Archive for August, 2020

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August 14, 2020

Friday, August 14th, 2020

Inflation expectations are normalizing:

The U.S. bond market’s gauge of investor inflation expectations this week rose to six-month highs, bolstered in part by data showing higher producer and consumer prices in July.

The yield spread, or inflation breakeven rate, between five-year Treasury Inflation Protected Securities (TIPS) and regular five-year Treasuries hit 1.565% on Thursday, the highest since February.

U.S. 10-year and 30-year breakevens touched 1.6618% and 1.7105% on Wednesday and Thursday, respectively. Both levels were six-month peaks.

Breakeven rates pared some of that move Friday as they came off their highs.

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 0.0405 % 1,602.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0405 % 2,940.2
Floater 5.21 % 5.28 % 63,075 14.98 3 0.0405 % 1,694.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0988 % 3,500.1
SplitShare 4.67 % 4.48 % 42,124 3.25 8 -0.0988 % 4,179.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0988 % 3,261.3
Perpetual-Premium 5.55 % 4.70 % 84,317 4.03 4 0.0992 % 3,098.5
Perpetual-Discount 5.45 % 5.64 % 77,754 14.38 31 -0.0508 % 3,351.4
FixedReset Disc 5.66 % 4.45 % 122,886 15.96 67 -0.1238 % 2,026.4
Deemed-Retractible 5.23 % 5.32 % 90,184 14.58 27 -0.0108 % 3,285.0
FloatingReset 2.90 % 2.01 % 42,122 1.44 3 -0.0450 % 1,775.7
FixedReset Prem 5.27 % 4.18 % 229,891 0.92 11 0.1597 % 2,612.5
FixedReset Bank Non 1.95 % 2.46 % 107,266 1.44 2 -0.3618 % 2,839.4
FixedReset Ins Non 5.85 % 4.63 % 95,872 15.79 22 -0.3161 % 2,052.4
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %
MFC.PR.J FixedReset Ins Non -4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.83 %
IFC.PR.C FixedReset Ins Non -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.06 %
IFC.PR.G FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 4.72 %
TD.PF.D FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.32 %
MFC.PR.G FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.69 %
MFC.PR.B Deemed-Retractible -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 5.37 %
TRP.PR.C FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.68 %
BAM.PF.F FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.64 %
IFC.PR.A FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 4.98 %
TRP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.48 %
NA.PR.G FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.45 %
RY.PR.H FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.13 %
TRP.PR.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.53 %
TRP.PR.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 5.10 %
MFC.PR.R FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 23.24
Evaluated at bid price : 23.65
Bid-YTW : 4.51 %
RY.PR.S FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.00 %
MFC.PR.H FixedReset Ins Non 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.63 %
TD.PF.L FixedReset Disc 19.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 4.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Disc 104,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 4.36 %
CM.PR.S FixedReset Disc 73,105 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.19 %
CM.PR.R FixedReset Disc 51,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 4.44 %
RY.PR.S FixedReset Disc 34,941 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.00 %
BAM.PF.D Perpetual-Discount 26,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.10
Evaluated at bid price : 22.35
Bid-YTW : 5.55 %
TD.PF.A FixedReset Disc 25,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.21 %
There were 18 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: 11.98 – 18.91
Spot Rate : 6.9300
Average : 3.7469

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %
MFC.PR.J FixedReset Ins Non Quote: 16.87 – 18.05
Spot Rate : 1.1800
Average : 0.7627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.83 %
TD.PF.E FixedReset Disc Quote: 18.72 – 20.37
Spot Rate : 1.6500
Average : 1.2969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.43 %
CCS.PR.C Deemed-Retractible Quote: 22.80 – 23.50
Spot Rate : 0.7000
Average : 0.4656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 5.55 %
MFC.PR.G FixedReset Ins Non Quote: 17.90 – 18.59
Spot Rate : 0.6900
Average : 0.5075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.69 %
IFC.PR.C FixedReset Ins Non Quote: 15.50 – 16.25
Spot Rate : 0.7500
Average : 0.5912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.06 %

Posted in Market Action | 3 Comments »

August 13, 2020

Thursday, August 13th, 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 -0.4037 % 1,601.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4037 % 2,939.0
Floater 5.21 % 5.29 % 63,912 14.96 3 -0.4037 % 1,693.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1578 % 3,503.6
SplitShare 4.66 % 4.57 % 39,934 3.25 8 -0.1578 % 4,184.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1578 % 3,264.6
Perpetual-Premium 5.56 % 4.69 % 83,436 4.03 4 0.0198 % 3,095.4
Perpetual-Discount 5.44 % 5.66 % 76,496 14.39 31 0.1347 % 3,353.1
FixedReset Disc 5.65 % 4.37 % 121,797 16.07 67 -0.0272 % 2,028.9
Deemed-Retractible 5.22 % 5.32 % 90,965 14.55 27 0.0284 % 3,285.3
FloatingReset 2.90 % 1.95 % 42,513 1.45 3 0.2706 % 1,776.5
FixedReset Prem 5.27 % 4.33 % 227,022 0.92 11 0.1442 % 2,608.4
FixedReset Bank Non 1.94 % 2.14 % 107,670 1.44 2 0.3631 % 2,849.8
FixedReset Ins Non 5.78 % 4.52 % 98,945 15.88 22 0.0613 % 2,058.9
Performance Highlights
Issue Index Change Notes
TD.PF.L FixedReset Disc -16.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.31 %
MFC.PR.H FixedReset Ins Non -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.65 %
CM.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 22.08
Evaluated at bid price : 22.54
Bid-YTW : 4.37 %
BIP.PR.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 24.05
Evaluated at bid price : 24.75
Bid-YTW : 5.60 %
BAM.PF.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.45 %
MFC.PR.F FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 10.03
Evaluated at bid price : 10.03
Bid-YTW : 4.45 %
MFC.PR.N FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.49 %
TRP.PR.D FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.34 %
BAM.PR.R FixedReset Disc 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.33 %
TD.PF.J FixedReset Disc 7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Deemed-Retractible 109,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.31 %
BAM.PF.G FixedReset Disc 58,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.36 %
TD.PF.M FixedReset Disc 26,765 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 23.02
Evaluated at bid price : 24.38
Bid-YTW : 4.18 %
TD.PF.A FixedReset Disc 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.12 %
RY.PR.C Deemed-Retractible 24,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 1.45 %
BAM.PF.H FixedReset Disc 22,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 24.34
Evaluated at bid price : 24.95
Bid-YTW : 5.04 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.L FixedReset Disc Quote: 19.74 – 23.73
Spot Rate : 3.9900
Average : 2.1441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc Quote: 18.72 – 20.05
Spot Rate : 1.3300
Average : 0.9098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.31 %
EIT.PR.A SplitShare Quote: 25.40 – 27.00
Spot Rate : 1.6000
Average : 1.3128

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.58 %
MFC.PR.H FixedReset Ins Non Quote: 19.30 – 19.82
Spot Rate : 0.5200
Average : 0.3434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.65 %
BAM.PF.A FixedReset Disc Quote: 16.92 – 17.40
Spot Rate : 0.4800
Average : 0.3333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.35 %
NA.PR.G FixedReset Disc Quote: 19.55 – 19.97
Spot Rate : 0.4200
Average : 0.3159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.39 %

Posted in Market Action | No Comments »

August 12, 2020

Wednesday, August 12th, 2020

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.79%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 455bp from the 450bp reported August 5. We remain above the pre-2020 record of 445bp briefly touched in 2008

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 2.2286 % 1,608.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2286 % 2,950.9
Floater 5.19 % 5.26 % 63,074 15.01 3 2.2286 % 1,700.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,509.1
SplitShare 4.65 % 4.32 % 40,924 3.26 8 0.0839 % 4,190.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,269.7
Perpetual-Premium 5.56 % 4.69 % 83,081 4.03 4 -0.0694 % 3,094.8
Perpetual-Discount 5.45 % 5.65 % 77,608 14.39 31 -0.1099 % 3,348.6
FixedReset Disc 5.64 % 4.35 % 115,360 16.08 67 0.2327 % 2,029.5
Deemed-Retractible 5.23 % 5.33 % 90,489 14.57 27 -0.0095 % 3,284.4
FloatingReset 2.90 % 2.23 % 42,810 1.45 3 0.0451 % 1,771.7
FixedReset Prem 5.28 % 4.42 % 229,428 0.92 11 -0.1044 % 2,604.6
FixedReset Bank Non 1.95 % 2.39 % 105,673 1.44 2 0.0000 % 2,839.4
FixedReset Ins Non 5.79 % 4.55 % 97,982 15.87 22 -0.0399 % 2,057.7
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
CM.PR.Q FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.80
Evaluated at bid price : 8.80
Bid-YTW : 5.38 %
TRP.PR.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.42 %
RY.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 3.96 %
BAM.PF.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BIP.PR.D FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 5.76 %
CM.PR.S FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.11 %
TD.PF.K FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.15 %
BAM.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 5.08 %
BAM.PR.C Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.23
Evaluated at bid price : 8.23
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 5.26 %
BAM.PF.J FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 23.08
Evaluated at bid price : 24.00
Bid-YTW : 4.96 %
BAM.PR.B Floater 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.29
Evaluated at bid price : 8.29
Bid-YTW : 5.24 %
SLF.PR.G FixedReset Ins Non 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.33 %
GWO.PR.N FixedReset Ins Non 4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 57,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
BAM.PF.B FixedReset Disc 56,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.45 %
RY.PR.Q FixedReset Prem 37,293 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.16 %
BAM.PF.G FixedReset Disc 35,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BMO.PR.E FixedReset Disc 32,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.16 %
MFC.PR.G FixedReset Ins Non 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Ins Non Quote: 9.97 – 13.00
Spot Rate : 3.0300
Average : 1.8259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.18 %
EIT.PR.A SplitShare Quote: 25.61 – 27.00
Spot Rate : 1.3900
Average : 0.9979

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.32 %
BAM.PR.R FixedReset Disc Quote: 12.12 – 13.21
Spot Rate : 1.0900
Average : 0.7021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.55 %
CM.PR.Q FixedReset Disc Quote: 17.80 – 18.45
Spot Rate : 0.6500
Average : 0.4381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.42 %
TD.PF.J FixedReset Disc Quote: 18.50 – 19.99
Spot Rate : 1.4900
Average : 1.3241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %
MFC.PR.I FixedReset Ins Non Quote: 18.35 – 18.90
Spot Rate : 0.5500
Average : 0.3864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %

Posted in Market Action | No Comments »

August 11, 2020

Tuesday, August 11th, 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 0.6647 % 1,573.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6647 % 2,886.6
Floater 5.31 % 5.37 % 60,757 14.82 3 0.6647 % 1,663.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,506.2
SplitShare 4.66 % 4.53 % 42,521 3.26 8 0.0395 % 4,187.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,267.0
Perpetual-Premium 5.55 % 4.70 % 81,581 4.03 4 -0.0297 % 3,097.0
Perpetual-Discount 5.45 % 5.64 % 80,207 14.42 31 0.1251 % 3,352.3
FixedReset Disc 5.66 % 4.38 % 115,740 16.02 67 0.5267 % 2,024.8
Deemed-Retractible 5.22 % 5.33 % 89,500 14.58 27 -0.0379 % 3,284.7
FloatingReset 2.90 % 2.23 % 44,355 1.45 3 0.3850 % 1,770.9
FixedReset Prem 5.27 % 4.42 % 232,635 0.92 11 -0.0540 % 2,607.3
FixedReset Bank Non 1.95 % 2.39 % 106,942 1.45 2 -0.0605 % 2,839.4
FixedReset Ins Non 5.79 % 4.51 % 92,328 15.93 22 0.2162 % 2,058.5
Performance Highlights
Issue Index Change Notes
BIK.PR.A FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.11
Evaluated at bid price : 24.50
Bid-YTW : 5.99 %
NA.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.40 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 5.36 %
IAF.PR.I FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.35 %
MFC.PR.K FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 4.55 %
CU.PR.I FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.39 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.46 %
GWO.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.34 %
NA.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.53 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 4.95 %
BAM.PF.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 24.13
Evaluated at bid price : 24.80
Bid-YTW : 5.07 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 5.06 %
CM.PR.O FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
SLF.PR.I FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.46 %
CM.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.16 %
BAM.PF.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.41 %
BMO.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.28 %
NA.PR.S FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.41 %
TRP.PR.F FloatingReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.10 %
MFC.PR.H FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 4.51 %
BIP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.01 %
TRP.PR.C FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.15 %
CM.PR.P FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.29 %
PWF.PR.P FixedReset Disc 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 245,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.32
Evaluated at bid price : 23.73
Bid-YTW : 4.48 %
GWO.PR.N FixedReset Ins Non 79,519 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PF.B FixedReset Disc 52,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 5.45 %
CM.PR.O FixedReset Disc 48,734 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
CM.PR.Y FixedReset Disc 43,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 22.79
Evaluated at bid price : 23.85
Bid-YTW : 4.38 %
TD.PF.K FixedReset Disc 42,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.21 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 18.55 – 20.04
Spot Rate : 1.4900
Average : 1.1423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.44 %
TD.PF.K FixedReset Disc Quote: 19.25 – 19.85
Spot Rate : 0.6000
Average : 0.3507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.21 %
CM.PR.Y FixedReset Disc Quote: 23.85 – 24.45
Spot Rate : 0.6000
Average : 0.4251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 22.79
Evaluated at bid price : 23.85
Bid-YTW : 4.38 %
NA.PR.G FixedReset Disc Quote: 19.51 – 19.95
Spot Rate : 0.4400
Average : 0.2695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.40 %
IFC.PR.C FixedReset Ins Non Quote: 16.15 – 16.80
Spot Rate : 0.6500
Average : 0.5353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.72 %
NA.PR.E FixedReset Disc Quote: 18.30 – 18.69
Spot Rate : 0.3900
Average : 0.2923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.33 %

Posted in Market Action | No Comments »

BK.PR.A Downgraded To Pfd-3 By DBRS

Tuesday, August 11th, 2020

DBRS has announced that it has:

downgraded the rating of the preferred shares (the Preferred Shares) issued by Canadian Banc Corp. (the Company) to Pfd-3 from Pfd-3 (high). The Company invests in a portfolio of common shares (the Portfolio) issued by the six largest Canadian banks: Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, and Toronto-Dominion Bank. Each of the six banks generally represents no less than 5% and no more than 20% of the net asset value (NAV) of the Portfolio. In addition, up to 20% of the NAV of the Portfolio may be invested in equity securities of Canadian or foreign financial services corporations other than the banks listed above.

Dividends from the Portfolio are used to pay holders of the Preferred Shares floating cumulative monthly dividends at an annual rate equal to the prevailing prime rate in Canada plus 1.5%, with a minimum annual rate of 5% and a maximum annual rate of 8%. Holders of the Class A Shares are entitled to receive monthly cash distributions targeted to be 10% annually based on the volume-weighted average market price of the Class A Shares for the last three trading days of the preceding month.

DBRS Morningstar expects the monthly cash distributions to the holders of the Class A Shares and operating expenses to cause an average grind on the NAV of the Portfolio of approximately 3.5% until the end of the term. An asset coverage test in place mitigates the effects of the grind by not permitting the Company to make monthly distributions to the Class A Shares if the dividends of the Preferred Shares are in arrears or if the NAV of the Portfolio falls below 1.5 times (x) the principal amount of the outstanding Preferred Shares. In addition, no special distributions can be made to the Class A Shares if, after such distributions, the NAV is below $25. This ensures a sufficient level of protection to the holders of the Preferred Shares.

The main form of credit enhancement available to the Preferred Shares is a buffer of downside protection. As of July 15, 2020, the amount of downside protection available to the Preferred Shares was 41.9%. The Preferred Share dividend coverage ratio was approximately 1.2x.

Following the stock market sell-off in response to the worldwide spread of Coronavirus Disease (COVID-19) and various geopolitical news in March 2020, the Preferred Shares experienced a decline in downside protection. Although the credit quality of the underlying assets of the Portfolio is strong, the Portfolio is concentrated in the financial services industry, which has suffered deep declines. The downside protection level partially recovered; however, it remains below the required level for a Pfd-3 (high) rating. The floating nature of dividend distributions to the Preferred Shares and Class A Shares, while mitigated by predetermined ranges of dividend yields, may potentially increase the volatility of the protection available to holders of the Preferred Shares in a high interest rate environment. Considering the decline in downside protection and the Portfolio performance metrics, DBRS Morningstar downgraded the rating on the Preferred Shares to Pfd-3 from Pfd-3 (high).

The maturity date is December 1, 2023. On maturity, the holders of the Preferred Shares will be entitled to the value of the Portfolio, up to the face value of the Preferred Shares, in priority to the holders of the Class A Shares. The Class A Shareholders will receive the remaining value of the Company. The term may be extended beyond the termination date for additional terms of five years each as determined by the Company’s board of directors.

DBRS Morningstar also considered the following constraints:

(1) The reliance on the Portfolio manager to generate additional income through methods such as option writing.

(2) The monthly cash distributions to holders of the Class A Shares.

(3) The dependence of the downside protection available to holders of the Preferred Shares on the value of the underlying common shares, which are subject to share price volatility.

BK.PR.A has a NAVPU of 16.80 as of July 31 for asset coverage of 1.7-:1 and downside protection (a different statement of the same idea) of 40.5%.

Posted in Issue Comments | No Comments »

August 10, 2020

Monday, August 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 -1.3929 % 1,562.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3929 % 2,867.5
Floater 5.34 % 5.41 % 61,367 14.77 3 -1.3929 % 1,652.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,504.8
SplitShare 4.66 % 4.53 % 43,110 3.27 8 0.3220 % 4,185.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,265.7
Perpetual-Premium 5.55 % 4.71 % 84,631 4.04 4 0.1191 % 3,097.9
Perpetual-Discount 5.45 % 5.63 % 78,141 14.43 31 0.3547 % 3,348.1
FixedReset Disc 5.69 % 4.38 % 119,658 16.01 67 0.4228 % 2,014.1
Deemed-Retractible 5.22 % 5.31 % 89,453 14.58 27 0.1059 % 3,285.9
FloatingReset 2.92 % 2.08 % 41,050 1.45 3 0.2497 % 1,764.2
FixedReset Prem 5.27 % 4.40 % 234,485 0.93 11 0.1586 % 2,608.7
FixedReset Bank Non 1.95 % 2.13 % 103,395 1.45 2 0.1413 % 2,841.2
FixedReset Ins Non 5.80 % 4.52 % 92,322 16.02 22 -0.1732 % 2,054.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -7.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.43 %
TD.PF.J FixedReset Disc -6.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %
SLF.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.46 %
BAM.PR.X FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 5.30 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.04
Evaluated at bid price : 8.04
Bid-YTW : 5.40 %
BAM.PR.K Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.43 %
SLF.PR.I FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.52 %
BAM.PR.C Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.03
Evaluated at bid price : 8.03
Bid-YTW : 5.41 %
PWF.PR.P FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.98 %
IFC.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 4.52 %
PWF.PR.Z Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.81
Evaluated at bid price : 23.15
Bid-YTW : 5.59 %
BIP.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.98
Evaluated at bid price : 23.50
Bid-YTW : 5.75 %
BAM.PR.R FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.33 %
POW.PR.D Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.61 %
BAM.PF.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.75
Evaluated at bid price : 23.38
Bid-YTW : 5.11 %
TRP.PR.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.41 %
CM.PR.Q FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.37 %
BIK.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 23.29
Evaluated at bid price : 25.00
Bid-YTW : 5.85 %
RY.PR.S FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.04 %
BIP.PR.D FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.87 %
MFC.PR.F FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.48 %
NA.PR.S FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 4.48 %
BAM.PF.D Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.49 %
CM.PR.S FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.22 %
TRP.PR.D FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 5.38 %
BIP.PR.A FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.12 %
CM.PR.O FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 4.37 %
BIP.PR.E FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.13 %
BAM.PF.I FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 23.65
Evaluated at bid price : 24.03
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 52,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.30 %
BAM.PR.X FixedReset Disc 45,772 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 5.30 %
BAM.PR.K Floater 43,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.43 %
TD.PF.K FixedReset Disc 41,437 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.24 %
RY.PR.Z FixedReset Disc 37,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.03 %
CM.PR.S FixedReset Disc 30,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.22 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.62 – 27.00
Spot Rate : 1.3800
Average : 0.8070

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 4.30 %
TD.PF.J FixedReset Disc Quote: 18.50 – 19.75
Spot Rate : 1.2500
Average : 0.7610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %
PVS.PR.E SplitShare Quote: 25.65 – 26.65
Spot Rate : 1.0000
Average : 0.6591

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.75 %
GWO.PR.N FixedReset Ins Non Quote: 9.40 – 10.05
Spot Rate : 0.6500
Average : 0.4021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.43 %
W.PR.M FixedReset Disc Quote: 24.65 – 25.20
Spot Rate : 0.5500
Average : 0.3412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 5.31 %
TRP.PR.B FixedReset Disc Quote: 8.25 – 8.85
Spot Rate : 0.6000
Average : 0.4233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 5.01 %

Posted in Market Action | No Comments »

DF.PR.A Downgraded to Pfd-4 by DBRS

Monday, August 10th, 2020

DBRS has announced that it has:

downgraded the Preferred Shares (the Preferred Shares) issued by Dividend 15 Split Corp. II (the Company) to Pfd-4 from Pfd-3 (low). The Company holds a portfolio of common shares listed on the Toronto Stock Exchange (the Portfolio), which are issued by the following 15 companies: Bank of Montreal, The Bank of Nova Scotia, BCE Inc., CI Financial Corp., Canadian Imperial Bank of Commerce, Enbridge Inc., Manulife Financial Corporation, National Bank of Canada, Royal Bank of Canada, Sun Life Financial Inc., TELUS Corporation, Thomson Reuters Corporation, The Toronto-Dominion Bank, TransAlta Corporation, and TC Energy Corp. Up to 15% of the net asset value (NAV) of the Portfolio may be invested in equity securities of issuers other than the companies listed above. Quadravest Capital Management Inc. actively manages the Portfolio. The Company has the ability to write covered call options in respect of some or all of the common shares held in the Portfolio to generate additional income and supplement the dividends received on the Portfolio.

On May 22, 2020, DBRS Morningstar placed the Preferred Shares Under Review with Negative Implications. The Preferred Shares have experienced a considerable reduction in downside protection since February 2020 as a result of the rapid decline in the NAV of the portfolio in response to the stock market sell-off, which was triggered by the worldwide spread of Coronavirus Disease (COVID-19) and various geopolitical events. With this downgrade, the rating of the Preferred Shares has been removed from Under Review with Negative Implications.

As at July 15, 2020, the downside protection available to the Preferred Shares was 21.2%. The dividend coverage ratio was approximately 0.8 times (x). Holders of the Preferred Shares continue to receive fixed cumulative monthly cash distributions of $0.04792 per Preferred Share, yielding 5.75% annually on the original issue price of $10.00. Distributions to the Class A Shares have been suspended since March 2020 because they have not met the NAV test of 1.5x.

DBRS Morningstar downgraded the rating on the Preferred Shares based on longer-term trends being established for the NAV. Although the downside protection has experienced some recovery in the past three months, its current level combined with a dividend coverage below 1.0, are commensurate with a Pfd-4 rating.

The NAVPU was 12.53 on July 31, for Asset Coverage of 1.3-:1 and downside protection (the same concept expressed differently) of 20.2%. The ‘Review-Negative’ status, now rescinded, was previously reported on PrefBlog.

Posted in Issue Comments | No Comments »

August 7, 2020

Friday, August 7th, 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 -0.1228 % 1,584.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1228 % 2,908.1
Floater 5.27 % 5.33 % 56,817 14.90 3 -0.1228 % 1,675.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,493.6
SplitShare 4.67 % 4.63 % 44,656 3.27 8 0.0644 % 4,172.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,255.2
Perpetual-Premium 5.56 % 4.71 % 78,918 4.05 4 0.2488 % 3,094.2
Perpetual-Discount 5.47 % 5.66 % 75,251 14.39 31 0.2019 % 3,336.2
FixedReset Disc 5.71 % 4.37 % 136,766 16.05 67 0.4336 % 2,005.7
Deemed-Retractible 5.23 % 5.30 % 90,436 14.56 27 0.1932 % 3,282.5
FloatingReset 2.94 % 2.08 % 37,989 1.46 3 0.5708 % 1,759.8
FixedReset Prem 5.28 % 4.40 % 230,024 0.99 11 -0.0612 % 2,604.6
FixedReset Bank Non 1.95 % 2.24 % 106,800 1.46 2 0.0202 % 2,837.2
FixedReset Ins Non 5.79 % 4.53 % 94,376 16.08 22 0.2939 % 2,057.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 4.68 %
NA.PR.S FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.52 %
IFC.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.54 %
PWF.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
BMO.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.31 %
IAF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.28 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.36 %
TRP.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.35 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %
GWO.PR.Q Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 23.20
Evaluated at bid price : 23.45
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.48 %
CM.PR.Q FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.40 %
MFC.PR.J FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.53 %
NA.PR.W FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.36 %
BAM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 5.35 %
MFC.PR.F FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.49 %
BAM.PF.D Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.21
Evaluated at bid price : 22.21
Bid-YTW : 5.59 %
SLF.PR.J FloatingReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.34 %
BAM.PR.T FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.33 %
MFC.PR.L FixedReset Ins Non 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.65 %
BAM.PR.X FixedReset Disc 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
BMO.PR.F FixedReset Disc 14.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.85
Evaluated at bid price : 23.95
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Deemed-Retractible 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.30 %
SLF.PR.B Deemed-Retractible 53,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 5.27 %
CU.PR.C FixedReset Disc 49,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 4.50 %
CU.PR.I FixedReset Disc 35,686 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.54 %
SLF.PR.D Deemed-Retractible 34,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.28 %
BAM.PR.X FixedReset Disc 33,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.6464

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.65 %
MFC.PR.K FixedReset Ins Non Quote: 16.20 – 16.95
Spot Rate : 0.7500
Average : 0.4532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.46 %
TD.PF.I FixedReset Disc Quote: 20.98 – 21.70
Spot Rate : 0.7200
Average : 0.5137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.14 %
MFC.PR.M FixedReset Ins Non Quote: 16.12 – 16.67
Spot Rate : 0.5500
Average : 0.3748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %
MFC.PR.H FixedReset Ins Non Quote: 19.62 – 20.18
Spot Rate : 0.5600
Average : 0.3907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.55 %
RY.PR.S FixedReset Disc Quote: 18.85 – 19.25
Spot Rate : 0.4000
Average : 0.2708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.08 %

Posted in Market Action | 5 Comments »

August 6, 2020

Thursday, August 6th, 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 -0.0818 % 1,586.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0818 % 2,911.6
Floater 5.26 % 5.33 % 56,655 14.91 3 -0.0818 % 1,678.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,491.3
SplitShare 4.68 % 4.72 % 46,168 3.27 8 0.1340 % 4,169.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,253.1
Perpetual-Premium 5.57 % 4.77 % 79,007 4.05 4 0.0498 % 3,086.5
Perpetual-Discount 5.48 % 5.67 % 77,878 14.38 31 0.0900 % 3,329.5
FixedReset Disc 5.74 % 4.45 % 124,816 16.10 67 0.1344 % 1,997.0
Deemed-Retractible 5.24 % 5.33 % 91,572 14.55 27 0.1570 % 3,276.1
FloatingReset 2.96 % 2.35 % 35,156 1.46 3 -0.8601 % 1,749.8
FixedReset Prem 5.27 % 4.36 % 237,736 0.94 11 0.1371 % 2,606.2
FixedReset Bank Non 1.95 % 2.46 % 107,983 1.46 2 0.3038 % 2,836.6
FixedReset Ins Non 5.80 % 4.53 % 94,028 16.02 22 0.4779 % 2,051.6
Performance Highlights
Issue Index Change Notes
BMO.PR.F FixedReset Disc -12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.87 %
SLF.PR.J FloatingReset -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.43 %
MFC.PR.L FixedReset Ins Non -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.81 %
SLF.PR.G FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.33 %
IFC.PR.C FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 4.67 %
BAM.PF.D Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.67 %
BAM.PR.R FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.42 %
TD.PF.D FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 4.23 %
CM.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 22.14
Evaluated at bid price : 22.63
Bid-YTW : 4.33 %
TRP.PR.K FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 23.44
Evaluated at bid price : 23.80
Bid-YTW : 5.22 %
PWF.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.62 %
IAF.PR.B Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.33 %
MFC.PR.K FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.46 %
RY.PR.H FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 4.06 %
BMO.PR.D FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.12 %
BAM.PF.H FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 23.76
Evaluated at bid price : 24.52
Bid-YTW : 5.12 %
RY.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.08 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.41 %
TRP.PR.A FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.35 %
CM.PR.Q FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.19 %
PWF.PR.P FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.82 %
RY.PR.M FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.97 %
SLF.PR.I FixedReset Ins Non 13.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.F FloatingReset 120,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 2.35 %
BAM.PR.X FixedReset Disc 95,797 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 5.36 %
IAF.PR.I FixedReset Ins Non 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.33 %
RY.PR.M FixedReset Disc 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.97 %
BMO.PR.D FixedReset Disc 54,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.12 %
CM.PR.R FixedReset Disc 50,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.37 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.F FixedReset Disc Quote: 21.00 – 24.06
Spot Rate : 3.0600
Average : 1.6991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.87 %
CU.PR.H Perpetual-Premium Quote: 24.90 – 25.68
Spot Rate : 0.7800
Average : 0.4605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 24.60
Evaluated at bid price : 24.90
Bid-YTW : 5.26 %
NA.PR.W FixedReset Disc Quote: 16.25 – 16.99
Spot Rate : 0.7400
Average : 0.4945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.42 %
TRP.PR.F FloatingReset Quote: 10.10 – 10.91
Spot Rate : 0.8100
Average : 0.5832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 5.23 %
GWO.PR.R Deemed-Retractible Quote: 21.95 – 22.49
Spot Rate : 0.5400
Average : 0.3179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.58
Evaluated at bid price : 21.95
Bid-YTW : 5.52 %
BAM.PF.D Perpetual-Discount Quote: 21.91 – 22.50
Spot Rate : 0.5900
Average : 0.3994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.67 %

Posted in Market Action | No Comments »

August 5, 2020

Wednesday, August 5th, 2020

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 450bp, the same as the 450bp reported July 29. We remain slightly above the pre-2020 record of 445bp briefly touched in 2008.

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 -0.3666 % 1,588.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3666 % 2,914.0
Floater 5.26 % 5.32 % 58,631 14.92 3 -0.3666 % 1,679.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,486.6
SplitShare 4.68 % 4.72 % 45,775 3.27 8 0.0099 % 4,163.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,248.8
Perpetual-Premium 5.58 % 4.87 % 81,918 4.05 4 0.2468 % 3,085.0
Perpetual-Discount 5.49 % 5.66 % 75,407 14.38 31 0.1622 % 3,326.5
FixedReset Disc 5.74 % 4.44 % 120,506 16.11 67 0.4148 % 1,994.3
Deemed-Retractible 5.25 % 5.34 % 92,274 14.53 27 0.0730 % 3,271.0
FloatingReset 2.93 % 2.35 % 32,537 1.47 3 0.3863 % 1,765.0
FixedReset Prem 5.28 % 4.39 % 239,728 1.00 11 0.0722 % 2,602.6
FixedReset Bank Non 1.96 % 2.54 % 112,192 1.46 2 0.1217 % 2,828.0
FixedReset Ins Non 5.83 % 4.54 % 97,581 15.73 22 -0.4836 % 2,041.8
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset Ins Non -13.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %
PWF.PR.P FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.92 %
IFC.PR.A FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %
RY.PR.S FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.13 %
CM.PR.Q FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.54 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.20 %
CCS.PR.C Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 5.61 %
POW.PR.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.02 %
PWF.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
IFC.PR.C FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.22 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.52 %
CU.PR.I FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 24.14
Evaluated at bid price : 24.85
Bid-YTW : 4.49 %
BMO.PR.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.21 %
TRP.PR.G FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.44 %
BAM.PR.R FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
TRP.PR.B FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 17.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 204,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 80,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
TD.PF.H FixedReset Prem 41,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.85
Evaluated at bid price : 25.05
Bid-YTW : 4.39 %
RY.PR.Q FixedReset Prem 33,842 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.11 %
BMO.PR.B FixedReset Prem 27,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.75
Evaluated at bid price : 25.10
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc 23,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.50 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 15.50 – 18.26
Spot Rate : 2.7600
Average : 1.6030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %
BAM.PR.R FixedReset Disc Quote: 12.45 – 13.27
Spot Rate : 0.8200
Average : 0.5967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
RY.PR.H FixedReset Disc Quote: 17.01 – 17.43
Spot Rate : 0.4200
Average : 0.2639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.11 %
TRP.PR.A FixedReset Disc Quote: 11.98 – 12.54
Spot Rate : 0.5600
Average : 0.4165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 5.43 %
TRP.PR.C FixedReset Disc Quote: 8.53 – 9.25
Spot Rate : 0.7200
Average : 0.5791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %
IFC.PR.A FixedReset Ins Non Quote: 12.21 – 12.90
Spot Rate : 0.6900
Average : 0.5583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %

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