Archive for August, 2018

AX.PR.E To Reset To 5.472%

Friday, August 31st, 2018

Artis Real Estate Investment Trust has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Preferred Units, Series E (“Series E Units”) (AX.PR.E) on September 30, 2018.

As a result, and subject to certain conditions set forth in the certificate of preferred units terms relating to the Series E Units dated effective March 21, 2013 (the “Certificate of Series E Unit Terms”), the holders of Series E Units will have the right to elect to reclassify all or any of their Series E Units into Preferred Units, Series F (“Series F Units”) of Artis on the basis of one Series F Unit for each Series E Unit on September 30, 2018.

With respect to any Series E Units that remain outstanding after September 30, 2018, holders thereof will be entitled to receive distributions, if, as and when declared by the Board of Trustees of Artis, in an annual amount per Series E Unit determined by multiplying the Annual Fixed Distribution Rate for such subsequent fixed rate period by $25.00, and shall be payable quarterly on the last business day of each of March, June, September and December in each year during such subsequent fixed rate period. For the initial subsequent fixed rate period commencing on October 1, 2018, the Annual Fixed Distribution Rate is 5.472% per annum.

With respect to any Series F Units that may be issued on September 30, 2018, holders thereof will be entitled to receive distributions, if, as and when declared by the Board of Trustees of Artis, in an amount per Series F Unit determined by multiplying the Floating Quarterly Distribution Rate (calculated on the basis of the actual number of days elapsed in such quarterly floating rate period, divided by 365) by $25.00, which shall be payable quarterly on the last business day of such quarterly floating rate period. For the initial quarterly floating rate period commencing October 1, 2018, the Floating Quarterly Distribution Rate is 4.809% per annum.

As provided in the Certificate of Series E Unit Terms: (i) if Artis determines that there would remain outstanding on September 30, 2018 less than 500,000 Series E Units, all remaining Series E Units shall be reclassified automatically into Series F Units on a one-for-one basis, effective September 30, 2018; or (ii) if Artis determines that less than 500,000 Series F Units would be issued based upon the elections of holders, then holders of Series E Units shall not be entitled to reclassify their Series E Units into Series F Units.

As at the date hereof, there are an aggregate of 4,000,000 Series E Units issued and outstanding.

The Series E Units are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (each, a “CDS Participant”). All rights of holders of Series E Units must be exercised through CDS or the CDS Participant through which the Series E Units are held. The deadline for the registered holder of Series E Units to provide notice of exercise of the right to reclassify Series E Units into Series F Units is 5:00 p.m. (Toronto time) on September 17, 2018. Any notices received after this deadline will not be valid. As such, holders of Series E Units who wish to exercise their right to reclassify their Series E Units into Series F Units should contact their broker or intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

If Artis does not receive an election notice from a holder of Series E Units during the time fixed therefor, then the Series E Units shall be deemed not to have been reclassified (other than pursuant to an automatic reclassification). Holders of Series E Units and Series F Units will have the opportunity to reclassify their units again on September 30, 2023, and every five years thereafter as long as such units remain outstanding.

The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series F Units effective upon reclassification. Listing of the Series F Units is subject to Artis fulfilling all the listing requirements of the TSX.

AX.PR.E is a FixedReset, 4.75%+330, that commenced trading 2013-3-31 after being announced 2013-3-12. It must be remembered that these are not actually preferred shares, as the term is usually used; they are preferred units and the distributions will be characterized in the same manner as distributions to the Capital units. The company publishes the characterization of the distributions on its website. Because of the company’s structure, conversion between the FixedReset and FloatingReset is probably (!) a taxable event; i.e., investors will take a capital gain or loss for tax purposes on conversion and reset the Adjusted Cost Base on their new position.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., AX.PR.E and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_180831
Click for Big

The market appears to be relatively uninterested in floating rate product; the implied rates until the next interconversion bracket the current 3-month bill rate as the averages for investment-grade and junk issues are at +1.58% and +1.33%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the AX.PR.E FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for AX.PR.E) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.00% 1.50% 1.00%
AX.PR.E 21.31 330bp 21.15 20.67 20.18

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, it seems likely that I will recommend that holders of AX.PR.E continue to hold the issue and not to convert, but I will wait until it’s closer to the September 17 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

August 31, 2018

Friday, August 31st, 2018
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 -0.9155 % 3,070.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9155 % 5,635.0
Floater 3.52 % 3.70 % 42,308 18.01 4 -0.9155 % 3,247.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,230.0
SplitShare 4.60 % 4.47 % 53,513 4.85 5 0.0238 % 3,857.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,009.6
Perpetual-Premium 5.60 % -10.55 % 51,791 0.09 10 0.0668 % 2,921.2
Perpetual-Discount 5.38 % 5.52 % 56,667 14.57 25 -0.0155 % 3,006.6
FixedReset 4.30 % 4.65 % 128,349 3.77 106 -0.0563 % 2,590.9
Deemed-Retractible 5.15 % 5.82 % 64,004 5.42 26 -0.0906 % 2,996.5
FloatingReset 3.50 % 3.64 % 42,172 5.71 6 0.0542 % 2,862.9
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %
BAM.PR.R FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.16 %
MFC.PR.L FixedReset -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.99 %
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 : 24.01
Bid-YTW : 5.00 %
SLF.PR.A Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.96 %
TRP.PR.C FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 5.07 %
BAM.PF.E FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 23.55
Evaluated at bid price : 23.95
Bid-YTW : 5.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Premium 21,573 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.34 %
PWF.PR.R Perpetual-Premium 21,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.22 %
RY.PR.W Perpetual-Discount 19,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.95 %
NA.PR.X FixedReset 18,890 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.83 %
CM.PR.R FixedReset 13,809 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.97 %
IFC.PR.G FixedReset 12,770 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.12 %
There were 1 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 20.04 – 21.04
Spot Rate : 1.0000
Average : 0.6069

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.04
Bid-YTW : 6.74 %

BAM.PR.C Floater Quote: 17.00 – 17.80
Spot Rate : 0.8000
Average : 0.5274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %

BAM.PR.R FixedReset Quote: 21.03 – 21.68
Spot Rate : 0.6500
Average : 0.3913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.16 %

GWO.PR.G Deemed-Retractible Quote: 23.91 – 24.50
Spot Rate : 0.5900
Average : 0.3830

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.99 %

EIT.PR.A SplitShare Quote: 25.18 – 25.59
Spot Rate : 0.4100
Average : 0.2672

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.64 %

MFC.PR.L FixedReset Quote: 22.80 – 23.20
Spot Rate : 0.4000
Average : 0.2592

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.99 %

MFC.PR.K : Convert or Hold?

Friday, August 31st, 2018

It will be recalled that MFC.PR.K will reset at 4.414% effective September 19.

MFC.PR.K is a FixedReset, 3.80%+222, that commenced trading 2013-6-21 after being announced 2013-6-17. The announcement of extension has been previously reported. The issue is tracked by HIMIPref™ and is assigned to the FixedReset subindex. Since it is an insurance holding company issue without a NVCC clause, a Deemed Maturity at par as of 2025-1-31 has been added to the redemption schedule as is my normal practice.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., MFC.PR.K and the FloatingReset, MFC.PR.S, that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_180830
Click for Big

The market appears to be relatively uninterested in floating rate product; most of the implied rates until the next interconversion are scattered around the current 3-month bill rate and the averages for investment-grade and junk issues are similar, at +1.58% and +1.29%, respectively – pretty close to the market rate. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the MFC.PR.K FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset MFC.PR.S (received in exchange for MFC.PR.K) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.00% 1.50% 1.00%
MFC.PR.K 22.88 222bp 22.68 22.17 21.67

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, I recommend that holders of MFC.PR.K continue to hold the issue and not to convert.

If you do wish to convert, note that the deadline for notifying the company is 5:00 p.m. (Toronto time) on September 4, 2018. Brokerages and other intermediaries will normally set their internal deadlines a few days prior to this, so if you want to convert don’t waste any time! Such intermediaries may accept instructions after their internal deadline (but prior to the company deadline, of course) if you grovel in a sufficiently entertaining fashion, but this will only be done on a ‘best efforts’ basis.

I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

August 30, 2018

Thursday, August 30th, 2018

Well, we’re moving closer to a surveillance society:

For the past year, select Google advertisers have had access to a potent new tool to track whether the ads they ran online led to a sale at a physical store in the U.S. That insight came thanks in part to a stockpile of Mastercard transactions that Google paid for.

But most of the two billion Mastercard holders aren’t aware of this behind-the-scenes tracking. That’s because the companies never told the public about the arrangement.

I’ve been assuming this was happening already, so I’ve been using my credit cards sparingly for the past while. I’ve recently started using DuckDuckGo as my search engine … it has one of world’s stupider names, but they did attract $10-million in OMERS-led financing:

The Ontario Municipal Employees Retirement System is leading a US$10-million investment in the profitable U.S. firm, which handles about 24 million searches a day and generates more than US$25-million in annual revenue. DuckDuckGo has steadily grown following a rash of disclosures in recent years about how much personal data is harvested online and used by Google, Facebook and the U.S. National Security Agency.

It’s a small but symbolic investment by the pension giant. OMERS Ventures, the pension plan’s venture capital arm, recently stated it believes emerging blockchain technologies will empower a “decentralized web” where users will regain greater control over their own data, potentially disrupting the business models of internet giants that extensively collect and mine user information.

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 0.0539 % 3,099.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0539 % 5,687.0
Floater 3.49 % 3.70 % 42,875 18.01 4 0.0539 % 3,277.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0950 % 3,229.2
SplitShare 4.61 % 4.41 % 53,996 4.85 5 -0.0950 % 3,856.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0950 % 3,008.9
Perpetual-Premium 5.61 % -9.83 % 53,926 0.08 10 0.0275 % 2,919.2
Perpetual-Discount 5.38 % 5.52 % 58,883 14.56 25 0.1514 % 3,007.1
FixedReset 4.29 % 4.66 % 127,901 3.82 106 0.1336 % 2,592.4
Deemed-Retractible 5.15 % 5.81 % 62,186 5.42 26 0.1391 % 2,999.2
FloatingReset 3.50 % 3.66 % 42,779 5.71 6 0.2554 % 2,861.4
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.13 %
BAM.PR.T FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.12 %
BAM.PR.X FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.88 %
IAG.PR.I FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 4.45 %
BAM.PR.N Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.69 %
TRP.PR.B FixedReset 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
EMA.PR.C FixedReset 50,913 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 22.84
Evaluated at bid price : 24.13
Bid-YTW : 4.97 %
PWF.PR.K Perpetual-Discount 46,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.56 %
MFC.PR.Q FixedReset 45,143 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 34,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.13 %
BNS.PR.Z FixedReset 32,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.14 %
TD.PF.A FixedReset 30,484 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.26
Evaluated at bid price : 23.77
Bid-YTW : 4.67 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Quote: 24.98 – 26.20
Spot Rate : 1.2200
Average : 0.6807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.62
Evaluated at bid price : 24.98
Bid-YTW : 5.01 %

SLF.PR.E Deemed-Retractible Quote: 21.50 – 21.96
Spot Rate : 0.4600
Average : 0.2688

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 7.23 %

BAM.PR.Z FixedReset Quote: 25.12 – 25.50
Spot Rate : 0.3800
Average : 0.2411

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.79 %

SLF.PR.G FixedReset Quote: 19.95 – 20.25
Spot Rate : 0.3000
Average : 0.1882

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 7.20 %

BAM.PF.E FixedReset Quote: 23.55 – 24.19
Spot Rate : 0.6400
Average : 0.5289

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.14
Evaluated at bid price : 23.55
Bid-YTW : 5.08 %

MFC.PR.K FixedReset Quote: 22.88 – 23.50
Spot Rate : 0.6200
Average : 0.5135

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.03 %

SBC.PR.A : Manager’s Mandate Expands Slightly

Wednesday, August 29th, 2018

Brompton Funds Limited has announced:

that at special meetings of preferred and class A shareholders (“Shareholders”) of Dividend Growth Split Corp. (“DGS”) and Brompton Split Banc Corp. (“SBC”) held today, Shareholders approved special resolutions to implement amendments to update and modernize the investment objectives, investment strategies and investment restrictions of DGS and SBC as well as certain other matters set out in the joint management information circular dated July 27, 2018 (the “Circular”).

For SBC, the changes to the investment objectives, strategy and restrictions are primarily designed to accomplish the following:
i) allow the Manager to rebalance and/or reconstitute the portfolio more frequently than annually, at its discretion, for reasons other than mergers or fundamental corporate actions, so that SBC may respond to security or market developments on a timely basis; and
ii) provide for up to 10% of the portfolio to be invested, from time to time, in global financial companies.

Further information relating to these and other changes are described in more detail in the Circular. These changes are expected to be implemented as soon as reasonably possible.

I do not view this loosening of restrictions as being material.

DGS.PR.A : Manager’s Mandate Expands Slightly

Wednesday, August 29th, 2018

Brompton Funds Limited has announced:

that at special meetings of preferred and class A shareholders (“Shareholders”) of Dividend Growth Split Corp. (“DGS”) and Brompton Split Banc Corp. (“SBC”) held today, Shareholders approved special resolutions to implement amendments to update and modernize the investment objectives, investment strategies and investment restrictions of DGS and SBC as well as certain other matters set out in the joint management information circular dated July 27, 2018 (the “Circular”).

For DGS, the changes to the investment objectives, strategy and restrictions are primarily designed to accomplish the following:
i) expand the investable universe of high quality dividend growth companies from which the portfolio manager can select by expanding the financial metrics that may be used to analyze the portfolio constituents, including forward-looking metrics;
ii) provide for up to 20% of the portfolio to be invested, from time to time, in global dividend growth companies; and
iii) allow the Manager to rebalance and/or reconstitute the portfolio more frequently than annually, at its discretion, for reasons other than the suspension of dividends, mergers or fundamental corporate actions or exceptional circumstances, so that DGS may respond to security or market developments on a timely basis.

Further information relating to these and other changes are described in more detail in the Circular. These changes are expected to be implemented as soon as reasonably possible.

I do not view this loosening of restrictions as being material.

August 29, 2018

Wednesday, August 29th, 2018

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported August 22.

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 -0.2821 % 3,097.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2821 % 5,684.0
Floater 3.49 % 3.70 % 43,400 18.01 4 -0.2821 % 3,275.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4492 % 3,232.3
SplitShare 4.60 % 4.42 % 50,200 4.86 5 -0.4492 % 3,860.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4492 % 3,011.8
Perpetual-Premium 5.61 % -10.01 % 55,732 0.08 10 0.0708 % 2,918.4
Perpetual-Discount 5.39 % 5.54 % 58,994 14.54 25 0.0723 % 3,002.6
FixedReset 4.30 % 4.67 % 127,671 3.78 106 0.1335 % 2,588.9
Deemed-Retractible 5.13 % 5.76 % 62,683 5.36 26 0.1016 % 2,995.0
FloatingReset 3.50 % 3.58 % 43,155 5.71 6 0.1008 % 2,854.1
Performance Highlights
Issue Index Change Notes
PVS.PR.F SplitShare -2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.42 %
TRP.PR.B FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.04 %
IFC.PR.F Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.56 %
GWO.PR.T Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.03 %
MFC.PR.F FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 7.88 %
MFC.PR.L FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.23
Bid-YTW : 5.64 %
MFC.PR.M FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 109,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.28
Bid-YTW : 3.65 %
RY.PR.W Perpetual-Discount 104,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.97 %
TD.PF.C FixedReset 69,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 23.14
Evaluated at bid price : 23.59
Bid-YTW : 4.70 %
BNS.PR.Y FixedReset 54,510 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 3.96 %
IFC.PR.C FixedReset 52,395 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 5.38 %
BAM.PR.Z FixedReset 52,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.93 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.A FixedReset Quote: 25.00 – 25.75
Spot Rate : 0.7500
Average : 0.4432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 23.94
Evaluated at bid price : 25.00
Bid-YTW : 5.15 %

IFC.PR.F Deemed-Retractible Quote: 24.91 – 25.60
Spot Rate : 0.6900
Average : 0.4250

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.56 %

MFC.PR.K FixedReset Quote: 22.92 – 23.50
Spot Rate : 0.5800
Average : 0.3967

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.92
Bid-YTW : 5.99 %

TRP.PR.B FixedReset Quote: 16.90 – 17.45
Spot Rate : 0.5500
Average : 0.3847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.04 %

GWO.PR.G Deemed-Retractible Quote: 24.14 – 24.48
Spot Rate : 0.3400
Average : 0.2063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 6.05 %

BAM.PF.C Perpetual-Discount Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.74 %

August 28, 2018

Tuesday, August 28th, 2018
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 -0.0671 % 3,106.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0671 % 5,700.0
Floater 3.48 % 3.70 % 43,780 18.01 4 -0.0671 % 3,285.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,246.9
SplitShare 4.58 % 3.72 % 49,713 2.90 5 0.1421 % 3,877.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,025.4
Perpetual-Premium 5.61 % -10.19 % 55,998 0.09 10 0.0197 % 2,916.4
Perpetual-Discount 5.39 % 5.53 % 57,270 14.54 25 0.1224 % 3,000.4
FixedReset 4.30 % 4.69 % 122,575 3.83 106 0.1484 % 2,585.5
Deemed-Retractible 5.13 % 5.81 % 61,253 5.35 26 0.0345 % 2,992.0
FloatingReset 3.51 % 3.58 % 39,947 5.72 6 -0.0226 % 2,851.2
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %
GWO.PR.T Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %
IFC.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.37 %
BAM.PR.K Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 3.70 %
BAM.PR.X FixedReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.E Deemed-Retractible 271,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.81 %
TD.PF.I FixedReset 117,049 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %
TD.PF.G FixedReset 101,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.42 %
BMO.PR.T FixedReset 68,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 22.67
Evaluated at bid price : 23.21
Bid-YTW : 4.77 %
NA.PR.E FixedReset 62,883 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 23.01
Evaluated at bid price : 24.52
Bid-YTW : 4.79 %
GWO.PR.N FixedReset 62,001 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.77 %
There were 25 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: 23.32 – 23.87
Spot Rate : 0.5500
Average : 0.3640

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %

PVS.PR.B SplitShare Quote: 25.06 – 25.35
Spot Rate : 0.2900
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.40 %

GWO.PR.T Deemed-Retractible Quote: 23.77 – 24.05
Spot Rate : 0.2800
Average : 0.1626

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %

TD.PF.J FixedReset Quote: 25.34 – 25.59
Spot Rate : 0.2500
Average : 0.1587

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.48 %

PWF.PR.Q FloatingReset Quote: 21.80 – 22.08
Spot Rate : 0.2800
Average : 0.1915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.58 %

TD.PF.I FixedReset Quote: 25.38 – 25.58
Spot Rate : 0.2000
Average : 0.1206

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %

August 27, 2018

Tuesday, August 28th, 2018
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 0.2557 % 3,108.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2557 % 5,703.9
Floater 3.48 % 3.69 % 43,345 18.04 4 0.2557 % 3,287.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0237 % 3,242.3
SplitShare 4.59 % 4.16 % 48,982 4.86 5 0.0237 % 3,872.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0237 % 3,021.1
Perpetual-Premium 5.61 % -10.37 % 57,993 0.09 10 -0.0039 % 2,915.8
Perpetual-Discount 5.40 % 5.55 % 55,816 14.54 25 0.0621 % 2,996.7
FixedReset 4.31 % 4.72 % 123,282 3.83 106 0.1613 % 2,581.6
Deemed-Retractible 5.12 % 5.88 % 62,191 5.36 26 0.0290 % 2,991.0
FloatingReset 3.50 % 3.58 % 39,673 5.67 6 0.0909 % 2,851.8
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 4.49 %
PWF.PR.P FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-27
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.67 %
TRP.PR.G FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 4.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 205,013 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.63 %
BMO.PR.C FixedReset 67,203 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.13 %
BMO.PR.D FixedReset 30,815 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.06 %
MFC.PR.J FixedReset 28,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.76 %
NA.PR.X FixedReset 24,932 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.81 %
MFC.PR.G FixedReset 19,269 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 4.52 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Quote: 25.11 – 26.79
Spot Rate : 1.6800
Average : 0.9664

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.97 %

IFC.PR.A FixedReset Quote: 19.88 – 20.25
Spot Rate : 0.3700
Average : 0.2190

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.88
Bid-YTW : 7.79 %

IFC.PR.F Deemed-Retractible Quote: 24.91 – 25.24
Spot Rate : 0.3300
Average : 0.2052

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.56 %

PVS.PR.F SplitShare Quote: 25.85 – 26.25
Spot Rate : 0.4000
Average : 0.2965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.16 %

W.PR.K FixedReset Quote: 26.00 – 26.35
Spot Rate : 0.3500
Average : 0.2736

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.77 %

PWF.PR.O Perpetual-Premium Quote: 25.70 – 25.90
Spot Rate : 0.2000
Average : 0.1251

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-26
Maturity Price : 25.25
Evaluated at bid price : 25.70
Bid-YTW : -10.37 %

August 24, 2018

Friday, August 24th, 2018
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 -0.7480 % 3,100.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7480 % 5,689.3
Floater 3.49 % 3.69 % 43,711 18.02 4 -0.7480 % 3,278.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,241.5
SplitShare 4.59 % 4.12 % 50,582 4.87 5 0.0079 % 3,871.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,020.4
Perpetual-Premium 5.61 % -11.35 % 58,348 0.09 10 0.0315 % 2,915.9
Perpetual-Discount 5.40 % 5.54 % 58,105 14.55 25 0.0345 % 2,994.9
FixedReset 4.30 % 4.69 % 120,167 4.06 107 0.0702 % 2,577.5
Deemed-Retractible 5.12 % 5.80 % 62,852 5.37 26 0.1968 % 2,990.1
FloatingReset 3.42 % 3.56 % 38,896 5.68 7 0.0390 % 2,849.3
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.77 %
PWF.PR.P FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %
BMO.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 4.18 %
TD.PF.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.17
Evaluated at bid price : 23.67
Bid-YTW : 4.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 60,097 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 22.63
Evaluated at bid price : 23.16
Bid-YTW : 4.73 %
HSE.PR.A FixedReset 19,017 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.19 %
MFC.PR.J FixedReset 17,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.68 %
BMO.PR.C FixedReset 17,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.18 %
CU.PR.C FixedReset 17,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 22.05
Evaluated at bid price : 22.50
Bid-YTW : 4.81 %
SLF.PR.I FixedReset 15,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 4.81 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Quote: 24.40 – 25.00
Spot Rate : 0.6000
Average : 0.3552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.36
Evaluated at bid price : 24.40
Bid-YTW : 4.91 %

BAM.PR.K Floater Quote: 17.36 – 17.89
Spot Rate : 0.5300
Average : 0.3636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.77 %

EMA.PR.F FixedReset Quote: 23.96 – 24.47
Spot Rate : 0.5100
Average : 0.3624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.54
Evaluated at bid price : 23.96
Bid-YTW : 4.98 %

RY.PR.M FixedReset Quote: 24.10 – 24.60
Spot Rate : 0.5000
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.15
Evaluated at bid price : 24.10
Bid-YTW : 4.79 %

MFC.PR.N FixedReset Quote: 23.40 – 23.96
Spot Rate : 0.5600
Average : 0.4220

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.48 %

BAM.PF.I FixedReset Quote: 26.05 – 26.40
Spot Rate : 0.3500
Average : 0.2249

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.78 %