Archive for September, 2017

FFN.PR.A Dividend Rate Raised by 25bp for One Year

Friday, September 29th, 2017

Quadravest has announced:

North American Financial 15 Split Corp. (the “Company”) is pleased to announce the Preferred Share dividend rate for the fiscal year beginning December 1, 2017. Monthly payments to FFN.PR.A will be $0.04583 per share for an annual yield of 5.50% on their $10 redemption value. This is an increase of one quarter of one percent over the current rate.

The Company invests in an actively managed, high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows:

Bank of Montreal National Bank of Canada Bank of America Corp.
The Bank of Nova Scotia Manulife Financial Corporation Citigroup Inc.
Canadian Imperial Bank of Commerce Sun Life Financial Services of Canada Inc. Goldman Sachs Group Inc.
Royal Bank of Canada Great-West Lifeco Inc. JP Morgan Chase & Co.
The Toronto-Dominion Bank CI Financial Corp. Wells Fargo & Co.

This is a rather peculiar action for them to take, particularly given that the liquidation date for the company is 2019-12-1 (which the company may extend at will, but only while giving retraction rights to shareholders). I believe we are now in the position of waiting for the other shoe to drop!

FTN.PR.A Dividend Rate Raised 25bp for One Year

Friday, September 29th, 2017

Quadravest has announced:

Financial 15 Split Corp. (the “Company”) is pleased to announce the Preferred Share dividend rate for the fiscal year beginning December 1, 2017. Monthly payments to FTN.PR.A will be $0.04583 per share for an annual yield of 5.50% on their $10 redemption value. This is an increase of one quarter of one percent over the current rate.

The Company invests in an actively managed, high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows:

Bank of Montreal National Bank of Canada Bank of America Corp.
The Bank of Nova Scotia Manulife Financial Corporation Citigroup Inc.
Canadian Imperial Bank of Commerce Sun Life Financial Services of Canada Inc. Goldman Sachs Group Inc.
Royal Bank of Canada Great-West Lifeco Inc. JP Morgan Chase & Co.
The Toronto-Dominion Bank CI Financial Corp. Wells Fargo & Co.

This is a rather peculiar action for them to take, particularly so soon after their recent treasury offering and given that the liquidation date for the company is 2020-12-1 (which the company may extend at will, but only while giving retraction rights to shareholders). I believe we are now in the position of waiting for the other shoe to drop!

S&P Assigns “Outlook Negative” to BEP & BRF

Friday, September 29th, 2017

Standard & Poor’s has announced:

  • •We are revising our outlook on Brookfield Renewable Partners L.P. (BEP) to negative from stable, reflecting limited cushion in the credit metrics should the recovery we are expecting in hydrology and generation across BEP’s footprint fail to materialize.
  • •We believe droughts, El Nino, and low hydrology have affected BEP’s portfolio over the past couple of years, resulting in generation below long-term averages (LTA) that is offsetting the portfolio’s geographic diversity.
  • •We are affirming our ratings on BEP, including our ‘BBB+’ long-term corporate credit rating.


The outlook revision reflects what we view as limited cushion in the credit metrics should the recovery we are expecting to see in hydrology and generation across BEP’s footprint fail to materialize. Metrics have been lower in the past two years because of lower distributions received from owned assets. During this period, generation has been lower than long-term averages mainly due to low hydrology in North America and Brazil, and drought in Colombia due to the El Nino effect in first-half 2016. Even though minimal, the appreciation of the U.S. dollar during this time has also not helped.

The negative outlook reflects S&P Global Ratings’ view that there is limited cushion in the credit metrics should the recovery expected in hydrology and generation across BEP’s footprint fail to materialize. We still expect BEP to maintain a well-diversified portfolio of generation assets, operate under long-term contracts with investment-grade counterparties, and generate fairly predictable cash flows to support its holding-company debt obligations. We expect base-case FFO-to-debt in the 20%-25% range and debt-to-EBITDA of 3.5x-4.5x during our two-year outlook period. We also expect BEP to remain moderately strategic to parent BAM as per our group rating assessment.

We could lower the rating if FFO-to-debt consistently falls below 23% or if the QD score deteriorates during the outlook period. This could result distributions lower than currently forecast as a result of generation below LTA or from acquisitions or capital expenditures financed with substantially higher levels of holding-company debt or acquisition of higher risk merchant assets or a material change in the contractual profile of the operating assets. Given the group support, a negative rating action on the parent would flow through to BEP. In addition, a revision in our assessment of the group status to nonstrategic could result in a downgrade, though this appears less likely.

We could revise the outlook back to stable if the company maintains forward-looking credit metrics at the higher end of the significant. This could result from lower resource variability, generation in line with LTA, increased cash flow, significant deleveraging, and acquisitions financed with lower levels of holding-company debt, all resulting in FFO-to-debt of 25%-30% and debt-to-EBITDA of 3.0x-3.5x.

Affected issues are:

BRF.PR.A, BRF.PR.B, BRF.PR.C, BRF.PR.E and BRF.PR.F (These are from Brookfield Renewable Power Preferred Equity Inc., a wholly owned subsidiary of BEP, and pay eligible dividends)

BEP.PR.E, BEP.PR.G, BEP.PR.I and BEP.PR.K (These are from Brookfield Renewable Partners L.P. itself, and pay distributions comprised of return of capital and ordinary income)

It is not too long since S&P upgraded BEP & BRF to P-2(low) (which was affirmed).

NA.PR.Q To Be Redeemed

Friday, September 29th, 2017

National Bank of Canada has announced:

its intention to redeem all of its remaining issued and outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares Series 28 (the “Preferred Shares Series 28”) on November 15, 2017 (the “Redemption Date”).

Pursuant to the share conditions, on the Redemption Date, the Bank may, at its option, redeem the Preferred Shares Series 28 at a price equal to $25.00 per share together with all declared and unpaid dividends. The declared dividends payable on November 15, 2017 will be paid to shareholders of record on October 10, 2017.

Formal notice will be issued to shareholders in accordance with the share conditions. The redemption of the Preferred Shares Series 28 is subject to the approval of the Office of the Superintendent of Financial Institutions and is part of the Bank’s ongoing management of its regulatory capital.

The Bank recommends shareholders consult with their tax advisors to determine the appropriate treatment and impact of the redemption.

NA.PR.Q is a FixedReset, 3.80%+243, that commenced trading 2012-11-7 after being announced 2012-10-30. It has been tracked by HIMIPref™ and assigned to the FixedReset subindex.

September 29, 2017

Friday, September 29th, 2017

That’s it for another month! It turned out pretty well, with TXPR up 1.36% … with roughly half that coming in the last two days!

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 -0.5614 % 2,397.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5614 % 4,399.4
Floater 3.95 % 3.96 % 94,574 17.50 3 -0.5614 % 2,535.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0661 % 3,066.7
SplitShare 4.76 % 4.71 % 87,444 4.42 6 0.0661 % 3,662.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0661 % 2,857.5
Perpetual-Premium 5.42 % 4.84 % 57,851 5.78 16 0.1483 % 2,785.3
Perpetual-Discount 5.35 % 5.41 % 72,851 14.70 19 0.4020 % 2,907.4
FixedReset 4.33 % 4.52 % 154,789 6.13 99 0.5185 % 2,427.6
Deemed-Retractible 5.13 % 5.68 % 101,429 6.04 30 0.3361 % 2,870.5
FloatingReset 2.83 % 2.90 % 51,774 4.07 8 0.3003 % 2,659.5
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 3.39 %
BAM.PF.B FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.75
Evaluated at bid price : 23.17
Bid-YTW : 4.75 %
BAM.PF.A FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.63
Evaluated at bid price : 24.16
Bid-YTW : 4.84 %
RY.PR.M FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.83
Evaluated at bid price : 23.75
Bid-YTW : 4.49 %
PWF.PR.K Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.44 %
SLF.PR.H FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.19 %
POW.PR.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.32 %
HSE.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %
BMO.PR.T FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.82
Evaluated at bid price : 22.33
Bid-YTW : 4.51 %
BAM.PR.T FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.82 %
CM.PR.Q FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.99
Evaluated at bid price : 23.99
Bid-YTW : 4.55 %
MFC.PR.C Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.92 %
TD.PF.D FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
GWO.PR.H Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.35 %
TD.PF.B FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.48
Bid-YTW : 4.53 %
BAM.PR.X FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.82 %
BAM.PR.R FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.82 %
MFC.PR.B Deemed-Retractible 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.53 %
BNS.PR.Z FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 4.46 %
TRP.PR.D FixedReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 4.68 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset 210,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 4.46 %
TRP.PR.K FixedReset 124,187 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.12 %
CM.PR.R FixedReset 120,488 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.22 %
RY.PR.Q FixedReset 119,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.58 %
BMO.PR.B FixedReset 111,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.73 %
BMO.PR.R FloatingReset 109,765 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.06 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 24.20 – 25.00
Spot Rate : 0.8000
Average : 0.5034

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %

TD.PF.B FixedReset Quote: 22.48 – 23.00
Spot Rate : 0.5200
Average : 0.3323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.48
Bid-YTW : 4.53 %

SLF.PR.A Deemed-Retractible Quote: 22.40 – 22.80
Spot Rate : 0.4000
Average : 0.2724

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.60 %

BIP.PR.C FixedReset Quote: 25.76 – 26.10
Spot Rate : 0.3400
Average : 0.2226

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.54 %

GWO.PR.N FixedReset Quote: 17.12 – 17.55
Spot Rate : 0.4300
Average : 0.3321

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.12
Bid-YTW : 8.49 %

CM.PR.P FixedReset Quote: 22.00 – 22.25
Spot Rate : 0.2500
Average : 0.1603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.51 %

September 28, 2017

Thursday, September 28th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7779 % 2,411.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7779 % 4,424.3
Floater 3.93 % 3.93 % 95,481 17.56 3 0.7779 % 2,549.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0264 % 3,064.7
SplitShare 4.76 % 4.71 % 90,340 4.42 6 -0.0264 % 3,659.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0264 % 2,855.6
Perpetual-Premium 5.43 % 4.87 % 56,575 5.98 16 0.0939 % 2,781.2
Perpetual-Discount 5.37 % 5.43 % 70,329 14.67 19 0.2824 % 2,895.8
FixedReset 4.35 % 4.58 % 151,067 6.20 99 0.1346 % 2,415.1
Deemed-Retractible 5.14 % 5.70 % 101,615 6.04 30 0.2807 % 2,860.9
FloatingReset 2.84 % 3.17 % 52,331 4.07 8 0.0492 % 2,651.5
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 4.79 %
MFC.PR.N FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.01 %
SLF.PR.J FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.07
Bid-YTW : 8.22 %
IAG.PR.A Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.42 %
BAM.PR.B Floater 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 3.92 %
MFC.PR.K FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 6.47 %
MFC.PR.G FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 5.23 %
HSE.PR.G FixedReset 1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.18 %
ELF.PR.G Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset 215,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.57 %
NA.PR.C FixedReset 208,387 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.42 %
CM.PR.R FixedReset 164,025 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.26 %
BMO.PR.C FixedReset 162,146 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.20 %
RY.PR.R FixedReset 125,764 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.78 %
RY.PR.Z FixedReset 104,381 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 4.51 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSB.PR.D Deemed-Retractible Quote: 25.25 – 27.88
Spot Rate : 2.6300
Average : 1.4297

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-28
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -7.32 %

SLF.PR.B Deemed-Retractible Quote: 22.73 – 23.50
Spot Rate : 0.7700
Average : 0.4850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.73
Bid-YTW : 6.40 %

MFC.PR.G FixedReset Quote: 23.52 – 24.45
Spot Rate : 0.9300
Average : 0.7043

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 5.23 %

W.PR.M FixedReset Quote: 25.90 – 26.45
Spot Rate : 0.5500
Average : 0.3313

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.19 %

MFC.PR.B Deemed-Retractible Quote: 22.00 – 22.61
Spot Rate : 0.6100
Average : 0.3923

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.81 %

W.PR.K FixedReset Quote: 25.80 – 26.30
Spot Rate : 0.5000
Average : 0.3192

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.15 %

SBC.PR.A to Reset at 5.00%

Thursday, September 28th, 2017

Brompton Group has announced:

Brompton Split Banc Corp. (the “Fund”) announces that the distribution rate for the Preferred Shares for the 5 year term from December 1, 2017 to November 29, 2022 will be $0.50 per annum (5.0% on the original issue price of $10) payable quarterly. The Preferred Share distribution rate is based on current market rates for preferred shares with similar terms. In addition, the Fund intends to maintain the targeted monthly Class A Share distribution rate at $0.10 per Class A Share. The Fund previously announced the extension of the term of the Class A Shares and the Preferred Shares from November 29, 2017 to November 29, 2022. The term extension offers Preferred shareholders the opportunity to enjoy preferential cash dividends until November 29, 2022. Since inception in November 2005 to August 31, 2017, the Preferred share has delivered an attractive 5.1%(1) per annum return.

Since inception and over the 1, 3, 5 and 10 year periods to August 31, 2017, the Class A share has significantly outperformed both the S&P/TSX Capped Financials Index and the S&P/TSX Composite Index as shown in the table below.

Annual Compound Returns 1-Year 3-Year 5-Year 10-Year Since Inception
Brompton Split Banc Corp. – Class A 20.5% 7.9% 19.3% 10.3% 11.1%
S&P/TSX Capped Financials Index 15.8% 7.1% 14.2% 7.0% 8.1%
S&P/TSX Composite Index 7.2% 2.1% 8.1% 4.1% 6.1%

Since inception to August 31, 2017, Class A shareholders have also received cash distributions of $13.65 per share. Class A shareholders have the option to benefit by reinvesting their cash distributions in a distribution reinvestment plan (“DRIP”) which is commission free to participants. Class A shareholders can enroll in the DRIP program by contacting their investment advisor.

Brompton Split Banc Corp. invests in a portfolio, on an approximately equal weight basis, in common shares of six Canadian Banks: Bank of Montreal, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, The Bank of Nova Scotia and The Toronto-Dominion Bank.

In connection with the extension, shareholders who do not wish to continue their investment in the Fund, may retract their Preferred Shares or Class A Shares on November 29, 2017 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Fund were to terminate on November 29, 2017. Pursuant to this option, the retraction price may be less than the market price if the security is trading at a premium to net asset value. Notice must be provided to your investment dealer by October 31, 2017 at 5:00 p.m. (Toronto time) in order to exercise this right; however, investment dealers may have earlier deadlines.

Well, sure the Capital Units have outperformed their indices over the last ten years. The market’s gone up substantially – if a leveraged investment hasn’t outperformed, then that would be a problem! A better – although by no means ‘good’ – indicator is the performance of the Whole Units against the index, and it is very pleasant to learn that as of the Fund’s 2016 Year-End, the Whole Units also outperformed the cited indices, although by much more modest amounts. That’s still not the greatest comparison, however, since the indices are the Composite – including everything – and the Capped Financial index, which includes insurance companies as the biggest non-bank chunk. Brompton Lifeco Split Corp. has not done quite as well!

However, I must emphasize that I am saying this only in reaction to the excessive bragging about performance in the press release. SBC & SBC.PR.A are fine products and the latter is frequently among the recommendations in my monthly newsletter. It does what it’s supposed to do and it does it cheaper than most, as disclosed in the 2016 Annual Report:

The MER per unit, excluding Preferred share distributions (which were covered by the portfolio’s dividend income), was 0.99% for 2016 and 0.97% for 2015. This ratio is more representative of the ongoing efficiency of the administration of the Fund.

SBC.PR.A was added to the HIMIPref™ universe in 2008. It was originally scheduled for redemption in 2012, but was extended with a coupon of 4.5%. The new coupon rate of 5.0% should, I think be sufficient to ensure that it continues to trade at a slight premium to par. On that basis, a recommendation not to retract will be superfluous, but if disaster strikes I will post something before the October 31 retraction notification deadline.

AX Preferred Unit Conversion is (Probably!) a Taxable Event

Wednesday, September 27th, 2017

Assiduous Reader JB writes in and brings to my attention a nuance in the conversion of Artis preferred units that had previously escaped me:

You have probably dealt with this question, so I apologize if that is the case.
I own a small position in Artis Preferred Series C. It is a $US pref. (I own lots of other preferreds.)
In the prospectus it states (I’m paraphrasing) that the CRA would consider conversion to the D shares a taxable event. I’m at a loss to determine why this is the case, since in another 5 years, I could convert back, should that be my choice.
Is this just an anomaly, or is this really the CRA’s position?

Well! First of all, let’s have a look at the prospectuses (not directly linked because rights are owned by the Canadian Securities Administrators, and why would they allow convenient access to public documents of interest to investors?)

Preferred Units, Series A (AX.PR.A) Prospectus on SEDAR under “Artis Real Estate Investment Trust Jul 25 2012 20:10:04 ET Prospectus supplement – English PDF 288 K”

In general, a disposition or deemed disposition of a Series A or Series B Unit will give rise to a capital gain (or a capital loss) equal to the amount by which the proceeds of disposition, net of any reasonable costs of disposition, exceed (or are exceeded by) the adjusted cost base of the Series A or Series B Unit, as the case may be, to the Preferred Unitholder. In the Ruling, the CRA expresses the preliminary view that the reclassification of Series A Units as Series B Units (or Series B Units as Series A Units) would likely result in a taxable disposition at that time. In such circumstances, a Preferred Unitholder will generally be considered to have disposed of the reclassified Preferred Units for proceeds of disposition equal to the fair market value of the Preferred Units into which such units are reclassified.

Preferred Units, Series C (AX.PR.U) Prospectus on SEDAR under “Artis Real Estate Investment Trust Sep 11 2012 16:24:11 ET Prospectus supplement – English PDF 287 K”

In general, a disposition or deemed disposition of a Series C or Series D Unit will give rise to a capital gain (or a capital loss) equal to the amount by which the proceeds of disposition, net of any reasonable costs of disposition, exceed (or are exceeded by) the adjusted cost base of the Series C or Series D Unit, as the case may be, to the Preferred Unitholder. In the Ruling, the CRA expresses the preliminary view that the reclassification of Series A Units as Series B Units (or Series B Units as Series A Units) would likely result in a taxable disposition at that time and the same consideration will apply on a reclassification of Series C Units as Series D Units (or Series D Units as Series C Units). In such circumstances, a Preferred Unitholder will generally be considered to have disposed of the reclassified Preferred Units for proceeds of disposition equal to the fair market value of the Preferred Units into which such units are reclassified.

Preferred Units, Series E (AX.PR.E) Prospectus on SEDAR under “Artis Real Estate Investment Trust Mar 14 2013 12:50:30 ET Prospectus supplement – English PDF 298 K”

In general, a disposition or deemed disposition of a Series E or Series F Unit will give rise to a capital gain (or a capital loss) equal to the amount by which the proceeds of disposition, net of any reasonable costs of disposition, exceed (or are exceeded by) the adjusted cost base of the Series E or Series F Unit, as the case may be, to the Preferred Unitholder. In the Ruling, the CRA expresses the preliminary view that the reclassification of Series A Units as Series B Units (or Series B Units as Series A Units) would likely result in a taxable disposition at that time and the same consideration will apply on a reclassification of Series E Units as Series F Units (or Series F Units as Series E Units). In such circumstances, a Preferred Unitholder will generally be considered to have disposed of the reclassified Preferred Units for proceeds of disposition equal to the fair market value of the Preferred Units into which such units are reclassified.

Preferred Units, Series G (AX.PR.G) Prospectus on SEDAR under “Artis Real Estate Investment Trust Jul 22 2013 13:34:56 ET Prospectus supplement – English PDF 304 K”

In general, a disposition or deemed disposition of a Series G or Series H Unit will give rise to a capital gain (or a capital loss) equal to the amount by which the proceeds of disposition, net of any reasonable costs of disposition, exceed (or are exceeded by) the adjusted cost base of the Series G or Series H Unit, as the case may be, to the Preferred Unitholder. In the Ruling, the CRA expresses the preliminary view that the reclassification of Series A Units as Series B Units (or Series B Units as Series A Units) would likely result in a taxable disposition at that time and the same consideration will apply on a reclassification of Series G Units as Series H Units (or Series H Units as Series G Units). In such circumstances, a Preferred Unitholder will generally be considered to have disposed of the reclassified Preferred Units for proceeds of disposition equal to the fair market value of the Preferred Units into which such units are reclassified.

So in each case the company has warned of a preliminary view by the CRA that conversion is a taxable event, which all appears to be based on the view they took when examining the first issue. Of course, it’s only preliminary, but to those of us who are unwilling to spend six figures discussing the matter in tax court, that counts as definitive.

As to why this should be the case … I simply don’t know. I suspect it has a lot to do with the idea that (from the AX.PR.G prospectus):

The Canadian federal income tax considerations that may arise in connection with the acquisition, holding, disposition or reclassification of preferred units of a trust are, in some respects, materially different from the acquisition, holding, disposition or exchange of preferred shares of a corporation.

“REIT Exception” means the exception from the SIFT Rules available to a SIFT trust which satisfies a series of conditions relating to the nature of a SIFT’s revenue and property, as more particularly described below under “Principal Canadian Federal Income Tax Considerations – SIFT Rules and REIT Exception”;

“SIFT Rules” means the amendments to provisions of the Tax Act proclaimed in force on June 22, 2007, as amended, that implement the changes announced as part of the Tax Fairness Plan proposed by the Minister of Finance (Canada) on October 31, 2006 which modify the tax treatment of “specified investment flow-throughs”, including publicly traded income trusts and limited partnerships, and the tax treatment of their unitholders in the manner described below under “Principal Canadian Federal Income Tax Considerations – SIFT Rules and REIT Exception”;

The balance of this summary assumes that Artis qualifies as a mutual fund trust and will continue to so qualify at all material times. If Artis were not to qualify as a mutual fund trust, the income tax considerations described below would, in some respects, be materially different.

… but this is getting into arcane interpretations of tax law in which a simple Portfolio Manager such as myself should take the view that anything he says will be wrong. However, I must say that I am surprised that Artis did not highlight this unusual nuance in its notice of extension for AX.PR.A.

September 27, 2017

Wednesday, September 27th, 2017

PerpetualDiscounts now yield 5.46%, equivalent to 7.10% 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 305bp, a slight (and perhaps spurious) widening from the 300bp reported September 20.

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 -0.5859 % 2,392.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5859 % 4,390.1
Floater 3.96 % 3.96 % 96,350 17.50 3 -0.5859 % 2,530.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0330 % 3,065.5
SplitShare 4.76 % 4.71 % 94,085 4.42 6 -0.0330 % 3,660.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,856.3
Perpetual-Premium 5.43 % 4.86 % 57,088 5.98 16 0.1238 % 2,778.6
Perpetual-Discount 5.38 % 5.46 % 70,408 14.65 19 0.0275 % 2,887.6
FixedReset 4.35 % 4.57 % 152,341 6.20 99 0.1781 % 2,411.9
Deemed-Retractible 5.14 % 5.70 % 103,476 6.04 31 0.1304 % 2,852.9
FloatingReset 2.84 % 3.18 % 54,177 4.07 8 0.0711 % 2,650.2
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.97 %
CM.PR.O FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.57 %
HSE.PR.C FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 23.06
Evaluated at bid price : 23.92
Bid-YTW : 5.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 333,138 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.31 %
NA.PR.A FixedReset 118,429 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.14 %
RY.PR.R FixedReset 112,524 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.85 %
BAM.PF.F FixedReset 71,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 23.52
Evaluated at bid price : 23.85
Bid-YTW : 4.86 %
TRP.PR.G FixedReset 66,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 22.90
Evaluated at bid price : 23.90
Bid-YTW : 4.78 %
TD.PF.A FixedReset 62,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.56 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Quote: 21.20 – 22.14
Spot Rate : 0.9400
Average : 0.7233

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.68 %

MFC.PR.O FixedReset Quote: 26.80 – 27.30
Spot Rate : 0.5000
Average : 0.3519

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.58 %

VNR.PR.A FixedReset Quote: 22.75 – 23.20
Spot Rate : 0.4500
Average : 0.3182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 22.13
Evaluated at bid price : 22.75
Bid-YTW : 5.11 %

IAG.PR.A Deemed-Retractible Quote: 22.18 – 22.58
Spot Rate : 0.4000
Average : 0.3272

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 6.59 %

CU.PR.I FixedReset Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1773

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.29 %

TD.PF.I FixedReset Quote: 25.31 – 25.51
Spot Rate : 0.2000
Average : 0.1311

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.45 %

September 26, 2017

Tuesday, September 26th, 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 0.5656 % 2,406.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5656 % 4,416.0
Floater 3.94 % 3.93 % 97,523 17.57 3 0.5656 % 2,545.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1124 % 3,066.5
SplitShare 4.76 % 4.66 % 92,952 4.43 6 0.1124 % 3,662.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1124 % 2,857.3
Perpetual-Premium 5.43 % 4.88 % 56,146 5.99 16 -0.0668 % 2,775.2
Perpetual-Discount 5.38 % 5.46 % 71,109 14.66 19 0.0137 % 2,886.8
FixedReset 4.36 % 4.59 % 153,976 6.21 99 0.0493 % 2,407.6
Deemed-Retractible 5.15 % 5.71 % 103,002 6.04 31 0.0857 % 2,849.2
FloatingReset 2.84 % 3.20 % 54,276 4.08 8 0.0109 % 2,648.3
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 5.54 %
PWF.PR.L Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.56 %
PVS.PR.E SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.66 %
BAM.PF.D Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 21.96
Evaluated at bid price : 22.30
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset 267,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.58 %
TD.PF.H FixedReset 136,803 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.94 %
RY.PR.E Deemed-Retractible 133,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -1.25 %
RY.PR.R FixedReset 130,240 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.78 %
BNS.PR.Q FixedReset 117,375 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.69 %
VNR.PR.A FixedReset 103,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 22.19
Evaluated at bid price : 22.85
Bid-YTW : 5.09 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Quote: 24.00 – 24.88
Spot Rate : 0.8800
Average : 0.4867

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.64 %

PWF.PR.K Perpetual-Discount Quote: 22.72 – 23.53
Spot Rate : 0.8100
Average : 0.4551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 22.46
Evaluated at bid price : 22.72
Bid-YTW : 5.53 %

MFC.PR.K FixedReset Quote: 21.35 – 22.14
Spot Rate : 0.7900
Average : 0.4857

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.56 %

HSE.PR.G FixedReset Quote: 24.30 – 24.98
Spot Rate : 0.6800
Average : 0.3981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 23.15
Evaluated at bid price : 24.30
Bid-YTW : 5.31 %

IAG.PR.G FixedReset Quote: 22.62 – 23.25
Spot Rate : 0.6300
Average : 0.4282

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 5.69 %

TRP.PR.D FixedReset Quote: 22.28 – 22.89
Spot Rate : 0.6100
Average : 0.4090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 21.79
Evaluated at bid price : 22.28
Bid-YTW : 4.70 %