Month: March 2016

Issue Comments

HSE.PR.A To Reset At 2.404%

Husky Energy Inc. has announced that it:

is notifying shareholders of the applicable dividend rates of its Cumulative Redeemable Preferred Shares, Series 1 (Series 1 Shares) and Cumulative Redeemable Preferred Shares, Series 2 (Series 2 Shares). The rates were calculated according to the terms of the prospectus supplement dated March 11, 2011.

As previously announced in its Feb. 16, 2016 news release, Husky does not intend to exercise its right to redeem its Series 1 Shares. Subject to certain conditions, the holders of Series 1 Shares have the right to choose one of the following options with regard to their shares:
1. Retain any or all of their Series 1 Shares and continue to receive an annual fixed rate dividend paid quarterly; or
2. Convert, on a one-for-one basis, any or all of their Series 1 Shares into Series 2 Shares and receive a floating rate quarterly dividend.

Holders of Series 1 Shares who choose to retain any or all of their shares will receive the new fixed rate quarterly dividend applicable to the Series 1 Shares of 2.404 percent for the five year period commencing March 31, 2016 to, but excluding, March 31, 2021.

Holders of Series 1 Shares who choose to convert their shares to Series 2 Shares will receive the new floating rate quarterly dividend applicable to the Series 2 Shares of 2.192 percent for the three month period commencing March 31, 2016 to, but excluding, June 30, 2016. The floating rate quarterly dividend will be reset every quarter.

Beneficial owners of Series 1 Shares who wish to exercise the right of conversion should communicate with their broker or other nominee in order to meet the deadline to exercise such right, which is 5 p.m. ET on March 16, 2016. Holders of Series 1 Shares who do not exercise the right of conversion by this deadline will continue to hold Series 1 Shares with the new fixed rate quarterly dividend.

For more information on the terms of, and risks associated with, an investment in the Series 1 Shares and the Series 2 Shares, please see the Company’s prospectus supplement dated March 11, 2011 on www.sedar.com.

HSE.PR.A was issued as a FixedReset, 4.45%+173, which commenced trading 2011-3-18 after being announced 2011-3-10. It is tracked by HIMIPref™ and assigned to the FixedReset subindex. The notice of extension was reported on PrefBlog.

The new rate represents a cut of 46% in the dividend rate. Ouch!

As noted in the press release, the deadline for notification of intent to convert to the FloatingReset is March 16. I will post a recommendation on March 11.

Market Action

February 29, 2016

Again, just the bare bones. Sorry!

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 5.55 % 6.73 % 13,580 15.82 1 -0.4082 % 1,412.8
FixedFloater 7.91 % 6.93 % 22,338 15.23 1 0.0000 % 2,513.4
Floater 4.96 % 5.18 % 82,060 15.10 4 1.1943 % 1,546.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2247 % 2,733.6
SplitShare 4.86 % 5.66 % 80,750 2.66 7 -0.2247 % 3,198.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2247 % 2,495.9
Perpetual-Premium 5.84 % 2.80 % 80,096 0.08 6 0.1730 % 2,529.5
Perpetual-Discount 5.80 % 5.83 % 98,060 14.07 33 0.1450 % 2,493.4
FixedReset 5.83 % 5.32 % 204,410 14.09 85 0.1518 % 1,743.7
Deemed-Retractible 5.36 % 6.00 % 120,056 5.14 34 0.0163 % 2,526.3
FloatingReset 3.19 % 5.58 % 46,485 5.46 16 -0.2794 % 1,910.6
Performance Highlights
Issue Index Change Notes
GWO.PR.O FloatingReset -10.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 10.30
Bid-YTW : 13.22 %
IAG.PR.A Deemed-Retractible -3.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.78
Bid-YTW : 7.88 %
PVS.PR.D SplitShare -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.01 %
CM.PR.Q FixedReset -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 5.12 %
ELF.PR.G Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 6.14 %
TD.PF.A FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.87 %
RY.PR.M FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 5.07 %
BNS.PR.P FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 4.58 %
TD.PF.D FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 5.04 %
TD.PR.Y FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.85 %
CM.PR.O FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.85 %
TRP.PR.G FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.51 %
RY.PR.Z FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.78 %
BMO.PR.Y FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.99 %
BNS.PR.C FloatingReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.61
Bid-YTW : 5.83 %
RY.PR.I FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 5.34 %
BNS.PR.F FloatingReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.34 %
BMO.PR.T FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.81 %
RY.PR.L FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.43 %
FTS.PR.I FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.30 %
RY.PR.J FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.12 %
NA.PR.S FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 5.32 %
TRP.PR.F FloatingReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.69 %
BIP.PR.B FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 22.60
Evaluated at bid price : 23.60
Bid-YTW : 5.78 %
TRP.PR.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.78
Evaluated at bid price : 9.78
Bid-YTW : 5.09 %
FTS.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.14 %
MFC.PR.N FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 9.49 %
SLF.PR.J FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.12
Bid-YTW : 12.22 %
RY.PR.P Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 24.00
Evaluated at bid price : 24.36
Bid-YTW : 5.41 %
BAM.PR.C Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.12
Evaluated at bid price : 9.12
Bid-YTW : 5.26 %
BAM.PR.X FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 12.33
Evaluated at bid price : 12.33
Bid-YTW : 5.44 %
PVS.PR.E SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.65 %
VNR.PR.A FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 5.46 %
HSE.PR.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 8.55
Evaluated at bid price : 8.55
Bid-YTW : 7.01 %
BAM.PF.G FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.65 %
SLF.PR.I FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.32
Bid-YTW : 9.25 %
TD.PR.Z FloatingReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.26 %
TRP.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.42 %
BAM.PF.E FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.52 %
BAM.PR.K Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.21
Evaluated at bid price : 9.21
Bid-YTW : 5.21 %
BAM.PF.B FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.73 %
CU.PR.C FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.22 %
MFC.PR.I FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.64
Bid-YTW : 9.31 %
MFC.PR.G FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.45
Bid-YTW : 9.39 %
PWF.PR.Q FloatingReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.86 %
BAM.PF.A FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.64 %
BAM.PR.B Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 5.18 %
HSE.PR.C FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 7.10 %
HSE.PR.E FixedReset 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.81 %
MFC.PR.H FixedReset 2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 8.09 %
SLF.PR.H FixedReset 3.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 10.04 %
BAM.PR.R FixedReset 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 5.65 %
TRP.PR.I FloatingReset 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset 185,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.65 %
BNS.PR.E FixedReset 46,548 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 23.21
Evaluated at bid price : 25.18
Bid-YTW : 5.22 %
IAG.PR.G FixedReset 45,235 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.45
Bid-YTW : 9.37 %
PVS.PR.D SplitShare 38,379 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.01 %
BAM.PF.D Perpetual-Discount 37,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 6.39 %
TD.PF.G FixedReset 31,551 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 5.31 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.I FloatingReset Quote: 10.00 – 12.00
Spot Rate : 2.0000
Average : 1.4088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.98 %

GWO.PR.O FloatingReset Quote: 10.30 – 11.50
Spot Rate : 1.2000
Average : 0.7928

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 10.30
Bid-YTW : 13.22 %

TRP.PR.F FloatingReset Quote: 10.31 – 11.30
Spot Rate : 0.9900
Average : 0.6497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.69 %

BNS.PR.P FixedReset Quote: 23.01 – 23.90
Spot Rate : 0.8900
Average : 0.5697

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 4.58 %

IAG.PR.A Deemed-Retractible Quote: 19.78 – 20.98
Spot Rate : 1.2000
Average : 0.9420

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.78
Bid-YTW : 7.88 %

TD.PF.A FixedReset Quote: 16.10 – 16.60
Spot Rate : 0.5000
Average : 0.3690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-01
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.87 %

Issue Comments

ALB.PR.C Firm on Light Volume

Scotia Managed Companies announced on February 26:

that it has completed its public offering of Class B preferred shares, series 2 (“Preferred Shares”) raising $17,649,845 through the issuance of 687,567 Preferred Shares at a price per share of $25.67. In addition, the Company has redeemed all of its outstanding Class B preferred shares, series 1. The Preferred Shares were offered to the public on a best efforts basis by a syndicate of agents led by Scotia Capital Inc., which included National Bank Financial Inc., CIBC World Markets Inc., and BMO Nesbitt Burns Inc.

Allbanc Split Corp. II is a mutual fund corporation created to hold a portfolio of publicly listed common shares of selected Canadian chartered banks. Capital Shares and Preferred Shares of Allbanc Split Corp. II are listed for trading on The Toronto Stock Exchange under the symbols ALB and ALB.PR.C, respectively.

The shares have been rated Pfd-2(low) by DBRS:

The Company holds a portfolio (the Portfolio) of publicly listed common shares of Bank of Montreal, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, The Bank of Nova Scotia and The Toronto-Dominion Bank (collectively, the Portfolio Shares) in order to generate dividend income for the holders of the Series 2 Preferred Shares and to enable holders of the Class A Capital Shares to participate in any capital appreciation in the Portfolio Shares.

The dividends received from the Portfolio will be used to pay a fixed cumulative quarterly distribution of $0.3048 per share to holders of the Series 2 Preferred Shares, yielding approximately 4.75% annually on the initial issue price. The current yield on the Portfolio shares fully covers the Series 2 Preferred Share dividends, providing dividend coverage of approximately 1.7 times. The Class A Capital Shares are expected to receive all excess dividend income after the Series 2 Preferred Share distributions and other expenses of the Company have been paid.

The Pfd-2 (low) rating of the Series 2 Preferred Shares is based primarily on the downside protection and dividend coverage available, as well as on the strong credit quality and consistency of dividend distributions of the Portfolio holdings.

Some highlights from the prospectus dated 2016-2-17:

Holders of Series 2 Preferred Shares will be entitled to receive quarterly fixed cumulative preferential distributions equal to $0.3048 per Series 2 Preferred Share. On an annualized basis, this would represent a yield on the offering price of the Series 2 Preferred Shares of approximately 4.75%. Such distributions are expected to consist of ordinary dividends but may include non-taxable returns of capital and capital gains dividends. Such quarterly distributions are expected to be paid by the Company on or before the last day of May, August, November and February in each year. Based on the expected closing date of February 26, 2016, the initial distribution will be approximately $0.3048 per Series 2 Preferred Share and is expected to be payable on or before May 31, 2016.

The Series 2 Preferred Shares may be surrendered for retraction at any time and will be redeemed by the Company on February 28, 2021 (the “Redemption Date”). In addition, the Series 2 Preferred Shares may otherwise be redeemed by the Company prior to the Redemption Date in certain limited circumstances including on February 28th in each year or, where such day is not a business day, on the preceding business day, if there are any unmatched retractions of Capital Shares.

The issue will be tracked by HIMIPref™ and is assigned to the SplitShares index – although, given the small size of the issue, I expect it to move to Scraps on volume concerns eventually.

The issue traded 10,000 shares in a range of 25.67-97 on its debut.

ALB.PR.C SplitShare YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 25.68
Bid-YTW : 4.67 %

Update, 2016-3-5: Confirmed at Pfd-2 by DBRS.

The five banks continued with the regular increases in the dividend distribution policies in 2015, which had brought the dividend coverage ratio to 2.39 times as of February 25, 2016. Holders of the Capital Shares do not receive a stated regular distribution. They are, however, expected to receive all excess dividend income after the Class C Preferred Share distributions and other expenses of the Company have been paid.

In the past twelve months, decreasing share prices of the five banks had a reflection on the net asset value of the Company, bringing overall the downside protection to 58.7% as of February 25, 2016, down from 62.6% a year ago. Nevertheless, the downside protection has demonstrated relative stability over the past year. Given a strong dividend coverage ratio, credit quality of the underlying shares and the downside protection level, DBRS confirms the rating of the Class C Preferred Shares at Pfd-2.

Market Action

February 26, 2016

Sorry this is so late!

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 5.53 % 6.70 % 13,685 15.86 1 1.2397 % 1,418.6
FixedFloater 7.91 % 6.92 % 22,474 15.24 1 -0.7438 % 2,513.4
Floater 5.02 % 5.29 % 83,254 14.94 4 -1.3354 % 1,528.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1315 % 2,739.8
SplitShare 4.85 % 5.61 % 81,582 2.67 7 -0.1315 % 3,206.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1315 % 2,501.5
Perpetual-Premium 5.85 % 5.84 % 82,794 13.92 6 0.3203 % 2,525.1
Perpetual-Discount 5.81 % 5.85 % 97,211 14.08 33 0.2866 % 2,489.8
FixedReset 5.84 % 5.26 % 203,072 13.95 85 0.3778 % 1,741.0
Deemed-Retractible 5.35 % 5.96 % 119,641 6.85 34 0.2816 % 2,525.9
FloatingReset 3.20 % 5.59 % 48,402 5.47 16 -0.4599 % 1,915.9
Performance Highlights
Issue Index Change Notes
TRP.PR.I FloatingReset -11.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.27 %
TD.PR.T FloatingReset -2.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.42
Bid-YTW : 5.69 %
IAG.PR.G FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.34
Bid-YTW : 9.40 %
SLF.PR.J FloatingReset -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.10
Bid-YTW : 12.39 %
MFC.PR.H FixedReset -2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.44 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 9.01
Evaluated at bid price : 9.01
Bid-YTW : 5.32 %
BAM.PR.B Floater -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 5.30 %
BAM.PR.K Floater -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 9.07
Evaluated at bid price : 9.07
Bid-YTW : 5.29 %
BNS.PR.D FloatingReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.53
Bid-YTW : 7.82 %
SLF.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 9.39 %
CCS.PR.C Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 7.78 %
FTS.PR.H FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 4.96 %
BAM.PF.F FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 5.64 %
HSB.PR.D Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.07
Bid-YTW : 5.95 %
HSB.PR.C Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 5.89 %
BNS.PR.C FloatingReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.88
Bid-YTW : 5.59 %
PWF.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.19 %
SLF.PR.A Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 7.22 %
POW.PR.D Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 21.27
Evaluated at bid price : 21.54
Bid-YTW : 5.88 %
TRP.PR.E FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 5.04 %
GWO.PR.Q Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 6.56 %
BNS.PR.F FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.72
Bid-YTW : 8.11 %
BAM.PR.E Ratchet 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 25.00
Evaluated at bid price : 12.25
Bid-YTW : 6.70 %
GWO.PR.H Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.58
Bid-YTW : 7.10 %
BAM.PF.C Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.36 %
BAM.PR.N Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.32 %
PWF.PR.P FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 4.97 %
TD.PF.A FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.72 %
GWO.PR.S Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.84
Bid-YTW : 6.09 %
SLF.PR.H FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 10.39 %
BAM.PR.X FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 12.18
Evaluated at bid price : 12.18
Bid-YTW : 5.41 %
TRP.PR.D FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 5.25 %
MFC.PR.J FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.94
Bid-YTW : 9.57 %
CM.PR.Q FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.96 %
HSE.PR.C FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 7.37 %
GWO.PR.O FloatingReset 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.50
Bid-YTW : 11.72 %
MFC.PR.M FixedReset 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 9.52 %
BAM.PF.D Perpetual-Discount 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.39 %
TRP.PR.F FloatingReset 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 10.42
Evaluated at bid price : 10.42
Bid-YTW : 5.65 %
BAM.PR.R FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 5.74 %
IAG.PR.A Deemed-Retractible 2.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 7.56 %
HSE.PR.E FixedReset 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.93 %
HSE.PR.A FixedReset 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 8.43
Evaluated at bid price : 8.43
Bid-YTW : 7.10 %
TRP.PR.G FixedReset 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.37 %
PWF.PR.Q FloatingReset 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.98 %
TRP.PR.B FixedReset 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 9.88
Evaluated at bid price : 9.88
Bid-YTW : 4.94 %
HSE.PR.G FixedReset 6.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 7.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset 186,509 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.72 %
RY.PR.Q FixedReset 146,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 23.19
Evaluated at bid price : 25.15
Bid-YTW : 5.21 %
BAM.PR.R FixedReset 125,165 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 5.74 %
BAM.PF.H FixedReset 124,945 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 23.17
Evaluated at bid price : 24.99
Bid-YTW : 4.98 %
BAM.PR.C Floater 104,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 9.01
Evaluated at bid price : 9.01
Bid-YTW : 5.32 %
IFC.PR.C FixedReset 93,860 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.28
Bid-YTW : 10.23 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 20.86 – 22.06
Spot Rate : 1.2000
Average : 0.7279

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 7.78 %

TRP.PR.G FixedReset Quote: 17.00 – 18.00
Spot Rate : 1.0000
Average : 0.6053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.37 %

TD.PR.T FloatingReset Quote: 20.42 – 21.61
Spot Rate : 1.1900
Average : 0.8996

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.42
Bid-YTW : 5.69 %

RY.PR.I FixedReset Quote: 22.48 – 23.19
Spot Rate : 0.7100
Average : 0.4446

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.48
Bid-YTW : 5.07 %

SLF.PR.J FloatingReset Quote: 11.10 – 11.80
Spot Rate : 0.7000
Average : 0.4436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.10
Bid-YTW : 12.39 %

TRP.PR.I FloatingReset Quote: 9.50 – 10.50
Spot Rate : 1.0000
Average : 0.7606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-26
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.27 %