DGS.PR.A To Get Bigger

March 27th, 2017

Brompton Group has announced (although not yet on their website and they didn’t send me the usual eMail):

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

The sales period of this overnight offering will end at 9:00 a.m. (ET) tomorrow, March 28, 2017. The offering is expected to close on or about April 6, 2017 and is subject to certain closing conditions including approval by the TSX.

The class A shares will be offered at a price of $8.00 for a distribution rate of 15.0% on the issue price, and the preferred shares will be offered at a price of $10.00 for a yield to maturity of 5.45%. The closing price on the Toronto Stock Exchange (“TSX”) for each of the class A and preferred shares on March 24, 2017 was $8.26 and $10.33, 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 (calculated as at March 24, 2017), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

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

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 Corp. 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, and to return the original issue price to holders of preferred shares on the Company’s maturity date (November 28, 2019).

It’s getting to be quite the size, with assets of $415-million as of February month-end. Their previous treasury offering was in September 2016.

March 27, 2017

March 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 0.00 % 0.00 % 0 0.00 0 -0.5468 % 2,049.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5468 % 3,761.3
Floater 3.71 % 3.85 % 47,493 17.73 4 -0.5468 % 2,167.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2152 % 3,012.4
SplitShare 4.94 % 4.08 % 63,698 0.69 6 -0.2152 % 3,597.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2152 % 2,806.9
Perpetual-Premium 5.34 % 2.24 % 71,586 0.09 20 0.0566 % 2,755.2
Perpetual-Discount 5.17 % 5.19 % 103,810 15.07 16 0.0768 % 2,923.4
FixedReset 4.45 % 4.11 % 241,590 6.68 94 -0.2453 % 2,320.9
Deemed-Retractible 5.06 % 1.84 % 137,643 0.16 31 -0.0596 % 2,849.6
FloatingReset 2.55 % 3.38 % 55,611 4.56 9 -0.2117 % 2,492.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.95 %
IFC.PR.A FixedReset -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %
BMO.PR.Y FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.62
Evaluated at bid price : 23.40
Bid-YTW : 4.03 %
MFC.PR.N FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 5.98 %
BAM.PR.C Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 12.13
Evaluated at bid price : 12.13
Bid-YTW : 3.89 %
PVS.PR.E SplitShare -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %
BAM.PR.X FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.49 %
BAM.PR.T FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
EIT.PR.A SplitShare 103,525 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.53 %
BAM.PF.D Perpetual-Discount 45,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.92
Evaluated at bid price : 23.30
Bid-YTW : 5.26 %
BAM.PF.C Perpetual-Discount 37,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %
RY.PR.G Deemed-Retractible 37,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.84 %
TRP.PR.J FixedReset 29,024 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.91 %
TRP.PR.C FixedReset 27,431 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.11 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 25.25 – 25.60
Spot Rate : 0.3500
Average : 0.2139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.18 %

PVS.PR.E SplitShare Quote: 26.11 – 26.55
Spot Rate : 0.4400
Average : 0.3076

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %

IFC.PR.A FixedReset Quote: 18.52 – 18.89
Spot Rate : 0.3700
Average : 0.2403

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %

IAG.PR.A Deemed-Retractible Quote: 22.65 – 22.93
Spot Rate : 0.2800
Average : 0.2071

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.15 %

EML.PR.A FixedReset Quote: 26.30 – 26.59
Spot Rate : 0.2900
Average : 0.2173

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.28 %

MFC.PR.C Deemed-Retractible Quote: 22.05 – 22.30
Spot Rate : 0.2500
Average : 0.1896

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.49 %

March 24, 2017

March 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 0.00 % 0.00 % 0 0.00 0 0.0586 % 2,061.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0586 % 3,782.0
Floater 3.69 % 3.83 % 49,416 17.78 4 0.0586 % 2,179.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1764 % 3,018.9
SplitShare 4.93 % 4.03 % 62,555 0.70 6 0.1764 % 3,605.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1764 % 2,813.0
Perpetual-Premium 5.34 % -1.97 % 69,385 0.09 20 0.2152 % 2,753.7
Perpetual-Discount 5.17 % 5.20 % 104,268 15.08 16 0.0185 % 2,921.1
FixedReset 4.44 % 4.18 % 244,320 6.66 94 0.0864 % 2,326.6
Deemed-Retractible 5.05 % 1.39 % 138,116 0.17 31 -0.0648 % 2,851.3
FloatingReset 2.49 % 3.28 % 57,894 4.57 9 0.0371 % 2,497.4
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.17
Evaluated at bid price : 23.61
Bid-YTW : 5.22 %
ELF.PR.F Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 5.41 %
BIP.PR.A FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.72
Evaluated at bid price : 23.56
Bid-YTW : 4.96 %
VNR.PR.A FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.13
Bid-YTW : 4.18 %
BMO.PR.C FixedReset 78,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
TRP.PR.D FixedReset 74,966 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.12 %
RY.PR.H FixedReset 74,221 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 3.96 %
RY.PR.Z FixedReset 68,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 3.92 %
BAM.PF.H FixedReset 46,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.58 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Quote: 26.01 – 26.47
Spot Rate : 0.4600
Average : 0.3253

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.42 %

PVS.PR.D SplitShare Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.3413

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.08 %

BNS.PR.H FixedReset Quote: 26.21 – 26.49
Spot Rate : 0.2800
Average : 0.1827

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.94 %

HSE.PR.C FixedReset Quote: 23.06 – 23.33
Spot Rate : 0.2700
Average : 0.1968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.06
Bid-YTW : 4.70 %

GWO.PR.N FixedReset Quote: 15.90 – 16.15
Spot Rate : 0.2500
Average : 0.1808

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.87 %

PWF.PR.K Perpetual-Discount Quote: 24.11 – 24.35
Spot Rate : 0.2400
Average : 0.1769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.20 %

March 23, 2017

March 23rd, 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 0.00 % 0.00 % 0 0.00 0 0.5106 % 2,059.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5106 % 3,779.8
Floater 3.69 % 3.83 % 50,101 17.78 4 0.5106 % 2,178.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0588 % 3,013.6
SplitShare 4.94 % 4.01 % 62,641 0.70 6 0.0588 % 3,598.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0588 % 2,808.0
Perpetual-Premium 5.36 % 1.78 % 69,948 0.09 20 -0.0450 % 2,747.7
Perpetual-Discount 5.17 % 5.21 % 96,563 15.06 16 0.0928 % 2,920.6
FixedReset 4.44 % 4.18 % 245,522 6.66 94 0.2456 % 2,324.6
Deemed-Retractible 5.05 % 2.61 % 139,179 0.17 31 0.0994 % 2,853.2
FloatingReset 2.49 % 3.28 % 57,135 4.58 9 0.0848 % 2,496.4
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.98 %
PWF.PR.S Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 23.27
Evaluated at bid price : 23.72
Bid-YTW : 5.11 %
MFC.PR.M FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 5.89 %
BAM.PR.C Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.84 %
IFC.PR.C FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.58 %
HSE.PR.A FixedReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset 160,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 4.19 %
BMO.PR.C FixedReset 131,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
BMO.PR.T FixedReset 94,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 21.58
Evaluated at bid price : 21.98
Bid-YTW : 3.97 %
RY.PR.H FixedReset 64,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 3.96 %
BAM.PR.X FixedReset 57,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 4.64 %
BAM.PR.N Perpetual-Discount 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.35
Evaluated at bid price : 22.62
Bid-YTW : 5.26 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.D SplitShare Quote: 25.35 – 25.70
Spot Rate : 0.3500
Average : 0.2222

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.23 %

RY.PR.M FixedReset Quote: 22.91 – 23.28
Spot Rate : 0.3700
Average : 0.2518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.32
Evaluated at bid price : 22.91
Bid-YTW : 4.11 %

BNS.PR.R FixedReset Quote: 24.53 – 24.82
Spot Rate : 0.2900
Average : 0.1740

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 3.91 %

MFC.PR.K FixedReset Quote: 20.90 – 21.23
Spot Rate : 0.3300
Average : 0.2201

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.19 %

BAM.PR.K Floater Quote: 12.26 – 12.61
Spot Rate : 0.3500
Average : 0.2404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %

MFC.PR.L FixedReset Quote: 20.89 – 21.21
Spot Rate : 0.3200
Average : 0.2134

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.89
Bid-YTW : 6.23 %

March 22, 2017

March 22nd, 2017

Profits from High Frequency Trading are getting harder to come by:

Revenues at HFT firms from U.S. equities trading were an estimated $1.1 billion last year, down from $7.2 billion in 2009, according to research firm Tabb Group.

Such strategies are more successful when markets are volatile, because big price swings offer traders more opportunities to capture profits. But volatility has come down drastically since the years just after the global financial crisis. The CBOE Volatility Index, or VIX, a measure of U.S. stock market volatility, has averaged just 11.6 so far this year, down from 24.2 in 2011, according to the WSJ Market Data Group.

It is an expensive arms race. When many high-speed traders got their start in the 2000s, the leading technology for transmitting data was fiber-optic cable.

But starting in 2010, the speediest firms began to use microwave networks, shaving milliseconds off the time it takes to transmit information on routes such as the Chicago-New York corridor. Upgrading to microwave networks—and later millimeter-wave and laser technology—added to the costs, traders say. All this hurt HFT firms’ bottom lines just as slumping volatility was eroding their top-line revenues.

HFT firms also grumble about mounting costs for the market data they buy from operators like the New York Stock Exchange and Nasdaq Inc., as well as for co-location, the practice of putting a computer server directly in the exchange’s data center to cut down the time it takes to execute trades.

PerpetualDiscounts now yield 5.21%, equivalent to 6.77% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 270bp, a significant widening from the 260bp reported March 15.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.8315 % 2,049.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8315 % 3,760.6
Floater 3.71 % 3.85 % 51,846 17.75 4 -1.8315 % 2,167.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0457 % 3,011.9
SplitShare 4.94 % 4.00 % 63,484 0.70 6 -0.0457 % 3,596.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0457 % 2,806.4
Perpetual-Premium 5.35 % 4.67 % 70,595 0.09 20 -0.0376 % 2,749.0
Perpetual-Discount 5.18 % 5.21 % 95,994 15.06 16 -0.3558 % 2,917.9
FixedReset 4.45 % 4.20 % 246,848 6.66 94 -0.7144 % 2,318.9
Deemed-Retractible 5.06 % 2.95 % 140,857 0.18 31 -0.3130 % 2,850.3
FloatingReset 2.49 % 3.27 % 52,890 4.58 9 -0.1006 % 2,494.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.33 %
MFC.PR.M FixedReset -2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 6.07 %
SLF.PR.H FixedReset -2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.61 %
MFC.PR.N FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.06 %
IAG.PR.G FixedReset -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 5.57 %
CU.PR.C FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.21 %
MFC.PR.I FixedReset -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.54
Bid-YTW : 5.67 %
PWF.PR.S Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.17 %
MFC.PR.K FixedReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 6.24 %
MFC.PR.G FixedReset -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.36 %
SLF.PR.G FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.18
Bid-YTW : 8.76 %
PWF.PR.T FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.34
Evaluated at bid price : 22.67
Bid-YTW : 4.02 %
HSE.PR.A FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 4.53 %
MFC.PR.L FixedReset -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.79
Bid-YTW : 6.30 %
BAM.PR.B Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 3.86 %
RY.PR.J FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.42
Evaluated at bid price : 23.01
Bid-YTW : 4.21 %
MFC.PR.F FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.40
Bid-YTW : 9.39 %
SLF.PR.I FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 5.37 %
TD.PF.B FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.01 %
BMO.PR.S FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 4.03 %
IFC.PR.C FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
RY.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.36
Evaluated at bid price : 22.99
Bid-YTW : 4.09 %
TD.PF.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 3.99 %
CU.PR.I FixedReset -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.26 %
BNS.PR.Y FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 4.27 %
BAM.PR.C Floater -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.14
Evaluated at bid price : 12.14
Bid-YTW : 3.89 %
BIP.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.50
Evaluated at bid price : 23.15
Bid-YTW : 5.06 %
MFC.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.50 %
BAM.PR.K Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
MFC.PR.H FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.91 %
VNR.PR.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.86 %
POW.PR.D Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.H FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.97 %
RY.PR.Z FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.92 %
IAG.PR.A Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 278,289 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.33 %
TD.PF.G FixedReset 115,567 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 3.66 %
IAG.PR.G FixedReset 92,662 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 5.57 %
POW.PR.D Perpetual-Discount 53,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.I FixedReset 41,883 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 3.83 %
BNS.PR.P FixedReset 41,627 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.61 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Quote: 16.18 – 16.73
Spot Rate : 0.5500
Average : 0.3483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.18
Bid-YTW : 8.76 %

PWF.PR.A Floater Quote: 14.30 – 15.00
Spot Rate : 0.7000
Average : 0.5048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.33 %

IFC.PR.C FixedReset Quote: 21.50 – 21.79
Spot Rate : 0.2900
Average : 0.1880

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %

GWO.PR.S Deemed-Retractible Quote: 25.10 – 25.38
Spot Rate : 0.2800
Average : 0.1792

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.20 %

SLF.PR.H FixedReset Quote: 19.61 – 19.94
Spot Rate : 0.3300
Average : 0.2319

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.61 %

PWF.PR.S Perpetual-Discount Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.17 %

BAM.PR.T : No Conversion to FloatingReset

March 22nd, 2017

Brookfield Asset Management Inc. has announced:

that after having taken into account all election notices received by the March 16, 2017 deadline for the conversion of the Cumulative Class A Preference Shares, Series 26 (the “Series 26 Shares”) (TSX: BAM.PR.T) into Cumulative Class A Preference Shares, Series 27 (the “Series 27 Shares”), the holders of Series 26 Shares are not entitled to convert their Series 26 Shares into Series 27 Shares. There were 183,036 Series 26 Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series 27 Shares.

Assiduous Readers will remember that I recommended against conversion after the reset to 3.471% for BAM.PR.T.

So BAM.PR.T is now a FixedReset, 3.471%+231. It is tracked by HIMIPref™ and is assigned to the FixedReset subindex.

March 21, 2017

March 21st, 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 0.00 % 0.00 % 0 0.00 0 -0.2692 % 2,087.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2692 % 3,830.7
Floater 3.64 % 3.80 % 51,581 17.85 4 -0.2692 % 2,207.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1374 % 3,013.2
SplitShare 4.94 % 3.98 % 60,313 0.71 6 0.1374 % 3,598.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1374 % 2,807.6
Perpetual-Premium 5.34 % 2.55 % 72,423 0.09 20 0.1171 % 2,750.0
Perpetual-Discount 5.16 % 5.18 % 95,998 15.09 16 0.1190 % 2,928.3
FixedReset 4.42 % 4.15 % 246,252 6.69 94 -0.1770 % 2,335.6
Deemed-Retractible 5.04 % 2.33 % 138,909 0.11 31 0.1018 % 2,859.3
FloatingReset 2.49 % 3.27 % 53,233 4.58 9 -0.1058 % 2,496.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.47
Bid-YTW : 8.50 %
PWF.PR.A Floater -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.23 %
HSE.PR.A FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 81,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.31 %
GWO.PR.I Deemed-Retractible 59,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.33
Bid-YTW : 6.25 %
BAM.PF.F FixedReset 56,082 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 22.98
Evaluated at bid price : 23.85
Bid-YTW : 4.26 %
TD.PF.H FixedReset 53,007 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.89 %
PVS.PR.B SplitShare 52,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.19 %
BMO.PR.R FloatingReset 51,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 3.12 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.M FixedReset Quote: 24.52 – 24.77
Spot Rate : 0.2500
Average : 0.1534

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.50 %

HSE.PR.A FixedReset Quote: 15.83 – 16.12
Spot Rate : 0.2900
Average : 0.2060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.46 %

MFC.PR.C Deemed-Retractible Quote: 22.24 – 22.51
Spot Rate : 0.2700
Average : 0.1944

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 6.34 %

BAM.PF.E FixedReset Quote: 22.09 – 22.29
Spot Rate : 0.2000
Average : 0.1288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 21.82
Evaluated at bid price : 22.09
Bid-YTW : 4.35 %

PWF.PR.A Floater Quote: 14.75 – 15.10
Spot Rate : 0.3500
Average : 0.2907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.23 %

BAM.PF.G FixedReset Quote: 23.99 – 24.23
Spot Rate : 0.2400
Average : 0.1834

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-21
Maturity Price : 22.93
Evaluated at bid price : 23.99
Bid-YTW : 4.22 %

BPO.PR.P : No Conversion to FloatingReset

March 21st, 2017

Brookfield Office Properties Inc. has announced:

that after having taken into account all election notices following the March 16, 2017 conversion deadline for the Class AAA Preference Shares, Series P (the “Series P Shares”) (TSX: BPO.PR.P) tendered for conversion into Class AAA Preference Shares, Series Q (the “Series Q Shares”), the holders of Series P Shares are not entitled to convert their Series P Shares into Series Q Shares. There were 488,396 Series P Shares tendered for conversion, which is less than the 1,000,000 shares required to give effect to conversions into Series Q Shares.

The Series P Shares will pay on a quarterly basis, for the five-year period beginning on April 1, 2017, as and when declared by the board of directors of Brookfield, a fixed dividend based on an annual dividend rate of 4.161% per annum (C$0.260063 per share per quarter).

Assiduous Readers will remember that I recommended against conversion after the reset to 4.161% for BPO.PR.P.

So BPO.PR.P is now a FixedReset, 4.161%+300. It is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

March 20, 2017

March 20th, 2017

There’s a new investment structure testing the waters … interval funds are an attempt to bridge the liquidity gap between investors and illiquid underlying investments:

Most of these portfolios are so-called interval funds, a quirky structure offered through financial advisers that allows investors to buy daily but sell only once per quarter. ​

Fees are stiff, generally running at least 2.5% annually.​

Such interval funds offer to buy shares back from investors at predetermined dates and amounts — typically at least 5% of their shares four times a year. The idea is to offer enough liquidity for investors to get some of their money back over time, but not enough for them to yank it all back at one time.

And how these funds value their shares, in the absence of a public market for much of their assets, is a departure from the traditional techniques of mutual funds.

These portfolios rely on quarterly valuations by appraisers provided by the property pools they invest in.

But most of the interval funds are younger; several are too new to have weathered the storm of 2007-2009.

They use different techniques to bridge the awkward gap between quarterly appraisals on the underlying private properties and daily valuations of the funds’ shares.

Mr. Kamfar of Bluerock says his fund uses internal models and “daily observable inputs” to estimate interim values. Bluerock then reviews the daily pricing after actual valuations come in at quarter end. Mr. Kamfar says approximately 90% of the time, any adjustments are no more than one penny per share.

John Snowden, portfolio manager of the $230 million Resource Real Estate Diversified Income Fund, says the fund takes the forecast of the coming month’s pricing on commercial property as estimated by Green Street Advisors, a research firm, and divides it by the number of days in the month. The resulting number is added or subtracted to the fund’s daily net asset value. The share price is later adjusted as appropriate when actual values become available. Any adjustments rarely exceed a fraction of a percent, says Mr. Snowden.

Such pricing techniques might hold up fine in a downturn, but we won’t know for certain until one hits.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3258 % 2,093.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3258 % 3,841.1
Floater 3.63 % 3.80 % 51,727 17.87 4 -0.3258 % 2,213.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2740 % 3,009.1
SplitShare 4.95 % 3.97 % 60,884 0.71 6 -0.2740 % 3,593.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2740 % 2,803.8
Perpetual-Premium 5.34 % 4.60 % 71,937 0.09 20 0.1251 % 2,746.8
Perpetual-Discount 5.16 % 5.19 % 95,114 15.05 16 -0.0291 % 2,924.8
FixedReset 4.41 % 4.11 % 254,504 6.69 94 -0.2309 % 2,339.7
Deemed-Retractible 5.04 % 3.64 % 140,958 0.18 31 -0.0634 % 2,856.4
FloatingReset 2.48 % 3.27 % 50,776 4.59 9 -0.0898 % 2,499.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.71
Bid-YTW : 8.28 %
GRP.PR.A SplitShare -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -9.44 %
GWO.PR.N FixedReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.02
Bid-YTW : 8.74 %
TRP.PR.C FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.F FixedReset 108,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 22.98
Evaluated at bid price : 23.85
Bid-YTW : 4.26 %
RY.PR.I FixedReset 104,143 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.80 %
TRP.PR.K FixedReset 82,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.31 %
MFC.PR.N FixedReset 52,130 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.94
Bid-YTW : 5.59 %
BMO.PR.R FloatingReset 51,475 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 3.08 %
GWO.PR.L Deemed-Retractible 42,756 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.50
Evaluated at bid price : 25.77
Bid-YTW : -9.29 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.33 – 12.64
Spot Rate : 0.3100
Average : 0.2000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 12.33
Evaluated at bid price : 12.33
Bid-YTW : 3.83 %

BAM.PR.C Floater Quote: 12.30 – 12.58
Spot Rate : 0.2800
Average : 0.1920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.84 %

IGM.PR.B Perpetual-Premium Quote: 25.90 – 26.10
Spot Rate : 0.2000
Average : 0.1199

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : -4.15 %

BAM.PR.B Floater Quote: 12.43 – 12.71
Spot Rate : 0.2800
Average : 0.2099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 3.80 %

GRP.PR.A SplitShare Quote: 25.61 – 26.10
Spot Rate : 0.4900
Average : 0.4230

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -9.44 %

TRP.PR.F FloatingReset Quote: 18.63 – 18.84
Spot Rate : 0.2100
Average : 0.1433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-20
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 3.24 %

BCE.PR.O: No Conversion to FloatingReset

March 17th, 2017

BCE Inc. has announced:

that none of its fixed-rate Cumulative Redeemable First Preferred Shares, Series AO (Series AO Preferred Shares) will be converted into floating-rate Cumulative Redeemable First Preferred Shares, Series AP (Series AP Preferred Shares) on March 31, 2017.

On March 1, 2017, BCE notified holders of Series AO Preferred Shares that they could elect to convert their shares into Series AP Preferred Shares subject to the terms and conditions attached to those shares. Only 104,631 of BCE’s 4,600,000 Series AO Preferred Shares were tendered for conversion on March 31, 2017 into Series AP Preferred Shares. As this would result in there being less than one million Series AP Preferred Shares outstanding, no Series AO Preferred Shares will, as per the terms and conditions attached to those shares, be converted on March 31, 2017 into Series AP Preferred Shares.

The Series AO Preferred Shares will continue to be listed on the Toronto Stock Exchange under the symbol BCE.PR.O. The Series AO Preferred Shares will pay on a quarterly basis, for the 5-year period beginning on March 31, 2017, as and when declared by the Board of Directors of BCE, a fixed quarterly cash dividend based on an annual dividend rate of 4.260%.

Assiduous Readers will remember that I recommended against conversion after the reset to 4.26% for BCE.PR.O.