April 29, 2016

April 30th, 2016

DBRS greeted news of Husky’s divestment programme with marked restraint:

DBRS views the impact on Husky’s business risk profile as marginally negative due to a lessening in the integration and diversification of the Company’s asset base. The midstream segment has provided a source of stable cash flow partially offsetting the significant erosion in cash flow from oil and gas production activities. DBRS also notes that the Transaction will result in a minor negative impact on Husky’s cash flow (expected 2016 EBITDA contribution from the assets is approximately $180 million; however, Husky will retain a 35% share of EBITDA). However, more importantly, the impact on the Company’s financial risk profile is positive. The Company plans to use the proceeds from the sale to strengthen the Company’s financial position and enhance liquidity. At March 31, 2016, Husky’s total debt was $6.98 billion and the Company had no cash on the balance sheet. For the past 12 month ended March 31, 2016, the Company’s total debt-to-cash flow ratio was 2.90 times (x; up from 2.42x at end of 2015) and total debt in the capital structure was 30.2%. On a pro forma basis, assuming proceeds (before transaction costs) of $1.7 billion are applied to debt reduction, DBRS estimates a total debt-to-cash flow ratio of 2.31x and a ratio of total debt in the capital structure of approximately 24.7%. The Transaction on a stand-alone basis has no immediate impact on the Company’s Issuer Rating and Senior Unsecured Notes and Debentures rating of A (low), the Commercial Paper rating of R-1 (low) and the Preferred Shares – Cumulative rating of Pfd-2 (low).

DBRS at this time maintains a Negative trend on Husky’s ratings as the low oil pricing environment continues to weigh on the Company’s cash flow generation and key credit metrics. However, if the Company successfully completes the asset sale program and/or if oil prices recovery materially, DBRS will review the rating and likely change the trend back to Stable.

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 4.76 % 5.77 % 11,648 16.98 1 0.1409 % 1,659.8
FixedFloater 6.46 % 5.59 % 19,737 17.02 1 0.0000 % 3,127.2
Floater 4.53 % 4.71 % 49,735 16.01 4 -0.4768 % 1,715.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0067 % 2,813.0
SplitShare 4.71 % 5.03 % 68,296 2.51 6 -0.0067 % 3,291.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0067 % 2,568.3
Perpetual-Premium 5.77 % -10.11 % 80,801 0.09 6 0.0263 % 2,595.3
Perpetual-Discount 5.52 % 5.57 % 98,354 14.53 33 0.1393 % 2,648.9
FixedReset 5.12 % 4.83 % 169,213 13.99 88 0.0063 % 1,997.1
Deemed-Retractible 5.17 % 5.60 % 125,995 5.07 33 0.1352 % 2,656.6
FloatingReset 3.17 % 4.91 % 25,320 5.34 17 -0.1230 % 2,083.4
Performance Highlights
Issue Index Change Notes
TRP.PR.I FloatingReset -5.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.82 %
TD.PF.C FixedReset -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.41 %
TD.PF.E FixedReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.52 %
HSE.PR.C FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.99 %
GWO.PR.O FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.45
Bid-YTW : 10.91 %
VNR.PR.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 5.33 %
PWF.PR.Q FloatingReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.32 %
TRP.PR.D FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.92 %
BIP.PR.A FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.93 %
CU.PR.H Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 23.74
Evaluated at bid price : 24.09
Bid-YTW : 5.53 %
BAM.PF.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.91 %
CU.PR.F Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.48 %
CU.PR.D Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 22.40
Evaluated at bid price : 22.70
Bid-YTW : 5.47 %
IAG.PR.G FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.53 %
SLF.PR.I FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.03 %
HSE.PR.A FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 5.80 %
BMO.PR.Y FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.42 %
BMO.PR.Q FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.02
Bid-YTW : 6.28 %
TD.PF.A FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.24 %
SLF.PR.J FloatingReset 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.05
Bid-YTW : 10.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 96,834 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 5.05 %
BMO.PR.T FixedReset 58,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.32 %
TD.PF.C FixedReset 43,514 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.41 %
W.PR.K FixedReset 22,544 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 23.20
Evaluated at bid price : 25.06
Bid-YTW : 5.18 %
MFC.PR.M FixedReset 21,630 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 6.65 %
BAM.PF.G FixedReset 20,168 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.91 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Quote: 18.77 – 19.49
Spot Rate : 0.7200
Average : 0.4436

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.41 %

TRP.PR.I FloatingReset Quote: 10.75 – 11.76
Spot Rate : 1.0100
Average : 0.7589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.82 %

GWO.PR.O FloatingReset Quote: 12.45 – 13.50
Spot Rate : 1.0500
Average : 0.8050

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.45
Bid-YTW : 10.91 %

IGM.PR.B Perpetual-Premium Quote: 25.35 – 25.89
Spot Rate : 0.5400
Average : 0.3487

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.37 %

ELF.PR.H Perpetual-Discount Quote: 23.87 – 24.33
Spot Rate : 0.4600
Average : 0.2897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-29
Maturity Price : 23.43
Evaluated at bid price : 23.87
Bid-YTW : 5.79 %

BNS.PR.C FloatingReset Quote: 21.51 – 21.94
Spot Rate : 0.4300
Average : 0.2724

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.26 %

April 28, 2016

April 28th, 2016

The FOMC release kept policy hikes on hold:

Information received since the Federal Open Market Committee met in March indicates that labor market conditions have improved further even as growth in economic activity appears to have slowed. Growth in household spending has moderated, although households’ real income has risen at a solid rate and consumer sentiment remains high. Since the beginning of the year, the housing sector has improved further but business fixed investment and net exports have been soft. A range of recent indicators, including strong job gains, points to additional strengthening of the labor market. Inflation has continued to run below the Committee’s 2 percent longer-run objective, partly reflecting earlier declines in energy prices and falling prices of non-energy imports. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed, on balance, in recent months.

Against this backdrop, the Committee decided to maintain the target range for the federal funds rate at 1/4 to 1/2 percent. The stance of monetary policy remains accommodative, thereby supporting further improvement in labor market conditions and a return to 2 percent inflation.

Voting against the action was Esther L. George, who preferred at this meeting to raise the target range for the federal funds rate to 1/2 to 3/4 percent.

This has been interpreted as dovish:

Treasuries trimmed losses from earlier in April after the central bank’s policy-setting Federal Open Market Committee finished a meeting this week by opting against raising interest rates. The statement suggested officials are still looking for the signs of growth, inflation and global stability to justify a move.

“We read the April FOMC statement as slightly dovish,” according to a report Morgan Stanley issued Thursday by analysts including Matthew Hornbach, the head of global interest-rate strategy in New York. “We see it increasingly unlikely that the Fed will be able to deliver a rate hike at the June FOMC meeting.”

… and the US economy is no great shakes:

The U.S. economy expanded in the first quarter at the slowest pace in two years as American consumers reined in spending and companies tightened their belts in response to weak global financial conditions and a plunge in oil prices.

Gross domestic product rose at a 0.5 percent annualized rate after a 1.4 percent fourth-quarter advance, Commerce Department data showed Thursday. The increase was less than the 0.7 percent median projection in a Bloomberg survey and marked the third straight disappointing start to a year.

Shaky global markets and oil’s tumble resulted in the biggest business-investment slump in almost seven years, and household purchases climbed the least since early 2015, the data showed. While Federal Reserve officials on Wednesday acknowledged the softness, they also indicated strong hiring and income gains have the potential to reignite consumer spending and propel economic growth.

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 4.76 % 5.78 % 12,114 16.97 1 -1.1838 % 1,657.5
FixedFloater 6.46 % 5.59 % 19,918 17.03 1 0.0000 % 3,127.2
Floater 4.51 % 4.67 % 50,357 16.10 4 0.4069 % 1,723.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0857 % 2,813.2
SplitShare 4.71 % 5.02 % 69,366 2.52 6 -0.0857 % 3,291.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0857 % 2,568.5
Perpetual-Premium 5.77 % -10.74 % 84,066 0.09 6 0.0329 % 2,594.6
Perpetual-Discount 5.53 % 5.58 % 97,559 14.52 33 0.1158 % 2,645.2
FixedReset 5.12 % 4.87 % 170,829 13.90 88 0.1105 % 1,997.0
Deemed-Retractible 5.18 % 5.64 % 125,867 5.07 33 0.2042 % 2,653.0
FloatingReset 3.17 % 4.94 % 26,358 5.34 17 0.1757 % 2,086.0
Performance Highlights
Issue Index Change Notes
BNS.PR.F FloatingReset -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.01 %
PVS.PR.E SplitShare -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 6.22 %
BNS.PR.Z FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.18
Bid-YTW : 6.13 %
BAM.PR.E Ratchet -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 25.00
Evaluated at bid price : 14.19
Bid-YTW : 5.78 %
BAM.PR.X FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 14.04
Evaluated at bid price : 14.04
Bid-YTW : 5.11 %
CU.PR.C FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.74 %
BAM.PR.Z FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.35 %
BNS.PR.P FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 4.13 %
NA.PR.S FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 4.49 %
HSE.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 5.89 %
BMO.PR.W FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.29 %
CIU.PR.C FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.87 %
BMO.PR.S FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 4.30 %
SLF.PR.J FloatingReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.86
Bid-YTW : 10.64 %
TRP.PR.I FloatingReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 4.54 %
IFC.PR.C FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.69 %
MFC.PR.F FixedReset 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.15
Bid-YTW : 9.96 %
GWO.PR.O FloatingReset 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.65
Bid-YTW : 10.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 149,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.10 %
POW.PR.B Perpetual-Discount 32,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 23.52
Evaluated at bid price : 23.79
Bid-YTW : 5.66 %
TD.PF.G FixedReset 27,403 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.58 %
CM.PR.P FixedReset 25,190 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.32 %
BMO.PR.Z Perpetual-Discount 23,855 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 23.62
Evaluated at bid price : 23.96
Bid-YTW : 5.20 %
BMO.PR.W FixedReset 23,746 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.29 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.B FloatingReset Quote: 10.35 – 12.00
Spot Rate : 1.6500
Average : 0.9162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.52 %

BAM.PR.G FixedFloater Quote: 14.70 – 15.50
Spot Rate : 0.8000
Average : 0.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 5.59 %

HSE.PR.G FixedReset Quote: 19.75 – 20.68
Spot Rate : 0.9300
Average : 0.6217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.74 %

BNS.PR.F FloatingReset Quote: 19.01 – 19.75
Spot Rate : 0.7400
Average : 0.5294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.01 %

MFC.PR.H FixedReset Quote: 21.71 – 22.15
Spot Rate : 0.4400
Average : 0.3148

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 6.18 %

TD.PF.B FixedReset Quote: 19.40 – 19.75
Spot Rate : 0.3500
Average : 0.2267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-28
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.28 %

April 27, 2016

April 28th, 2016

Bare bones!

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 4.71 % 5.70 % 11,777 17.06 1 0.0434 % 1,677.3
FixedFloater 6.46 % 5.59 % 20,526 17.03 1 0.0000 % 3,127.2
Floater 4.52 % 4.70 % 50,617 16.04 4 -0.1434 % 1,716.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1698 % 2,815.6
SplitShare 4.70 % 5.10 % 72,216 2.52 6 -0.1698 % 3,294.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1698 % 2,570.7
Perpetual-Premium 5.77 % -11.88 % 84,994 0.08 6 0.1250 % 2,593.8
Perpetual-Discount 5.53 % 5.57 % 95,607 14.51 33 0.3958 % 2,642.1
FixedReset 5.12 % 4.84 % 172,977 13.85 88 0.1934 % 1,994.8
Deemed-Retractible 5.16 % 5.56 % 126,916 5.07 34 0.0198 % 2,647.6
FloatingReset 3.17 % 4.92 % 27,281 5.34 17 -0.1336 % 2,082.3
Performance Highlights
Issue Index Change Notes
NA.PR.S FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.55 %
TRP.PR.E FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.84 %
TRP.PR.A FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.95 %
FTS.PR.F Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 5.35 %
BAM.PR.T FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 5.24 %
CU.PR.E Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 22.14
Evaluated at bid price : 22.41
Bid-YTW : 5.55 %
TRP.PR.B FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 4.77 %
BAM.PR.Z FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.30 %
CU.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.52 %
CU.PR.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 5.54 %
FTS.PR.H FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 4.49 %
PWF.PR.T FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.08 %
HSE.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 5.86 %
SLF.PR.I FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.13 %
BAM.PF.B FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 5.24 %
NA.PR.Q FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 4.70 %
CU.PR.G Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.51 %
GWO.PR.N FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.60
Bid-YTW : 10.26 %
BAM.PF.G FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.95 %
FTS.PR.J Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 22.22
Evaluated at bid price : 22.55
Bid-YTW : 5.34 %
MFC.PR.H FixedReset 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.79
Bid-YTW : 6.12 %
GWO.PR.O FloatingReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.40
Bid-YTW : 10.96 %
BNS.PR.P FixedReset 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 3.93 %
TRP.PR.G FixedReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.03 %
IFC.PR.A FixedReset 2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.50
Bid-YTW : 9.59 %
HSE.PR.G FixedReset 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset 154,817 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 4.73 %
TRP.PR.J FixedReset 151,517 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.09 %
RY.PR.R FixedReset 135,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 4.68 %
RY.PR.Q FixedReset 118,676 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : 4.56 %
TD.PF.G FixedReset 90,787 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.66 %
BNS.PR.E FixedReset 83,290 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.62 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 12.40 – 13.40
Spot Rate : 1.0000
Average : 0.6336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 4.30 %

HSE.PR.E FixedReset Quote: 19.79 – 20.47
Spot Rate : 0.6800
Average : 0.4609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 5.74 %

NA.PR.S FixedReset Quote: 18.98 – 19.50
Spot Rate : 0.5200
Average : 0.3425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.55 %

TRP.PR.F FloatingReset Quote: 12.56 – 13.14
Spot Rate : 0.5800
Average : 0.4076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 4.92 %

TD.PR.Z FloatingReset Quote: 21.50 – 22.15
Spot Rate : 0.6500
Average : 0.5036

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.05 %

BNS.PR.B FloatingReset Quote: 21.30 – 21.84
Spot Rate : 0.5400
Average : 0.3942

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 5.25 %

PPL.PR.M Settles Soft on Good Volume

April 28th, 2016

Pembina Pipeline Corporation has announced:

that it has closed its previously announced public offering of 10,000,000 cumulative redeemable minimum rate reset class A preferred shares, Series 13 (the “Series 13 Preferred Shares”) for aggregate gross proceeds of $250 million (the “Offering”). The Offering was announced on April 18, 2016 when Pembina entered into an agreement with a syndicate of underwriters co-led by RBC Capital Markets and Scotiabank.

The Company intends to use the net proceeds from the Offering for capital expenditures and working capital requirements in connection with the Company’s 2016 capital program and to reduce indebtedness under the Company’s credit facilities.

The Series 13 Preferred Shares will begin trading on the Toronto Stock Exchange today under the symbol PPL.PR.M.

Dividends on the Series 13 Preferred Shares are expected to be $1.4375 per share annually, payable quarterly on the 1st day of March, June, September and December, as and when declared by the Board of Directors of Pembina, for the initial fixed rate period to but excluding June 1, 2021. The first dividend, if declared, will be payable September 1, 2016, in the amount of $0.5002 per share.

All of Pembina’s dividends are designated “eligible dividends” for Canadian income tax purposes.

PPL.PR.M is a FixedReset, 5.75%+496M575, announced April 18. The issue will be tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

The issue traded 1,037,730 shares today (consolidated exchanges) in a range of 24.93-10 before closing at 24.99-04, 1×105. This should be considered “soft”, given that the TXPL total return index returned +1.45% from April 18 to April 27. Vital statistics are:

PPL.PR.M FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-27
Maturity Price : 23.15
Evaluated at bid price : 24.99
Bid-YTW : 5.79 %

Implied Volatility analysis continues to show a high level of Implied Volatility, with the spread widening since announcement day:

impVol_PPL_160427
Click for Big

BPO.PR.C Firm On Good Volume

April 27th, 2016

Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners, has announced:

the completion of its previously announced Preferred Shares, Series CC issue in the amount C$200 million. The offering was underwritten by a syndicate of underwriters led by TD Securities Inc., CIBC Capital Markets, RBC Capital Markets and Scotiabank. On April 18, 2016, the syndicate agreed to purchase 6,000,000 Preferred Shares, Series CC at C$25.00 per share and has since exercised its option in full to purchase an additional 2,000,000 shares at the same offering price.

The Preferred Shares, Series CC will yield 6.00% annually for the initial period ending June 30, 2021. Net proceeds from the issue will be added to the general funds of Brookfield Office Properties and be used for general corporate purposes, including, but not limited to, redemption of existing preferred shares, repayment of revolving debt, acquisitions, capital expenditures and working capital needs.

The Preferred Shares, Series CC will commence trading on the Toronto Stock Exchange on April 27, 2016 under the ticker symbol BPO.PR.C.

BPO.PR.C is a FixedReset, 6.00%+518M600, announced April 18. The issue will be tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

The issue traded 898,337 shares today (consolidated exchanges) in a range of 25.10-25 before closing at 25.18-21, 26×25. This is reasonably close to the expected value, given that the TXPL total return index returned +1.45% from April 18 to April 27. Vital statistics are:

BPO.PR.C FixedReset YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.88 %

Implied Volatility analysis shows the same peculiar behaviour as was noted on the announcement date, with BPO.PR.N (resetting at +307 on 2016-6-30) and BPO.PR.R (+348 on 2016-9-30) both showing a far higher Expected Future Current Yield than the new issue, despite the new issue’s far higher Issue Reset Spread.

impVol_BPO_160427
Click for Big

BPO.PR.H To Be Redeemed

April 27th, 2016

Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners, has announced:

that it intends to redeem all 8,000,000 of its outstanding Class AAA Preference Shares, Series H (TSX: BPO.PR.H), all of which are beneficially held by CDS & Co., as nominee of CDS Clearing and Depositary Services Inc., for cash on May 23, 2016. The redemption price for each such share will be C$25.00 plus accrued and unpaid dividends thereon.

Notice of Redemption has been sent to CDS & Co. Payment of the redemption price will be made to all beneficial holders of the Series H Shares on or after May 23, 2016 through the facilities of CDS & Co.

BPO.PR.H is an interesting issue since, pursuant to a Plan of Arrangement announced in May, 2014, some holders exchanged their shares for preferred shares of Brookfield Property Split Corp. (symbol BPS):

56.8% of the BPO preference shares series H that holders elected (or are deemed to have elected) to exchange for BOP Split preferred shares were exchanged … In aggregate, $25 million of each of the four series of BOP Split preferred shares were issued.

BOP Split still does not have its own website; shareholders are serviced via the Brookfield Office Properties site and SEDAR.

April 26, 2016

April 26th, 2016

Bare Bones!

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 4.69 % 5.71 % 11,582 16.99 1 -1.3014 % 1,676.6
FixedFloater 6.46 % 5.59 % 20,594 17.03 1 0.2045 % 3,127.2
Floater 4.52 % 4.69 % 51,329 16.05 4 -0.7119 % 1,718.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2021 % 2,820.4
SplitShare 4.70 % 5.04 % 75,183 2.52 6 0.2021 % 3,300.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2021 % 2,575.1
Perpetual-Premium 5.78 % -10.24 % 86,874 0.08 6 -0.0066 % 2,590.5
Perpetual-Discount 5.55 % 5.60 % 96,767 14.48 33 0.2230 % 2,631.7
FixedReset 5.13 % 4.82 % 177,665 13.85 88 0.0703 % 1,991.0
Deemed-Retractible 5.16 % 5.64 % 128,350 5.07 34 0.1971 % 2,647.0
FloatingReset 3.17 % 4.93 % 28,401 5.34 17 0.4165 % 2,085.1
Performance Highlights
Issue Index Change Notes
BNS.PR.P FixedReset -2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.54
Bid-YTW : 4.26 %
PWF.PR.A Floater -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 4.09 %
BAM.PF.E FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 5.05 %
GWO.PR.O FloatingReset -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.20
Bid-YTW : 11.18 %
BNS.PR.Q FixedReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 4.82 %
BAM.PR.E Ratchet -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 25.00
Evaluated at bid price : 14.41
Bid-YTW : 5.71 %
TRP.PR.F FloatingReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 12.54
Evaluated at bid price : 12.54
Bid-YTW : 4.93 %
BAM.PF.B FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.31 %
FTS.PR.G FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 4.78 %
FTS.PR.H FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.54 %
MFC.PR.L FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.26 %
PWF.PR.L Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.56 %
FTS.PR.J Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 21.86
Evaluated at bid price : 22.21
Bid-YTW : 5.42 %
HSE.PR.B FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 10.38
Evaluated at bid price : 10.38
Bid-YTW : 5.50 %
BNS.PR.A FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 4.16 %
PWF.PR.S Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 21.80
Evaluated at bid price : 22.15
Bid-YTW : 5.43 %
EML.PR.A FixedReset 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 5.15 %
IFC.PR.C FixedReset 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.95 %
VNR.PR.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.22 %
FTS.PR.F Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.40 %
TRP.PR.D FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.90 %
TRP.PR.A FixedReset 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.88 %
TRP.PR.I FloatingReset 6.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 11.29
Evaluated at bid price : 11.29
Bid-YTW : 4.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 195,151 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.61 %
TRP.PR.J FixedReset 187,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 5.07 %
CU.PR.F Perpetual-Discount 87,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.58 %
MFC.PR.F FixedReset 82,155 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.83
Bid-YTW : 10.27 %
RY.PR.R FixedReset 55,734 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.75 %
BAM.PR.R FixedReset 39,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 5.20 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.A FixedReset Quote: 18.83 – 19.46
Spot Rate : 0.6300
Average : 0.4167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.26 %

BNS.PR.R FixedReset Quote: 23.10 – 23.79
Spot Rate : 0.6900
Average : 0.5136

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 4.82 %

BAM.PF.B FixedReset Quote: 17.43 – 18.00
Spot Rate : 0.5700
Average : 0.4078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-26
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.31 %

BNS.PR.P FixedReset Quote: 23.54 – 24.19
Spot Rate : 0.6500
Average : 0.5217

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.54
Bid-YTW : 4.26 %

TD.PR.S FixedReset Quote: 23.10 – 23.51
Spot Rate : 0.4100
Average : 0.3162

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 4.39 %

BNS.PR.D FloatingReset Quote: 18.68 – 18.99
Spot Rate : 0.3100
Average : 0.2294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 6.93 %

DGS.PR.A To Get Bigger

April 26th, 2016

Brompton Funds has announced:

Dividend Growth Split Corp. (the “Company”) is pleased to announce it has filed a preliminary short form base shelf prospectus, and is undertaking a treasury offering of class A and preferred shares. The final class A and preferred share offering prices will be determined so as to be non-dilutive to the net asset value per unit of the Company as of the pricing date, as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.
The Company invests in a portfolio of common shares of high quality, large capitalization companies, which have among the highest dividend growth rates of those companies included in the S&P/TSX Composite Index. Currently, the portfolio consists of common shares of the following 20 companies:

Great-West Lifeco Inc. The Bank of Nova Scotia CI Financial Corporation Shaw Communications Inc.
Industrial Alliance Insurance and Financial Services Inc. Canadian Imperial Bank of Commerce IGM Financial Inc. TELUS Corporation
Manulife Financial Corporation National Bank of Canada Power Corporation of Canada Canadian Utilities Limited
Sun Life Financial Inc. Royal Bank of Canada BCE Inc. Enbridge Inc.
Bank of Montreal The Toronto-Dominion Bank Rogers Communications Inc. TransCanada Corporation

The investment objectives for the class A shares are to provide holders with regular monthly cash distributions targeted to be $0.10 per class A share and to provide the opportunity for growth in the net asset value per class A share.

The investment objectives for the preferred shares are to provide holders with fixed cumulative preferential quarterly cash distributions, currently in the amount of $0.13125 per preferred share, representing a yield on the original issue price of 5.25% per annum, and to return the original issue price to holders of preferred shares on the Company’s maturity date (November 28, 2019).

The syndicate of agents for the offering is being led by RBC Capital Markets, CIBC and Scotiabank.

DGS.PR.A was last mentioned on PrefBlog in connection with its 15H1 Semi-Annual Report.

Update, 2016-4-28: Pricing and sizing announced:

Dividend Growth Split Corp. (the “Company”) is pleased to announce that the Company’s treasury offering of class A and preferred shares has been priced at $6.95 per class A share and $10.00 per preferred share. The final class A and preferred share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company, as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering, and voluntary payment of certain costs of the offering by the Manager. Gross proceeds of the offering are expected to be approximately $23 million.

The Company intends to file a final short form base shelf prospectus along with a prospectus supplement to such final short form base shelf prospectus in each of the provinces and territories of Canada in connection with the offering. The offering is expected to close on or about May 6, 2016 and is subject to customary closing conditions including approvals of applicable securities regulatory authorities and the Toronto Stock Exchange.
The syndicate of agents for the offering is being led by RBC Capital Markets, CIBC and Scotiabank and includes TD Securities Inc., BMO Capital Markets, National Bank Financial Inc., GMP Securities L.P., Raymond James Ltd., Canaccord Genuity Corp., Desjardins Securities Inc., Industrial Alliance Securities Inc. and Mackie Research Capital Corporation.

April 25, 2016

April 26th, 2016

Bare bones!

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 4.63 % 5.63 % 10,968 17.09 1 0.6203 % 1,698.7
FixedFloater 6.48 % 5.60 % 21,395 17.02 1 -0.2041 % 3,120.9
Floater 4.49 % 4.68 % 51,862 16.08 4 -0.8004 % 1,731.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0944 % 2,814.7
SplitShare 4.71 % 5.09 % 76,233 2.52 6 0.0944 % 3,293.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0944 % 2,569.9
Perpetual-Premium 5.78 % -9.51 % 86,573 0.08 6 -0.0854 % 2,590.7
Perpetual-Discount 5.57 % 5.60 % 95,849 14.46 33 -0.2146 % 2,625.9
FixedReset 5.13 % 4.79 % 180,088 13.83 88 0.2540 % 1,989.6
Deemed-Retractible 5.17 % 5.71 % 127,249 6.82 34 -0.0124 % 2,641.8
FloatingReset 3.18 % 4.87 % 28,752 5.35 17 0.5037 % 2,076.5
Performance Highlights
Issue Index Change Notes
BAM.PF.C Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.98 %
BAM.PF.G FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 5.01 %
W.PR.H Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 5.92 %
BAM.PR.B Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 10.19
Evaluated at bid price : 10.19
Bid-YTW : 4.68 %
BNS.PR.R FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 4.76 %
TD.PR.S FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 4.26 %
W.PR.J Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.00 %
TRP.PR.E FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 4.79 %
BIP.PR.A FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.04 %
HSE.PR.G FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.89 %
MFC.PR.F FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.35 %
BMO.PR.S FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.35 %
FTS.PR.H FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 4.49 %
NA.PR.S FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.48 %
NA.PR.W FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.46 %
TRP.PR.H FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.56 %
BNS.PR.Z FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 5.81 %
CM.PR.Q FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 4.58 %
BNS.PR.P FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 3.84 %
TD.PF.D FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 4.51 %
CM.PR.P FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.32 %
GWO.PR.N FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.45
Bid-YTW : 10.41 %
HSE.PR.C FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.97 %
IFC.PR.A FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 10.06 %
PWF.PR.Q FloatingReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 4.33 %
TD.PF.E FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 4.51 %
MFC.PR.J FixedReset 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.98
Bid-YTW : 6.82 %
VNR.PR.A FixedReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.31 %
BNS.PR.F FloatingReset 5.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.51
Bid-YTW : 6.50 %
BAM.PF.E FixedReset 7.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 116,455 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.61 %
MFC.PR.O FixedReset 64,052 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.91 %
TRP.PR.J FixedReset 55,844 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 5.02 %
RY.PR.Q FixedReset 50,811 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.59 %
EML.PR.A FixedReset 47,768 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.49 %
BNS.PR.G FixedReset 26,320 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 4.73 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Quote: 19.81 – 20.89
Spot Rate : 1.0800
Average : 0.6812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 5.01 %

HSE.PR.G FixedReset Quote: 19.25 – 19.95
Spot Rate : 0.7000
Average : 0.4921

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.89 %

NA.PR.Q FixedReset Quote: 23.02 – 23.71
Spot Rate : 0.6900
Average : 0.4987

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.02
Bid-YTW : 5.06 %

BNS.PR.A FloatingReset Quote: 22.70 – 23.24
Spot Rate : 0.5400
Average : 0.3717

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.41 %

BAM.PF.C Perpetual-Discount Quote: 20.51 – 20.91
Spot Rate : 0.4000
Average : 0.2554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.98 %

FTS.PR.F Perpetual-Discount Quote: 22.60 – 23.14
Spot Rate : 0.5400
Average : 0.4039

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-25
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 5.50 %

April 22, 2016

April 23rd, 2016

Bare bones!

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 4.66 % 5.66 % 10,698 17.06 1 0.7639 % 1,688.2
FixedFloater 6.46 % 5.59 % 21,547 17.04 1 1.3793 % 3,127.2
Floater 4.45 % 4.61 % 53,711 16.22 4 -0.5851 % 1,745.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0540 % 2,812.0
SplitShare 4.71 % 4.99 % 79,372 2.53 6 0.0540 % 3,290.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0540 % 2,567.4
Perpetual-Premium 5.78 % -10.93 % 79,886 0.09 6 0.0526 % 2,592.9
Perpetual-Discount 5.55 % 5.60 % 93,849 14.48 33 0.1495 % 2,631.5
FixedReset 5.14 % 4.72 % 180,776 14.11 88 0.0514 % 1,984.5
Deemed-Retractible 5.17 % 5.71 % 126,577 6.83 34 0.1154 % 2,642.2
FloatingReset 3.15 % 4.86 % 34,025 5.34 17 -0.1346 % 2,066.1
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset -6.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.15 %
TRP.PR.I FloatingReset -5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 10.63
Evaluated at bid price : 10.63
Bid-YTW : 4.80 %
VNR.PR.A FixedReset -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.22 %
BAM.PR.Z FixedReset -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.23 %
BNS.PR.F FloatingReset -2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.46 %
TD.PR.Y FixedReset -2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.31 %
IAG.PR.A Deemed-Retractible -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.00 %
NA.PR.Q FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.74 %
BAM.PR.C Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 10.09
Evaluated at bid price : 10.09
Bid-YTW : 4.72 %
BNS.PR.P FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 3.97 %
FTS.PR.G FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.55 %
GWO.PR.N FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.25
Bid-YTW : 10.52 %
RY.PR.Z FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 4.11 %
SLF.PR.A Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 6.12 %
IFC.PR.A FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 10.13 %
TRP.PR.G FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.01 %
SLF.PR.I FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.22
Bid-YTW : 7.23 %
TD.PF.B FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 4.16 %
TD.PF.C FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.14 %
BAM.PF.H FixedReset 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.33 %
SLF.PR.D Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.29
Bid-YTW : 6.80 %
SLF.PR.C Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.81 %
RY.PR.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 4.14 %
BAM.PR.G FixedFloater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 5.59 %
BMO.PR.T FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.23 %
SLF.PR.E Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 6.76 %
BAM.PF.C Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.87 %
PWF.PR.T FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.00 %
BMO.PR.W FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.22 %
BNS.PR.Q FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 4.45 %
HSE.PR.E FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.63 %
TD.PF.A FixedReset 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.13 %
SLF.PR.H FixedReset 2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.38
Bid-YTW : 8.75 %
GWO.PR.O FloatingReset 2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.29
Bid-YTW : 11.02 %
TRP.PR.E FixedReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 4.56 %
TRP.PR.D FixedReset 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 4.76 %
HSE.PR.B FloatingReset 6.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 10.26
Evaluated at bid price : 10.26
Bid-YTW : 5.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 138,415 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.98 %
RY.PR.Q FixedReset 127,205 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.60 %
BAM.PF.G FixedReset 115,887 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.78 %
VNR.PR.A FixedReset 85,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.22 %
BNS.PR.G FixedReset 69,883 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.75 %
IFC.PR.C FixedReset 62,085 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.11
Bid-YTW : 7.95 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 17.46 – 18.90
Spot Rate : 1.4400
Average : 0.9105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.15 %

TD.PR.Y FixedReset Quote: 23.30 – 23.97
Spot Rate : 0.6700
Average : 0.4063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.31 %

BNS.PR.F FloatingReset Quote: 18.51 – 19.75
Spot Rate : 1.2400
Average : 1.0357

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.46 %

NA.PR.Q FixedReset Quote: 23.25 – 23.74
Spot Rate : 0.4900
Average : 0.2890

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.74 %

TRP.PR.A FixedReset Quote: 14.65 – 15.40
Spot Rate : 0.7500
Average : 0.5580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 4.84 %

BAM.PR.Z FixedReset Quote: 18.51 – 19.00
Spot Rate : 0.4900
Average : 0.3083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.23 %