October 14, 2020

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% 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 slightly (and perhaps spuriously) to 365bp from the 360bp reported October 7.

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 -0.1614 % 1,637.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1614 % 3,004.4
Floater 5.20 % 5.24 % 44,446 15.10 3 -0.1614 % 1,731.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0248 % 3,531.8
SplitShare 4.80 % 4.64 % 52,924 3.57 8 -0.0248 % 4,217.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0248 % 3,290.8
Perpetual-Premium 5.29 % -3.05 % 92,463 0.09 17 -0.0183 % 3,196.6
Perpetual-Discount 5.09 % 5.10 % 88,730 15.31 17 0.1095 % 3,612.6
FixedReset Disc 5.48 % 4.19 % 124,073 16.55 65 -0.1375 % 2,108.7
Deemed-Retractible 5.07 % 4.83 % 106,251 15.17 22 0.1499 % 3,498.6
FloatingReset 1.97 % 2.75 % 42,668 1.28 3 -0.2353 % 1,793.9
FixedReset Prem 5.22 % 3.52 % 259,759 0.83 14 -0.2619 % 2,638.4
FixedReset Bank Non 1.94 % 2.24 % 112,555 1.28 2 0.0000 % 2,856.6
FixedReset Ins Non 5.51 % 4.24 % 77,977 16.41 22 -0.6879 % 2,192.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.95 %
SLF.PR.G FixedReset Ins Non -5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.38 %
MFC.PR.N FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.36 %
PWF.PR.S Perpetual-Discount -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.76
Evaluated at bid price : 23.03
Bid-YTW : 5.21 %
TRP.PR.A FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 5.61 %
MFC.PR.R FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.91
Evaluated at bid price : 24.30
Bid-YTW : 4.40 %
CM.PR.P FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.07 %
BAM.PR.T FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 5.22 %
TRP.PR.F FloatingReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.00 %
MFC.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.23 %
BAM.PF.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.30 %
BIK.PR.A FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.32
Evaluated at bid price : 25.01
Bid-YTW : 5.82 %
SLF.PR.E Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.83 %
TRP.PR.J FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.79
Evaluated at bid price : 25.16
Bid-YTW : 5.53 %
PWF.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.53 %
SLF.PR.D Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.81 %
TRP.PR.E FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.56 %
TRP.PR.K FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.55
Evaluated at bid price : 24.65
Bid-YTW : 4.97 %
TD.PF.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 3.93 %
CU.PR.E Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.52
Evaluated at bid price : 24.79
Bid-YTW : 4.99 %
TRP.PR.B FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 4.93 %
CU.PR.D Perpetual-Discount 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.67
Evaluated at bid price : 24.95
Bid-YTW : 4.96 %
SLF.PR.C Deemed-Retractible 5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 155,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 3.93 %
TD.PF.M FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.32
Evaluated at bid price : 25.15
Bid-YTW : 4.02 %
CM.PR.P FixedReset Disc 82,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.07 %
BAM.PF.B FixedReset Disc 58,107 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.13 %
GWO.PR.M Deemed-Retractible 51,854 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-13
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : -9.19 %
TD.PF.B FixedReset Disc 42,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 4.05 %
There were 24 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 – 19.00
Spot Rate : 7.0200
Average : 5.4865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %

SLF.PR.G FixedReset Ins Non Quote: 10.35 – 11.50
Spot Rate : 1.1500
Average : 0.7268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.38 %

CU.PR.C FixedReset Disc Quote: 16.65 – 18.00
Spot Rate : 1.3500
Average : 0.9449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.31 %

CM.PR.Q FixedReset Disc Quote: 19.03 – 20.00
Spot Rate : 0.9700
Average : 0.5824

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.17 %

CIU.PR.A Perpetual-Discount Quote: 23.50 – 25.25
Spot Rate : 1.7500
Average : 1.3927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.94 %

PWF.PR.S Perpetual-Discount Quote: 23.03 – 23.90
Spot Rate : 0.8700
Average : 0.5144

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.76
Evaluated at bid price : 23.03
Bid-YTW : 5.21 %

6 Responses to “October 14, 2020”

  1. fsabbagh says:

    Hi,

    Why in the world would we purchase BNS preferred shares when the common pays a dividend of 6.45%. I understand the difference between common and preferred but for a bank that is not going under in our lifetime, it is hard to justify the preferred.

    Regards,
    Ferris

  2. Rod says:

    The bank doesn’t have to go bankrupt for the common shares to drop over a long period of time. The business could simply deteriorate. There are many possible futures between the extremes of bank goes bankrupt and bank does well where the preferreds outperform the common.

  3. paradon says:

    They could pull a LB and cut the dividend on the common stock.

  4. jiHymas says:

    The issue is first-loss protection. Preferred Shares, bonds, etc., got it – common stock ain’t.

    If BNS should take a major unexpected loss, that loss will be borne entirely by the common stock holders; other investors will not suffer directly until the common has been wiped out (although they will, of course, endure a loss of credit quality and related price declines). Gargantuan tax increases are counted in the major unexpected loss category; banks are popular targets for taxation and coronavirus has to be paid for somehow.

    On the other hand, Canada’s financial system is run under what might be called the ‘State Capitalism’ model; coddled, protected and tightly regulated, providing a good investment for mom and pop at the expense of innovation and high fees.

    Equities are not fixed income, but if you choose to disregard the distinction you have lots of company – it’s been an increasing trend over the last decade. Still and all, however, the fundamentals are against you – and while fundamentals are often flouted for decades at a time, the world has a habit of snapping back to reality unexpectedly and at the most inconvenient time.

  5. Nestor says:

    “.. the world has a habit of snapping back to reality unexpectedly and at the most inconvenient time.”

    Amen to that.

  6. fsabbagh says:

    Thanks for your thoughts everyone. Making me think twice about my upcoming purchase.

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