November 22, 2017

November 22nd, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a slight (and perhaps spurious) narrowing from the 305bp reported November 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 0.0876 % 2,458.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0876 % 4,511.1
Floater 3.68 % 3.90 % 98,567 17.57 3 0.0876 % 2,599.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0593 % 3,114.1
SplitShare 4.74 % 4.52 % 66,104 4.33 6 0.0593 % 3,718.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0593 % 2,901.7
Perpetual-Premium 5.34 % 2.46 % 44,925 0.11 20 0.1275 % 2,843.3
Perpetual-Discount 5.19 % 5.23 % 64,539 15.04 15 0.0734 % 3,024.8
FixedReset 4.21 % 4.19 % 155,101 4.41 98 0.1274 % 2,508.4
Deemed-Retractible 5.01 % 5.28 % 88,488 5.91 30 0.1625 % 2,948.4
FloatingReset 2.70 % 2.74 % 43,079 3.96 8 0.1463 % 2,690.1
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %
MFC.PR.B Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 6.06 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 466,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %
RY.PR.Q FixedReset 289,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.20 %
TRP.PR.J FixedReset 257,205 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 3.45 %
TD.PF.G FixedReset 187,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.14 %
NA.PR.A FixedReset 178,206 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 3.29 %
SLF.PR.H FixedReset 76,912 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.11 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 24.00 – 24.40
Spot Rate : 0.4000
Average : 0.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %

MFC.PR.R FixedReset Quote: 26.18 – 26.39
Spot Rate : 0.2100
Average : 0.1517

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.59 %

BMO.PR.Y FixedReset Quote: 24.79 – 25.00
Spot Rate : 0.2100
Average : 0.1523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %

CU.PR.I FixedReset Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1956

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.08 %

RY.PR.A Deemed-Retractible Quote: 25.42 – 25.58
Spot Rate : 0.1600
Average : 0.1106

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-22
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -15.50 %

BAM.PF.J FixedReset Quote: 25.88 – 26.15
Spot Rate : 0.2700
Average : 0.2217

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.20 %

BCE.PR.Z / BCE.PR.Y : Net 7% Conversion to BCE.PR.Z

November 21st, 2017

BCE Inc. has announced:

that 585,184 of its 1,227,532 fixed-rate Cumulative Redeemable First Preferred Shares, Series Z (“Series Z Preferred Shares”) have been tendered for conversion on December 1, 2017, on a one-for-one basis, into floating-rate Cumulative Redeemable First Preferred Shares, Series Y (“Series Y Preferred Shares”). In addition, 1,276,161 of its 8,772,468 Series Y Preferred Shares have been tendered for conversion on December 1, 2017, on a one-for-one basis, into Series Z Preferred Shares. Consequently, on December 1, 2017, BCE will have 1,918,509 Series Z Preferred Shares and 8,081,491 Series Y Preferred Shares issued and outstanding. The Series Z Preferred Shares and the Series Y Preferred Shares will continue to be listed on the Toronto Stock Exchange under the symbols BCE.PR.Z and BCE.PR.Y, respectively.

The Series Z Preferred Shares will pay on a quarterly basis, for the five-year period beginning on December 1, 2017, as and when declared by the Board of Directors of BCE, a fixed cash dividend based on an annual fixed dividend rate of 3.904%.

The Series Y Preferred Shares will continue to pay a monthly floating adjustable cash dividend for the five-year period beginning on December 1, 2017, as and when declared by the Board of Directors of BCE. The monthly floating adjustable dividend for any particular month will continue to be calculated based on the prime rate for such month and using the Designated Percentage for such month representing the sum of an adjustment factor (based on the market price of the Series Y Preferred Shares in the preceding month) and the Designated Percentage for the preceding month.

It will be recalled that after the conversion notice was sent, I recommended holding or converting to BCE.PR.Y; afterwards, it was announced that BCE.PR.Z will reset to 3.904% until the next interconversion date on 2022-12-1.

November 21, 2017

November 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 0.4843 % 2,456.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4843 % 4,507.2
Floater 3.68 % 3.90 % 97,362 17.57 3 0.4843 % 2,597.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4971 % 3,112.3
SplitShare 4.74 % 4.53 % 50,368 4.33 6 0.4971 % 3,716.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4971 % 2,899.9
Perpetual-Premium 5.35 % 1.78 % 44,224 0.11 20 0.0451 % 2,839.6
Perpetual-Discount 5.20 % 5.22 % 66,720 15.08 15 0.3398 % 3,022.6
FixedReset 4.22 % 4.20 % 151,634 4.35 98 0.2440 % 2,505.2
Deemed-Retractible 5.02 % 5.31 % 88,261 5.92 30 0.0437 % 2,943.7
FloatingReset 2.70 % 2.76 % 43,378 3.96 8 0.0922 % 2,686.2
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.30 %
TRP.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.09
Evaluated at bid price : 24.26
Bid-YTW : 4.58 %
BAM.PR.X FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.60 %
PVS.PR.F SplitShare 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.59 %
BAM.PF.D Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 22.66
Evaluated at bid price : 23.01
Bid-YTW : 5.39 %
MFC.PR.N FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 4.76 %
VNR.PR.A FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 4.62 %
TD.PF.D FixedReset 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 4.27 %
PWF.PR.A Floater 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset 130,775 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 4.27 %
BNS.PR.H FixedReset 118,127 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.34 %
BAM.PF.B FixedReset 78,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.67
Evaluated at bid price : 24.10
Bid-YTW : 4.49 %
MFC.PR.N FixedReset 68,771 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 4.76 %
MFC.PR.M FixedReset 51,227 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.54
Bid-YTW : 4.94 %
IFC.PR.F Deemed-Retractible 40,417 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.34 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 17.57 – 18.09
Spot Rate : 0.5200
Average : 0.3663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.64 %

IFC.PR.C FixedReset Quote: 23.50 – 23.85
Spot Rate : 0.3500
Average : 0.2325

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 4.88 %

MFC.PR.B Deemed-Retractible Quote: 22.61 – 22.90
Spot Rate : 0.2900
Average : 0.1970

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.30 %

MFC.PR.K FixedReset Quote: 23.09 – 23.45
Spot Rate : 0.3600
Average : 0.2686

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.09
Bid-YTW : 5.14 %

RY.PR.M FixedReset Quote: 24.34 – 24.63
Spot Rate : 0.2900
Average : 0.2042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.12
Evaluated at bid price : 24.34
Bid-YTW : 4.23 %

POW.PR.A Perpetual-Premium Quote: 25.40 – 25.69
Spot Rate : 0.2900
Average : 0.2074

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-21
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -6.77 %

November 20, 2017

November 20th, 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 -0.8512 % 2,444.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8512 % 4,485.4
Floater 3.70 % 3.90 % 97,703 17.58 3 -0.8512 % 2,585.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0523 % 3,096.9
SplitShare 4.71 % 4.64 % 46,635 4.28 6 -0.0523 % 3,698.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0523 % 2,885.6
Perpetual-Premium 5.35 % 3.55 % 55,610 0.12 20 0.0393 % 2,838.4
Perpetual-Discount 5.21 % 5.25 % 67,306 15.03 15 0.1816 % 3,012.3
FixedReset 4.23 % 4.21 % 152,001 4.41 98 0.2179 % 2,499.1
Deemed-Retractible 5.02 % 5.38 % 87,932 5.92 30 0.2314 % 2,942.4
FloatingReset 2.71 % 2.75 % 42,239 3.97 8 -0.0379 % 2,683.7
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.41 %
TD.PF.D FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 4.42 %
MFC.PR.F FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.64 %
PWF.PR.P FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.31 %
GWO.PR.R Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.69 %
W.PR.M FixedReset 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.49 %
MFC.PR.K FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 189,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.43 %
BAM.PF.J FixedReset 84,223 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.22 %
TD.PF.E FixedReset 78,522 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.01 %
RY.PR.J FixedReset 78,492 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.26 %
MFC.PR.O FixedReset 53,086 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.37 %
PWF.PR.Z Perpetual-Discount 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 24.38
Evaluated at bid price : 24.77
Bid-YTW : 5.23 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 24.00 – 24.98
Spot Rate : 0.9800
Average : 0.6347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 22.97
Evaluated at bid price : 24.00
Bid-YTW : 4.63 %

PWF.PR.A Floater Quote: 16.50 – 16.94
Spot Rate : 0.4400
Average : 0.2777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.41 %

GWO.PR.S Deemed-Retractible Quote: 25.22 – 25.65
Spot Rate : 0.4300
Average : 0.2697

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.26 %

TD.PF.D FixedReset Quote: 24.30 – 24.72
Spot Rate : 0.4200
Average : 0.2737

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 4.42 %

TRP.PR.F FloatingReset Quote: 19.81 – 20.19
Spot Rate : 0.3800
Average : 0.2777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 3.55 %

MFC.PR.J FixedReset Quote: 24.41 – 24.73
Spot Rate : 0.3200
Average : 0.2323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 4.63 %

November 17, 2017

November 17th, 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 -0.2829 % 2,465.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2829 % 4,524.0
Floater 3.67 % 3.91 % 96,700 17.57 3 -0.2829 % 2,607.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0982 % 3,098.5
SplitShare 4.71 % 4.67 % 48,463 4.29 6 0.0982 % 3,700.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0982 % 2,887.1
Perpetual-Premium 5.35 % 4.68 % 55,309 2.23 20 0.0924 % 2,837.2
Perpetual-Discount 5.22 % 5.25 % 67,770 15.05 15 0.1477 % 3,006.9
FixedReset 4.23 % 4.23 % 151,459 4.31 98 0.0421 % 2,493.6
Deemed-Retractible 5.03 % 5.38 % 88,741 5.93 30 0.1178 % 2,935.6
FloatingReset 2.78 % 2.83 % 41,374 3.97 8 0.0217 % 2,684.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %
BMO.PR.T FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 22.78
Evaluated at bid price : 23.15
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 414,067 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.37 %
TD.PF.G FixedReset 194,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.46 %
HSB.PR.D Deemed-Retractible 88,869 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.82 %
BAM.PF.I FixedReset 83,876 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.80 %
RY.PR.C Deemed-Retractible 71,430 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -10.70 %
BAM.PR.R FixedReset 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.69 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 23.55 – 24.11
Spot Rate : 0.5600
Average : 0.4352

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.09 %

W.PR.M FixedReset Quote: 26.40 – 26.75
Spot Rate : 0.3500
Average : 0.2269

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.80 %

MFC.PR.H FixedReset Quote: 25.36 – 25.78
Spot Rate : 0.4200
Average : 0.3002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.65 %

W.PR.K FixedReset Quote: 26.04 – 26.50
Spot Rate : 0.4600
Average : 0.3488

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.02 %

MFC.PR.F FixedReset Quote: 18.05 – 18.35
Spot Rate : 0.3000
Average : 0.1986

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %

MFC.PR.G FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2612

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.46 %

November 16, 2017

November 16th, 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 0.4372 % 2,472.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4372 % 4,536.8
Floater 3.66 % 3.91 % 97,573 17.56 3 0.4372 % 2,614.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1245 % 3,095.5
SplitShare 4.71 % 4.69 % 50,462 4.29 6 0.1245 % 3,696.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1245 % 2,884.3
Perpetual-Premium 5.36 % 4.69 % 44,793 2.24 20 0.0236 % 2,834.6
Perpetual-Discount 5.23 % 5.26 % 70,555 15.02 15 0.0654 % 3,002.4
FixedReset 4.23 % 4.22 % 145,257 4.31 99 0.1650 % 2,492.6
Deemed-Retractible 5.03 % 5.39 % 88,596 5.93 30 -0.0452 % 2,932.1
FloatingReset 2.78 % 2.84 % 42,008 3.97 8 0.2827 % 2,684.1
Performance Highlights
Issue Index Change Notes
BNS.PR.D FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 3.91 %
PWF.PR.A Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.C Deemed-Retractible 404,327 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.91 %
W.PR.M FixedReset 376,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.74 %
HSB.PR.D Deemed-Retractible 114,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.65 %
MFC.PR.O FixedReset 109,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.49 %
BNS.PR.E FixedReset 95,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.21 %
RY.PR.Q FixedReset 87,413 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 3.24 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 24.15 – 24.78
Spot Rate : 0.6300
Average : 0.4271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 23.04
Evaluated at bid price : 24.15
Bid-YTW : 4.66 %

PVS.PR.B SplitShare Quote: 25.35 – 25.87
Spot Rate : 0.5200
Average : 0.3237

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.87 %

NA.PR.W FixedReset Quote: 22.67 – 22.99
Spot Rate : 0.3200
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 22.32
Evaluated at bid price : 22.67
Bid-YTW : 4.32 %

HSE.PR.C FixedReset Quote: 24.52 – 24.80
Spot Rate : 0.2800
Average : 0.1898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 23.37
Evaluated at bid price : 24.52
Bid-YTW : 4.85 %

GWO.PR.I Deemed-Retractible Quote: 22.31 – 22.65
Spot Rate : 0.3400
Average : 0.2603

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 6.53 %

BMO.PR.T FixedReset Quote: 22.88 – 23.18
Spot Rate : 0.3000
Average : 0.2409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 22.52
Evaluated at bid price : 22.88
Bid-YTW : 4.26 %

DGS.PR.A To Get Bigger

November 16th, 2017

Brompton Group has announced:

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 for this overnight offering will end at 9:00 a.m. (ET) tomorrow, November 17, 2017. The offering is expected to close on or about November 29, 2017 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (“TSX”).

The class A shares will be offered at a price of $8.00 for a distribution rate of 15% on the issue price, and the preferred shares will be offered at a price of $10.00 for a yield to maturity of 5.9%. The closing price on the TSX for each of the class A and preferred shares on November 15, 2017 was $8.16 and $10.15, 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 November 15, 2017), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

The Company invests in a portfolio of common shares of high quality, large capitalization companies, which have among the highest dividend growth rates of those companies included in the S&P/TSX Composite Index. Currently, the portfolio consists of common shares of the following 20 companies:

Great-West Lifeco Inc. The Bank of Nova Scotia CI Financial 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).

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

So the Whole Units are being offered at a price of $18.00, versus a NAVPU of 17.38 as of November 9. The premium of 3.6% isn’t the fattest we’ve seen recently, but it’s still a nice business to be in!

Update, 2017-11-17: The offering was successful:

Dividend Growth Split Corp. (the “Company”) is pleased to announce a successful overnight treasury offering of class A and preferred shares. Gross proceeds of the offering are expected to be approximately $76 million. The offering is expected to close on or about November 29, 2017 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (the “TSX”). The Company has granted the Agents (as defined below) an over-allotment option, exercisable for 30 days following the closing date of the offering, to purchase up to an additional 15% of the number of class A and preferred shares issued at the closing of the offering.

November 15, 2017

November 16th, 2017

PerpetualDiscounts now yield 5.26%, equivalent to 6.84% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, unchanged from November 8.

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 0.9711 % 2,461.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9711 % 4,517.0
Floater 3.67 % 3.90 % 99,104 17.59 3 0.9711 % 2,603.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2679 % 3,091.6
SplitShare 4.72 % 4.68 % 52,505 4.29 6 -0.2679 % 3,692.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2679 % 2,880.7
Perpetual-Premium 5.36 % 4.72 % 45,286 0.13 20 -0.0275 % 2,834.0
Perpetual-Discount 5.23 % 5.26 % 73,352 15.03 15 -0.1221 % 3,000.5
FixedReset 4.24 % 4.25 % 144,703 4.47 99 -0.1266 % 2,488.5
Deemed-Retractible 5.03 % 5.38 % 89,615 5.93 30 -0.0287 % 2,933.5
FloatingReset 2.79 % 2.85 % 42,448 3.97 8 -0.0272 % 2,676.6
Performance Highlights
Issue Index Change Notes
PVS.PR.F SplitShare -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %
BIP.PR.A FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 23.13
Evaluated at bid price : 24.20
Bid-YTW : 5.30 %
PWF.PR.A Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.D Deemed-Retractible 747,864 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.49 %
BNS.PR.H FixedReset 632,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.59 %
NA.PR.X FixedReset 103,571 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.61 %
BNS.PR.R FixedReset 101,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.63 %
TD.PF.B FixedReset 81,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 4.22 %
CM.PR.R FixedReset 77,712 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 3.87 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.F SplitShare Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.3011

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %

PWF.PR.O Perpetual-Premium Quote: 25.91 – 26.20
Spot Rate : 0.2900
Average : 0.2034

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-15
Maturity Price : 25.25
Evaluated at bid price : 25.91
Bid-YTW : -21.58 %

NA.PR.X FixedReset Quote: 26.64 – 26.92
Spot Rate : 0.2800
Average : 0.2052

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.61 %

BMO.PR.T FixedReset Quote: 22.95 – 23.20
Spot Rate : 0.2500
Average : 0.1761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 22.59
Evaluated at bid price : 22.95
Bid-YTW : 4.25 %

CU.PR.I FixedReset Quote: 25.85 – 26.23
Spot Rate : 0.3800
Average : 0.3067

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.27 %

BAM.PF.B FixedReset Quote: 23.80 – 24.00
Spot Rate : 0.2000
Average : 0.1341

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 23.35
Evaluated at bid price : 23.80
Bid-YTW : 4.54 %

November 14, 2017

November 14th, 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 -0.1543 % 2,438.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1543 % 4,473.6
Floater 3.71 % 3.93 % 98,093 17.53 3 -0.1543 % 2,578.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3278 % 3,099.9
SplitShare 4.70 % 4.60 % 52,916 4.29 6 0.3278 % 3,702.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3278 % 2,888.4
Perpetual-Premium 5.36 % 2.43 % 45,572 0.09 20 -0.1335 % 2,834.7
Perpetual-Discount 5.23 % 5.24 % 74,234 15.06 15 -0.0114 % 3,004.2
FixedReset 4.23 % 4.22 % 143,729 4.44 99 0.0013 % 2,491.6
Deemed-Retractible 5.03 % 5.38 % 90,828 5.94 30 -0.0342 % 2,934.3
FloatingReset 2.79 % 2.82 % 42,457 3.98 8 -0.0489 % 2,677.3
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 22.95
Evaluated at bid price : 23.75
Bid-YTW : 4.47 %
PVS.PR.F SplitShare 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.60 %
TRP.PR.G FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 23.06
Evaluated at bid price : 24.21
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.D Deemed-Retractible 194,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-14
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.32 %
BNS.PR.R FixedReset 104,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.59 %
NA.PR.A FixedReset 101,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.44 %
IFC.PR.F Deemed-Retractible 48,401 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.49 %
GWO.PR.L Deemed-Retractible 21,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.81
Bid-YTW : -6.05 %
BNS.PR.A FloatingReset 19,642 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.07 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 19.75 – 20.18
Spot Rate : 0.4300
Average : 0.2848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.65 %

TRP.PR.A FixedReset Quote: 20.35 – 20.69
Spot Rate : 0.3400
Average : 0.2374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.42 %

PWF.PR.T FixedReset Quote: 23.90 – 24.25
Spot Rate : 0.3500
Average : 0.2546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 23.41
Evaluated at bid price : 23.90
Bid-YTW : 4.23 %

GWO.PR.N FixedReset Quote: 18.33 – 18.69
Spot Rate : 0.3600
Average : 0.2680

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 7.49 %

EML.PR.A FixedReset Quote: 26.75 – 27.00
Spot Rate : 0.2500
Average : 0.1626

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.71 %

PWF.PR.F Perpetual-Discount Quote: 24.80 – 25.08
Spot Rate : 0.2800
Average : 0.1958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.33 %

LB.PR.F To Be Redeemed

November 14th, 2017

Laurentian Bank of Canada has announced:

that it will redeem, on December 15, 2017, all of its Non-Cumulative Class A Preferred Shares Series 11 then outstanding. Such preferred shares will be redeemed at a redemption price of $25.00 per share, together with any declared and unpaid dividends.

Beneficial holders who are not the registered holders of these shares should contact the financial institution, broker or other intermediary through which they hold such shares to confirm how they will receive the redemption proceeds. Formal notices and instructions for the redemption will be forwarded to all registered shareholders.

I love that “all registered shareholders” crap. I don’t know, frankly, whether this is mumbo-jumbo forced on them by idiot regulators or whether they simply see no point in being straightforward with their investors, but as stated in the prospectus supplement for this issue (SEDAR, search for “LAURENTIAN BANK OF CANADA Oct 11 2012 19:47:26 ET Prospectus supplement – English PDF 227 K”, our beloved regulators will not permit me to link directly to this public document; probably because you’re all common investor scum and not important civil servants):

On the closing of this offering, which is expected to be on or about October 18, 2012, the aggregate number of Preferred Shares Series 11 distributed hereunder will be delivered to CDS Clearing and Depository Services Inc. (“CDS”) or its nominee in the form of an electronic deposit in accordance with the non-certificated inventory system maintained by CDS. A purchaser of Preferred Shares Series 11 will receive only a customer confirmation from the registered dealer who is a CDS participant and from or through whom the Preferred Shares Series 11 are purchased.

So there is only one registered shareholder.

LB.PR.F is a FixedReset, 4.00%+260, that commenced trading 2012-10-18 after being announced 2012-10-11. This was actually a somewhat interesting issue, because it was issued without an NVCC clause despite the fact that the NVCC rules had been announced; so it has had a “Deemed Retraction” entry in its call schedule since the first day of trading.