 – 22.30
Spot Rate : 0.7900
Average : 0.4837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.98 %

TD.PF.B FixedReset Disc Quote: 15.12 – 15.99
Spot Rate : 0.8700
Average : 0.6062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 4.85 %

TD.PF.I FixedReset Disc Quote: 18.25 – 18.99
Spot Rate : 0.7400
Average : 0.5226

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.93 %