Archive for January, 2017

January 31, 2017

Tuesday, January 31st, 2017

Another month draws to a close, with TXPR up 4.05% since year-end. That, together with the appalling January of 2016 dropping out of the trailing twelve months, means that TXPR has achieved a +24.23% total return over the past year … a pretty good recovery, but there’s still a ways to go! The five-year annualized total return is a miserable +0.42%, but at least it’s positive for the first time since August, 2015; the four-year figure is an abysmal -0.55%.

As near as I can make out, the Solactive Laddered Canadian Preferred Share Index is up 31.37% on the year (+4.76% on the month), but the four year annualized total return is still an awful -2.19%.

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 3.93 % 4.67 % 17,971 18.29 1 0.4091 % 1,984.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2411 % 3,640.5
Floater 3.81 % 3.92 % 47,529 17.57 4 -0.2411 % 2,098.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0459 % 2,962.9
SplitShare 4.78 % 4.46 % 64,683 4.17 6 0.0459 % 3,538.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0459 % 2,760.8
Perpetual-Premium 5.58 % -5.29 % 72,434 0.09 12 0.0033 % 2,711.1
Perpetual-Discount 5.22 % 5.26 % 87,532 14.94 26 0.1296 % 2,862.8
FixedReset 4.52 % 4.23 % 227,207 6.74 97 -0.2471 % 2,276.1
Deemed-Retractible 5.09 % 5.17 % 132,714 4.37 32 0.1577 % 2,807.9
FloatingReset 2.43 % 3.21 % 44,584 4.71 11 -0.0868 % 2,445.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.33 %
CCS.PR.C Deemed-Retractible -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.26 %
BAM.PR.X FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 4.69 %
VNR.PR.A FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 4.82 %
BAM.PR.T FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.72 %
PWF.PR.S Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 22.51
Evaluated at bid price : 22.83
Bid-YTW : 5.27 %
BMO.PR.Q FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.47
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 257,827 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.10 %
TRP.PR.K FixedReset 155,759 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.47 %
BAM.PR.K Floater 116,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 3.93 %
BIP.PR.D FixedReset 115,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 23.21
Evaluated at bid price : 25.18
Bid-YTW : 4.88 %
MFC.PR.R FixedReset 75,823 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.51 %
RY.PR.Z FixedReset 65,106 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.08 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 13.37 – 13.73
Spot Rate : 0.3600
Average : 0.2166

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 3.53 %

CCS.PR.C Deemed-Retractible Quote: 23.21 – 23.92
Spot Rate : 0.7100
Average : 0.5817

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.26 %

TRP.PR.G FixedReset Quote: 22.81 – 23.22
Spot Rate : 0.4100
Average : 0.3067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 22.24
Evaluated at bid price : 22.81
Bid-YTW : 4.44 %

BAM.PR.T FixedReset Quote: 18.42 – 18.75
Spot Rate : 0.3300
Average : 0.2432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.72 %

BAM.PF.H FixedReset Quote: 26.17 – 26.55
Spot Rate : 0.3800
Average : 0.2952

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.84 %

BAM.PR.R FixedReset Quote: 18.76 – 19.02
Spot Rate : 0.2600
Average : 0.1756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-31
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.49 %

(

January 30, 2017

Tuesday, January 31st, 2017

Here’s a video about using drones as part of lifeguarding. I understand that the St. Bernard Mountain Dog Union is very concerned about the potential of lost employment due to technology and has made a large donation to Mr. Trump.

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 3.95 % 4.69 % 18,661 18.27 1 0.0000 % 1,975.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9736 % 3,649.3
Floater 3.80 % 3.90 % 47,739 17.62 4 0.9736 % 2,103.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1247 % 2,961.6
SplitShare 4.79 % 4.38 % 65,653 4.18 6 0.1247 % 3,536.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1247 % 2,759.5
Perpetual-Premium 5.58 % -6.40 % 72,018 0.09 12 -0.0033 % 2,711.0
Perpetual-Discount 5.22 % 5.27 % 88,717 14.89 26 0.0879 % 2,859.1
FixedReset 4.51 % 4.23 % 223,509 6.74 97 0.1907 % 2,281.8
Deemed-Retractible 5.10 % 5.17 % 134,511 3.70 32 0.1540 % 2,803.5
FloatingReset 2.42 % 3.15 % 45,449 4.72 11 -0.0306 % 2,448.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 3.34 %
TRP.PR.G FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 22.36
Evaluated at bid price : 23.01
Bid-YTW : 4.40 %
TRP.PR.F FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.53 %
TD.PF.F Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.91 %
BMO.PR.Q FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 5.38 %
FTS.PR.K FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.24 %
BAM.PR.K Floater 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 325,007 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 4.87 %
TD.PF.H FixedReset 187,057 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.09 %
FTS.PR.H FixedReset 151,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.30 %
TRP.PR.K FixedReset 140,024 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.44 %
RY.PR.H FixedReset 110,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.10 %
TD.PF.B FixedReset 99,929 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.14 %
There were 58 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.O FixedReset Quote: 26.77 – 27.15
Spot Rate : 0.3800
Average : 0.2588

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 4.02 %

BAM.PF.H FixedReset Quote: 26.40 – 26.70
Spot Rate : 0.3000
Average : 0.2022

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.59 %

POW.PR.B Perpetual-Discount Quote: 24.95 – 25.22
Spot Rate : 0.2700
Average : 0.1839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 5.40 %

BAM.PR.Z FixedReset Quote: 22.20 – 22.46
Spot Rate : 0.2600
Average : 0.1792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 21.75
Evaluated at bid price : 22.20
Bid-YTW : 4.66 %

CU.PR.G Perpetual-Discount Quote: 22.01 – 22.25
Spot Rate : 0.2400
Average : 0.1680

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-30
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 5.18 %

W.PR.J Perpetual-Premium Quote: 25.20 – 25.43
Spot Rate : 0.2300
Average : 0.1585

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -1.33 %

January 27, 2017

Saturday, January 28th, 2017
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 3.95 % 4.69 % 19,379 18.28 1 0.9186 % 1,975.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8595 % 3,614.2
Floater 3.83 % 3.93 % 48,292 17.57 4 1.8595 % 2,082.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1638 % 2,957.9
SplitShare 4.79 % 4.45 % 65,504 4.18 6 -0.1638 % 3,532.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1638 % 2,756.1
Perpetual-Premium 5.58 % -6.47 % 70,721 0.09 12 0.1605 % 2,711.1
Perpetual-Discount 5.23 % 5.25 % 86,657 14.96 26 0.2306 % 2,856.5
FixedReset 4.51 % 4.17 % 222,634 6.75 97 0.3191 % 2,277.4
Deemed-Retractible 5.10 % 4.91 % 131,604 0.24 32 0.1723 % 2,799.2
FloatingReset 2.41 % 3.15 % 45,210 4.72 11 0.1345 % 2,448.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.20 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.41 %
BNS.PR.Y FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 4.57 %
MFC.PR.B Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 6.31 %
CM.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.57
Evaluated at bid price : 23.33
Bid-YTW : 4.05 %
NA.PR.W FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.06 %
RY.PR.J FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.35
Evaluated at bid price : 22.92
Bid-YTW : 4.08 %
BAM.PF.E FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 4.24 %
BMO.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 3.94 %
PWF.PR.K Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.32 %
TD.PF.E FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.83
Evaluated at bid price : 23.90
Bid-YTW : 4.01 %
PWF.PR.A Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.56 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 3.46 %
SLF.PR.H FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.37 %
BMO.PR.W FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.01 %
BAM.PR.B Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 12.13
Evaluated at bid price : 12.13
Bid-YTW : 3.93 %
TD.PF.A FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.05 %
BMO.PR.Y FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.97
Evaluated at bid price : 24.16
Bid-YTW : 3.88 %
BAM.PR.K Floater 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
BAM.PR.C Floater 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 3.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 483,872 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.83 %
TRP.PR.K FixedReset 467,585 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.41 %
TRP.PR.J FixedReset 215,345 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.17 %
TRP.PR.B FixedReset 208,414 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.06 %
PWF.PR.P FixedReset 108,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 4.17 %
BAM.PR.K Floater 107,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
FTS.PR.M FixedReset 101,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.16 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 22.95 – 23.32
Spot Rate : 0.3700
Average : 0.2480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.64 %

FTS.PR.M FixedReset Quote: 22.00 – 22.34
Spot Rate : 0.3400
Average : 0.2285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.16 %

FTS.PR.J Perpetual-Discount Quote: 22.94 – 23.24
Spot Rate : 0.3000
Average : 0.2021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.59
Evaluated at bid price : 22.94
Bid-YTW : 5.24 %

W.PR.K FixedReset Quote: 25.78 – 26.14
Spot Rate : 0.3600
Average : 0.2822

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.46 %

BMO.PR.M FixedReset Quote: 24.60 – 24.85
Spot Rate : 0.2500
Average : 0.1725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.42 %

TD.PF.D FixedReset Quote: 23.08 – 23.36
Spot Rate : 0.2800
Average : 0.2045

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-27
Maturity Price : 22.43
Evaluated at bid price : 23.08
Bid-YTW : 4.10 %

OSP.PR.A Gets Bigger

Saturday, January 28th, 2017

On January 26, Brompton Group announced (nb: slight change in table layout … JH):

Brompton Oil Split Corp. (the “Company”) is pleased to announce it is undertaking an overnight treasury offering of class A and preferred shares.

The class A shares will be offered at a price of $9.75 for a distribution rate of 12.3% on the issue price, and the preferred shares will be offered at a price of $10.00 for a yield to maturity of 5.2%. The closing price on the Toronto Stock Exchange (“TSX”) for each of the class A and preferred shares on January 25, 2017 was $10.10 and $10.16, respectively. The 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.

The sales period of this overnight offering will end at 9:00 a.m. (ET) on January 27, 2017. The offering is expected to close on or about February 3, 2017 and is subject to certain closing conditions including approval by the TSX.

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

The Company invests in a portfolio of equity securities of large capitalization North American oil and gas issuers, primarily focused on those with significant exposure to oil. All portfolio securities are S&P/TSX Composite Index or S&P 500 Index constituents which have a market capitalization of at least $2 billion and pay a dividend. Currently, the portfolio consists of common shares of the following companies:

Anadarko Petroleum Corporation Cimarex Energy Co. Whitecap Resources Inc.
Pioneer Natural Resources Company Apache Corporation Crescent Point Energy Corporation
PrairieSky Royalty Ltd. ARC Resources Ltd. Devon Energy Corporation
Suncor Energy Inc. Canadian Natural Resources Limited EOG Resources Inc.
Vermilion Energy Inc. Cenovus Energy Inc. Occidental Petroleum 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 $0.1250 per preferred share, and to return the original issue price to holders of preferred shares on the Company’s maturity date (March 31, 2020).

Today they announced:

Brompton Oil Split Corp. (the “Company”) is pleased to announce the results of its overnight treasury offering of class A and preferred shares. Gross proceeds of the offering are expected to be approximately $11 million. The offering is expected to close on or about February 3, 2017 and is subject to customary closing conditions including approval from the Toronto Stock Exchange (the “TSX”).

Well, another $5-million-odd worth on the market won’t solve OSP.PR.A’s liquidity problems, but every little bit helps!

Update, 2017-2-3: Brompton Group has announced:

Brompton Oil Split Corp. (the “Company”) is pleased to announce that it has completed a treasury offering of 549,800 class A shares and 549,800 preferred shares for aggregate gross proceeds of approximately $11 million. The class A shares and preferred shares will trade on the Toronto Stock Exchange (the “TSX”) under the existing symbols OSP (class A shares) and OSP.PR.A (preferred shares).

The class A shares were offered at a price of $9.75 per class A share and the preferred shares were offered at a price of $10.00 per preferred share. The class A and preferred share offering prices were 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 accrued prior to closing of the offering.

DFN.PR.A Gets Bigger

Friday, January 27th, 2017

On January 26, Dividend 15 Split Corp. announced:

it has filed a preliminary short form prospectus in each of the provinces of Canada with respect to an offering of Preferred Shares and Class A Shares of the Company. The offering will be co-led by National Bank Financial Inc., CIBC, RBC Capital Markets, Scotia Capital Inc., and will also include BMO Capital Markets, TD Securities Inc., GMP Securities L.P., Canaccord Genuity Corp., Raymond James, Desjardins Securities Inc., Echelon Wealth Partners, Mackie Research Capital Corporation and Manulife Securities Incorporated.. The Preferred Shares will be offered at a price of $10.00 per Preferred Share to yield 5.25% and the Class A Shares will be offered at a price of $10.95 per Class A Share to yield 10.96%. The closing price on the TSX of each of the Preferred Shares and the Class A Shares on January 25, 2017 was $10.41 and $11.20, respectively.

Since inception of the Company, the aggregate dividends declared on the Preferred Shares have been $6.76 per share and the aggregate dividends declared on the Class A Shares have been $18.90 per share (including five special distributions of $0.25 per share, one special distribution of $0.50 per share and one special stock dividend of $1.75 per share), for a combined total of $25.66 per unit. All distributions to date have been made in tax advantage eligible Canadian dividends or capital gains dividends. The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio consisting of 15 dividend yielding Canadian companies as
follows:

Bank of Montreal Enbridge Inc. TELUS Corporation
The Bank of Nova Scotia Manulife Financial Corp. Thomson-Reuters Corporation
BCE Inc. National Bank of Canada The Toronto-Dominion Bank
Canadian Imperial Bank of Commerce Royal Bank of Canada TransAlta Corporation
CI Financial Corp. Sun Life Financial Inc. TransCanada Corporation

The Company’s investment objectives are:
Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends in the amount of 5.25% annually; and
ii. on or about the termination date, currently December 1, 2019 (subject to further 5 year extensions thereafter), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends currently targeted to be $0.10 per share; and
ii. on or about the termination date, currently December 1, 2019 (subject to further 5 year extensions thereafter) to pay holders of Class A Shares at least the original issue price of those shares.

The sales period of this overnight offering will end at 9:00 a.m. EST on January 27, 2017.

Today the company announced:

Dividend 15 Split Corp. (the “Company”) is pleased to announce it has completed the overnight marketing of up to 3,056,000 Preferred Shares and up to 3,056,000 Class A Shares of the Company. The total proceeds of the offering are expected to be approximately $64.0 million.

January 26, 2017

Friday, January 27th, 2017
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 3.97 % 4.74 % 19,994 18.17 1 0.9496 % 1,957.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2070 % 3,548.2
Floater 3.90 % 3.98 % 47,615 17.45 4 0.2070 % 2,044.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0590 % 2,962.8
SplitShare 4.78 % 4.43 % 56,394 4.19 6 0.0590 % 3,538.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0590 % 2,760.6
Perpetual-Premium 5.58 % -5.71 % 73,107 0.09 12 -0.0164 % 2,706.8
Perpetual-Discount 5.24 % 5.26 % 89,304 14.96 26 0.0146 % 2,850.0
FixedReset 4.53 % 4.16 % 221,294 6.75 97 0.2868 % 2,270.2
Deemed-Retractible 5.11 % 4.75 % 135,766 0.25 32 0.0544 % 2,794.4
FloatingReset 2.41 % 3.16 % 44,589 4.72 11 0.2741 % 2,445.4
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.64 %
MFC.PR.I FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
HSE.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.92
Evaluated at bid price : 24.01
Bid-YTW : 4.76 %
MFC.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.03 %
HSE.PR.E FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 4.79 %
FTS.PR.K FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.33 %
FTS.PR.H FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.26 %
BIP.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.21
Evaluated at bid price : 22.71
Bid-YTW : 5.09 %
BAM.PF.F FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.68
Evaluated at bid price : 23.34
Bid-YTW : 4.29 %
PWF.PR.P FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.21 %
TRP.PR.E FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.16 %
BAM.PR.T FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 4.62 %
VNR.PR.A FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.71 %
HSE.PR.A FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.54 %
BAM.PR.Z FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.74
Evaluated at bid price : 22.19
Bid-YTW : 4.60 %
SLF.PR.J FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 8.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 1,272,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.88 %
TRP.PR.K FixedReset 488,457 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.43 %
MFC.PR.R FixedReset 163,576 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.54 %
MFC.PR.I FixedReset 130,459 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
BMO.PR.B FixedReset 106,454 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.16 %
BMO.PR.T FixedReset 58,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.06 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Quote: 21.83 – 22.19
Spot Rate : 0.3600
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 4.78 %

CU.PR.F Perpetual-Discount Quote: 22.00 – 22.37
Spot Rate : 0.3700
Average : 0.2593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.18 %

CU.PR.I FixedReset Quote: 26.50 – 26.78
Spot Rate : 0.2800
Average : 0.1825

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.04 %

BNS.PR.F FloatingReset Quote: 20.67 – 20.99
Spot Rate : 0.3200
Average : 0.2264

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.67
Bid-YTW : 5.81 %

CM.PR.O FixedReset Quote: 21.04 – 21.34
Spot Rate : 0.3000
Average : 0.2092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.13 %

BAM.PR.K Floater Quote: 11.66 – 11.98
Spot Rate : 0.3200
Average : 0.2316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 4.09 %

BIP.PR.D Achieves Small Premium On Excellent Volume

Friday, January 27th, 2017

Brookfield Infrastructure has announced:

the completion of its previously announced issue of Cumulative Class A Preferred Limited Partnership Units, Series 7 (“Series 7 Preferred Units”) in the amount of $300,000,000. The offering was underwritten by a syndicate led by CIBC Capital Markets, RBC Capital Markets, Scotiabank, and TD Securities Inc.

Brookfield Infrastructure issued 12,000,000 Series 7 Preferred Units at a price of $25.00 per unit, for total gross proceeds of $300,000,000. Holders of the Series 7 Preferred Units will be entitled to receive a cumulative quarterly fixed distribution yielding 5.00% annually for the initial period ending March 31, 2022. Thereafter, the distribution rate will be reset every five years at a rate equal to the greater of: (i) the 5-year Government of Canada bond yield plus 3.78%, and (ii) 5.00%. The Series 7 Preferred Units will commence trading on the Toronto Stock Exchange this morning under the ticker symbol BIP.PR.D.

BIP.PR.D is a FixedReset, 5.00%+378M500, ROC + Interest, announced January 19. It will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

The issue traded 1,272,999 shares today in a range of 25.05-19 before closing at 25.15-17, 10×30. Vital statistics are:

BIP.PR.D FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.88 %

Implied Volatility analysis yields the following chart:

impvol_bip_170126
Click for Big

ALA Under Review-Developing by DBRS

Thursday, January 26th, 2017

DBRS has announced that it:

has today placed the BBB Issuer Rating and the Medium-Term Notes (MTNs) rating and the Pfd-3 Preferred Shares – Cumulative rating of AltaGas Ltd. (AltaGas or the Company) Under Review with Developing Implications. These rating actions follow the announcement that the Company has agreed to acquire WGL Holdings Inc. (WGL) for a total consideration of CAD 8.4 billion, including assumption of CAD 2.4 billion of debt (the Acquisition). The Acquisition is subject to WGL shareholders and certain regulatory and government approvals. The Acquisition is expected to close by the end of the second quarter of 2018.

DBRS notes that there is execution risk associated with the Acquisition. In addition to a shifting political climate in the United States, there is execution risk associated with regulatory, government hurdles and the financing plan. The expectation of the Acquisition closing in approximately 18 months considers the regulatory and political risks. Regulatory approvals are required from three separate public utility commissions in Virginia, Maryland and District of Columbia, the Federal Energy Regulatory Commission (FERC), the Committee on Foreign Investment in the United States (CFIUS), and expiration or termination of any applicable waiting period under the Hart-Scott-Rodino Antitrust Improvements Act of 1976, as amended, and the satisfaction of customary closing conditions. There is also execution risk with respect to generating expected proceeds from the proposed sale of AltaGas assets to finance the acquisition.

WGL has a reasonably healthy financial profile supported largely by its diverse and growing regulated utility operations. On a pro forma basis, DBRS expects initial pressure on AltaGas consolidated credit metrics at the close of the Acquisition in 2018 as a result of higher debt levels, including debt at WGL. Ratings could be pressured should the timing and amount of asset sales envisaged in the preliminary financing plan not materialize, as this could result in higher leverage. There is also currency risk associated with the USD 4.95 billion bridge credit facility. As the financing plan at closing of the Acquisition could change based on the timing, amounts and execution of the planned asset sales, the impact on the Company’s financial risk assessment (FRA) is uncertain at this time.

DBRS has placed the ratings of AltaGas Under Review with Developing Implications, considering the execution risks and uncertainties surrounding the financing plan. As noted in the latest DBRS rating report dated November 14, 2016, DBRS expects AltaGas to fund its growth projects and acquisitions with a prudent mix of debt and equity in order to maintain the company’s debt-to-capital ratio in the low 50% range. DBRS will further review the Company’s ratings as more information becomes available and aims to resolve the Under Review status of the ratings once financing details are known and the Acquisition has closed.

AltaGas has several issues of preferred shares outstanding, the most recently issued being ALA.PR.I, which commenced trading in November, 2015. Affected issues are ALA.PR.A, ALA.PR.B, ALA.PR.E, ALA.PR.G and ALA.PR.I.

Implied Volatility analysis yields the following chart:

impvol_ala_170126
Click for Big

January 25, 2017

Wednesday, January 25th, 2017

A hot day for FixedResets, perhaps due to a 5bp increase in the GOC-5 yield.

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.1%, so the pre-tax interest-equivalent spread is now about 270bp, a sharp narrowing from the 285bp reported January 18.

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 4.01 % 4.79 % 20,766 18.10 1 0.5970 % 1,939.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2154 % 3,540.8
Floater 3.91 % 4.02 % 48,223 17.38 4 1.2154 % 2,040.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,961.0
SplitShare 4.79 % 3.90 % 53,522 4.19 6 0.0328 % 3,536.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,759.0
Perpetual-Premium 5.58 % -4.47 % 72,258 0.09 12 0.0066 % 2,707.2
Perpetual-Discount 5.24 % 5.23 % 92,936 14.99 26 0.0341 % 2,849.6
FixedReset 4.53 % 4.21 % 221,270 6.76 96 1.1293 % 2,263.7
Deemed-Retractible 5.12 % 4.60 % 132,547 0.25 32 0.0661 % 2,792.8
FloatingReset 2.42 % 3.20 % 44,731 4.72 11 0.2311 % 2,438.8
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 3.60 %
TRP.PR.E FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
BMO.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.09 %
BMO.PR.Y FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.79
Evaluated at bid price : 23.76
Bid-YTW : 3.97 %
MFC.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 5.29 %
BMO.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.63 %
TD.PF.C FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 4.18 %
SLF.PR.J FloatingReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.01
Bid-YTW : 8.96 %
IAG.PR.G FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.17 %
TD.PF.D FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %
HSE.PR.E FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.06
Evaluated at bid price : 24.25
Bid-YTW : 4.73 %
MFC.PR.J FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.43 %
MFC.PR.I FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 5.21 %
MFC.PR.M FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 6.38 %
RY.PR.J FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.19
Evaluated at bid price : 22.66
Bid-YTW : 4.13 %
CM.PR.P FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.16 %
MFC.PR.H FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.87 %
TD.PF.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
HSE.PR.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 4.70 %
TD.PF.B FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.15 %
BNS.PR.Y FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 4.79 %
SLF.PR.I FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 5.47 %
CM.PR.Q FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.38
Evaluated at bid price : 23.00
Bid-YTW : 4.11 %
TD.PF.E FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.71
Evaluated at bid price : 23.65
Bid-YTW : 4.07 %
HSE.PR.A FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 4.61 %
BMO.PR.M FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.24 %
RY.PR.H FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
RY.PR.Z FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.06 %
MFC.PR.L FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 6.44 %
BMO.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.08 %
MFC.PR.K FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.48
Bid-YTW : 6.41 %
MFC.PR.N FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.22 %
RY.PR.M FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 4.05 %
IFC.PR.A FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 7.86 %
PWF.PR.P FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 4.27 %
CM.PR.O FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.16 %
NA.PR.S FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 4.15 %
PWF.PR.T FixedReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.06 %
BMO.PR.S FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.54
Evaluated at bid price : 21.93
Bid-YTW : 3.99 %
BAM.PR.C Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.07 %
BAM.PR.K Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.64
Evaluated at bid price : 11.64
Bid-YTW : 4.09 %
HSE.PR.C FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.59
Evaluated at bid price : 23.24
Bid-YTW : 4.57 %
IFC.PR.C FixedReset 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 5.85 %
BAM.PF.B FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.60 %
FTS.PR.K FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.27 %
MFC.PR.F FixedReset 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 9.49 %
TRP.PR.B FixedReset 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 4.08 %
BAM.PR.Z FixedReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 4.70 %
BAM.PR.B Floater 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.02 %
FTS.PR.M FixedReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.20 %
BAM.PR.X FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 4.61 %
BAM.PR.T FixedReset 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.69 %
FTS.PR.H FixedReset 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 4.31 %
SLF.PR.G FixedReset 2.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.42 %
BAM.PF.F FixedReset 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.50
Evaluated at bid price : 23.04
Bid-YTW : 4.36 %
BAM.PF.G FixedReset 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.60
Evaluated at bid price : 23.37
Bid-YTW : 4.28 %
BAM.PF.E FixedReset 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.31 %
FTS.PR.G FixedReset 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.25 %
BAM.PF.A FixedReset 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
BAM.PR.R FixedReset 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.41 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 200,183 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.52 %
BNS.PR.H FixedReset 190,198 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.02 %
TRP.PR.E FixedReset 75,888 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 64,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.38 %
MFC.PR.R FixedReset 63,170 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.60 %
CU.PR.I FixedReset 62,188 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.15 %
There were 80 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.E Ratchet Quote: 16.85 – 17.48
Spot Rate : 0.6300
Average : 0.4180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 4.79 %

GRP.PR.A SplitShare Quote: 25.55 – 25.99
Spot Rate : 0.4400
Average : 0.3139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -17.39 %

TRP.PR.A FixedReset Quote: 17.55 – 17.88
Spot Rate : 0.3300
Average : 0.2065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.36 %

GWO.PR.L Deemed-Retractible Quote: 25.66 – 25.98
Spot Rate : 0.3200
Average : 0.2123

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : 2.51 %

GWO.PR.M Deemed-Retractible Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.2002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-31
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : -0.93 %

TRP.PR.F FloatingReset Quote: 16.85 – 17.24
Spot Rate : 0.3900
Average : 0.2934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.51 %

January 24, 2017

Tuesday, January 24th, 2017
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 4.03 % 4.82 % 21,571 18.07 1 0.6611 % 1,928.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1890 % 3,498.3
Floater 3.96 % 4.12 % 48,837 17.18 4 0.1890 % 2,016.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0788 % 2,960.0
SplitShare 4.79 % 3.94 % 53,212 4.19 6 0.0788 % 3,534.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0788 % 2,758.1
Perpetual-Premium 5.58 % -4.18 % 73,108 0.09 12 0.0190 % 2,707.0
Perpetual-Discount 5.24 % 5.24 % 90,607 14.96 26 -0.1104 % 2,848.6
FixedReset 4.58 % 4.24 % 219,195 6.75 96 0.2715 % 2,238.4
Deemed-Retractible 5.12 % 4.46 % 131,291 0.25 32 0.1699 % 2,791.0
FloatingReset 2.42 % 3.21 % 44,718 4.73 11 0.2448 % 2,433.1
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.05
Evaluated at bid price : 22.32
Bid-YTW : 5.54 %
BAM.PR.N Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.58
Evaluated at bid price : 21.84
Bid-YTW : 5.48 %
MFC.PR.F FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 9.81 %
PWF.PR.A Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.56 %
BAM.PF.B FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 4.69 %
BAM.PF.F FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.05
Evaluated at bid price : 22.36
Bid-YTW : 4.51 %
TRP.PR.B FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 4.17 %
BAM.PF.G FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.18
Evaluated at bid price : 22.66
Bid-YTW : 4.44 %
FTS.PR.M FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 4.33 %
HSE.PR.E FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.92
Evaluated at bid price : 23.93
Bid-YTW : 4.81 %
GWO.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.18
Bid-YTW : 9.40 %
ELF.PR.G Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.31 %
TRP.PR.D FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.40 %
HSE.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.32
Evaluated at bid price : 22.80
Bid-YTW : 4.67 %
MFC.PR.G FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 5.46 %
TRP.PR.A FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.36 %
TRP.PR.G FixedReset 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.47
Evaluated at bid price : 23.21
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 226,692 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.54 %
BNS.PR.H FixedReset 125,373 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.99 %
TRP.PR.E FixedReset 120,633 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.27 %
TRP.PR.D FixedReset 118,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.40 %
HSE.PR.G FixedReset 108,599 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.88
Evaluated at bid price : 23.92
Bid-YTW : 4.78 %
BMO.PR.B FixedReset 107,189 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.19 %
There were 58 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 20.76 – 21.24
Spot Rate : 0.4800
Average : 0.3284

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 5.88 %

MFC.PR.J FixedReset Quote: 22.11 – 22.32
Spot Rate : 0.2100
Average : 0.1318

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.63 %

BAM.PR.T FixedReset Quote: 17.73 – 17.94
Spot Rate : 0.2100
Average : 0.1334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.82 %

MFC.PR.H FixedReset Quote: 23.72 – 23.98
Spot Rate : 0.2600
Average : 0.1878

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.08 %

CU.PR.C FixedReset Quote: 21.26 – 21.59
Spot Rate : 0.3300
Average : 0.2644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.15 %

SLF.PR.G FixedReset Quote: 15.93 – 16.16
Spot Rate : 0.2300
Average : 0.1645

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.93
Bid-YTW : 8.84 %