November PrefLetter to be Delayed

November 16th, 2020

I regret to advise that my typesetter has been caught up in the southern Ontario power outages and is unable to turn my poorly formatted scribbling into the thing of beauty that is PrefLetter.

I hope to be able to send the November edition to subscribers at around noon tomorrow.

BCE.PR.R To Reset To 3.018%

November 16th, 2020

BCE Inc. has announced:

BCE Inc. will, on December 1, 2020, continue to have Cumulative Redeemable First Preferred Shares, Series R (“Series R Preferred Shares”) outstanding if, following the end of the conversion period on November 17, 2020, BCE Inc. determines that at least one million Series R Preferred Shares would remain outstanding. In such a case, as of December 1, 2020, the Series R Preferred Shares will pay, on a quarterly basis, as and when declared by the Board of Directors of BCE Inc., a fixed cash dividend for the following five years that will be based on a fixed rate equal to the product of: (a) the average of the yields to maturity compounded semiannually, determined on November 10, 2020 by two investment dealers selected by BCE
Inc., that would be carried by non-callable Government of Canada bonds with a 5-year maturity (the “Government of Canada Yield”), multiplied by (b) a percentage rate determined by BCE Inc. (the “Selected Percentage Rate”) for such period. The “Selected Percentage Rate” determined by BCE Inc. for such period is 600%. The “Government of Canada Yield” is 0.503%. Accordingly, the annual dividend rate applicable to the Series R Preferred Shares for the period of five years beginning on December 1, 2020 will be 3.018%.

This follows an earlier announcement (2020-10-15):

Holders of fixed-rate BCE Inc. Series R Preferred Shares have the right to convert all or part of their shares, effective on December 1, 2020, on a one-for-one basis into floating-rate Cumulative Redeemable First Preferred Shares, Series Q of BCE Inc. (the “Series Q Preferred Shares”). In order to convert their shares, holders must exercise their right of conversion during the conversion period which runs from October 17, 2020 until 5:00 p.m. (Eastern time) on November 17, 2020.

Should Series Q Preferred Shares be issued following the conversion on December 1, 2020 of Series R Preferred Shares, the Series Q Preferred Shares so issued will begin trading under the symbol BCE.PF.Q. This is not to be confused with BCE Inc.’s Cumulative Redeemable First Preferred Shares, Series AQ which currently trade under the symbol BCE.PR.Q. Should any Series R Preferred Shares remain outstanding after December 1, 2020, they will continue to trade under the symbol BCE.PR.R.

Series Q, if issued, will be a Ratchet Rate Preferred, which in current conditions may be expected to pay dividends at 100% of Canada Prime paid on par … although if the price should exceed $25, this percentage will be reduced, with a minimum of 50% of Canada Prime.

As explained in the article on such pairs (which are interconvertible on a set schedule) the expected prices of each element of the pair are related by the level of their expected dividends. Alternatively, the break-even dividend rate for the Ratchet Rate element of the pair can be determined given knowledge of the other three variables (price #1, price #2 and dividend #1). These break even dividend rates are plotted for each FixedFloater / RatchetRate pair in the following graph:

pl_201113_body_chart_7
Click for Big

The average breakeven prime for the BCE issues (seven pairs) currently trading is 3.07% (the outlying point is BAM.PR.G / BAM.PR.E, both of which trade with miniscule volumes). If we assume that the new pair, if created, will trade with the same relative valuation, the current bid of 13.41 for BCE.PR.R will imply a bid of 13.46 for BCE.PF.Q.

Therefore, I make no recommendation regarding whether or not to convert; holders should determine their preference according to their own financial position and their own views regarding the probable level of Canada Prime over the next five years.

Those who wish to convert must act quickly! The deadline is 5pm on November 17 and brokers’ internal deadlines could well occur before then – although they will generally take instructions on a ‘best efforts’ basis if you grovel in a sufficiently entertaining fashion.

November 13, 2020

November 13th, 2020

Everybody’s got an idea for a new tax:

As brightening vaccine prospects tease a return to pre-pandemic normalcy and employers map out when and how remote workers return to the office, analysts at Deutsche Bank are proposing a “privilege tax” on post-pandemic work from home to subsidize lost wages for low-income workers.
  • Deutsche argues that remote workers contribute less to the economy’s infrastructure while still receiving its benefits, and says that a 5% tax on individuals levied against their wages on days they decide to work remotely would “leave them no worse off than if they had chosen to go into the office.”
  • Similarly, the bank proposes levying the 5% tax on employers for each employee who decides to work from home permanently, saying that companies could even be better off despite the tax given potential savings on office downsizing and general maintenance.
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4983 % 1,734.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4983 % 3,182.8
Floater 4.91 % 4.97 % 41,061 15.52 3 0.4983 % 1,834.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1724 % 3,546.8
SplitShare 4.78 % 4.56 % 40,260 3.49 8 -0.1724 % 4,235.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1724 % 3,304.9
Perpetual-Premium 5.35 % 3.12 % 76,687 0.28 14 0.0391 % 3,183.0
Perpetual-Discount 5.17 % 5.17 % 78,630 15.16 19 0.1445 % 3,588.9
FixedReset Disc 5.35 % 4.13 % 125,716 16.53 64 0.2452 % 2,166.6
Insurance Straight 5.07 % 4.88 % 99,866 15.13 22 0.1518 % 3,498.3
FloatingReset 1.99 % 2.42 % 50,518 1.20 3 -0.0503 % 1,806.1
FixedReset Prem 5.20 % 3.08 % 221,143 0.74 15 0.0850 % 2,664.4
FixedReset Bank Non 1.94 % 2.20 % 173,941 1.20 2 -0.0201 % 2,861.9
FixedReset Ins Non 5.37 % 4.25 % 69,289 16.43 22 1.0753 % 2,248.1
Performance Highlights
Issue Index Change Notes
RY.PR.Z FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.96 %
SLF.PR.G FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 4.24 %
NA.PR.W FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 4.36 %
PWF.PR.P FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.81 %
CM.PR.Q FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.24 %
MFC.PR.Q FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.27 %
BMO.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 22.94
Evaluated at bid price : 23.32
Bid-YTW : 3.95 %
MFC.PR.F FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 4.29 %
BMO.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.03 %
BNS.PR.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.81 %
TD.PF.I FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 22.87
Evaluated at bid price : 23.21
Bid-YTW : 3.84 %
SLF.PR.H FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.24 %
BAM.PR.R FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.22 %
BMO.PR.Y FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.99 %
MFC.PR.H FixedReset Ins Non 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 4.23 %
TD.PF.C FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.93 %
MFC.PR.N FixedReset Ins Non 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.20 %
MFC.PR.M FixedReset Ins Non 15.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset Prem 104,242 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.19 %
TD.PF.H FixedReset Prem 47,925 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.78 %
SLF.PR.A Insurance Straight 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 4.88 %
TRP.PR.G FixedReset Disc 35,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.64 %
PWF.PR.K Perpetual-Discount 34,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.16 %
BAM.PF.G FixedReset Disc 32,635 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-13
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 5.36 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 17.08 – 17.75
Spot Rate : 0.6700
Average : 0.3974

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

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

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

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

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

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

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

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

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

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

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

ALB.PR.C To Mature On Schedule, 2021-2-26

November 12th, 2020

Scotia Managed Companies has announced (on October 23):

today that all of its issued and outstanding Class A Capital Shares (“Capital Shares”) and Class B Preferred Shares, Series 2 (“Preferred Shares”) will be redeemed by the Company in accordance with their terms on February 26, 2021 and that the Company will wind up and terminate as soon as practicable after such date.

The redemption price for each Preferred Share will be an amount equal to the Series 2 Preferred Share Redemption Price (as defined in the provisions attaching to the Preferred Shares). The Series 2 Preferred Share Redemption Price will equal the lesser of (i) $25.67; and (ii) Unit Value (as defined in the provisions attaching to the Preferred Shares). The redemption price (the “Capital Share Redemption Price”) for every two Capital Shares redeemed will be an amount equal to the amount, if any, by which the Unit Value exceeds $25.67.

Holders of Capital Shares who wish to receive a redemption payment equal to the Capital Share Redemption Price in portfolio shares (rounded down to the nearest whole share) rather than cash must give notice to this effect to the Company and tender $25.67 for every two Capital Shares redeemed to the Company no later than January 29, 2021. Dealers and CDS may have deadlines earlier than January 29, 2021 for receiving such notice. Accordingly, a holder who wishes to receive portfolio shares on the final redemption should contact their dealer sufficiently in advance of January 29, 2021 to ensure that their dealer is provided sufficient time to deliver such notice to CDS before the deadline set by CDS for receiving those notices. Holders of Capital Shares who do not give the required 20 business days’ notice will be deemed to have chosen to be paid in cash.

The payment of the amount due to holders of the redeemed Capital Shares and Preferred Shares will be made by the Company on February 26, 2021.

The Capital Shares and Preferred Shares will be delisted from the Toronto Stock Exchange on or about February 26, 2021.

Allbanc Split Corp. II is a mutual fund corporation created to hold a portfolio of publicly listed common shares of selected Canadian chartered banks. Capital Shares and Preferred Shares of Allbanc Split Corp. II are listed for trading on The Toronto Stock Exchange under the symbols ALB and ALB.PR.C respectively.

ALB.PR.C is a SplitShare, ~4.75%, maturing 2021-2-28, that commenced trading 2016-2-29. It is tracked by HIMIPref™ but relegated to the Scraps – SplitShare subindex on volume concerns.

RY.PR.M : No Conversion To FloatingReset

November 12th, 2020

Royal Bank of Canada has announced:

that during the conversion notice period, which ran from October 26, 2020 to November 9, 2020, 52,464 Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BF (the “Series BF shares”) were tendered for conversion, on a one-for-one basis, into NVCC Non-Cumulative Floating Rate First Preferred Shares, Series BG (the “Series BG shares”). As per the conditions set out in the prospectus supplement dated March 9, 2015, since less than 1,000,000 Series BG shares would be outstanding after November 24, 2020, holders of Series BF shares will not be entitled to convert their shares into Series BG shares. As a result, Series BG shares will not be issued at this time and holders of Series BF shares will retain their shares.

On November 24, 2020, Royal Bank of Canada will have 12,000,000 Series BF shares issued and outstanding. The Series BF shares are currently listed on the Toronto Stock Exchange under the symbol RY.PR.M.

RY.PR.M is a FixedReset, 3.60%+262, NVCC-compliant, that commenced trading 2015-3-15 after being announced 2015-3-5. The company announced extension earlier in October. The issue will reset to 3.00% effective 2020-11-24. The issue is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

November 12, 2020

November 12th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.5843 % 1,725.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5843 % 3,167.0
Floater 4.93 % 4.99 % 41,498 15.48 3 -1.5843 % 1,825.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1085 % 3,553.0
SplitShare 4.77 % 4.46 % 40,684 3.50 8 0.1085 % 4,243.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1085 % 3,310.6
Perpetual-Premium 5.35 % 3.66 % 76,690 0.41 14 0.0671 % 3,181.8
Perpetual-Discount 5.18 % 5.16 % 79,432 15.16 19 -0.0328 % 3,583.8
FixedReset Disc 5.36 % 4.16 % 127,208 16.47 64 -0.0821 % 2,161.3
Insurance Straight 5.08 % 4.93 % 100,499 15.14 22 -0.1128 % 3,493.0
FloatingReset 1.97 % 2.20 % 52,493 1.20 3 -0.1839 % 1,807.0
FixedReset Prem 5.20 % 3.06 % 230,046 0.74 15 -0.0184 % 2,662.1
FixedReset Bank Non 1.94 % 2.18 % 179,706 1.20 2 -0.0603 % 2,862.5
FixedReset Ins Non 5.43 % 4.36 % 69,639 16.30 22 -1.2715 % 2,224.2
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset Ins Non -13.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.92 %
MFC.PR.N FixedReset Ins Non -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.37 %
BMO.PR.Y FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.10 %
TD.PF.C FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.06 %
TRP.PR.B FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.11 %
BAM.PR.K Floater -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 4.99 %
MFC.PR.F FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.38 %
IAF.PR.G FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.49 %
MFC.PR.H FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.38 %
BAM.PR.B Floater -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 4.99 %
MFC.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.20 %
BAM.PF.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.44 %
BAM.PR.C Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 8.69
Evaluated at bid price : 8.69
Bid-YTW : 4.99 %
SLF.PR.H FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.34 %
BIK.PR.A FixedReset Prem -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.66 %
CM.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.13 %
IFC.PR.G FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.59 %
NA.PR.G FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.32 %
BAM.PF.D Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.07
Evaluated at bid price : 23.35
Bid-YTW : 5.31 %
BIP.PR.D FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 22.39
Evaluated at bid price : 22.80
Bid-YTW : 5.54 %
BIP.PR.F FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 22.27
Evaluated at bid price : 22.75
Bid-YTW : 5.66 %
PWF.PR.P FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset Disc 402,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.72 %
RY.PR.M FixedReset Disc 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.14 %
CM.PR.T FixedReset Disc 68,868 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.17
Evaluated at bid price : 24.60
Bid-YTW : 4.05 %
NA.PR.E FixedReset Disc 59,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.29 %
CM.PR.R FixedReset Disc 56,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.13
Evaluated at bid price : 23.52
Bid-YTW : 4.16 %
TD.PF.L FixedReset Disc 33,445 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-12
Maturity Price : 23.24
Evaluated at bid price : 24.79
Bid-YTW : 3.95 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 15.80 – 18.56
Spot Rate : 2.7600
Average : 1.5414

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

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

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

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

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

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

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

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

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

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

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

November 11, 2020

November 11th, 2020

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

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0821 % 1,753.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0821 % 3,218.0
Floater 4.85 % 4.91 % 41,740 15.62 3 -1.0821 % 1,854.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0592 % 3,549.1
SplitShare 4.78 % 4.51 % 42,321 3.50 8 0.0592 % 4,238.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0592 % 3,307.0
Perpetual-Premium 5.36 % 3.31 % 75,558 0.12 14 -0.0726 % 3,179.7
Perpetual-Discount 5.17 % 5.15 % 80,276 15.19 19 0.1952 % 3,584.9
FixedReset Disc 5.35 % 4.17 % 127,765 16.47 64 0.2192 % 2,163.1
Insurance Straight 5.08 % 4.90 % 104,185 15.14 22 0.1574 % 3,496.9
FloatingReset 1.97 % 1.93 % 52,901 1.21 3 0.0837 % 1,810.4
FixedReset Prem 5.20 % 2.95 % 233,656 0.74 15 0.0762 % 2,662.6
FixedReset Bank Non 1.94 % 2.10 % 181,276 1.20 2 0.0201 % 2,864.2
FixedReset Ins Non 5.36 % 4.28 % 65,746 16.35 22 0.3444 % 2,252.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.52 %
PWF.PR.P FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.88 %
BAM.PR.C Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 4.92 %
BMO.PR.S FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.07 %
BAM.PF.A FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.37 %
BAM.PR.B Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.84
Evaluated at bid price : 8.84
Bid-YTW : 4.91 %
TRP.PR.C FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 9.09
Evaluated at bid price : 9.09
Bid-YTW : 5.61 %
RY.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.84 %
BMO.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 23.87
Evaluated at bid price : 24.25
Bid-YTW : 3.96 %
BMO.PR.E FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.06 %
MFC.PR.F FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.30 %
CM.PR.Q FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.21 %
BAM.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 5.19 %
TRP.PR.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.67 %
MFC.PR.N FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.19 %
CM.PR.S FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.09 %
MFC.PR.I FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.14 %
BIK.PR.A FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 5.30 %
CM.PR.P FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
SLF.PR.G FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.48
Evaluated at bid price : 11.48
Bid-YTW : 4.13 %
TRP.PR.G FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.66 %
TRP.PR.B FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 8.83
Evaluated at bid price : 8.83
Bid-YTW : 5.00 %
NA.PR.W FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 4.28 %
BAM.PR.R FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 5.34 %
BMO.PR.Y FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.X FixedReset Disc 68,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 5.19 %
BAM.PR.T FixedReset Disc 38,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.33 %
RY.PR.Z FixedReset Disc 37,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.86 %
MFC.PR.J FixedReset Ins Non 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.32 %
TRP.PR.A FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.67 %
BMO.PR.T FixedReset Disc 18,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-11
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.04 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 18.04 – 21.00
Spot Rate : 2.9600
Average : 2.4036

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

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

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

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

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

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

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

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

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

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

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

November 10, 2020

November 10th, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

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

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

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

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

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

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

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

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

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

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

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

November 9, 2020

November 9th, 2020
unicorn_201109
Click for Big

There was encouraging coronavirus news today:

Pfizer Inc’s experimental COVID-19 vaccine is more than 90 per cent effective based on initial trial results, the drugmaker said on Monday, a major victory in the war against a virus that has killed over a million people and battered the world’s economy.

Experts welcomed the first successful interim data from a large-scale clinical test as a watershed moment that showed vaccines could help halt the pandemic, although mass roll-outs, which needs regulatory approval, will not happen this year.

Pfizer … and German partner BioNTech said they had found no serious safety concerns yet and expected to seek U.S. authorization this month for emergency use of the vaccine, raising the chance of a regulatory decision as soon as December.

The financial markets loved it:

The stock market raced toward a post-pandemic existence on Monday when long-struggling airlines, banks, energy producers and theatre chains surged on promising test results for a COVID-19 vaccine that could be cleared for widespread use later this month.

The S&P 500 rose 1.2 per cent, continuing a powerful rally that began last week following the U.S. presidential election. It lost some momentum towards the end of the trading day after touching a record intraday high soon after the start of trading, as technology stocks slumped.

Canada’s S&P/TSX Composite Index also ended the day 1.2 per cent higher, about level where it was a month ago.

Major benchmarks in the U.K. and Germany rose 4.7 per cent and 4.9 per cent, respectively.

The bond market also responded in dramatic fashion, as yields surged to their highest levels in months in anticipation of stronger economic activity. The yield on the 10-year U.S. Treasury bond jumped to 0.929 per cent, up 11.4 basis points (there are 100 basis points in a percentage point).

Energy stocks also rallied, after the price of West Texas Intermediate crude, a U.S. oil benchmark, rose 7.7 per cent to US$40 per barrel. The gain underpinned a rally in the Canadian energy sector, which saw Suncor Energy Inc. rise 24.7 per cent and Canadian Natural Resources Ltd. rise 22.6 per cent.

TXPR closed at 588.47, up 1.07% on the day. Volume today was 1.41-million, below the median of the past thirty days.

CPD closed at 11.73, up 1.38% on the day. Volume was 103,311, well below the median of the past 30 trading days.

ZPR closed at 9.24, up 1.43% on the day. Volume of 371,216 was third-highest of the past 30 trading days, behind only November 2 and October 21.

Five-year Canada yields were up 7bp to 0.47% today.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 4.1716 % 1,734.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.1716 % 3,182.8
Floater 4.91 % 4.96 % 41,385 15.54 3 4.1716 % 1,834.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,537.9
SplitShare 4.79 % 4.72 % 42,994 3.50 8 0.0644 % 4,225.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,296.5
Perpetual-Premium 5.36 % 0.02 % 81,438 0.12 14 -0.1424 % 3,179.1
Perpetual-Discount 5.19 % 5.15 % 83,526 15.18 19 0.1761 % 3,571.9
FixedReset Disc 5.40 % 4.21 % 128,831 16.50 64 0.9387 % 2,144.4
Insurance Straight 5.09 % 4.95 % 106,876 15.14 22 -0.0537 % 3,490.5
FloatingReset 1.97 % 2.29 % 48,365 1.21 3 0.2859 % 1,805.5
FixedReset Prem 5.21 % 3.18 % 238,978 0.75 15 0.2345 % 2,658.2
FixedReset Bank Non 1.94 % 2.20 % 190,435 1.21 2 -0.0402 % 2,864.8
FixedReset Ins Non 5.49 % 4.38 % 70,459 16.24 22 -0.0379 % 2,202.1
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset Ins Non -21.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.60 %
BAM.PR.R FixedReset Disc -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 5.65 %
BAM.PR.T FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 5.70 %
SLF.PR.B Insurance Straight -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.83
Evaluated at bid price : 24.08
Bid-YTW : 5.04 %
MFC.PR.R FixedReset Ins Non -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.89
Evaluated at bid price : 24.30
Bid-YTW : 4.51 %
CCS.PR.C Insurance Straight -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.24 %
RY.PR.P Perpetual-Premium -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-24
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -0.25 %
CU.PR.D Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.75
Evaluated at bid price : 24.04
Bid-YTW : 5.09 %
IFC.PR.I Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.17 %
W.PR.M FixedReset Prem 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.53 %
TD.PF.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 22.34
Evaluated at bid price : 22.65
Bid-YTW : 3.96 %
GWO.PR.R Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 24.21
Evaluated at bid price : 24.48
Bid-YTW : 4.95 %
MFC.PR.B Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.82 %
RY.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.86 %
CM.PR.Y FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.44
Evaluated at bid price : 25.50
Bid-YTW : 4.12 %
BIP.PR.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.48
Evaluated at bid price : 24.58
Bid-YTW : 5.62 %
BAM.PF.A FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.33 %
TD.PF.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.03 %
RY.PR.M FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.13 %
IFC.PR.A FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 4.67 %
CM.PR.Q FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 4.21 %
BIP.PR.F FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 5.81 %
MFC.PR.Q FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.30 %
TD.PF.B FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.05 %
BAM.PF.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.46 %
MFC.PR.C Insurance Straight 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.83
Evaluated at bid price : 24.08
Bid-YTW : 4.72 %
TD.PF.L FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.22
Evaluated at bid price : 24.75
Bid-YTW : 3.96 %
BAM.PR.M Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 5.37 %
IFC.PR.G FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.63 %
NA.PR.S FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 4.32 %
BAM.PF.G FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 5.34 %
MFC.PR.J FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.38 %
BNS.PR.I FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 3.91 %
TRP.PR.F FloatingReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 5.03 %
BMO.PR.W FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.02 %
TRP.PR.B FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 5.23 %
MFC.PR.N FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.25 %
CM.PR.P FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.06 %
IAF.PR.G FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.39 %
BMO.PR.E FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.12 %
IFC.PR.C FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.54 %
BAM.PF.B FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.38 %
TRP.PR.G FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.82 %
SLF.PR.I FixedReset Ins Non 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.21 %
MFC.PR.F FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 4.42 %
MFC.PR.I FixedReset Ins Non 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.17 %
SLF.PR.H FixedReset Ins Non 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 4.33 %
BIP.PR.C FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.58
Evaluated at bid price : 24.15
Bid-YTW : 5.59 %
TRP.PR.E FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 13.53
Evaluated at bid price : 13.53
Bid-YTW : 5.68 %
BAM.PR.X FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 5.27 %
TRP.PR.C FixedReset Disc 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 5.60 %
BAM.PF.D Perpetual-Discount 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.06
Evaluated at bid price : 23.35
Bid-YTW : 5.30 %
CU.PR.C FixedReset Disc 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.33 %
TRP.PR.A FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.61 %
BAM.PR.C Floater 4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 8.77
Evaluated at bid price : 8.77
Bid-YTW : 4.95 %
BAM.PF.I FixedReset Disc 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.76
Evaluated at bid price : 24.97
Bid-YTW : 4.79 %
GWO.PR.N FixedReset Ins Non 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.41 %
SLF.PR.G FixedReset Ins Non 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.23 %
BAM.PR.B Floater 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 4.96 %
BAM.PR.K Floater 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 4.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.04
Evaluated at bid price : 23.43
Bid-YTW : 4.18 %
BAM.PR.N Perpetual-Discount 35,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 21.92
Evaluated at bid price : 22.16
Bid-YTW : 5.42 %
SLF.PR.E Insurance Straight 25,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.75 %
CCS.PR.C Insurance Straight 24,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.24 %
TD.PF.A FixedReset Disc 23,495 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.03 %
TD.PF.J FixedReset Disc 21,611 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.10 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 15.50 – 20.60
Spot Rate : 5.1000
Average : 2.7681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.60 %

BAM.PR.T FixedReset Disc Quote: 12.72 – 13.82
Spot Rate : 1.1000
Average : 0.6586

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 5.70 %

BAM.PR.R FixedReset Disc Quote: 12.51 – 13.50
Spot Rate : 0.9900
Average : 0.6443

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 5.65 %

MFC.PR.R FixedReset Ins Non Quote: 24.30 – 25.21
Spot Rate : 0.9100
Average : 0.5846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 23.89
Evaluated at bid price : 24.30
Bid-YTW : 4.51 %

RY.PR.M FixedReset Disc Quote: 18.85 – 19.85
Spot Rate : 1.0000
Average : 0.6892

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.13 %

IFC.PR.A FixedReset Ins Non Quote: 12.80 – 13.71
Spot Rate : 0.9100
Average : 0.6392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-09
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 4.67 %

November 6, 2020

November 6th, 2020

Jobs, jobs, jobs!

The American economy gained 638,000 jobs last month, a sign the labor market continues to heal slowly as a resurgence in the coronavirus threatens future growth.

The unemployment rate fell sharply to 6.9 percent, from 7.9 percent in September, the Labor Department reported.

The overall job gain would have been larger without the loss of 147,000 temporary census positions.

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 0.9627 % 1,665.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9627 % 3,055.3
Floater 5.11 % 5.16 % 41,893 15.19 3 0.9627 % 1,760.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,535.6
SplitShare 4.80 % 4.71 % 42,923 3.51 8 0.0842 % 4,222.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,294.4
Perpetual-Premium 5.35 % 2.96 % 81,541 0.13 14 0.0503 % 3,183.7
Perpetual-Discount 5.20 % 5.14 % 84,655 15.17 19 -0.1648 % 3,565.6
FixedReset Disc 5.45 % 4.17 % 129,080 16.58 64 -0.0074 % 2,124.5
Insurance Straight 5.08 % 4.93 % 107,195 15.18 22 0.1724 % 3,492.4
FloatingReset 1.97 % 2.30 % 48,814 1.22 3 0.0000 % 1,800.4
FixedReset Prem 5.22 % 3.06 % 240,465 0.76 15 0.0105 % 2,652.0
FixedReset Bank Non 1.94 % 2.04 % 186,960 1.22 2 0.0402 % 2,865.9
FixedReset Ins Non 5.48 % 4.26 % 70,808 16.41 22 0.3014 % 2,202.9
Performance Highlights
Issue Index Change Notes
BAM.PF.I FixedReset Disc -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 23.57
Evaluated at bid price : 24.00
Bid-YTW : 5.04 %
CU.PR.C FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.36 %
SLF.PR.G FixedReset Ins Non -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.24 %
TRP.PR.C FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 8.83
Evaluated at bid price : 8.83
Bid-YTW : 5.51 %
MFC.PR.J FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.34 %
CU.PR.G Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 22.80
Evaluated at bid price : 23.08
Bid-YTW : 4.87 %
BAM.PF.D Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 22.34
Evaluated at bid price : 22.62
Bid-YTW : 5.47 %
TD.PF.D FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.07 %
BAM.PR.Z FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.37 %
GWO.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 9.85
Evaluated at bid price : 9.85
Bid-YTW : 4.36 %
NA.PR.G FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.25 %
TRP.PR.D FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.68 %
TRP.PR.G FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 5.79 %
BAM.PR.C Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 8.43
Evaluated at bid price : 8.43
Bid-YTW : 5.15 %
BAM.PF.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.33 %
TRP.PR.E FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 5.70 %
MFC.PR.R FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 23.75
Evaluated at bid price : 24.92
Bid-YTW : 4.26 %
IFC.PR.G FixedReset Ins Non 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 4.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.E Insurance Straight 138,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.75 %
BMO.PR.C FixedReset Disc 43,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 23.48
Evaluated at bid price : 23.89
Bid-YTW : 3.93 %
TD.PF.A FixedReset Disc 34,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 3.97 %
RY.PR.R FixedReset Prem 31,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 2.90 %
SLF.PR.C Insurance Straight 28,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.80 %
CM.PR.R FixedReset Disc 26,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 22.85
Evaluated at bid price : 23.23
Bid-YTW : 4.12 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 10.65 – 11.65
Spot Rate : 1.0000
Average : 0.5630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 4.70 %

BAM.PF.I FixedReset Disc Quote: 24.00 – 24.97
Spot Rate : 0.9700
Average : 0.5746

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 23.57
Evaluated at bid price : 24.00
Bid-YTW : 5.04 %

BAM.PR.M Perpetual-Discount Quote: 22.03 – 23.00
Spot Rate : 0.9700
Average : 0.6069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 21.78
Evaluated at bid price : 22.03
Bid-YTW : 5.45 %

BAM.PF.A FixedReset Disc Quote: 17.25 – 17.74
Spot Rate : 0.4900
Average : 0.3280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.27 %

BAM.PF.D Perpetual-Discount Quote: 22.62 – 23.50
Spot Rate : 0.8800
Average : 0.7203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 22.34
Evaluated at bid price : 22.62
Bid-YTW : 5.47 %

SLF.PR.G FixedReset Ins Non Quote: 10.76 – 11.30
Spot Rate : 0.5400
Average : 0.3871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-06
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.24 %