1Q 31 MARCH 2018 MFS CANADIAN LONG TERM FIXED INCOME (CAD)
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1 1Q 31 MARCH 2018 MFS CANADIAN LONG TERM FIXED INCOME (CAD) INVESTMENT OVERVIEW TEAM Name (Years of industry experience) Title Peter Kotsopoulos, CFA (29 yrs.) Portfolio Manager Soami Kohly, CFA, FSA, FCIA (24 yrs.) Portfolio Manager Pursuant to a sub-advisory agreement executed between MFS Institutional Advisors, Inc. and MFS Investment Management Canada Limited, MFS provides investment advice pursuant to statutory exemptions or regulatory relief, as applicable. Such advice is being rendered outside of Canada and certain members of the team may not be registered in any capacity with any Canadian securities regulatory authority. GOAL Seeks to outperform the Long Term Bond Index over a full market cycle. PHILOSOPHY To provide a moderate real rate of return, through income and capital gains, by investing in a diversified portfolio of primarily Canadian dollar debt and from time-to-time U.S. debt. The strategy will primarily invest in investment grade debt. Returns in excess of income will be gained through active duration, yield curve and sector management, as well as security selection. PERFORMANCE (TOTAL RETURN %) 5 MFS (gross of fees) Long Term Bond Index MFS (net of fees) Periods greater than one year are annualized 1 Year 3 Years 5 Years 10 Years Excess return (gross of fees) ANNUAL PERFORMANCE GROSS OF FEES (%) YTD MFS Long Term Bond Index Excess return MONTH TOTAL RETURNS (%) (MIFID II PERFORMANCE STANDARD) 12-month period ending 31-Mar Mar Mar Mar Mar-14 MFS (gross of fees) MFS (net of fees) ASSETS UNDER MANAGEMENT (CAD) MFS Investment Management MFS Canadian Long Term Fixed Income billion 1,240.6 million Source: Benchmark performance from SPAR, FactSet Research Systems Inc. Past performance is not a reliable indicator for future results. All financial investments involve an element of risk. The value of investments may rise and fall so you may get back less than originally invested. Investors should consider the risks, including lower returns, related to currency movements between their investing currency and the portfolio's base currency, if different. Total gross-of-fee returns for the composite (includes both capital appreciation and income) in the currency displayed terms, net of all transaction costs, any withholding taxes and direct expenses, but before management fees, custody and other indirect expenses. The Performance Presentation Report that is attached also reflects the gross and net of fees performance; however, note that the Performance Presentation Report reflects net performance of maximum institutional fees. The Markets in Financial Instruments Directive (MIFID) is the EU legislation that regulates firms who provide services to clients linked to financial instruments. FOR INVESTMENT PROFESSIONAL AND INSTITUTIONAL USE ONLY MFSI.AF1LTB.CAD.FS.1Q
2 1Q 31 MARCH 2018 MFS CANADIAN LONG TERM FIXED INCOME (CAD) FUNDAMENTALS Average Effective Duration yrs 14.78yrs Yield-to-Worst % 3.05% Average Coupon 4.05% 4.51% Average Effective Term 22.87yrs 22.90yrs Average Quality 3,4 AA- AA- PORTFOLIO COMPOSITION (%) Federal Provincial Municipal Corporate Cash & Cash Equivalents CREDIT QUALITY (%) 4 AAA AA A BBB BB Other and not rated Cash & Cash Equivalents TERM STRUCTURE (%) Less than 15 Year to 25 Years Years FOR INVESTMENT PROFESSIONAL AND INSTITUTIONAL USE ONLY MFSI.AF1LTB.CAD.FS.1Q18 1 Average effective duration is a measure of how much a bond s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. 2 The weighted average yield-to-worst of all portfolio holdings. The yield-to-worst is computed by using the lower of either the yield-to-maturity or the yield-to-call on every possible call date. Essentially the yield-to-worst is a bond s yield-to-maturity under the least desirable bond repayment pattern under the assumption that bond market yields are unchanged. 3 The Average Quality is a market average (using a linear scale) of securities included in the rating categories. 4 For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Dominion Bond Rating Service (DBRS), Standard and Poor's, Moody's Investors Service, and Fitch ratings agencies. In cases where the agencies do not agree on the credit rating, the rating is classified according to the following rules: If two agencies rate a security, and the ratings are not equal, use the lower of the two ratings; If three agencies rate a security, use the most common rating; In the rare event that all three agencies disagree, use the middle rating; If four agencies rate a security, use the most common rating; If four agencies rate a security with a two way split, use the lower rating; In the highly unlikely event that all four agencies disagree, consider the three lower ratings applying the three rating methodology. Rating are shown in the S&P and DBRS scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency MBS, and CMOs of U.S. Agency MBS. Other Not Rated includes fixed income securities which have not been rated by any rating agency, and cash. MFS has applied its ratings methodology to classify index credit quality. 5 Prior to 1-Apr-12 net returns are not available because McLean Budden Limited chose not to disclose net returns. MFS has not independently verified benchmark data provided by the vendor or the underlying methodology, which may be different than MFS. 2
3 Performance Presentation Report 2018, Q1 Composite: MFS Canadian Long Term Fixed Income Composite Benchmark: Long Overall Bond Index Creation Date: 01-May-2012 Investment Objective: Seeks to provide a moderate real rate of return, through income and capital gains, by investing in a diversified portfolio of primarily Canadian dollar denominated fixed income securities and occasionally a small, flexible allocation to U.S. fixed income securities, primarily with a duration of ten years or longer. Institutional Separate Accounts Fee Schedule Asset Breakpoints (CAD) Fee For Assets Up To 50 MM 25 bp For Assets From 50 MM To 100 MM For Assets Over 100 MM bp 15 bp Accounts in Annualized 3-Year Composite and Benchmark Return % Composite Composite at Standard Deviation Assets in Composite Period Gross of fees Net of fees Benchmark Dispersion End of Period Composite Benchmark (CAD million) %Firm 2018 Q n/a < CA 1, n/a < CA 1, n/a < CA 1, n/a < CA 1, n/a < CA n/a < CA 1, n/a < CA 1, n/a n/a < CA n/a n/a n/a <6 n/a n/a CA n/a n/a 5.49 n/a <6 n/a n/a CA n/a n/a 2.66 n/a <6 n/a n/a CA n/a MFS Investment Management claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. MFS Investment Management has been independently verified for the periods 1-Jan-1988 through 31-Dec Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. Accounts are eligible for inclusion in the composite if they have assets greater than 5 MM USD (6.4 MM CAD). Accounts are included as of their second full month of performance. Total Gross-of-fee returns in CAD (includes both capital appreciation and income) are net of transaction costs, withholding taxes and direct expenses, but before management fees, custody and other indirect expenses. Certain institutional accounts hold Canadian trusts subject to custody and other indirect expenses. From 1- Apr-2012 forward, certain accounts may be subject to Fair Valuation as conditions warrant and typical separate accounts utilize 4:00 PM (London Time) foreign exchange rates; retail products will use rates deemed most appropriate for daily NAV per share calculations. Prior to 1-Apr-2012 utilizes 12:00 PM (Eastern Time) foreign exchange rates. The possibility exists for performance dispersion between otherwise similarly managed accounts and also with the benchmark. Net composite returns are prepared by subtracting from the monthly gross returns one-twelfth of the maximum applicable annual institutional separate account fee. Total returns of the benchmark are provided for each period depicted, expressed in CAD. Source of Benchmark Performance: FACTSET. Benchmark returns and benchmark annualized 3-year standard deviation are not examined by independent accountants. Long Overall Bond Index - a market capitalization index designed as a broad measure of the Canadian long-term fixed income market. Composite Dispersion is measured by the asset-weighted standard deviation of account returns for all accounts in the composite for the full period. For composites containing less than six accounts for the full period, dispersion is deemed not meaningful. Prior to 1-Jan-2015, the maximum institutional separate account fee charged for this product was 30 bps. The net returns depicted in this report are based upon the historical max in effect for each of the periods depicted. The performance record of the old firm, McLean Budden Limited, is linked to the performance record of the new firm, MFS Investment Management, as of 1-Apr Returns from 1-Apr-2012 forward shown on this report are calculated daily based on daily valuation and cash flow data. Monthly returns are calculated from the daily returns using geometric linking. Returns prior to 1-Apr-2012 shown on this report are calculated monthly using the Modified Dietz methodology, which may result in different return figures than those generated daily and linked using daily market values and daily cash flows. Prior to 1-Apr-2012 the minimum asset level for inclusion was two million Canadian dollars for institutional accounts and five hundred thousand Canadian dollars for private equity accounts; an account was eligible for inclusion as of its first full month of performance. Prior to 1-Apr-2012 net returns are not available because McLean Budden Limited chose not to disclose net returns. Because of this, the 2012 net of fees return is shown as n/a. The gross return for 1-Apr-2012 through 31-Dec-2012 is 6.27 and the net return for the same period is Prior to 1-Apr-2012 the percentage of firm assets is not available because neither the assets as a percentage of the old firm nor the assets as a percentage of the new firm are relevant. For purposes of GIPS compliance, the firm is defined as MFS Investment Management which is comprised of Massachusetts Financial Services Company (MFS) and MFS Institutional Advisors, Inc. (MFSI), each of which is a registered investment advisor, MFS Heritage Trust Company, a New Hampshire Trust company, and MFS Investment Management Canada Limited. Total firm assets are calculated at market value and include assets managed by MFS, MFSI, MFS Heritage Trust Company and MFS Investment Management Canada Limited as well as assets managed by MFS and MFSI in a sub-advisory capacity on behalf of affiliated investment advisors that are not registered under the United States Investment Advisers Act of 1940, such as MFS International (U.K.), Ltd. (MIL UK) and MFS Investment Management K.K. (MIMKK), MFS International Singapore Pte. Ltd and MFS International Australia Pty Ltd as well as assets managed by MFS and MFSI on behalf of unaffiliated investment advisors that may or may not be registered under the United States Investment Advisers Act of Total firm assets for GIPS purposes do not include assets of non-discretionary advisory relationships. In November of 2011 MFS acquired McLean Budden Limited (now MFS Investment Management Canada Limited). Total firm assets from 31-Mar-2012 forward include the assets of institutional and pooled MFS Investment Management Canada Limited products. Assets from 31-Dec-2012 forward include the MFS Investment Management Canada Limited PPM product assets. Run Time: 19-Apr-18 11:13:02 AM AF1LTB Page 1 of 2
4 Performance Presentation Report 2018, Q1 A complete list of firm composites and descriptions, along with additional information regarding policies for valuing portfolios, calculating and reporting performance, and preparing compliant presentations are available upon request. Source: FTSE TMX Global Debt Capital Markets Inc FTSE TMX Global Debt Capital Markets Inc ["FTSE " is a trade mark of the London Stock Exchange Group companies and is used under licence." (all countries except Canada and Taiwan)/"FTSE" is a trade mark of FTSE International Ltd and is used under licence." (Canada and Taiwan)] ["TMX" is a trade mark of TSX Inc. and is used under licence]. All rights in the FTSE TMX Global Debt Capital Markets Inc's indices and / or FTSE TMX Global Debt Capital Markets Inc's ratings vest in FTSE TMX Global Debt Capital Markets Inc and/or its licensors. Neither FTSE TMX Global Debt Capital Markets Inc nor its licensors accept any liability for any errors or omissions in such indices and / or ratings or underlying data. No further distribution of FTSE TMX Global Debt Capital Markets Inc's data is permitted without FTSE TMX Global Debt Capital Markets Inc's express written consent. Run Time: 19-Apr-18 11:13:02 AM AF1LTB Page 2 of 2
5 Issued in Canada by MFS Investment Management Canada Limited. No securities commission or similar regulatory authority in Canada has reviewed this communication. MFS Institutional Advisors, Inc. provides certain sub-advisory services to all MFS Investment Management Canada Limited portfolios, including discretionary investment management for the non-canadian equity portfolios, including the non-canadian equity component of the balanced portfolios. Unless otherwise indicated, logos, product and services names are trademarks of MFS and its affiliates and may be registered in certain countries. FOR INSTITUTIONAL USE ONLY.
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