Category: Market Action

We’ve blown a lot of money in Ontari-ari-ari-o, but at least the Chileans know how to make solar power useful:

Valhalla Energia is seeking partners to build a 600-megawatt solar project in Chile that will incorporate hydropower to deliver energy 24 hours a day.

The company is in talks with investors to raise as much as 40 percent of the estimated $1.3 billion needed for the project — $900 million for the solar component and $400 million for a 300-megawatt hydropower system — according to Juan Andres Camus, Santiago-based Valhalla’s co-founder and chief executive officer. The rest will come from bank loans.

“We are looking for sponsors that can be part of the project as equity,” Camus said in an interview in Santiago on March 18. “We are in advanced negotiations.”

The Cielos de Tarapaca solar project aims to produce electricity around the clock, using an integrated solar and hydro system that pumps sea water uphill to a reservoir during the day and letting it flow through turbines at night.

And today’s equity tip is: sell your hypodermic syringe manufacturing stock:

A stick-on patch that tracks, and even regulates, blood sugar levels could be used by people with diabetes one day, according to a new study.

Unlike finger pricking — the traditional method of monitoring levels of the blood sugar glucose — the new patch detects the levels of glucose in a person’s sweat. Research has shown that glucose levels in sweat accurately reflect glucose levels in the blood, the researchers said.

The researchers also showed that the patch can deliver the diabetes drug metformin through the skin and that it can reduce high blood glucose levels in mice with diabetes.

Meanwhile, Fed governor Charles Evans took a dovish stance on policy rates:

Federal Reserve Bank of Chicago President Charles Evans said policy makers rightly refrained from raising interest rates this month after a rocky start to the year clouded the economic outlook.

“The rationale for no rate change in March is that economic and financial risks seem somewhat higher for 2016 than we had hoped back last December when we first began raising rates,” Evans said Tuesday in a speech in Chicago. “Most of the Federal Open Market Committee’s cautionary pause in the rate normalization path is about assessing risks and just being careful.”

There was a federal budget today, which will be discussed by many more verbose people than me. So I’ll just say it’s pretty much as expected, with some stuff that looks halfway reasonable at first sight:

The Liberals have set aside $11.9-billion for public transit, affordable housing, wastewater systems and $3.4-billion to upgrade parks, harbours, border crossings, federal airports and to clean up contaminated sites across the country.

…. but looks like a ridiculous feel-good boondoggle at second glance:

… and some stuff which will be popular among morons, but is really just an exceptionally cruel way of ensuring the next generation is brought up in an isolated environment with no jobs, no hope, no future and nothing to do except drink:

Prime Minister Justin Trudeau promised “historic investments” to First Nations and the budget followed through with $8.4-billion for education, housing and clean drinking water.

… the return of the Subsidies For Sleazebags Programme:

To facilitate access to venture capital for small and medium-sized businesses and support saving by the middle class, Budget 2016 proposes to restore the Labour-Sponsored Venture Capital Corporations (LSVCC) tax credit to 15 per cent for share purchases of provincially registered LSVCCs for 2016 and subsequent tax years. The measure will provide federal tax relief of about $815 million over the 2015–16 to 2020–21 period.

The proposed bail-in regime has been endorsed, at least in principle:

To protect Canadian taxpayers in the unlikely event of a large bank failure, the Government is proposing to implement a bail-in regime that would reinforce that bank shareholders and creditors are responsible for the bank’s risks—not taxpayers. This would allow authorities to convert eligible long-term debt of a failing systemically important bank into common shares to recapitalize the bank and allow it to remain open and operating. Such a measure is in line with international efforts to address the potential risks to the financial system and broader economy of institutions perceived as “too-big-to-fail”.

The Government is proposing to introduce framework legislation for the regime along with accompanying enhancements to Canada’s bank resolution toolkit. Regulations and guidelines setting out further features of the regime will follow. This will provide stakeholders with an additional opportunity to comment on elements of the proposed regime.

So we’ll see how it goes.

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	5.05 %	6.15 %	10,528	16.47	1	0.0000 %	1,551.8
FixedFloater	7.07 %	6.21 %	24,391	16.05	1	0.6742 %	2,812.6
Floater	4.67 %	4.80 %	64,968	15.87	4	1.8360 %	1,658.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1288 %	2,765.2
SplitShare	4.82 %	5.69 %	73,698	1.63	7	-0.1288 %	3,235.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1288 %	2,524.7
Perpetual-Premium	5.79 %	-3.66 %	86,040	0.08	6	0.1466 %	2,553.4
Perpetual-Discount	5.65 %	5.68 %	96,764	14.38	33	0.0497 %	2,567.7
FixedReset	5.43 %	5.02 %	185,513	13.84	87	0.9074 %	1,879.5
Deemed-Retractible	5.25 %	5.71 %	131,519	6.91	34	-0.0327 %	2,591.4
FloatingReset	3.09 %	4.99 %	38,627	5.42	16	0.3662 %	1,992.2

Performance Highlights
Issue	Index	Change	Notes
BMO.PR.T	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.49 Evaluated at bid price : 17.49 Bid-YTW : 4.52 %
CU.PR.F	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.64 %
PWF.PR.P	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 4.84 %
HSE.PR.E	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.96 %
BMO.PR.Q	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.93 %
TD.PF.B	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.44 %
TD.PF.C	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.43 %
SLF.PR.I	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 8.00 %
FTS.PR.M	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 4.99 %
NA.PR.Q	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.56 Bid-YTW : 4.57 %
NA.PR.S	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.68 %
BAM.PF.G	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 5.22 %
SLF.PR.H	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.36 %
TRP.PR.E	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.71 %
BAM.PF.H	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.20 %
CM.PR.O	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.43 %
BAM.PR.R	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 5.19 %
BAM.PF.F	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 5.18 %
NA.PR.W	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 4.78 %
TD.PF.A	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.43 %
BAM.PR.Z	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.29 %
BAM.PF.A	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 5.24 %
FTS.PR.K	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 4.79 %
TRP.PR.G	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.12 %
TRP.PR.D	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 4.86 %
TRP.PR.C	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.99 %
MFC.PR.L	FixedReset	1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.43 %
MFC.PR.H	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.92 Bid-YTW : 7.11 %
CM.PR.Q	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.66 %
IFC.PR.A	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.91 Bid-YTW : 10.80 %
BAM.PF.B	FixedReset	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.23 %
BAM.PR.K	Floater	2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 9.75 Evaluated at bid price : 9.75 Bid-YTW : 4.85 %
RY.PR.J	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 4.72 %
BAM.PF.E	FixedReset	2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 5.02 %
BAM.PR.B	Floater	2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 9.85 Evaluated at bid price : 9.85 Bid-YTW : 4.80 %
BAM.PR.C	Floater	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 9.75 Evaluated at bid price : 9.75 Bid-YTW : 4.85 %
RY.PR.M	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.66 %
FTS.PR.I	FloatingReset	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.79 %
TRP.PR.B	FixedReset	2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 10.65 Evaluated at bid price : 10.65 Bid-YTW : 4.80 %
TD.PF.D	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.59 %
TRP.PR.F	FloatingReset	2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.94 %
IFC.PR.C	FixedReset	2.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 8.69 %
HSE.PR.A	FixedReset	2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 5.99 %
BAM.PR.X	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 13.63 Evaluated at bid price : 13.63 Bid-YTW : 4.89 %
FTS.PR.H	FixedReset	3.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 12.08 Evaluated at bid price : 12.08 Bid-YTW : 4.69 %
TRP.PR.A	FixedReset	3.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.79 %
CU.PR.C	FixedReset	4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 4.72 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.R	FixedReset	182,165	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 5.07 %
BNS.PR.Q	FixedReset	179,917	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.23 Bid-YTW : 4.48 %
GWO.PR.I	Deemed-Retractible	103,710	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.03 Bid-YTW : 6.95 %
BNS.PR.R	FixedReset	100,685	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.64 Bid-YTW : 4.42 %
PWF.PR.F	Perpetual-Discount	94,846	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 23.09 Evaluated at bid price : 23.35 Bid-YTW : 5.70 %
BNS.PR.G	FixedReset	93,805	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.59 Bid-YTW : 5.05 %
There were 44 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.I	FloatingReset	Quote: 10.00 – 10.89 Spot Rate : 0.8900 Average : 0.5779 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.79 %
CU.PR.H	Perpetual-Discount	Quote: 23.30 – 24.00 Spot Rate : 0.7000 Average : 0.4468 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 22.89 Evaluated at bid price : 23.30 Bid-YTW : 5.67 %
FTS.PR.F	Perpetual-Discount	Quote: 22.15 – 22.69 Spot Rate : 0.5400 Average : 0.3560 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 5.58 %
ELF.PR.G	Perpetual-Discount	Quote: 20.07 – 20.52 Spot Rate : 0.4500 Average : 0.2843 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 6.04 %
BNS.PR.B	FloatingReset	Quote: 21.00 – 21.45 Spot Rate : 0.4500 Average : 0.3091 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.36 %
FTS.PR.G	FixedReset	Quote: 15.58 – 16.03 Spot Rate : 0.4500 Average : 0.3173 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-22 Maturity Price : 15.58 Evaluated at bid price : 15.58 Bid-YTW : 4.84 %

I mentioned Google’s proposed sale of Boston Dynamics on March 17. Jack Clark of Bloomberg has some colour commentary on the matter:

Google’s decision to try to shed its Boston Dynamics robotics group highlights a fundamental research problem: software is far easier to develop and test than hardware. That’s especially true when dealing with artificial intelligence and robotics.

Today’s industrial robots tend to be dumb machines, operating on pre-programmed routines, and are housed in metal cages to stop people walking into their zone of movement and potentially getting harmed. With Boston Dynamics, Google was working on machines that could break out of the rigid confines of the factory and perform a broader range of tasks. That requires dealing with a range of unsolved problems, requiring fundamental research.
…
Boston Dynamics’s robots need technology that doesn’t exist yet. The software to control them and give them autonomy is still a research problem being worked on by universities around the world. This is likely why Google thought it would take a decade to develop Boston Dynamics’s technology into a commercial product.

Possible acquirers include the Toyota Research Institute, a division of Toyota Motor Corp., and Amazon.com Inc., which makes robots for its fulfillment centers, according to a person familiar with Google’s plans. Toyota declined to comment, and Amazon didn’t respond to requests for comment.

It’s rare to see a company to build a product that requires such fundamental research in a number of areas, said John Schulman, a researcher with AI group OpenAI. “Having a humanoid robot that goes around and does interesting things in the real world, like maybe cleans up your house, that’s just way beyond the current state of the science.”

But on the other hand, perhaps my robotic 4am pizza delivery will arrive soon!

Domino’s Australia and Domino’s New Zealand have both released teaser videos featuring a sleek-looking new delivery robot – the Domino’s Robotic Unit (DRU). They designed the robot along with the help of Australian startup Marathon Robotics using GPS tracking and sensors to navigate around to customers’ houses.

The four-wheeled robot has multiple compartments that keeps up to 10 pizzas toastie warm, whilst a refrigerating section keeps drinks and desserts cool. The Guardian reports that customers can open the compartments by entering a security code into their smartphone when the robot arrives at their door.

There’s no word yet on when exactly Domino’s will be making the DRU a reality, though. In a statement they announced: “While he won’t be taking to the streets tomorrow, DRU is a big step forward in the work Domino’s is doing in the future commercialisation of this technology.”

And the delivery companies are lobbying for better infrastructure:

Amazon declined requests to comment for this article. But on a recent earnings call, Amazon’s chief financial officer, Brian Olsavsky, explained why Amazon wanted to move more aggressively into delivery.
…
In addition, the company’s shipping costs rose 19 percent, to $5 billion, in 2015. The millions of members of its Prime annual subscription service, Amazon’s most frequent customers, have helped feed the surge. Those customers receive free shipping for many products.
…
Already, the company’s drone push in Washington has had some success. Amazon has worked with NASA, for example, to create an air traffic system that would establish lanes in the sky for drones.

Amazon has also urged Congress to adopt rules that would allow the retailer to fly drones beyond a pilot’s line of sight, a crucial hurdle to Amazon’s goal of operating drones from its warehouses. This effort is expected to face an important test soon. This month, the Senate Transportation Committee drafted a bill that would ensure rules for delivery drones within two years.
…
Amazon is arguing for changes in many other areas, too. Already, Mr. Misener, the lead lobbyist, has called for an overhaul of an arcane system of international delivery rates that he says give foreign e-commerce rivals an unfair advantage to deliver to American homes.

He also urged the approval of legislation that aims to improve roads, bridges and railways. The bill was passed by Congress and signed into law in December.

Meanwhile, it seems to me that the homogeneity of Treasury buyers brought about by low yields is showing its downside:

The 22 primary dealers held more Treasuries last month than any time in the last two years, Federal Reserve Bank of New York data show. While at first glance that may suggest a bullish stance, the surge in holdings is more likely the result of investors including central banks dumping the debt on the firms, said JPMorgan Chase & Co. strategist Jay Barry. Foreign official accounts sold a net $105 billion of the securities in December and January, an unprecedented liquidation, Treasury Department data show.
…
As the world’s biggest bond dealers — including banks such as Bank of America Corp., Goldman Sachs Group Inc. and JPMorgan — struggled to get rid of the burgeoning pile of debt, the premium for the newest, easiest-to-trade Treasuries soared to the highest since 2011. The firms’ efforts to hedge all the Treasuries collecting on their balance sheets also roiled the futures market and a crucial corner of the financial system where traders lend and borrow securities overnight.
…
Dealers moved to minimize the risk of holding so many tough-to-unload securities by selling, or shorting, benchmark notes, said Barry of JPMorgan. They had the biggest bearish position in the newest 30-year bonds since May in the week ended March 9, according to a Credit Agricole SA analysis of New York Fed data.

Part of the fallout was seen in the $1.6 trillion market for repurchase agreements, or repos, where Wall Street goes to exchange securities for overnight cash.

The combination of dealer demand, a global government-debt rally and reduced auction sizes caused a shortage in the repo market for the securities needed to close short positions in 10-year debt. Failures to deliver 10-year notes surged in the week ended March 9 to the most since at least 2013. For all Treasuries, failures reached the highest since the financial crisis, New York Fed data show.

Demand was so great for the benchmark 10-year note that its repo rate traded at about negative 3 percent for more than a week, before an auction of the debt settled March 15 and eased the shortage. At that level, the cost of borrowing the security in the repo market was steeper than the 3 percent penalty for uncompleted trades, leading more traders to opt to let deals fail.

Two Fed governors are talking up the chances for an early hike – but, of course, this could be merely a ploy to keep the markets honest:

“There is sufficient momentum evidenced by the economic data to justify a further step at one of the coming meetings, possibly as early as the meeting scheduled for end of April,” Federal Reserve Bank of Atlanta President Dennis Lockhart said Monday in Savannah, Georgia.
…
Lockhart is a policy-centrist and doesn’t vote on the FOMC this year. His moderately upbeat assessment of the U.S. economy was shared by San Francisco Fed chief John Williams.

“All else equal, assuming everything else is basically the same and the data flow continues the way I hope and expect, then April or June would definitely be potential times to have an increase in interest rates,” he told Market News International in an interview published earlier on Monday. Williams, a former head of research for Fed Chair Janet Yellen when she ran the San Francisco Fed, also doesn’t vote on policy in 2016.

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	5.05 %	6.15 %	10,905	16.47	1	1.5152 %	1,551.8
FixedFloater	7.12 %	6.26 %	24,724	16.01	1	-1.1843 %	2,793.8
Floater	4.75 %	4.91 %	65,837	15.68	4	-1.4378 %	1,628.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.5283 %	2,768.8
SplitShare	4.81 %	5.61 %	71,630	1.64	7	0.5283 %	3,240.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.5283 %	2,528.0
Perpetual-Premium	5.79 %	-3.85 %	87,352	0.08	6	0.1782 %	2,549.7
Perpetual-Discount	5.65 %	5.68 %	99,667	14.30	33	0.1995 %	2,566.4
FixedReset	5.48 %	5.15 %	187,524	14.30	87	0.3938 %	1,862.6
Deemed-Retractible	5.25 %	5.67 %	132,263	6.92	34	0.2132 %	2,592.3
FloatingReset	3.10 %	5.08 %	38,896	5.42	16	0.1490 %	1,984.9

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.C	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 11.31 Evaluated at bid price : 11.31 Bid-YTW : 5.07 %
PWF.PR.A	Floater	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.32 %
BAM.PR.B	Floater	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 9.63 Evaluated at bid price : 9.63 Bid-YTW : 4.91 %
BAM.PR.C	Floater	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 9.53 Evaluated at bid price : 9.53 Bid-YTW : 4.96 %
BAM.PR.G	FixedFloater	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 25.00 Evaluated at bid price : 13.35 Bid-YTW : 6.26 %
SLF.PR.I	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.80 Bid-YTW : 8.16 %
PVS.PR.E	SplitShare	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 6.53 %
MFC.PR.N	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.23 %
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 : 20.72 Bid-YTW : 7.19 %
HSB.PR.D	Deemed-Retractible	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.40 %
FTS.PR.G	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.87 %
TD.PF.D	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.71 %
BNS.PR.Z	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.97 Bid-YTW : 7.27 %
PVS.PR.D	SplitShare	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.97 Bid-YTW : 6.33 %
VNR.PR.A	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.35 %
BAM.PR.E	Ratchet	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 25.00 Evaluated at bid price : 13.40 Bid-YTW : 6.15 %
MFC.PR.M	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.22 %
HSE.PR.E	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.03 %
TD.PF.E	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 4.72 %
BMO.PR.Y	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.71 %
BMO.PR.T	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.45 %
MFC.PR.G	FixedReset	2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.06 Bid-YTW : 8.19 %
HSE.PR.G	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 5.98 %
MFC.PR.K	FixedReset	2.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 8.89 %
MFC.PR.L	FixedReset	3.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.90 Bid-YTW : 8.67 %
HSE.PR.A	FixedReset	3.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 10.01 Evaluated at bid price : 10.01 Bid-YTW : 6.17 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.H	FixedReset	128,018	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.48 %
CM.PR.P	FixedReset	111,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 4.46 %
BNS.PR.O	Deemed-Retractible	99,700	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : -0.78 %
TD.PF.G	FixedReset	91,857	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 5.16 %
RY.PR.R	FixedReset	77,555	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 5.22 %
BNS.PR.E	FixedReset	68,909	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 23.37 Evaluated at bid price : 25.71 Bid-YTW : 5.15 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.O	FixedReset	Quote: 25.60 – 26.72 Spot Rate : 1.1200 Average : 0.6164 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 5.19 %
GWO.PR.O	FloatingReset	Quote: 11.55 – 12.95 Spot Rate : 1.4000 Average : 0.9052 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.55 Bid-YTW : 11.65 %
SLF.PR.H	FixedReset	Quote: 15.30 – 15.85 Spot Rate : 0.5500 Average : 0.3909 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.30 Bid-YTW : 9.54 %
BNS.PR.R	FixedReset	Quote: 23.51 – 23.99 Spot Rate : 0.4800 Average : 0.3508 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.52 %
CU.PR.C	FixedReset	Quote: 16.30 – 16.71 Spot Rate : 0.4100 Average : 0.2877 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.92 %
FTS.PR.K	FixedReset	Quote: 15.40 – 15.83 Spot Rate : 0.4300 Average : 0.3097 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-21 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 4.87 %

Nothing happened today.

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	5.12 %	6.24 %	10,936	16.37	1	-1.4925 %	1,528.6
FixedFloater	7.03 %	6.18 %	24,927	16.11	1	0.0000 %	2,827.3
Floater	4.69 %	4.82 %	65,164	15.84	4	0.7996 %	1,652.2
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0659 %	2,754.2
SplitShare	4.83 %	5.68 %	71,608	1.64	7	-0.0659 %	3,223.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0659 %	2,514.7
Perpetual-Premium	5.80 %	-2.06 %	85,687	0.08	6	0.0727 %	2,545.1
Perpetual-Discount	5.66 %	5.70 %	99,230	14.25	33	0.5198 %	2,561.3
FixedReset	5.50 %	5.22 %	189,624	14.23	87	0.0343 %	1,855.3
Deemed-Retractible	5.26 %	5.64 %	122,380	5.10	34	0.5249 %	2,586.8
FloatingReset	3.14 %	5.13 %	40,512	5.42	16	0.1684 %	1,981.9

Performance Highlights
Issue	Index	Change	Notes
BMO.PR.Y	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.89 %
BAM.PR.E	Ratchet	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 25.00 Evaluated at bid price : 13.20 Bid-YTW : 6.24 %
MFC.PR.M	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.41 Bid-YTW : 8.50 %
RY.PR.L	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.33 %
NA.PR.W	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.95 %
SLF.PR.G	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.21 Bid-YTW : 10.59 %
CM.PR.Q	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.79 %
CU.PR.E	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 21.56 Evaluated at bid price : 21.91 Bid-YTW : 5.63 %
PWF.PR.S	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 21.33 Evaluated at bid price : 21.62 Bid-YTW : 5.62 %
SLF.PR.E	Deemed-Retractible	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.49 Bid-YTW : 7.31 %
MFC.PR.B	Deemed-Retractible	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 7.12 %
SLF.PR.D	Deemed-Retractible	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.37 Bid-YTW : 7.34 %
MFC.PR.C	Deemed-Retractible	1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.48 Bid-YTW : 7.35 %
GWO.PR.P	Deemed-Retractible	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.07 Bid-YTW : 5.95 %
CU.PR.H	Perpetual-Discount	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 23.17 Evaluated at bid price : 23.47 Bid-YTW : 5.63 %
GWO.PR.Q	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.11 Bid-YTW : 6.28 %
BNS.PR.F	FloatingReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.76 Bid-YTW : 8.19 %
GWO.PR.G	Deemed-Retractible	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.33 Bid-YTW : 6.20 %
GWO.PR.R	Deemed-Retractible	1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.71 Bid-YTW : 6.81 %
SLF.PR.A	Deemed-Retractible	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.86 Bid-YTW : 6.66 %
CU.PR.G	Perpetual-Discount	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 5.62 %
HSE.PR.A	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 9.70 Evaluated at bid price : 9.70 Bid-YTW : 6.57 %
BNS.PR.D	FloatingReset	1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.37 Bid-YTW : 8.11 %
SLF.PR.H	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 9.68 %
CU.PR.D	Perpetual-Discount	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 21.72 Evaluated at bid price : 22.00 Bid-YTW : 5.61 %
GWO.PR.H	Deemed-Retractible	1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.81 Bid-YTW : 6.80 %
SLF.PR.B	Deemed-Retractible	1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 6.59 %
GWO.PR.S	Deemed-Retractible	1.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 6.01 %
GWO.PR.I	Deemed-Retractible	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.97 Bid-YTW : 6.98 %
CU.PR.F	Perpetual-Discount	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.61 %
BAM.PR.K	Floater	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 9.62 Evaluated at bid price : 9.62 Bid-YTW : 4.91 %
TD.PF.A	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 17.73 Evaluated at bid price : 17.73 Bid-YTW : 4.59 %
FTS.PR.H	FixedReset	2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 5.00 %
TRP.PR.C	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 11.60 Evaluated at bid price : 11.60 Bid-YTW : 5.07 %
BAM.PR.T	FixedReset	3.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 5.25 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.D	Deemed-Retractible	130,092	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.37 Bid-YTW : 7.34 %
GWO.PR.M	Deemed-Retractible	125,410	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-31 Maturity Price : 25.25 Evaluated at bid price : 25.40 Bid-YTW : 5.35 %
RY.PR.Q	FixedReset	83,130	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 23.33 Evaluated at bid price : 25.58 Bid-YTW : 5.26 %
RY.PR.R	FixedReset	71,182	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 5.25 %
SLF.PR.H	FixedReset	65,305	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 9.68 %
TRP.PR.C	FixedReset	55,140	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 11.60 Evaluated at bid price : 11.60 Bid-YTW : 5.07 %
There were 35 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.Q	FloatingReset	Quote: 10.75 – 11.75 Spot Rate : 1.0000 Average : 0.7626 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.88 %
CCS.PR.C	Deemed-Retractible	Quote: 21.45 – 21.99 Spot Rate : 0.5400 Average : 0.3085 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 7.21 %
TD.PF.B	FixedReset	Quote: 17.63 – 18.13 Spot Rate : 0.5000 Average : 0.3242 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-18 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 4.61 %
RY.PR.L	FixedReset	Quote: 24.52 – 24.89 Spot Rate : 0.3700 Average : 0.2195 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.33 %
BMO.PR.Q	FixedReset	Quote: 17.90 – 18.36 Spot Rate : 0.4600 Average : 0.3180 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.90 Bid-YTW : 8.37 %
BNS.PR.F	FloatingReset	Quote: 17.76 – 18.49 Spot Rate : 0.7300 Average : 0.6032 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.76 Bid-YTW : 8.19 %

There is an indication that Google has become a mature company – and that’s not a good thing:

But behind the scenes a more pedestrian drama was playing out. Executives at Google parent Alphabet Inc., absorbed with making sure all the various companies under its corporate umbrella have plans to generate real revenue, concluded that Boston Dynamics isn’t likely to produce a marketable product in the next few years and have put the unit up for sale, according to two people familiar with the company’s plans.

Possible acquirers include the Toyota Research Institute, a division of Toyota Motor Corp., and Amazon.com Inc., which makes robots for its fulfillment centers, according to one person. Google and Toyota declined to comment, and Amazon didn’t respond to requests for comment.
…
Boston Dynamics, though, was never folded into Google X and was instead put up for sale. After the division’s latest robot video was posted to YouTube, in February, Google’s public-relations team expressed discomfort that Alphabet would be associated with a push into humanoid robotics. Their subsequent e-mails were also published to the internal online forum and became visible to all Google employees.

“There’s excitement from the tech press, but we’re also starting to see some negative threads about it being terrifying, ready to take humans’ jobs,” wrote Courtney Hohne, a director of communications at Google and the spokeswoman for Google X.

Hohne went on to ask her colleagues to “distance X from this video,” and wrote, “we don’t want to trigger a whole separate media cycle about where BD really is at Google.”

“We’re not going to comment on this video because there’s really not a lot we can add, and we don’t want to answer most of the Qs it triggers,” she wrote.

Demanding instant profitability … terrified of negative press … this is indicative of a company in which the careerists and managers have taken over from the innovators and visionaries. Don’t get me wrong – Google will, I am sure, continue to do excellent work. Just like Microsoft, they will be able to produce very high quality products simply by dint of their ability to spend more money on development than anybody else. But the situation with Boston Dynamics is an indication that their tenure as disruptors is over.

Pembina Pipelines has announced:

that it has entered into agreements to acquire certain sour natural gas processing assets (the “Acquired Assets”) from Paramount Resources (“Paramount”) for cash consideration of approximately $556 million, subject to customary closing adjustments (the “Transaction”).

The Acquired Assets include Paramount’s recently constructed Kakwa sour natural gas processing complex and associated infrastructure including gas gathering pipelines, sales gas pipeline and future disposal wells (the “Kakwa Assets”); and Paramount’s preliminary engineering studies, licenses and surface rights for the future construction of a sour natural gas processing facility (the “6-18 Facility”). The Transaction will add 250 million cubic feet per day (“mmcf/d”) of processing capacity in one of Pembina’s core areas. This will increase total processing capacity under Pembina’s Gas Services business to over 1.7 billion cubic feet per day (“bcf/d”), inclusive of the Musreau III and the Resthaven expansions which are expected to be on-stream by mid-2016, making Pembina one of the largest third-party gas processors serving the Western Canadian Sedimentary Basin.

They later announced:

that it has entered into an agreement with a syndicate of underwriters, co-led by Scotiabank and RBC Capital Markets, pursuant to which the underwriters have agreed to purchase from Pembina on a “bought deal” basis and sell to the public 8,825,000 common shares at a price of $34.00 per share, for gross proceeds of approximately $300 million. Pembina has also granted the underwriters an over-allotment option to purchase, on the same terms and exercisable not more than 30 days after the closing of the offering, up to an additional 1,323,750 common shares for additional gross proceeds of up to $45 million. Closing of the offering is expected to occur on or about March 29, 2016, in which case purchasers under this offering who are shareholders of record on April 25, 2016 (the “Record Date”) will be entitled to receive the Company’s monthly cash dividend payable on May 13, 2016 in respect of any common shares held on the Record Date.

Pembina intends to use the net proceeds from the offering, together with funds available under the Company’s existing credit facilities to finance the purchase price for its proposed acquisition of certain natural gas processing assets from Paramount Resources.

In response, DBRS announced that it:

notes that Pembina Pipeline Corporation (Pembina or the Company; rated BBB with a Stable trend by DBRS) has announced its agreement to acquire the Kakwa Assets and the 6-18 Facility (Acquisition Assets) from Paramount Resources, Inc. (Paramount) for total consideration of $556 million (the Acquisition). The purchase price will be funded by net proceeds from the Company’s concurrently announced $300 million bought deal common share financing and existing capacity under the $2.0 billion revolving credit facility. The Acquisition is expected to close in Q2 2016, pending approval under the Competition Act (Canada) and other customary closing conditions. Based on DBRS’s initial review of the Acquisition Assets and Pembina’s financing plan, DBRS believes that the Acquisition will not have a material impact on the Company’s credit profile.

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	5.05 %	6.15 %	11,053	16.48	1	-0.7407 %	1,551.8
FixedFloater	7.03 %	6.18 %	24,480	16.11	1	0.0741 %	2,827.3
Floater	4.72 %	4.85 %	66,039	15.80	4	-1.3557 %	1,639.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3745 %	2,756.0
SplitShare	4.83 %	5.62 %	71,608	1.65	7	-0.3745 %	3,225.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3745 %	2,516.3
Perpetual-Premium	5.80 %	-0.34 %	89,036	0.08	6	0.0859 %	2,543.3
Perpetual-Discount	5.69 %	5.74 %	100,014	14.21	33	0.2901 %	2,548.0
FixedReset	5.50 %	5.22 %	191,562	14.20	87	0.3195 %	1,854.7
Deemed-Retractible	5.29 %	5.57 %	121,422	5.11	34	0.3129 %	2,573.3
FloatingReset	3.14 %	5.16 %	40,704	5.42	16	0.0345 %	1,978.6

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.03 %
BAM.PR.X	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.28 %
CIU.PR.C	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 10.36 Evaluated at bid price : 10.36 Bid-YTW : 5.26 %
SLF.PR.H	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 9.91 %
TRP.PR.C	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 5.21 %
MFC.PR.F	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.24 Bid-YTW : 11.62 %
MFC.PR.K	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.09 Bid-YTW : 9.31 %
MFC.PR.L	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.42 Bid-YTW : 9.13 %
TRP.PR.B	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 10.28 Evaluated at bid price : 10.28 Bid-YTW : 5.12 %
PVS.PR.D	SplitShare	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 6.61 %
TRP.PR.F	FloatingReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 11.77 Evaluated at bid price : 11.77 Bid-YTW : 5.08 %
PWF.PR.P	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 11.89 Evaluated at bid price : 11.89 Bid-YTW : 5.06 %
GWO.PR.N	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 10.66 %
BNS.PR.M	Deemed-Retractible	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 5.02 %
RY.PR.E	Deemed-Retractible	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.36 Bid-YTW : 5.09 %
TRP.PR.A	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 5.10 %
TD.PF.B	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.59 %
SLF.PR.I	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.40 %
NA.PR.S	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.58 Evaluated at bid price : 17.58 Bid-YTW : 4.83 %
HSE.PR.G	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.18 %
BMO.PR.M	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.47 Bid-YTW : 4.09 %
NA.PR.W	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.88 %
W.PR.H	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 22.91 Evaluated at bid price : 23.18 Bid-YTW : 6.03 %
MFC.PR.G	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.80 Bid-YTW : 8.48 %
CM.PR.P	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 4.60 %
CM.PR.O	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.64 %
RY.PR.Z	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.52 %
RY.PR.M	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 18.13 Evaluated at bid price : 18.13 Bid-YTW : 4.83 %
MFC.PR.M	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 8.30 %
TRP.PR.E	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.89 %
BMO.PR.S	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.64 %
FTS.PR.M	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.14 %
BAM.PF.C	Perpetual-Discount	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.14 %
TD.PR.Z	FloatingReset	2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.35 %
HSE.PR.A	FixedReset	2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 9.55 Evaluated at bid price : 9.55 Bid-YTW : 6.67 %
FTS.PR.H	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 11.36 Evaluated at bid price : 11.36 Bid-YTW : 5.13 %
RY.PR.H	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.58 %
TD.PF.C	FixedReset	2.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.54 %

Volume Highlights
Issue	Index	Shares Traded	Notes
HSE.PR.A	FixedReset	251,009	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 9.55 Evaluated at bid price : 9.55 Bid-YTW : 6.67 %
CU.PR.E	Perpetual-Discount	117,469	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 21.38 Evaluated at bid price : 21.67 Bid-YTW : 5.69 %
POW.PR.G	Perpetual-Discount	106,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 23.91 Evaluated at bid price : 24.37 Bid-YTW : 5.83 %
BNS.PR.G	FixedReset	97,990	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 5.23 %
BAM.PR.M	Perpetual-Discount	96,592	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.02 %
BAM.PF.D	Perpetual-Discount	95,090	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.14 %
There were 32 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.D	FloatingReset	Quote: 17.09 – 17.72 Spot Rate : 0.6300 Average : 0.4388 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.09 Bid-YTW : 8.41 %
BNS.PR.Y	FixedReset	Quote: 18.86 – 19.25 Spot Rate : 0.3900 Average : 0.2350 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.86 Bid-YTW : 7.06 %
POW.PR.G	Perpetual-Discount	Quote: 24.37 – 24.79 Spot Rate : 0.4200 Average : 0.2766 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 23.91 Evaluated at bid price : 24.37 Bid-YTW : 5.83 %
CU.PR.I	FixedReset	Quote: 25.15 – 25.50 Spot Rate : 0.3500 Average : 0.2224 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 23.23 Evaluated at bid price : 25.15 Bid-YTW : 4.38 %
BAM.PR.K	Floater	Quote: 9.40 – 9.85 Spot Rate : 0.4500 Average : 0.3278 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-17 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.03 %
PVS.PR.B	SplitShare	Quote: 23.83 – 24.30 Spot Rate : 0.4700 Average : 0.3491 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.83 Bid-YTW : 6.27 %

Today’s big new was the FOMC Release:

Information received since the Federal Open Market Committee met in January suggests that economic activity has been expanding at a moderate pace despite the global economic and financial developments of recent months. Household spending has been increasing at a moderate rate, and the housing sector has improved further; however, business fixed investment and net exports have been soft. A range of recent indicators, including strong job gains, points to additional strengthening of the labor market. Inflation picked up in recent months; however, it continued to run below the Committee’s 2 percent longer-run objective, partly reflecting declines in energy prices and in prices of non-energy imports. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed, on balance, in recent months.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee currently expects that, with gradual adjustments in the stance of monetary policy, economic activity will expand at a moderate pace and labor market indicators will continue to strengthen. However, global economic and financial developments continue to pose risks. Inflation is expected to remain low in the near term, in part because of earlier declines in energy prices, but to rise to 2 percent over the medium term as the transitory effects of declines in energy and import prices dissipate and the labor market strengthens further. The Committee continues to monitor inflation developments closely.

Against this backdrop, the Committee decided to maintain the target range for the federal funds rate at 1/4 to 1/2 percent. The stance of monetary policy remains accommodative, thereby supporting further improvement in labor market conditions and a return to 2 percent inflation.
…
Voting against the action was Esther L. George, who preferred at this meeting to raise the target range for the federal funds rate to 1/2 to 3/4 percent.

The press conference added a little colour:

“You have seen a shift this time, in most participants assessments of the appropriate path for policy,” Fed Chair Janet Yellen said at a press conference in Washington. “That largely reflects a somewhat slower projected path for global growth, for growth in the global economy outside the United States, and for some tightening in credit conditions in the form of an increase in spreads.”

Yields on Treasury securities fell following the Fed’s actions, with the rate on the 10-year note dropping to 1.91 percent at 4:25 p.m. in New York from 1.99 percent just before the announcement.
…
“The tone of the FOMC statement and accompanying economic projections was dovish,” Neil Dutta, head of U.S. economist at Renaissance Macro Research LLC in New York, said in a research note. The reference to global risks “pushes the Fed in the role of the world’s central bank. In this role, the Fed needs to let inflation in the U.S. surge to offset disinflation in the rest of the world.”
…
The median of Fed officials’ projections, known as the “dot plot,” saw the federal funds rate at 1.875 percent at the end of 2017, compared with 2.375 percent forecast in December. The end-2018 level fell to 3 percent, from 3.25 percent, with the longer-run projection at 3.25 percent, down from 3.5 percent.

And Brian Milner writes in the Globe:

The Fed expects the job market to continue strengthening, with unemployment sliding to 4.7 per cent by the end of this year and falling further in subsequent years. Yet, it has slightly lowered its outlook for both economic growth and inflation – expecting the latter to remain below the 2 per cent target through next year – and reduced its long-term rate forecast to 3.3 per cent from 3.5 per cent, which implies that we won’t be seeing an economic boom any time soon south of the border.

The Fed’s policy doves, led by Ms. Yellen, seem likely to hold sway, particularly now that inflation is expected to reach only 1.2 per cent this year, down from the Fed’s earlier forecast of 1.6. Gauged by Fed funds futures trading, the market is expecting the next modest hike in June and one more before the end of the year. But that is by no means a sure bet.

“Reduced uncertainty about global economic and financial developments or further meaningful gains in the labour market and core inflation, or some combination of all of these, would appear to be the necessary condition for the next normalization step,” Michael Gregory, deputy chief economist with BMO, said in a note.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 7bp, FixedResets up 10bp and DeemedRetractibles off 9bp. The Performance Highlights table shows churn. Volume was average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.23 to be $1.09 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.71 cheap at its bid price of 18.18.

Most expensive is MFC.PR.O, resetting at +497bp on 2021-6-19, bid at 25.39 to be 0.84 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.56 to be 1.44 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.25 to be $0.85 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.40 and appears to be $1.05 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.42 looks $0.61 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 11.12 and is $0.52 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.98%, with two outliers below -2.00% and one above 0.00%. There are four junk outliers above 0.00%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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	5.01 %	6.10 %	11,506	16.54	1	6.4669 %	1,563.4
FixedFloater	7.04 %	6.18 %	24,589	16.11	1	0.7463 %	2,825.2
Floater	4.66 %	4.82 %	66,871	15.85	4	0.6200 %	1,661.6
OpRet	0.00 %	0.00 %	0	0.00	0	0.2638 %	2,766.4
SplitShare	4.81 %	5.51 %	71,958	1.65	7	0.2638 %	3,237.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2638 %	2,525.8
Perpetual-Premium	5.81 %	-0.06 %	88,540	0.08	6	-0.0462 %	2,541.1
Perpetual-Discount	5.70 %	5.76 %	99,768	14.18	33	0.0685 %	2,540.7
FixedReset	5.52 %	5.23 %	192,152	14.20	87	0.1002 %	1,848.8
Deemed-Retractible	5.31 %	5.64 %	121,603	5.11	34	-0.0877 %	2,565.3
FloatingReset	3.14 %	5.14 %	40,494	5.42	16	-0.0191 %	1,977.9

Performance Highlights
Issue	Index	Change	Notes
VNR.PR.A	FixedReset	-2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.55 %
TD.PF.D	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 4.90 %
TD.PR.Z	FloatingReset	-2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.57 Bid-YTW : 5.73 %
BAM.PF.C	Perpetual-Discount	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.25 %
RY.PR.M	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.90 %
BMO.PR.M	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 4.31 %
RY.PR.J	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.93 %
TRP.PR.E	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 4.97 %
TRP.PR.A	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 5.15 %
RY.PR.H	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 4.70 %
FTS.PR.M	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 5.23 %
SLF.PR.J	FloatingReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.10 Bid-YTW : 11.20 %
TRP.PR.G	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 5.23 %
BAM.PF.G	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.32 %
BAM.PR.B	Floater	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.82 %
BAM.PR.C	Floater	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 9.70 Evaluated at bid price : 9.70 Bid-YTW : 4.87 %
FTS.PR.F	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 22.00 Evaluated at bid price : 22.23 Bid-YTW : 5.55 %
TRP.PR.F	FloatingReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 5.02 %
BAM.PR.K	Floater	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 9.70 Evaluated at bid price : 9.70 Bid-YTW : 4.87 %
BAM.PR.R	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 5.47 %
W.PR.J	Perpetual-Discount	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 22.93 Evaluated at bid price : 23.20 Bid-YTW : 6.14 %
TD.PR.S	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.54 Bid-YTW : 4.03 %
TRP.PR.D	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 5.03 %
IAG.PR.A	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.07 %
NA.PR.S	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.89 %
TRP.PR.I	FloatingReset	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 10.16 Evaluated at bid price : 10.16 Bid-YTW : 5.01 %
MFC.PR.F	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.40 Bid-YTW : 11.44 %
NA.PR.W	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.94 %
HSE.PR.G	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 6.25 %
BAM.PR.X	FixedReset	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 13.32 Evaluated at bid price : 13.32 Bid-YTW : 5.15 %
TRP.PR.B	FixedReset	2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 10.41 Evaluated at bid price : 10.41 Bid-YTW : 5.05 %
TRP.PR.C	FixedReset	3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 5.11 %
TRP.PR.H	FloatingReset	5.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 9.21 Evaluated at bid price : 9.21 Bid-YTW : 4.75 %
BAM.PR.E	Ratchet	6.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 25.00 Evaluated at bid price : 13.50 Bid-YTW : 6.10 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.G	FixedReset	146,231	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 5.27 %
TRP.PR.B	FixedReset	112,564	TD crossed 107,300 at 10.17. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 10.41 Evaluated at bid price : 10.41 Bid-YTW : 5.05 %
SLF.PR.A	Deemed-Retractible	84,650	Scotia crossed 64,100 at 21.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 6.80 %
BNS.PR.A	FloatingReset	76,029	TD crossed 73,600 at 23.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 3.36 %
GWO.PR.Q	Deemed-Retractible	70,000	Nesbitt crossed 65,000 at 22.76. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 6.60 %
RY.PR.Z	FixedReset	65,858	RBC crossed 37,100 at 17.40, then another 20,000 at 17.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.59 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.O	Perpetual-Premium	Quote: 25.01 – 26.11 Spot Rate : 1.1000 Average : 0.6676 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 24.70 Evaluated at bid price : 25.01 Bid-YTW : 5.88 %
BAM.PF.C	Perpetual-Discount	Quote: 19.50 – 20.22 Spot Rate : 0.7200 Average : 0.4133 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.25 %
TD.PF.A	FixedReset	Quote: 17.30 – 18.10 Spot Rate : 0.8000 Average : 0.5117 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.71 %
TD.PR.Z	FloatingReset	Quote: 20.57 – 21.88 Spot Rate : 1.3100 Average : 1.0474 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.57 Bid-YTW : 5.73 %
TRP.PR.E	FixedReset	Quote: 17.23 – 18.00 Spot Rate : 0.7700 Average : 0.5791 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 4.97 %
RY.PR.J	FixedReset	Quote: 18.21 – 18.60 Spot Rate : 0.3900 Average : 0.2626 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-16 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.93 %

Bloomberg reminds us that forecasting is hard:

First National Financial Corporation, proud issuer of FN.PR.A, has been confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating of First National Financial LP (FNFLP) at BBB, and the ratings for the Senior Unsecured Debt and Class A Preference Shares of First National Financial Corporation (FNFC; DBRS refers to FNFLP and FNFC together as First National or the Company) at BBB (low) and Pfd-3, respectively. The trend on these ratings is Stable. The rating actions follow a detailed review of the Company’s operating results, financial fundamentals and future prospects.
…
DBRS considers First National’s low risk balance sheet as a key factor supporting the ratings. DBRS notes that the Company’s direct credit exposure is limited to a $246 million mortgage investment portfolio (0.9% of total assets as of YE15) it holds on its balance sheet, mostly in commercial bridge lending. Historically, mortgages originated by First National have outperformed the industry with very low delinquency rates. DBRS sees sustaining this performance as critical to the Company’s business model and franchise. While low energy prices continue to be a headwind for the Canadian economy, the impact on the Canadian housing market has largely been regional to date, with some weakening of credit metrics in the western provinces.

DBRS considers First National’s liquidity and funding to be appropriately managed and aligned with its assets. First National funds most of its MUA either through sales to institutional investors (63%) or by securitization (26%), with the remaining MUA mostly warehoused temporarily, awaiting sale or securitization. However, FNF does have some concentration risk, with 13.7% of placement fees and mortgage income being originated from one Canadian financial institution in 2015.
…
DBRS considers First National’s capital levels to be acceptable given the relatively low level of credit risk. At December 31, 2015, the Company’s tangible partner equity-to-tangible assets (excluding securitized mortgages) was 8.8%. However, given the high dividend payout ratio, organic capital generation has been constrained. DBRS would view improved capital retention favourably.

It was a modestly positive day for the Canadian preferred share market, with PerpetualDiscounts gaining 1bp, FixedResets up 11bp and DeemedRetractibles winning 18bp. The Performance Highlights table shows a fair amount of underlying churn. While overall volume was average, there was a lot of volume in the top issues.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.50 to be $1.47 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.84 cheap at its bid price of 18.00.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.28 to be 0.78 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.61 to be 1.38 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.08 to be $1.00 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.40 and appears to be $1.04 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.30 looks $0.48 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 11.15 and is $0.53 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.93%, with two outliers below -2.00% and one above 0.00%. There is one junk outlier above 0.00%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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	5.33 %	6.50 %	11,976	16.07	1	-2.4615 %	1,468.4
FixedFloater	7.09 %	6.23 %	24,953	16.05	1	0.0000 %	2,804.3
Floater	4.69 %	4.87 %	67,495	15.76	4	-1.7065 %	1,651.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0453 %	2,759.1
SplitShare	4.83 %	5.80 %	71,928	1.65	7	-0.0453 %	3,228.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0453 %	2,519.2
Perpetual-Premium	5.81 %	-0.25 %	89,056	0.08	6	0.1323 %	2,542.3
Perpetual-Discount	5.71 %	5.75 %	99,684	14.24	33	0.0055 %	2,538.9
FixedReset	5.52 %	5.23 %	195,099	14.20	87	0.1115 %	1,846.9
Deemed-Retractible	5.30 %	5.49 %	116,808	5.11	34	0.1846 %	2,567.5
FloatingReset	3.14 %	5.14 %	38,499	5.43	16	-0.2368 %	1,978.3

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.H	FloatingReset	-4.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 8.77 Evaluated at bid price : 8.77 Bid-YTW : 4.99 %
BAM.PR.K	Floater	-3.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 9.59 Evaluated at bid price : 9.59 Bid-YTW : 4.93 %
TRP.PR.B	FixedReset	-2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 10.11 Evaluated at bid price : 10.11 Bid-YTW : 5.20 %
BAM.PR.E	Ratchet	-2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 25.00 Evaluated at bid price : 12.68 Bid-YTW : 6.50 %
BAM.PR.B	Floater	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 9.70 Evaluated at bid price : 9.70 Bid-YTW : 4.87 %
W.PR.J	Perpetual-Discount	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 22.68 Evaluated at bid price : 22.92 Bid-YTW : 6.22 %
PWF.PR.T	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.43 %
SLF.PR.H	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.26 Bid-YTW : 9.66 %
MFC.PR.L	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 9.06 %
BAM.PR.C	Floater	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 9.60 Evaluated at bid price : 9.60 Bid-YTW : 4.92 %
BAM.PF.G	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.97 Evaluated at bid price : 17.97 Bid-YTW : 5.37 %
TRP.PR.G	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.29 %
BAM.PF.F	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 5.34 %
HSE.PR.G	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 6.37 %
BNS.PR.F	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.51 Bid-YTW : 8.45 %
W.PR.H	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 22.64 Evaluated at bid price : 22.89 Bid-YTW : 6.11 %
RY.PR.W	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 23.04 Evaluated at bid price : 23.31 Bid-YTW : 5.29 %
NA.PR.S	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 4.96 %
TRP.PR.D	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 5.10 %
BMO.PR.R	FloatingReset	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.69 %
MFC.PR.M	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.52 Bid-YTW : 8.40 %
SLF.PR.C	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 7.35 %
RY.PR.P	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 24.20 Evaluated at bid price : 24.57 Bid-YTW : 5.38 %
PWF.PR.L	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 22.29 Evaluated at bid price : 22.56 Bid-YTW : 5.72 %
SLF.PR.D	Deemed-Retractible	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 7.40 %
PWF.PR.K	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 21.66 Evaluated at bid price : 21.91 Bid-YTW : 5.72 %
BAM.PR.T	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 14.69 Evaluated at bid price : 14.69 Bid-YTW : 5.44 %
FTS.PR.G	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.03 %
SLF.PR.G	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.40 Bid-YTW : 10.38 %
CM.PR.O	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.67 %
BNS.PR.A	FloatingReset	1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 3.43 %
TD.PF.D	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.78 %
VNR.PR.A	FixedReset	2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.39 %
BAM.PF.B	FixedReset	11.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 5.37 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.G	FixedReset	216,325	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.31 %
FTS.PR.H	FixedReset	138,200	TD crossed 133,200 at 11.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 11.15 Evaluated at bid price : 11.15 Bid-YTW : 5.22 %
RY.PR.A	Deemed-Retractible	135,534	RBC crossed 129,500 at 24.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 5.30 %
TRP.PR.E	FixedReset	121,488	Scotia crossed blocks of 100,000 and 17,800, both at 17.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.89 %
POW.PR.G	Perpetual-Discount	117,124	Nesbitt crossed 106,100 at 24.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 23.95 Evaluated at bid price : 24.42 Bid-YTW : 5.82 %
GWO.PR.P	Deemed-Retractible	113,121	Nesbitt crossed 107,700 at 23.68. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.67 Bid-YTW : 6.19 %
RY.PR.R	FixedReset	112,597	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 5.24 %
BMO.PR.S	FixedReset	112,126	RBC crossed blocks of 55,700 and 53,800, both at 17.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.73 %
PWF.PR.P	FixedReset	110,715	Nesbitt crossed 104,700 at 12.04. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 5.01 %
RY.PR.L	FixedReset	110,546	RBC crossed 107,100 at 24.67. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 4.24 %
RY.PR.H	FixedReset	105,658	RBC crossed 37,100 at 17.47 and 45,000 at 17.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 4.65 %
There were 32 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PR.Z	FloatingReset	Quote: 21.03 – 22.01 Spot Rate : 0.9800 Average : 0.7594 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.03 Bid-YTW : 5.32 %
BAM.PF.F	FixedReset	Quote: 17.99 – 18.60 Spot Rate : 0.6100 Average : 0.4247 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 5.34 %
TRP.PR.I	FloatingReset	Quote: 10.00 – 11.65 Spot Rate : 1.6500 Average : 1.4798 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.09 %
TRP.PR.H	FloatingReset	Quote: 8.77 – 9.29 Spot Rate : 0.5200 Average : 0.3800 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 8.77 Evaluated at bid price : 8.77 Bid-YTW : 4.99 %
RY.PR.W	Perpetual-Discount	Quote: 23.31 – 23.77 Spot Rate : 0.4600 Average : 0.3477 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 23.04 Evaluated at bid price : 23.31 Bid-YTW : 5.29 %
BAM.PR.E	Ratchet	Quote: 12.68 – 13.90 Spot Rate : 1.2200 Average : 1.1266 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-15 Maturity Price : 25.00 Evaluated at bid price : 12.68 Bid-YTW : 6.50 %

Nothing happened today.

Wait, I’m wrong. China is drafting a Tobin Tax:

China’s central bank has drafted rules for a tax on foreign-exchange transactions that would help curb currency speculation, according to people with knowledge of the matter.

The initial rate of the so-called Tobin tax may be kept at zero to allow authorities time to refine the rules, said the people, who asked not to be identified as the discussions are private. The tax is not designed to disrupt hedging and other foreign-exchange transactions undertaken by companies, they said.

Imposing a levy on foreign-exchange trading would be the most extreme step yet by policy makers to prevent speculative bets against the Chinese currency, after state-run banks repeatedly intervened to support the yuan and the government intensified a crackdown on capital outflows. A Tobin tax would complicate plans by China to create an international reserve currency and could undermine the leadership’s pledge to increase the role of market forces in the world’s second-largest economy.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 11bp, FixedResets gaining 10bp and DeemedRetractibles off 7bp. The Performance Highlights table shows highlights of performance. Volume was well below average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.55 to be $1.38 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $0.88 cheap at its bid price of 11.22.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 16.75 to be 0.82 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.73 to be 1.25 cheap.

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 14.90 to be $1.72 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.40 and appears to be $1.12 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.45 looks $0.64 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 11.20 and is $0.49 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.89%, with one outlier below -2.00%. There are three junk outliers above 0.00% and one below -2.00%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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	5.20 %	6.34 %	11,989	16.26	1	-1.8868 %	1,505.5
FixedFloater	7.09 %	6.23 %	24,465	16.06	1	0.0000 %	2,804.3
Floater	4.61 %	4.76 %	68,643	15.97	4	-0.1946 %	1,680.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.0352 %	2,760.4
SplitShare	4.82 %	5.67 %	72,309	1.65	7	0.0352 %	3,230.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0352 %	2,520.3
Perpetual-Premium	5.81 %	3.93 %	82,451	0.08	6	-0.0198 %	2,538.9
Perpetual-Discount	5.71 %	5.79 %	96,248	14.14	33	-0.1149 %	2,538.8
FixedReset	5.53 %	5.23 %	197,117	14.18	87	0.0956 %	1,844.8
Deemed-Retractible	5.31 %	5.52 %	114,690	5.11	34	-0.0687 %	2,562.8
FloatingReset	3.14 %	5.14 %	39,169	5.43	16	-0.2248 %	1,983.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.B	FixedReset	-10.89 %	Nonsensical, as the issue traded a whopping 325 shares today in a range of 16.96-97 before closing at 14.90-16.98 (way to go on the $2 spreads, guys!) 5×1. BAM.PF.B was also ludicrous on March 10, so these guys are doing really well! I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 6.02 %
TRP.PR.I	FloatingReset	-8.26 %	Even a blind squirrel can sometimes find a nut, and sometimes even quotes from the TSX will bear resemblance to reality! The issue traded 200 shares, all at 10.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.09 %
MFC.PR.F	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 11.60 %
BAM.PR.E	Ratchet	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 6.34 %
VNR.PR.A	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.55 %
BAM.PF.A	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 5.40 %
BNS.PR.F	FloatingReset	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.71 Bid-YTW : 8.23 %
BNS.PR.D	FloatingReset	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.21 Bid-YTW : 8.27 %
GWO.PR.N	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 10.64 %
CIU.PR.C	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 10.59 Evaluated at bid price : 10.59 Bid-YTW : 5.15 %
CU.PR.F	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.72 %
BNS.PR.Z	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.66 Bid-YTW : 7.57 %
CU.PR.E	Perpetual-Discount	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.75 %
TD.PR.T	FloatingReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 5.18 %
BAM.PR.T	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.51 %
BAM.PF.F	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 5.27 %
CU.PR.G	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.72 %
CU.PR.D	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 5.71 %
TD.PR.S	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 4.25 %
BNS.PR.P	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.14 Bid-YTW : 3.79 %
CM.PR.Q	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 4.85 %
TRP.PR.C	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.24 %
BNS.PR.C	FloatingReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.47 Bid-YTW : 5.14 %
BNS.PR.B	FloatingReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.23 %
CM.PR.O	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.75 %
FTS.PR.K	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 4.96 %
CM.PR.P	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.69 %
TRP.PR.D	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.04 %
TRP.PR.E	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.87 %
BNS.PR.A	FloatingReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.36 Bid-YTW : 3.74 %
BNS.PR.R	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.28 Bid-YTW : 4.74 %
HSE.PR.A	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 9.39 Evaluated at bid price : 9.39 Bid-YTW : 6.78 %
NA.PR.W	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.99 %
TRP.PR.G	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.22 %
BAM.PR.Z	FixedReset	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 5.50 %
NA.PR.S	FixedReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.91 %
BNS.PR.Q	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.98 Bid-YTW : 4.72 %
BAM.PR.X	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.23 %
SLF.PR.J	FloatingReset	2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.20 Bid-YTW : 11.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.G	FixedReset	955,584	New issue settled today. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.31 %
PWF.PR.O	Perpetual-Premium	101,800	Nesbitt crossed 100,000 at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 24.69 Evaluated at bid price : 25.00 Bid-YTW : 5.88 %
RY.PR.R	FixedReset	86,663	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 5.23 %
TRP.PR.C	FixedReset	59,200	TD crossed 49,800 at 11.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.24 %
PWF.PR.H	Perpetual-Premium	53,300	Scotia crossed 50,000 at 25.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 24.84 Evaluated at bid price : 25.07 Bid-YTW : 5.81 %
MFC.PR.G	FixedReset	48,575	Scotia crossed 35,000 at 17.78. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.73 Bid-YTW : 8.53 %
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.B	FixedReset	Quote: 14.90 – 16.98 Spot Rate : 2.0800 Average : 1.3764 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 6.02 %
TRP.PR.I	FloatingReset	Quote: 10.00 – 11.65 Spot Rate : 1.6500 Average : 1.2932 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.09 %
GWO.PR.O	FloatingReset	Quote: 11.51 – 12.95 Spot Rate : 1.4400 Average : 1.1309 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.51 Bid-YTW : 11.70 %
BAM.PR.E	Ratchet	Quote: 13.00 – 14.33 Spot Rate : 1.3300 Average : 1.0242 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 6.34 %
CM.PR.O	FixedReset	Quote: 17.50 – 18.18 Spot Rate : 0.6800 Average : 0.4539 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.75 %
VNR.PR.A	FixedReset	Quote: 16.90 – 17.50 Spot Rate : 0.6000 Average : 0.4105 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.55 %

There’s a horrible jobs market in Canada:

Canada’s jobless rate unexpectedly rose to 7.3 per cent in February, the highest level in nearly three years as the hard-hit resources sector shed another round of jobs.

Over all, the country missed analyst forecasts and shed 2,300 positions. This marked the third month the unemployment rate increased, according to Statistics Canada monthly labour report.
…
Nearly 9,000 people lost work in the natural resources sector last month, adding to the tens of thousands of positions that have vanished since oil started plunging mid-2014. Husky Energy Inc. and Cenovus Energy Inc. were among those in the energy sector slashing jobs.
…
Alberta’s jobless rate jumped to 7.9 per cent from 7.4 per cent in January, as more Albertans hunted for work.

But it wasn’t just the oil rich province that bore the brunt of the pain. Saskatchewan lost 7,800 jobs, the most of any of the resource dependent provinces. Ontario also shed 11,000 positions.

British Columbia, which along with Ontario is expected to grow more than the national average, was the only region to significantly add new jobs. Employment in the western province grew by 14,000 due to an increase in trade.
…
Full-time employment fell by 52,000 positions while part time rose by 49,500 spots. Employment in the services-producing sector fell by 44,500 positions, with losses in accommodation and food services.

And this is happening while the chances of a Fed hike are rising:

The bond market is boosting its bets on a Federal Reserve interest-rate increase in June as stocks and oil rally.

As Treasuries head toward a third straight weekly decline, traders now see the probability of a June rate hike as slightly better than a coin flip, according to futures data compiled by Bloomberg. That’s up from a 45 percent chance assigned Thursday and odds below 10 percent seen a month ago. Since 1994, the Fed hasn’t raised rates unless the futures market had priced in at least 60 percent of the move the day before, Bank of America interest-rate strategist Mark Cabana wrote in a March 11 note.
…
There’s almost no market expectation for the Fed to raise rates at its next policy-setting meeting March 15-16, with the futures market implying a 4 percent chance, assuming the fed funds effective rate averages 0.625 percent after the next hike. For the central bank’s June meeting, though, the market-implied probability rose to 51 percent Friday as gains in stocks and crude prices dented demand for Treasuries and other havens.

George Weston Limited has been confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Notes & Debentures rating of George Weston Limited (GWL or the Company) at BBB as well as its Short-Term Issuer Rating at R-2 (high) and its Preferred Shares rating at Pfd-3. All trends are Stable. DBRS notes that, on March xx, 2016, DBRS confirmed the ratings of Loblaw Companies Limited (Loblaw) and changed the trend to Positive from Stable (see separate press release).
…
GWL’s financial profile should remain stable based on its relatively stable balance-sheet debt, sizable cash balance and cash-generating capacity. Capital expenditures (capex) at Weston Foods are expected to remain elevated in the $300 million range in 2016 and to moderate somewhat going forward as the Company continues to invest new capacity, primarily in the United States, as well as replacement of end-of-life assets with more efficient alternatives. As a result, Weston Foods is likely to generate free cash flow deficits in the next one to two years. GWL is no longer committed to maintaining at least $1.0 billion of cash on hand as Loblaw completed its debt repayment plans in F2015. Over the near to medium term, DBRS expects that the Company will use any free cash flow (including dividends and distributions received) as well as cash on hand to continue to invest in growth (organic through Weston Foods capex or through acquisition) as well as to further increase returns to shareholders. DBRS notes that any rating upgrade on Loblaw to BBB (high) will not likely result in a corresponding rating action on the ratings of GWL.

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts up 54bp, FixedResets winning 85bp and DeemedRetractibles gaining 45bp. The Performance Highlights table is lengthy. Volume was average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.31 to be $1.36 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $0.88 cheap at its bid price of 11.10.

Most expensive is MFC.PR.O, resetting at +497bp on 2021-6-19, bid at 25.33 to be 0.78 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.80 to be 1.16 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.90 to be $1.30 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.45 and appears to be $1.03 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.27 looks $0.49 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 11.13 and is $0.54 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.79%, with two outliers below -2.00% and one above 0.00%. Note that the range of the y-axis has changed today. There are two junk outliers above 0.00%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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	5.11 %	6.21 %	12,104	16.41	1	0.0000 %	1,534.4
FixedFloater	7.09 %	6.22 %	24,711	16.07	1	1.3616 %	2,804.3
Floater	4.60 %	4.77 %	69,288	15.95	4	-0.0873 %	1,683.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.1185 %	2,759.4
SplitShare	4.83 %	5.64 %	71,649	1.66	7	0.1185 %	3,229.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1185 %	2,519.4
Perpetual-Premium	5.81 %	1.38 %	76,345	0.08	6	-0.0661 %	2,539.4
Perpetual-Discount	5.70 %	5.76 %	96,638	14.19	33	0.5414 %	2,541.7
FixedReset	5.53 %	5.23 %	200,115	14.37	86	0.8486 %	1,843.1
Deemed-Retractible	5.31 %	5.51 %	115,679	5.12	34	0.4522 %	2,564.5
FloatingReset	3.13 %	5.10 %	39,734	5.44	16	0.1450 %	1,987.5

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.G	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 5.32 %
TD.PR.Z	FloatingReset	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.90 Bid-YTW : 5.42 %
BNS.PR.A	FloatingReset	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 4.02 %
MFC.PR.N	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.27 Bid-YTW : 8.52 %
W.PR.H	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.07 %
BMO.PR.Q	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.55 %
NA.PR.Q	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.05 Bid-YTW : 5.02 %
NA.PR.W	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 5.08 %
HSE.PR.E	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 6.28 %
BMO.PR.R	FloatingReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 4.34 %
CU.PR.G	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.65 %
ELF.PR.H	Perpetual-Discount	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 22.65 Evaluated at bid price : 23.00 Bid-YTW : 6.07 %
SLF.PR.B	Deemed-Retractible	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.67 Bid-YTW : 6.82 %
CU.PR.D	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 21.50 Evaluated at bid price : 21.83 Bid-YTW : 5.64 %
CM.PR.O	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.80 %
TD.PF.A	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.73 %
CU.PR.C	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 5.07 %
BAM.PR.T	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 14.69 Evaluated at bid price : 14.69 Bid-YTW : 5.43 %
TD.PF.B	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.69 %
BNS.PR.M	Deemed-Retractible	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.10 %
BMO.PR.S	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.73 %
SLF.PR.I	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.46 Bid-YTW : 8.50 %
RY.PR.W	Perpetual-Discount	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.22 %
CU.PR.E	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 21.49 Evaluated at bid price : 21.81 Bid-YTW : 5.65 %
BAM.PR.G	FixedFloater	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 25.00 Evaluated at bid price : 13.40 Bid-YTW : 6.22 %
BAM.PF.C	Perpetual-Discount	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.08 %
ELF.PR.F	Perpetual-Discount	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 22.06 Evaluated at bid price : 22.29 Bid-YTW : 6.04 %
MFC.PR.J	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 8.62 %
FTS.PR.G	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 5.09 %
BAM.PR.M	Perpetual-Discount	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.02 %
BAM.PF.G	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.28 %
TRP.PR.F	FloatingReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 11.71 Evaluated at bid price : 11.71 Bid-YTW : 5.10 %
RY.PR.H	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.65 %
BAM.PF.D	Perpetual-Discount	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.09 %
BMO.PR.W	FixedReset	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 4.67 %
BAM.PR.N	Perpetual-Discount	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 6.01 %
BIP.PR.A	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.79 %
VNR.PR.A	FixedReset	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 5.44 %
FTS.PR.M	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.13 %
BAM.PR.R	FixedReset	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 5.60 %
CM.PR.P	FixedReset	2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 4.75 %
BAM.PF.E	FixedReset	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 5.15 %
MFC.PR.M	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.32 Bid-YTW : 8.55 %
RY.PR.Z	FixedReset	2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.49 Evaluated at bid price : 17.49 Bid-YTW : 4.58 %
SLF.PR.H	FixedReset	2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.54 Bid-YTW : 9.39 %
TRP.PR.D	FixedReset	2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.11 %
RY.PR.M	FixedReset	2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 4.80 %
GWO.PR.O	FloatingReset	2.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 11.70 %
BAM.PF.A	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 5.30 %
BMO.PR.T	FixedReset	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.64 %
BAM.PF.F	FixedReset	2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.20 %
BAM.PR.X	FixedReset	3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 5.35 %
HSE.PR.C	FixedReset	3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 6.46 %
HSE.PR.A	FixedReset	4.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 9.23 Evaluated at bid price : 9.23 Bid-YTW : 6.89 %
PWF.PR.Q	FloatingReset	4.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.87 %
TD.PF.C	FixedReset	5.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.74 %
BAM.PF.B	FixedReset	5.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.34 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.R	FixedReset	132,627	TD crossed 50,000 at 13.87. Scotia crossed 71,600 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 5.60 %
MFC.PR.G	FixedReset	124,982	Scotia crossed 115,000 at 17.78. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.80 Bid-YTW : 8.46 %
RY.PR.R	FixedReset	99,975	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 5.26 %
TD.PF.G	FixedReset	76,250	Scotia crossed 25,000 at 25.50. RBC crossed 29,100 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.49 Bid-YTW : 5.29 %
RY.PR.L	FixedReset	53,400	RBC crossed 50,000 at 24.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 4.21 %
W.PR.H	Perpetual-Discount	51,490	Nesbitt crossed 50,000 at 23.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.07 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.E	Ratchet	Quote: 13.25 – 14.18 Spot Rate : 0.9300 Average : 0.6889 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 25.00 Evaluated at bid price : 13.25 Bid-YTW : 6.21 %
PWF.PR.T	FixedReset	Quote: 19.26 – 19.79 Spot Rate : 0.5300 Average : 0.3503 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 4.37 %
BNS.PR.R	FixedReset	Quote: 22.90 – 23.49 Spot Rate : 0.5900 Average : 0.4379 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 5.05 %
W.PR.H	Perpetual-Discount	Quote: 23.00 – 23.49 Spot Rate : 0.4900 Average : 0.3390 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.07 %
TRP.PR.F	FloatingReset	Quote: 11.71 – 12.30 Spot Rate : 0.5900 Average : 0.4399 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-11 Maturity Price : 11.71 Evaluated at bid price : 11.71 Bid-YTW : 5.10 %
TD.PR.Y	FixedReset	Quote: 23.29 – 23.85 Spot Rate : 0.5600 Average : 0.4173 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.29 Bid-YTW : 4.41 %

Europe continues to ease monetary policy:

In the face of a global debate on whether monetary policy has lost its effectiveness and is even planting the seeds of the next crisis, the ECB has delivered a solid defense of the right and power of central banks to boost growth and inflation at will. The best that can be said for euro-area fiscal policy is that it’s not hampering the recovery, so Draghi has underlined that he won’t wait for others to act.
…
The president announced cuts to all three of the ECB’s rates, bringing the deposit rate to minus 0.4 percent, and a 20 billion-euro ($22 billion) expansion of quantitative easing that for the first time opens the door to purchases of corporate bonds. On top of that, he announced a new four-year loan program that potentially allows banks to be remunerated for taking the ECB’s money if they expand credit to the real economy, in a quartet of operations stretching to 2021.

Draghi’s policy arc has been in defiance of warnings by monetary conservatives, including those in Germany’s Bundesbank since the beginning of his term, up to more recent calls by the Group of 20 nations to shift the burden of growth generation away from monetary policy and toward structural policies or more government investment.

Instead, Draghi sounded resigned when asked about euro-area fiscal policy. That domain spans countries including Spain, France and Italy that are close to their legal deficit limits, and nations that can afford to spend more — read Germany — that have promised voters they won’t do so.

Certainly the OSC is working hard to spark inflation:

The Ontario Securities Commission says its revenues will rise almost 14 per cent in its current fiscal year, leaving the regulator with a surplus of $6.6-million for the year.

The commission published details of its financial outlook Thursday for the fiscal year ending March 31, saying revenue has climbed due to fee changes introduced last year. Those fee adjustments, as well as fee increases introduced in 2013, have returned the commission to strong profitability after it recorded deficits from 2009 to 2013.

The OSC said it expects to take in revenue of $115.8-million in fiscal 2016, a 14-per-cent increase from $101.6-million in fiscal 2015. Expenses are expected to climb sharply to $109-million in the current year from $96.9-million in fiscal 2015, leaving the OSC with an anticipated surplus of $6.6-million this year, up from $4.7-million last year.

Market participants – including listed companies, investment firms and other registrants – pay participation and activity fees to the OSC, which account for more than 99 per cent of its revenue. The OSC adjusted its fee structure last year to base its participation fees on a firm’s most recent annual financial results so they closely track current market conditions.

Perhaps they now have enough to cut another cheque to their good buddies at FAIR Canada!

Canada is now a net creditor of the US – but I would really like to see some currency-adjusted figures!:

Canada is now a creditor to the U.S. for the first time on record, government data show, reflecting the northern nation’s love affair with assets south of the border.

The stock of U.S. assets held by Canadians in the fourth quarter of 2015 — everything from corporate acquisitions to portfolio investments — exceeded assets held by Americans in Canada for the first time since at least 1990, according to quarterly data published Thursday by Statistics Canada.

Easy credit, strong balance sheets, and lack of investing opportunities at home have been the main factors driving Canadian money managers and companies on a shopping spree south of the border. The value of those investments has jumped over the last couple of years as the U.S. dollar has strengthened. U.S. investors, meanwhile, haven’t been reciprocating.
…
Canada’s total net asset position with all countries rose to C$472 billion in the fourth quarter. That’s good news from a creditworthiness point of view. The more indebted a country is to foreigners the more vulnerable it is to financial shocks and Canada’s creditor status helps in times like this when financial markets are volatile, commodity prices are falling and the country is running large current account deficits.

The US is moving to get some more work out of its foreign graduates:

The federal government will publish the rule on Friday, saying that international students earning degrees in science, technology, engineering and mathematics fields in the United States will now be eligible to stay for three years of on-the-job training. This is seven months longer than under the 2008 rule it replaces for the STEM Optional Practical Training program, known as OPT. The new rule will take effect on May 10.
…
This rule is yet another flash point in the controversy over immigration reform. Industry leaders who say they are desperate for skilled talent and those defending the rights of American workers see the training program’s extension as an end-around to stalled reform. But that is all they agree upon.

“It’s an ongoing assault on American workers,” said John Miano, a lawyer for a technology workers’ union in Washington State, whose lawsuit last summer was what forced the government to vacate the previous rule and create a new one, this time for public comment.

There is speculation that TransCanada is contemplating a large acquisition:

TransCanada Corp. would snap up a big chunk of the natural gas business that’s given it the most troublesome competition if it completes a speculated U.S. takeover worth more than $9-billion (U.S.).

TransCanada said on Thursday that it was in talks with a third party, but did not name it or provide any guarantees that it would clinch a deal.

The company is in talks with Houston-based Columbia Pipeline Group Inc., according to the Wall Street Journal, which cited anonymous sources. Columbia is best known for its extensive pipeline network in the Marcellus and Utica natural gas regions in the U.S. Northeast.

Merrill Lynch has come up with some interesting figures on Canadian housing turnover:

Here are three key numbers to keep in mind when you’re talking about Canada’s housing markets: 24, 17 and 10.

Those, according to research from Bank of America Merrill Lynch, highlight the frothy nature of real estate in British Columbia and Ontario, compared with the rest of the country.

They’re the number of existing home sales per 1,000 people.

In B.C., home to Canada’s hottest market, the ratio is 24 per 1,000 in Vancouver. In Ontario, where Toronto is also a hotbed, it’s 17. And in the rest of Canada, it’s just 10, according to the bank’s North America economist, Emanuella Enenajor.

“Although Canada’s housing market may not be in a bubble, the B.C. (British Columbia) market likely is,” Ms. Enenajor said in her report.

It was an off day for the Canadian preferred share market, with PerpetualDiscounts and DeemedRetractibles both off 21bp and FixedResets down 39bp. The Performance Highlights table continues to show a lot of churn. Volume was well below average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.25 to be $1.27 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $0.84 cheap at its bid price of 11.06.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.50 to be 1.01 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.78 to be 1.11 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.94 to be $1.11 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.35 and appears to be $1.06 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.12 looks $0.52 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 11.09 and is $0.39 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.73%, with three outliers below -1.50% and one above +0.50%. Note that the range of the y-axis has changed today. There are two junk outliers below -1.50%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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	5.11 %	6.21 %	12,271	16.42	1	0.0000 %	1,534.4
FixedFloater	7.19 %	6.31 %	24,098	15.96	1	0.1515 %	2,766.6
Floater	4.55 %	4.77 %	71,868	15.82	4	-0.7646 %	1,684.8
OpRet	0.00 %	0.00 %	0	0.00	0	0.1939 %	2,756.1
SplitShare	4.82 %	5.48 %	70,996	2.64	7	0.1939 %	3,225.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1939 %	2,516.4
Perpetual-Premium	5.81 %	-0.61 %	74,756	0.08	6	0.0794 %	2,541.1
Perpetual-Discount	5.72 %	5.77 %	96,300	14.18	33	-0.2096 %	2,528.0
FixedReset	5.57 %	5.19 %	201,732	14.28	86	-0.3913 %	1,827.6
Deemed-Retractible	5.33 %	5.66 %	114,768	5.12	34	-0.2115 %	2,553.0
FloatingReset	3.09 %	5.08 %	40,146	5.45	16	0.1835 %	1,984.6

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.B	FixedReset	-5.59 %	Nonsensical, as the issue traded 4,725 shares in a range of 16.75-00 before closing at 16.05-17.19, 8×1. VWAP was 16.89. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.57 %
TD.PF.C	FixedReset	-4.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.23 Evaluated at bid price : 16.23 Bid-YTW : 4.89 %
TRP.PR.D	FixedReset	-4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 5.12 %
MFC.PR.M	FixedReset	-3.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.80 %
BAM.PR.X	FixedReset	-3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 12.70 Evaluated at bid price : 12.70 Bid-YTW : 5.39 %
TRP.PR.C	FixedReset	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 11.06 Evaluated at bid price : 11.06 Bid-YTW : 5.16 %
FTS.PR.H	FixedReset	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 11.09 Evaluated at bid price : 11.09 Bid-YTW : 5.09 %
TRP.PR.F	FloatingReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 11.52 Evaluated at bid price : 11.52 Bid-YTW : 5.12 %
HSE.PR.A	FixedReset	-2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 9.14 Evaluated at bid price : 9.14 Bid-YTW : 6.84 %
PWF.PR.T	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.31 %
TRP.PR.H	FloatingReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 9.03 Evaluated at bid price : 9.03 Bid-YTW : 4.76 %
TD.PR.Y	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.28 Bid-YTW : 4.37 %
FTS.PR.M	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.13 %
BMO.PR.Q	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.90 Bid-YTW : 8.23 %
FTS.PR.K	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 4.94 %
TRP.PR.A	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 4.94 %
TRP.PR.G	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.12 %
BNS.PR.Z	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.79 Bid-YTW : 7.40 %
RY.PR.Z	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.57 %
TD.PR.Z	FloatingReset	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 5.08 %
BAM.PR.R	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 13.94 Evaluated at bid price : 13.94 Bid-YTW : 5.59 %
PWF.PR.A	Floater	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.14 %
BAM.PR.B	Floater	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 10.06 Evaluated at bid price : 10.06 Bid-YTW : 4.77 %
HSE.PR.C	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 6.61 %
MFC.PR.J	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.05 Bid-YTW : 8.74 %
BAM.PF.E	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 5.19 %
BAM.PR.Z	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 5.53 %
PWF.PR.P	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.87 %
GWO.PR.N	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.22 Bid-YTW : 10.35 %
MFC.PR.G	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.78 Bid-YTW : 8.37 %
BNS.PR.B	FloatingReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.87 Bid-YTW : 5.43 %
BMO.PR.R	FloatingReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.87 Bid-YTW : 4.50 %
MFC.PR.H	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 7.37 %
BNS.PR.A	FloatingReset	1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.37 Bid-YTW : 3.70 %
CIU.PR.C	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.85 %
MFC.PR.K	FixedReset	2.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.05 Bid-YTW : 9.24 %
MFC.PR.F	FixedReset	2.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.55 Bid-YTW : 11.11 %
IAG.PR.G	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.63 %
TD.PF.D	FixedReset	7.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 4.81 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	126,731	RBC sold 19,100 to anonymous at 25.50. Scotai crossed 50,500 at the same price. TD crossed 25,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 23.31 Evaluated at bid price : 25.50 Bid-YTW : 5.27 %
RY.PR.R	FixedReset	113,582	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 5.27 %
FTS.PR.M	FixedReset	106,150	Scotia crossed 99,400 at 17.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.13 %
MFC.PR.M	FixedReset	83,179	Scotia crossed 74,800 at 17.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.80 %
RY.PR.Q	FixedReset	68,036	Scotia crossed 50,000 at 25.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 23.31 Evaluated at bid price : 25.51 Bid-YTW : 5.20 %
TRP.PR.D	FixedReset	66,637	Desjardins crossed 50,000 at 16.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 5.12 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.O	FloatingReset	Quote: 11.21 – 12.94 Spot Rate : 1.7300 Average : 1.2767 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.21 Bid-YTW : 11.99 %
BAM.PF.B	FixedReset	Quote: 16.05 – 17.19 Spot Rate : 1.1400 Average : 0.7419 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.57 %
TD.PF.C	FixedReset	Quote: 16.23 – 17.14 Spot Rate : 0.9100 Average : 0.5976 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 16.23 Evaluated at bid price : 16.23 Bid-YTW : 4.89 %
CM.PR.Q	FixedReset	Quote: 18.57 – 19.30 Spot Rate : 0.7300 Average : 0.4861 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-10 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 4.81 %
MFC.PR.M	FixedReset	Quote: 16.95 – 17.59 Spot Rate : 0.6400 Average : 0.3982 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.80 %
BNS.PR.Z	FixedReset	Quote: 18.79 – 19.33 Spot Rate : 0.5400 Average : 0.3473 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.79 Bid-YTW : 7.40 %

Today’s big news was the BoC announcement:

The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1/2 per cent. The Bank Rate is correspondingly 3/4 per cent and the deposit rate is 1/4 per cent.

The global economy is progressing largely as the Bank anticipated in its January Monetary Policy Report (MPR). Financial market volatility, reflecting heightened concerns about economic momentum, appears to be abating. Although downside risks remain, the Bank still expects global growth to strengthen this year and next. Recent data indicate that the U.S. expansion remains broadly on track. At the same time, the low level of oil prices will continue to dampen growth in Canada and other energy-producing countries.

Prices of oil and other commodities have rebounded in recent weeks. In this context, and in light of shifting expectations for monetary policy in Canada and the United States, the Canadian dollar has appreciated from its recent lows. With these movements, both the price of oil and the exchange rate have averaged close to levels assumed in the January MPR.

Canada’s GDP growth in the fourth quarter was not as weak as expected, but the near-term outlook for the economy remains broadly the same as in January. National employment has held up despite job losses in resource-intensive regions, and household spending continues to underpin domestic demand. Non-energy exports are gathering momentum, particularly in sectors that are sensitive to exchange rate movements. However, overall business investment remains very weak due to retrenchment in the resource sector.

Inflation in Canada is evolving broadly as anticipated. The factors that pushed total CPI inflation up to 2 per cent will likely unwind in the months ahead. Measures of core inflation are at or just below 2 per cent, boosted by the temporary effects of past exchange rate depreciation. Material excess capacity in the Canadian economy will continue to dampen inflation.

An assessment of the impact of the upcoming federal budget’s fiscal measures will be incorporated into the Bank’s April projection. All things considered, the risks to the profile for inflation are roughly balanced. Meanwhile, financial vulnerabilities continue to edge higher, in part due to regional shifts in activity associated with the structural adjustment underway in Canada’s economy. The Bank’s Governing Council judges that the overall balance of risks remains within the zone for which the current stance of monetary policy is appropriate, and the target for the overnight rate remains at 1/2 per cent.

Meanwhile, there is a larger than usual international influence on Fed policy:

Investors are betting that the Fed will hold interest rates steady at its March 15-16 meeting as it assess the impact of a shaky global economy and jittery financial markets. A rise in the dollar triggered by easier policy from the ECB and perhaps the BOJ would support a go-slow strategy to raising rates in the U.S.

Asked how the U.S. central bank would respond if the ECB pushed rates further into negative territory, Fed Governor Lael Brainard told CNBC television on March 7 that she was focused on developments in the U.S. She quickly added though that the economy was being buffeted by “powerful cross currents” from abroad and that a further rise in the dollar would hit manufacturing-industry exports.
…
Fed Vice Chairman Stanley Fischer alluded to the central bank’s dollar dilemma when he spoke to the American Economic Association’s annual meeting in San Francisco on Jan. 3.

While policy makers in general recognize the benefits of floating currency rates in redistributing demand throughout the world economy, “they’re not so happy” when they’re the ones “giving up some growth, for instance, by having their exchange rate appreciate,” he said.

And New Zealand has cut its policy rate:

New Zealand’s central bank unexpectedly cut interest rates to a fresh record low and signaled further easing may be needed, saying it’s concerned by a slump in inflation expectations. The kiwi plunged by more than one U.S. cent.

Reserve Bank Governor Graeme Wheeler lowered the official cash rate by a quarter point to 2.25 percent, a move predicted by just two of 17 economists surveyed by Bloomberg. The remainder tipped no change. “Further policy easing may be required to ensure that future average inflation settles near the middle of the target range,” Wheeler said Thursday in Wellington.

Wheeler has resumed easing monetary policy as a stubbornly firm New Zealand dollar, weaker commodity prices and falling price expectations keep inflation beneath his 1-3 percent target. The central bank’s forecasts suggest one further reduction in borrowing costs this year to underpin economic growth and return inflation to its 2 percent target midpoint by early 2018.
…
The New Zealand dollar plunged after the statement, buying 66.58 U.S. cents at 9:38 a.m. in Wellington from 67.80 before the decision. The currency has climbed since late January, muting price pressures, and “a decline would be appropriate given the weakness in export prices,” Wheeler said today.

CalPers, the $284.56-billion dollar pension fund that doesn’t do its own credit analysis, has managed to shake down Moody’s:

Moody’s Investors Service Inc. agreed to pay $130 million to settle claims by the California Public Employee Retirement System over allegedly inflated ratings on residential-mortgage bond deals.

The largest U.S. state pension fund’s accord with Moody’s follows the February 2015 announcement that McGraw Hill Financial Inc.’s Standard & Poor’s would pay $125 million to settle claims by Calpers over grades on subprime mortgages during the run-up to the 2008 financial crisis.
…
McGraw Hill’s pact with Calpers was part of a $1.5 billion settlement to resolve similar allegations from the U.S. Justice Department and more than a dozen states.

Calpers sued the companies along with Fitch Ratings Ltd. in 2009 alleging it sustained losses of as much as $1 billion from “wildly inaccurate” risk assessments. Calpers said it put $1.3 billion into three investment vehicles backed by subprime mortgages in 2006 and 2007. The investments crumbled amid the housing crisis. The pension fund claimed the ratings companies helped fuel the investments and bent rules to give them the highest ratings to boost their profits from issuers, Calpers alleged.

They’d be better off checking their assumptions:

The economic assumptions include an assumed inflation assumption of 2.75 percent compounded annually. The inflation assumption is a component of assumed investment return, assumed wage growth, and assumed future post-retirement cost-of-living increases.

Based upon the asset allocation of the Public Employees’ Retirement Fund (PERF), the assumed investment return (net of administrative and investment expenses) is 7.5 percent per year, compounded annually.

On a positive note, the settlement will provide funds for senior management to give to their buddies, similarly to the scam discussed on April 23, 2012.

The Saudis are looking for a bank loan:

Saudi Arabia is seeking a bank loan of between $6-billion (U.S.) and $8-billion, sources familiar with the matter told Reuters, in what would be the first significant foreign borrowing by the kingdom’s government for over a decade.

Riyadh has asked lenders to submit proposals to extend it a five-year U.S. dollar loan of that size, with an option to increase it, the sources said, to help plug a record budget deficit caused by low oil prices.
…
The kingdom’s budget deficit reached nearly $100-billion last year. The government is currently bridging the gap by drawing down its massive store of foreign assets and issuing domestic bonds. But the assets will only last a few more years at their current rate of decline, while the bond issues have started to strain liquidity in the banking system.

Comic book fans and supporters of civil forfeiture will be pleased to learn that the Junior Justice League has another member:

The NHL ruled that an off-season rape allegation made against Patrick Kane was unfounded in determining that the Chicago Blackhawks star forward will not face any league disciplinary action.

The decision was issued on Wednesday, when the league issued a one-paragraph statement announcing it had completed its independent review of the allegations against Kane. The final step of the investigation occurred on Monday, when Kane met with NHL Commissioner Gary Bettman in New York.

Barry Critchley has enthusiastically endorsed the quixotic bid to get RON.PR.A taken out at par. I have updated the PrefBlog report on this week’s development.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 2bp, FixedResets up 37bp and DeemedRetractibles off 26bp. The Performance Highlights table is lengthy, with numerous TRP and HSE issues at the top of the list. Volume was below average.

PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, equal to the spread reported on March 2.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.30 to be $0.99 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $0.69 cheap at its bid price of 11.40.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.50 to be 1.08 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.55 to be 1.32 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.77 to be $1.29 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.55 and appears to be $1.15 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.40 looks $0.53 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.05 and is $0.24 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.95%, with one outlier below -2.00%. There is one junk outlier above 0.00%.

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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	5.11 %	6.21 %	12,116	16.42	1	0.0000 %	1,534.4
FixedFloater	7.20 %	6.32 %	24,080	15.95	1	0.9946 %	2,762.4
Floater	4.52 %	4.71 %	73,033	15.94	4	0.8191 %	1,697.8
OpRet	0.00 %	0.00 %	0	0.00	0	0.0730 %	2,750.8
SplitShare	4.83 %	5.82 %	71,615	2.64	7	0.0730 %	3,219.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0730 %	2,511.6
Perpetual-Premium	5.81 %	-0.80 %	77,419	0.08	6	0.1259 %	2,539.1
Perpetual-Discount	5.71 %	5.76 %	98,605	14.20	33	0.0219 %	2,533.3
FixedReset	5.54 %	5.19 %	205,975	14.53	86	0.3709 %	1,834.8
Deemed-Retractible	5.32 %	5.54 %	115,745	5.12	34	-0.2631 %	2,558.4
FloatingReset	3.09 %	4.98 %	40,623	5.45	16	0.5651 %	1,981.0

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset	-8.12 %	Completely nonsensical, as the issue traded 6,646 shares today in a range of 18.50-17 before closing at 17.32-19.30. VWAP was 18.87. Way to go with the $1.98 spreads there, guys! I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 5.16 %
TRP.PR.E	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.83 %
CIU.PR.C	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 10.52 Evaluated at bid price : 10.52 Bid-YTW : 4.96 %
TRP.PR.B	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 10.31 Evaluated at bid price : 10.31 Bid-YTW : 4.93 %
BAM.PF.F	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 5.23 %
TRP.PR.D	FixedReset	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.90 %
BNS.PR.L	Deemed-Retractible	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 5.39 %
BAM.PR.N	Perpetual-Discount	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.14 %
BNS.PR.R	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 5.30 %
MFC.PR.F	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.26 Bid-YTW : 11.43 %
BAM.PF.E	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 5.12 %
GWO.PR.I	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.35 %
VNR.PR.A	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 16.84 Evaluated at bid price : 16.84 Bid-YTW : 5.44 %
MFC.PR.K	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.68 Bid-YTW : 9.57 %
RY.PR.Z	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.50 %
SLF.PR.I	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 8.52 %
RY.PR.M	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.78 %
IFC.PR.C	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 9.37 %
GWO.PR.O	FloatingReset	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.20 Bid-YTW : 12.00 %
TD.PF.A	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 4.67 %
FTS.PR.M	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 5.01 %
MFC.PR.J	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.57 %
GWO.PR.N	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.07 Bid-YTW : 10.50 %
BNS.PR.Z	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 7.10 %
BMO.PR.Q	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.28 Bid-YTW : 7.83 %
CM.PR.P	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 4.70 %
CM.PR.O	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.70 %
BAM.PR.X	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 13.16 Evaluated at bid price : 13.16 Bid-YTW : 5.19 %
BAM.PR.Z	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.47 %
TRP.PR.F	FloatingReset	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 4.98 %
FTS.PR.H	FixedReset	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 11.43 Evaluated at bid price : 11.43 Bid-YTW : 4.93 %
SLF.PR.J	FloatingReset	2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.75 Bid-YTW : 11.52 %
PWF.PR.A	Floater	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.09 %
IAG.PR.G	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.20 Bid-YTW : 8.01 %
HSE.PR.C	FixedReset	2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 6.52 %
RY.PR.J	FixedReset	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 4.76 %
BIP.PR.A	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.80 %
BAM.PR.R	FixedReset	2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 5.51 %
TRP.PR.H	FloatingReset	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 4.64 %
TRP.PR.C	FixedReset	2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 5.01 %
HSE.PR.G	FixedReset	3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 6.25 %
TRP.PR.I	FloatingReset	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 10.90 Evaluated at bid price : 10.90 Bid-YTW : 4.59 %
HSE.PR.E	FixedReset	3.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 6.26 %
HSE.PR.A	FixedReset	4.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 6.65 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.R	FixedReset	255,385	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 5.28 %
RY.PR.H	FixedReset	60,655	RBC crossed 40,000 at 17.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.59 %
RY.PR.Q	FixedReset	60,473	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 23.31 Evaluated at bid price : 25.53 Bid-YTW : 5.20 %
SLF.PR.E	Deemed-Retractible	60,419	Desjardins crossed 50,000 at 20.01. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 7.64 %
TD.PF.G	FixedReset	51,152	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 23.31 Evaluated at bid price : 25.49 Bid-YTW : 5.27 %
FTS.PR.J	Perpetual-Discount	46,730	Scotia crossed 20,600 at 21.22. CIBC bought 20,000 from TD at 21.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 5.64 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.D	FixedReset	Quote: 17.32 – 19.30 Spot Rate : 1.9800 Average : 1.1657 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 5.16 %
BAM.PR.G	FixedFloater	Quote: 13.20 – 14.50 Spot Rate : 1.3000 Average : 0.8361 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 25.00 Evaluated at bid price : 13.20 Bid-YTW : 6.32 %
TRP.PR.E	FixedReset	Quote: 17.30 – 18.40 Spot Rate : 1.1000 Average : 0.6668 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.83 %
MFC.PR.L	FixedReset	Quote: 16.32 – 17.27 Spot Rate : 0.9500 Average : 0.6609 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.32 Bid-YTW : 9.12 %
TRP.PR.B	FixedReset	Quote: 10.31 – 10.95 Spot Rate : 0.6400 Average : 0.4377 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-09 Maturity Price : 10.31 Evaluated at bid price : 10.31 Bid-YTW : 4.93 %
PVS.PR.D	SplitShare	Quote: 22.71 – 23.24 Spot Rate : 0.5300 Average : 0.3465 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.71 Bid-YTW : 6.52 %