October 7, 2020

PerpetualDiscounts now yield 5.04%, equivalent to 6.55% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 360bp from the 395bp reported September 30.

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 -0.4792 % 1,648.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4792 % 3,025.0
Floater 5.16 % 5.22 % 50,103 15.15 3 -0.4792 % 1,743.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1545 % 3,518.5
SplitShare 4.82 % 4.76 % 55,016 3.59 8 0.1545 % 4,201.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1545 % 3,278.4
Perpetual-Premium 5.27 % -0.02 % 84,868 0.09 17 0.2864 % 3,187.5
Perpetual-Discount 5.06 % 5.04 % 91,584 15.10 17 0.6173 % 3,625.3
FixedReset Disc 5.47 % 4.18 % 125,752 16.50 65 1.0959 % 2,108.8
Deemed-Retractible 5.01 % 4.73 % 105,601 4.36 22 0.5877 % 3,540.2
FloatingReset 1.98 % 2.11 % 40,620 1.30 3 0.2698 % 1,796.9
FixedReset Prem 5.21 % 3.46 % 255,423 0.78 14 0.1777 % 2,640.4
FixedReset Bank Non 1.94 % 2.21 % 104,001 1.29 2 0.0805 % 2,857.1
FixedReset Ins Non 5.60 % 4.29 % 78,738 16.34 22 2.0067 % 2,157.2
Performance Highlights
Issue Index Change Notes
MFC.PR.H FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.51 %
SLF.PR.G FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.29 %
TRP.PR.F FloatingReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 5.09 %
BAM.PR.K Floater -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 8.22
Evaluated at bid price : 8.22
Bid-YTW : 5.26 %
BAM.PR.T FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 5.33 %
SLF.PR.E Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.71 %
NA.PR.W FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 4.31 %
BAM.PF.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 5.31 %
TD.PF.B FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 4.10 %
BMO.PR.A FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 2.06 %
POW.PR.B Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-06
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -22.62 %
GWO.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.22 %
PWF.PR.L Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 24.88
Evaluated at bid price : 25.11
Bid-YTW : 5.16 %
BAM.PF.F FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.25 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.23 %
MFC.PR.F FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.18 %
TD.PF.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.05 %
BAM.PF.I FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.48 %
BAM.PF.J FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.55
Evaluated at bid price : 25.07
Bid-YTW : 4.68 %
CU.PR.F Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.93
Evaluated at bid price : 24.22
Bid-YTW : 4.68 %
SLF.PR.C Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.63 %
BAM.PR.N Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 22.61
Evaluated at bid price : 22.86
Bid-YTW : 5.22 %
TD.PF.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.18 %
IAF.PR.I FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.33 %
MFC.PR.C Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 4.73 %
MFC.PR.Q FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.25 %
PWF.PR.K Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 5.11 %
BIP.PR.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 22.38
Evaluated at bid price : 22.77
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.08 %
BMO.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.14 %
SLF.PR.D Deemed-Retractible 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.71
Evaluated at bid price : 23.98
Bid-YTW : 4.65 %
MFC.PR.M FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 4.25 %
GWO.PR.H Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 24.69
Evaluated at bid price : 24.97
Bid-YTW : 4.87 %
RY.PR.M FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.05 %
CM.PR.P FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.07 %
CU.PR.C FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.32 %
TD.PF.I FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 21.78
Evaluated at bid price : 22.28
Bid-YTW : 3.95 %
GWO.PR.R Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.81 %
MFC.PR.J FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 4.31 %
BIP.PR.F FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 22.04
Evaluated at bid price : 22.42
Bid-YTW : 5.71 %
BMO.PR.Y FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.12 %
CM.PR.O FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.20 %
BNS.PR.I FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 3.90 %
BIP.PR.E FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.70 %
NA.PR.E FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 4.26 %
GWO.PR.I Deemed-Retractible 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 4.75 %
BAM.PR.X FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 5.03 %
BIP.PR.A FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.78 %
NA.PR.C FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.44
Evaluated at bid price : 23.76
Bid-YTW : 4.04 %
IFC.PR.C FixedReset Ins Non 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.54 %
IFC.PR.A FixedReset Ins Non 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 4.58 %
TD.PF.D FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.20 %
MFC.PR.N FixedReset Ins Non 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 4.25 %
MFC.PR.L FixedReset Ins Non 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.23 %
IAF.PR.G FixedReset Ins Non 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.52 %
RY.PR.J FixedReset Disc 17.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.08 %
MFC.PR.G FixedReset Ins Non 23.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 359,807 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.86 %
CM.PR.T FixedReset Disc 161,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.11
Evaluated at bid price : 24.48
Bid-YTW : 3.96 %
PVS.PR.I SplitShare 148,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.76 %
IFC.PR.C FixedReset Ins Non 94,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.54 %
TD.PF.B FixedReset Disc 70,429 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 4.10 %
TD.PF.M FixedReset Disc 69,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.33
Evaluated at bid price : 25.18
Bid-YTW : 4.08 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.I Perpetual-Premium Quote: 25.73 – 27.00
Spot Rate : 1.2700
Average : 0.7685

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 5.02 %

MFC.PR.C Deemed-Retractible Quote: 23.92 – 24.90
Spot Rate : 0.9800
Average : 0.5595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 4.73 %

MFC.PR.K FixedReset Ins Non Quote: 16.85 – 17.90
Spot Rate : 1.0500
Average : 0.7345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.29 %

MFC.PR.H FixedReset Ins Non Quote: 19.92 – 20.74
Spot Rate : 0.8200
Average : 0.5544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.51 %

BNS.PR.I FixedReset Disc Quote: 20.12 – 20.88
Spot Rate : 0.7600
Average : 0.5304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 3.90 %

BAM.PF.D Perpetual-Discount Quote: 23.31 – 23.70
Spot Rate : 0.3900
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.02
Evaluated at bid price : 23.31
Bid-YTW : 5.28 %

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