Category: Market Action

Market Action

March 8, 2016

Assiduous Readers will remember covered bonds – issues that are guaranteed both by the issuing bank and by a mortgage pool. This results in high ratings – for instance Royal Bank’s covered bonds are rated AAA by DBRS. So … having sovereign-style credit ratings leads to sovereign-style prices:

The first non-government issuer just got paid to borrow in euros.

Berlin Hyp AG sold 500 million euros ($550 million) of three-year covered bonds priced to yield minus 0.162 percent on Tuesday, according to data compiled by Bloomberg. The sale followed the euro area’s first zero-coupon covered bond, sold last month by another German issuer, Landesbank Hessen-Thueringen Girozentrale.
…
In the secondary market, almost 70 percent of German covered bonds have yields of less than zero, according to HSBC data tracking issues of at least 500 million euros. Issuers have extended maturities in the last month to avoid selling bonds with negative yields, said Matthias Melms, an analyst at NordLB.

“There seems too little concern that the market has become more and more distorted or even impaired,” said Bernd Volk, head of European covered and agency bond research at Deutsche Bank AG.

Berlin Hyp is majority-owned by Germany’s savings banks, which are supported by the nation’s states and municipalities.

Assiduous Reader AP writes in with a link to a piece about robot (and drone!) law:

OK, let’s say there’s no hack, but a self-driving car still crashes. What’s the driver’s responsibility?

On the self-driving cars that are being tested right now, the carmakers want the driver paying attention—and right now, they’re not doing it. They’re playing cards. That’s a little scary. And even if driver is well-intentioned, sitting there alert, it’s hard to stay alert for a long drive if you have nothing to do. This is the problem of “unintentional inattention,” and it goes well beyond cars.

Imagine you’ve got robot mall cops. There’s eight of them running around the mall and one guy in a room someplace looking at eight TV screens. He’s bored out of his mind, falling asleep. Then something happens, and it’s his fault because he’s asleep at the switch. Sometimes this is called the “human in the loop” problem. Autonomy seems dangerous, so you put a human in the loop. But that person’s job is very passive. It’s tough to do, and it may be a low-wage, low-status job. Then you blame the person who fails to monitor, even though the system sets them up for the fall. That’s not a good design, but I don’t know what the answer is.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts off 25bp, FixedResets losing 101bp and DeemedRetractibles down 80b. The Performance Highlights table is predictably lengthy. Volume was well above 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:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.00 to be $1.54 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $1.11 cheap at its bid price of 11.07.

Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.50 to be 1.14 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.49 to be 1.33 cheap.

Click for Big

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 17.75 and appears to be $1.41 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 15.32 looks $0.58 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 $0.31 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.02%, with one outlier below -2.00% and two above 0.00%. There are no junk outliers.

Click for Big

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 %	12,617	16.42	1	2.9526 %	1,534.4
FixedFloater	7.27 %	6.38 %	24,247	15.88	1	2.1094 %	2,735.2
Floater	4.55 %	4.75 %	74,148	15.86	4	-1.2372 %	1,684.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0471 %	2,748.8
SplitShare	4.84 %	5.73 %	73,249	2.64	7	0.0471 %	3,216.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0471 %	2,509.7
Perpetual-Premium	5.82 %	0.80 %	75,293	0.08	6	-0.1521 %	2,535.9
Perpetual-Discount	5.71 %	5.78 %	100,198	14.13	33	-0.2542 %	2,532.8
FixedReset	5.56 %	5.10 %	208,689	14.46	86	-1.0052 %	1,828.0
Deemed-Retractible	5.30 %	5.60 %	115,808	5.13	34	-0.8018 %	2,565.1
FloatingReset	3.11 %	4.89 %	40,945	5.46	16	-0.9745 %	1,969.8

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.Z	FixedReset	-5.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 5.57 %
FTS.PR.G	FixedReset	-4.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 5.00 %
FTS.PR.H	FixedReset	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 5.04 %
TRP.PR.I	FloatingReset	-4.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.76 %
BAM.PR.R	FixedReset	-4.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 13.77 Evaluated at bid price : 13.77 Bid-YTW : 5.66 %
TRP.PR.H	FloatingReset	-4.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.77 %
HSE.PR.A	FixedReset	-3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 6.95 %
BAM.PR.X	FixedReset	-3.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 12.95 Evaluated at bid price : 12.95 Bid-YTW : 5.27 %
CU.PR.C	FixedReset	-3.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 5.00 %
HSE.PR.E	FixedReset	-3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 6.51 %
TRP.PR.B	FixedReset	-3.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 10.52 Evaluated at bid price : 10.52 Bid-YTW : 4.83 %
TD.PF.A	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.73 %
NA.PR.W	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 5.04 %
VNR.PR.A	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 5.49 %
MFC.PR.J	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 8.78 %
HSE.PR.C	FixedReset	-2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 6.68 %
BMO.PR.Q	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.00 Bid-YTW : 8.12 %
RY.PR.J	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.88 %
BNS.PR.B	FloatingReset	-2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.76 %
FTS.PR.K	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 15.32 Evaluated at bid price : 15.32 Bid-YTW : 4.87 %
TRP.PR.C	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 11.07 Evaluated at bid price : 11.07 Bid-YTW : 5.16 %
TRP.PR.G	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.07 %
PWF.PR.A	Floater	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.18 %
BMO.PR.T	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 4.66 %
MFC.PR.B	Deemed-Retractible	-1.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.56 Bid-YTW : 7.43 %
RY.PR.H	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.63 %
SLF.PR.A	Deemed-Retractible	-1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 7.03 %
RY.PR.M	FixedReset	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.84 %
NA.PR.S	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.91 %
MFC.PR.C	Deemed-Retractible	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.07 Bid-YTW : 7.61 %
TRP.PR.D	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.81 %
PWF.PR.P	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 11.98 Evaluated at bid price : 11.98 Bid-YTW : 4.88 %
BNS.PR.Z	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 7.39 %
MFC.PR.K	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.73 %
SLF.PR.C	Deemed-Retractible	-1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.07 Bid-YTW : 7.53 %
TRP.PR.F	FloatingReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 5.06 %
SLF.PR.E	Deemed-Retractible	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 7.60 %
BAM.PF.A	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 5.38 %
SLF.PR.B	Deemed-Retractible	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.54 Bid-YTW : 6.90 %
SLF.PR.D	Deemed-Retractible	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 7.57 %
BNS.PR.F	FloatingReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.17 Bid-YTW : 7.68 %
MFC.PR.N	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 8.27 %
BMO.PR.S	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.09 Evaluated at bid price : 17.09 Bid-YTW : 4.73 %
HSE.PR.G	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 6.46 %
FTS.PR.M	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.08 %
CM.PR.O	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.78 %
BNS.PR.C	FloatingReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.98 Bid-YTW : 5.53 %
FTS.PR.J	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.66 %
GWO.PR.R	Deemed-Retractible	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 7.05 %
CM.PR.P	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 4.78 %
PWF.PR.L	Perpetual-Discount	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 21.95 Evaluated at bid price : 22.19 Bid-YTW : 5.81 %
SLF.PR.J	FloatingReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 11.81 %
MFC.PR.M	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 8.22 %
RY.PR.Z	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.18 Evaluated at bid price : 17.18 Bid-YTW : 4.55 %
GWO.PR.O	FloatingReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.06 Bid-YTW : 12.16 %
GWO.PR.P	Deemed-Retractible	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.73 Bid-YTW : 6.14 %
BIP.PR.A	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 5.96 %
RY.PR.W	Perpetual-Discount	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 5.36 %
IFC.PR.C	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 9.55 %
TRP.PR.E	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.63 %
GWO.PR.H	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.49 Bid-YTW : 6.99 %
MFC.PR.H	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.15 Bid-YTW : 7.62 %
MFC.PR.G	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.49 Bid-YTW : 8.60 %
BAM.PR.K	Floater	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 10.01 Evaluated at bid price : 10.01 Bid-YTW : 4.79 %
FTS.PR.F	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.62 %
BMO.PR.W	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 4.65 %
BNS.PR.Y	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 7.05 %
BAM.PR.T	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 5.39 %
BMO.PR.M	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 3.99 %
CIU.PR.A	Perpetual-Discount	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 20.38 Evaluated at bid price : 20.38 Bid-YTW : 5.69 %
TD.PR.Y	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 3.94 %
TD.PF.C	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 4.68 %
TD.PF.E	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.71 %
BAM.PR.G	FixedFloater	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 25.00 Evaluated at bid price : 13.07 Bid-YTW : 6.38 %
BAM.PR.E	Ratchet	2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 25.00 Evaluated at bid price : 13.25 Bid-YTW : 6.21 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.R	FixedReset	451,304	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 5.35 %
TD.PF.A	FixedReset	131,588	RBC crossed 10,000 at 17.15. Desjardins crossed blocks of 16,800 and 100,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.73 %
RY.PR.Q	FixedReset	120,522	TD crossed two blocks of 39,000 each, both at 25.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 23.29 Evaluated at bid price : 25.45 Bid-YTW : 5.21 %
NA.PR.S	FixedReset	120,516	Nesbitt crossed blocks of 50,000 and 61,600, both at 17.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.91 %
CU.PR.I	FixedReset	67,932	RBC crossed 50,000 at 25.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 23.23 Evaluated at bid price : 25.15 Bid-YTW : 4.38 %
TD.PF.G	FixedReset	64,167	TD crossed 39,000 at 25.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 23.30 Evaluated at bid price : 25.46 Bid-YTW : 5.28 %
There were 45 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PR.T	FloatingReset	Quote: 21.36 – 22.22 Spot Rate : 0.8600 Average : 0.5746 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.36 Bid-YTW : 4.89 %
TRP.PR.H	FloatingReset	Quote: 9.00 – 9.74 Spot Rate : 0.7400 Average : 0.4833 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.77 %
TD.PF.A	FixedReset	Quote: 16.80 – 17.39 Spot Rate : 0.5900 Average : 0.3668 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.73 %
BAM.PR.Z	FixedReset	Quote: 17.41 – 17.99 Spot Rate : 0.5800 Average : 0.3890 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 5.57 %
GWO.PR.O	FloatingReset	Quote: 11.06 – 12.00 Spot Rate : 0.9400 Average : 0.7574 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.06 Bid-YTW : 12.16 %
FTS.PR.M	FixedReset	Quote: 16.75 – 17.30 Spot Rate : 0.5500 Average : 0.3753 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-08 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.08 %

Market Action

March 7, 2015

There’s an interesting story on Bloomberg about the invention of the ETF:

Yet, as [Nathan] Most and [Steven] Bloom were discovering at AMEX in 1988, the SEC had essentially requested the ETF’s very creation. “The theory presented was that it would be possible to create baskets of key stocks available for sale,” says David Ruder, a professor of law at Northwestern University who was SEC chairman from 1987 to 1989. “Those baskets would then be able to be sold without causing the whole market to collapse.” It was just a suggestion, Ruder says, and one the SEC didn’t expect anybody to act on. Bloom remembers another detail he and Most latched onto: He recalls the SEC indicating that if someone wanted to engineer such a product, the agency might grant approval quickly.

The AMEX team dropped everything else and dove in. “We were essentially reverse-engineering what the SEC called for in their report,” Bloom says. “We viewed it as a product proposal being made by the regulators.”
…
Most, who studied physics at the University of California at Los Angeles before serving as a Navy submarine engineer during World War II, ultimately found inspiration from his time in commodities—first as a trader for Pacific Vegetable Oil, then as president of the Pacific Commodities Exchange. As Most knew, commodities are typically stored in warehouses, which issue receipts that can then be traded. “You store a commodity and you get a warehouse receipt,” Most later recounted for ETF.com founder Jim Wiandt. “You can sell it; do a lot of things with it. Because you don’t want to be moving the merchandise back and forth all the time, so you keep it in place and you simply transfer the warehouse receipt.”

He and Bloom wondered why that same concept couldn’t be applied to a basket of equities.

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts gaining 40bp, FixedResets winning 155bp and DeemedRetractibles up 51bp. The Performance Highlights table is lengthy. Volume was average.

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	5.26 %	6.39 %	12,740	16.20	1	1.6588 %	1,490.4
FixedFloater	7.42 %	6.51 %	24,637	15.72	1	0.3135 %	2,678.7
Floater	4.50 %	4.71 %	75,114	15.94	4	1.7676 %	1,705.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.0781 %	2,747.5
SplitShare	4.84 %	5.90 %	76,050	2.64	7	0.0781 %	3,215.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0781 %	2,508.6
Perpetual-Premium	5.81 %	0.60 %	75,710	0.08	6	-0.0463 %	2,539.8
Perpetual-Discount	5.70 %	5.75 %	100,640	14.24	33	0.4035 %	2,539.2
FixedReset	5.51 %	5.01 %	196,550	14.32	86	1.5516 %	1,846.5
Deemed-Retractible	5.26 %	5.51 %	113,021	5.14	34	0.5145 %	2,585.9
FloatingReset	3.08 %	4.85 %	41,543	5.46	16	1.2605 %	1,989.2

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.Q	FloatingReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 10.25 Evaluated at bid price : 10.25 Bid-YTW : 5.03 %
TD.PF.C	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 4.76 %
BNS.PR.R	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 4.99 %
HSB.PR.C	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 5.51 %
CM.PR.P	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.71 %
NA.PR.Q	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.49 Bid-YTW : 4.58 %
TRP.PR.C	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 11.32 Evaluated at bid price : 11.32 Bid-YTW : 4.96 %
PWF.PR.L	Perpetual-Discount	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 22.21 Evaluated at bid price : 22.48 Bid-YTW : 5.74 %
BNS.PR.F	FloatingReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.46 Bid-YTW : 7.38 %
BAM.PR.N	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.05 %
BAM.PF.C	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 6.12 %
PWF.PR.S	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.69 %
BMO.PR.Y	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 4.78 %
BNS.PR.P	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 3.76 %
HSB.PR.D	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 5.53 %
TD.PF.B	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 4.62 %
CM.PR.O	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.71 %
BAM.PR.K	Floater	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 10.13 Evaluated at bid price : 10.13 Bid-YTW : 4.73 %
BMO.PR.W	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 4.60 %
MFC.PR.C	Deemed-Retractible	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.45 Bid-YTW : 7.34 %
TRP.PR.B	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 10.85 Evaluated at bid price : 10.85 Bid-YTW : 4.68 %
TD.PR.T	FloatingReset	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 4.72 %
PWF.PR.P	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 4.79 %
SLF.PR.I	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.14 Bid-YTW : 8.64 %
TD.PR.Y	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.48 Bid-YTW : 4.20 %
MFC.PR.B	Deemed-Retractible	1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.97 Bid-YTW : 7.14 %
CIU.PR.C	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 10.76 Evaluated at bid price : 10.76 Bid-YTW : 4.84 %
BAM.PR.M	Perpetual-Discount	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 6.04 %
BMO.PR.S	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.34 Evaluated at bid price : 17.34 Bid-YTW : 4.66 %
BMO.PR.T	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.56 %
IFC.PR.A	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.83 Bid-YTW : 11.09 %
SLF.PR.D	Deemed-Retractible	1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.33 Bid-YTW : 7.34 %
SLF.PR.C	Deemed-Retractible	1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.43 Bid-YTW : 7.27 %
SLF.PR.E	Deemed-Retractible	1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.39 Bid-YTW : 7.35 %
SLF.PR.A	Deemed-Retractible	1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.68 Bid-YTW : 6.75 %
BAM.PR.E	Ratchet	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 25.00 Evaluated at bid price : 12.87 Bid-YTW : 6.39 %
SLF.PR.B	Deemed-Retractible	1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.89 Bid-YTW : 6.66 %
BAM.PR.R	FixedReset	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.41 %
BAM.PR.C	Floater	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 10.08 Evaluated at bid price : 10.08 Bid-YTW : 4.76 %
GWO.PR.O	FloatingReset	1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.20 Bid-YTW : 11.99 %
VNR.PR.A	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 5.34 %
RY.PR.H	FixedReset	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 4.54 %
TD.PF.D	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.76 %
TD.PF.A	FixedReset	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.59 %
TRP.PR.F	FloatingReset	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 4.97 %
BAM.PR.Z	FixedReset	2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.24 %
SLF.PR.H	FixedReset	2.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.24 Bid-YTW : 9.53 %
TD.PR.Z	FloatingReset	2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 4.83 %
BIP.PR.A	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.88 %
BAM.PF.E	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 5.05 %
CM.PR.Q	FixedReset	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 4.79 %
MFC.PR.I	FixedReset	2.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.87 Bid-YTW : 8.36 %
FTS.PR.M	FixedReset	2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 5.01 %
MFC.PR.N	FixedReset	2.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.76 Bid-YTW : 8.05 %
MFC.PR.K	FixedReset	2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.78 Bid-YTW : 9.47 %
NA.PR.S	FixedReset	2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.81 %
GWO.PR.N	FixedReset	2.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.90 Bid-YTW : 10.67 %
BMO.PR.R	FloatingReset	2.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 4.81 %
MFC.PR.G	FixedReset	2.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.42 %
IFC.PR.C	FixedReset	2.89 %	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 %
PWF.PR.A	Floater	3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 11.64 Evaluated at bid price : 11.64 Bid-YTW : 4.09 %
FTS.PR.I	FloatingReset	3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.85 %
IAG.PR.G	FixedReset	3.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.95 Bid-YTW : 8.20 %
NA.PR.W	FixedReset	3.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.90 %
BAM.PF.F	FixedReset	3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 5.12 %
MFC.PR.M	FixedReset	3.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.88 Bid-YTW : 8.03 %
HSE.PR.C	FixedReset	3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 6.50 %
TRP.PR.H	FloatingReset	3.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 4.57 %
MFC.PR.J	FixedReset	4.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.45 Bid-YTW : 8.40 %
MFC.PR.H	FixedReset	4.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.38 Bid-YTW : 7.45 %
FTS.PR.K	FixedReset	4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 15.67 Evaluated at bid price : 15.67 Bid-YTW : 4.75 %
HSE.PR.E	FixedReset	4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 6.29 %
CU.PR.C	FixedReset	4.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.81 %
HSE.PR.G	FixedReset	4.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 6.36 %
FTS.PR.G	FixedReset	5.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 4.75 %
BAM.PR.X	FixedReset	5.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 5.07 %
FTS.PR.H	FixedReset	5.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.79 %
BAM.PR.T	FixedReset	6.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 5.33 %
HSE.PR.A	FixedReset	6.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 6.68 %
TRP.PR.I	FloatingReset	7.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 4.48 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.R	FixedReset	1,482,632	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 5.34 %
TRP.PR.C	FixedReset	196,412	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 11.32 Evaluated at bid price : 11.32 Bid-YTW : 4.96 %
MFC.PR.O	FixedReset	83,165	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 5.46 %
TD.PF.G	FixedReset	82,880	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 5.24 %
RY.PR.Q	FixedReset	80,143	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 23.31 Evaluated at bid price : 25.52 Bid-YTW : 5.20 %
CCS.PR.C	Deemed-Retractible	71,767	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.07 Bid-YTW : 7.44 %
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.Q	FloatingReset	Quote: 10.25 – 15.39 Spot Rate : 5.1400 Average : 3.3735 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 10.25 Evaluated at bid price : 10.25 Bid-YTW : 5.03 %
BAM.PR.E	Ratchet	Quote: 12.87 – 14.40 Spot Rate : 1.5300 Average : 0.9047 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 25.00 Evaluated at bid price : 12.87 Bid-YTW : 6.39 %
TD.PF.C	FixedReset	Quote: 16.62 – 17.47 Spot Rate : 0.8500 Average : 0.5167 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 4.76 %
TRP.PR.A	FixedReset	Quote: 14.33 – 15.60 Spot Rate : 1.2700 Average : 0.9390 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 14.33 Evaluated at bid price : 14.33 Bid-YTW : 4.82 %
MFC.PR.I	FixedReset	Quote: 17.87 – 18.45 Spot Rate : 0.5800 Average : 0.3556 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.87 Bid-YTW : 8.36 %
BMO.PR.T	FixedReset	Quote: 17.26 – 18.03 Spot Rate : 0.7700 Average : 0.5690 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-07 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.56 %

Market Action

March 4, 2016

Jobs, jobs, jobs!

Employers added more workers in February than projected but wages unexpectedly declined, dashing hopes that reduced slack in the labor market was starting to benefit all Americans.

The 242,000 gain followed a 172,000 rise in January that was larger than previously estimated, a Labor Department report showed Friday. The jobless rate held at 4.9 percent as people entered the labor force and found work. Average hourly earnings dropped, the first monthly decline in more than a year, and workers put in fewer hours.
…
Average hourly earnings dropped by 0.1 percent from the prior month, the first decline since December 2014, the Labor Department’s figures showed. Worker pay increased 2.2 percent over the 12 months ended in February, less than the 2.5 percent forecast in the Bloomberg survey. Wage growth has been hovering just above 2 percent year-over-year on average since the current expansion began in mid-2009.
…
Payrolls at retailers climbed about 55,000 in February after a 62,000 advance a month earlier, while health care employment increased 57,400.

Payrolls at factories declined by 16,000 after a 23,000 gain and construction companies added 19,000 workers.

The participation rate, which shows the share of working-age people in the labor force, jumped to 62.9 percent, the highest since January 2015.

An otherwise interesting article quantifying projected investor losses from negative yields was spoilt by a misconception about the bond market:

As central bankers in Europe and Japan experiment with negative-rate policies to ignite their economies, investors are essentially being charged a fee to own about $7.7 trillion of sovereign debt.

How big of a tax is this on bond buyers? Well, here’s one way to get a sense of it: Investors would lose about 71 billion euros ($78 billion) if they were to buy all of Germany’s negative-yielding bonds coming due in more than two years and held them to maturity, according to calculations by Bloomberg Intelligence analyst David Powell.
…
Of course, this is an entirely hypothetical exercise. Many investors aren’t planning to hold this debt until maturity. Some are counting on yields to go even more negative, meaning that prices would increase, allowing them to get out without losses or even a profit if and when they want to.

It’s the last paragraph, of course, that is complete bullshit. This stuff is Fixed Income. It has a fixed coupon (mostly!) and a fixed maturity date and a fixed redemption price.

Therefore, the loss from today’s price to maturity is fixed. OK, so some investors are hoping prices will increase between now and maturity, if only a little bit and if only for a short while. So what? If current investors in German bonds should be so lucky as to unload their stakes with a 71-billion euro profit (from today’s prices) instead of an equally sized loss, all that means is that the buyers will, between transaction date and maturity, realize a 142-billion euro loss.

Because, you see, this stuff is fixed income.

Quibbling that the central banks / government treasuries could be the buyer is meaningless. In that case the central banks and government treasuries are taking the loss, even if they wish to cast it as a redemption.

There has been some philosophizing over productivity:

It’s a paradox that’s been puzzling economists for a while. How can U.S. productivity growth be slowing down at the same time that innovation in everything from smartphones to 3D printing seems to be speeding up?

A trio of economists from the Federal Reserve and the International Monetary Fund think they have the answer and it’s not particularly pretty. They argue in a new paper that the down-shift in productivity is for real. It’s not a mirage of mis-measurement by government statisticians unable to keep up with rapidly changing technology.
…
The authors — David Byrne from the Fed in Washington, John Fernald from the San Francisco Fed and Marshall Reinsdorf from the International Monetary Fund — also don’t deny that IT has made Americans’ lives easier and more enjoyable in many ways, from calling up directions on Google Maps to trading cat videos on Facebook.

But that doesn’t translate into more economic output. The researchers compare such online services to an old economy innovation: television. It too enhanced Americans’ leisure time but didn’t make them more productive.

There are lots of available critiques of GDP; perhaps the productivity problem is just another one of them.

Matt Levine writes an entertaining piece on the valuation of private equities:

Today’s Wall Street Journal has a terrific story about how mutual funds that bought stakes in large closely held technology companies are now writing down some of those stakes:

BlackRock Inc., Fidelity Investments, T. Rowe Price Group Inc. and Wellington Management run or advise mutual funds that own shares in at least 40 closely held startups valued at $1 billion or more apiece, according to securities filings analyzed by The Wall Street Journal.

For 13 of the startups, at least one mutual-fund firm values its investment at less than what it paid, the Journal’s analysis shows. Those firms are valuing the 13 companies at an average of 28% below their original purchase price.

…
You know what I think! Private markets are the new public markets, and if you want to run a giant company with hundreds of employees, a multibillion-dollar valuation, and millions of dollars raised from public mutual funds, while still calling it a “startup,” you can do that now. (You can even call it a “unicorn,” if “startup” seems a little low-rent.) But what this means is that private companies are the new public companies, and sometimes public companies’ stocks go down. In a world where venture-funded startups exist in a sort of trial-and-error, proof-of-concept phase, and go public when it turns out the concept works, private valuations shouldn’t fluctuate unpredictably: You raise money, your thing works, you raise more money at a higher valuation, your thing scales a bit, and you go public at a yet higher valuation. (Or: You raise money, your thing fails, you send your venture capitalists a note with your condolences, and that is that.) The problems of running an operating business for the long term, with revenue fluctuations and competitive pressures and changing market conditions, get worked out in your stock price as a public company. Sometimes it goes down!

In a world where venture-funded startups are also mutual-fund-funded multibillion-dollar companies with massive established businesses used by millions of people, that’s not the model any more.
…
They [privately held companies] can even avoid the discipline of fluctuating stock prices. Just don’t sell to mutual funds! It is an obvious answer, and private companies have noticed:

Some venture capitalists anticipate further markdowns by mutual funds. That could make some startups more reluctant to seek mutual-fund money, since public disclosure of their valuations is watched so closely.

Assiduous Readers will remember that I expect that sooner or later we’re going to see a gigantic juicy private equity valuation scandal … and then we’ll learn which pension funds and which public investment companies (such as insurers) have been naughty.

It was another superb day for the Canadian preferred share market, with PerpetualDiscounts up 51bp, FixedResets winning 75bp and DeemedRetractibles up 36bp. The Performance Highlights table has only three losers. Volume was well below average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.22 to be $1.54 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $1.16 cheap at its bid price of 11.20.

Click for Big

Most expensive is MFC.PR.O, resetting at +497bp on 2021-6-19, bid at 25.25 to be 1.32 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.21 to be 1.30 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.T, resetting at +231bp on 2017-3-31, bid at 14.00 to be $1.06 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.33 and appears to be $1.06 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 15.02 looks $0.44 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 $0.31 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.96%, with three outliers below -2.00% and one above 0.00%. There are no junk outliers.

Click for Big

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	5.34 %	6.49 %	12,958	16.09	1	-0.3150 %	1,466.1
FixedFloater	7.45 %	6.53 %	23,749	15.70	1	-0.0783 %	2,670.3
Floater	4.58 %	4.74 %	77,562	15.88	4	0.5600 %	1,675.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0338 %	2,745.4
SplitShare	4.84 %	5.87 %	77,232	2.65	7	-0.0338 %	3,212.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0338 %	2,506.6
Perpetual-Premium	5.81 %	0.98 %	76,539	0.08	6	0.0662 %	2,540.9
Perpetual-Discount	5.72 %	5.77 %	101,095	14.15	33	0.5145 %	2,529.0
FixedReset	5.59 %	5.13 %	196,630	14.49	85	0.7490 %	1,818.3
Deemed-Retractible	5.29 %	5.71 %	113,059	5.14	34	0.3586 %	2,572.6
FloatingReset	3.10 %	5.26 %	41,029	5.46	16	0.5543 %	1,964.5

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.T	FixedReset	-3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 5.60 %
HSE.PR.G	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 6.61 %
BMO.PR.Q	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.39 Bid-YTW : 7.64 %
RY.PR.I	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 4.55 %
FTS.PR.I	FloatingReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 9.50 Evaluated at bid price : 9.50 Bid-YTW : 4.98 %
IFC.PR.C	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.94 Bid-YTW : 9.70 %
BMO.PR.W	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 4.60 %
ELF.PR.G	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 6.01 %
RY.PR.H	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.57 %
VNR.PR.A	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.37 %
SLF.PR.J	FloatingReset	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.69 Bid-YTW : 11.56 %
CU.PR.C	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 4.95 %
MFC.PR.G	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.21 Bid-YTW : 8.76 %
TD.PR.Z	FloatingReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 5.26 %
CU.PR.H	Perpetual-Discount	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 22.94 Evaluated at bid price : 23.35 Bid-YTW : 5.64 %
BAM.PF.C	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 6.19 %
TD.PR.S	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.53 Bid-YTW : 3.93 %
MFC.PR.J	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.75 Bid-YTW : 8.93 %
IAG.PR.G	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.40 Bid-YTW : 8.58 %
BIP.PR.A	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 5.97 %
MFC.PR.M	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.29 Bid-YTW : 8.46 %
RY.PR.Z	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.47 %
TRP.PR.E	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 4.52 %
BAM.PR.M	Perpetual-Discount	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 6.13 %
BMO.PR.Y	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 4.78 %
BAM.PF.A	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 5.25 %
CM.PR.Q	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.86 %
FTS.PR.F	Perpetual-Discount	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 21.94 Evaluated at bid price : 22.18 Bid-YTW : 5.55 %
FTS.PR.J	Perpetual-Discount	1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 5.58 %
BAM.PF.D	Perpetual-Discount	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.20 %
BAM.PR.N	Perpetual-Discount	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 6.11 %
MFC.PR.I	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.41 Bid-YTW : 8.67 %
HSE.PR.A	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 8.76 Evaluated at bid price : 8.76 Bid-YTW : 6.99 %
BMO.PR.M	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.20 %
IFC.PR.A	FixedReset	2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.62 Bid-YTW : 11.24 %
MFC.PR.L	FixedReset	2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.10 Bid-YTW : 9.26 %
TD.PF.D	FixedReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.80 %
PWF.PR.T	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.11 %
BNS.PR.C	FloatingReset	2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.22 Bid-YTW : 5.29 %
BAM.PR.Z	FixedReset	2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 5.29 %
MFC.PR.N	FixedReset	2.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 8.39 %
BAM.PF.F	FixedReset	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.24 %
TD.PF.E	FixedReset	2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.76 %
NA.PR.S	FixedReset	2.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 4.88 %
NA.PR.W	FixedReset	2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.00 %
PWF.PR.A	Floater	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.21 %
TRP.PR.D	FixedReset	3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.63 %
SLF.PR.H	FixedReset	3.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.89 Bid-YTW : 9.78 %
FTS.PR.G	FixedReset	3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.93 %
TRP.PR.F	FloatingReset	3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 11.60 Evaluated at bid price : 11.60 Bid-YTW : 5.06 %
CIU.PR.C	FixedReset	3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 4.80 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.H	FixedReset	161,200	Scotia crossed 160,000 at 14.52. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.89 Bid-YTW : 9.78 %
RY.PR.Q	FixedReset	38,817	RBC crossed 15,000 at 25.52. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 23.29 Evaluated at bid price : 25.45 Bid-YTW : 5.17 %
TD.PF.G	FixedReset	35,839	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 23.31 Evaluated at bid price : 25.50 Bid-YTW : 5.23 %
MFC.PR.O	FixedReset	35,385	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 5.45 %
HSE.PR.A	FixedReset	34,260	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 8.76 Evaluated at bid price : 8.76 Bid-YTW : 6.99 %
SLF.PR.G	FixedReset	32,056	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 10.35 %
There were 21 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.C	FixedReset	Quote: 15.17 – 18.00 Spot Rate : 2.8300 Average : 1.5785 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 6.69 %
TD.PR.Z	FloatingReset	Quote: 21.01 – 22.75 Spot Rate : 1.7400 Average : 1.3684 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 5.26 %
TRP.PR.I	FloatingReset	Quote: 10.25 – 11.99 Spot Rate : 1.7400 Average : 1.4284 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 10.25 Evaluated at bid price : 10.25 Bid-YTW : 4.86 %
BMO.PR.M	FixedReset	Quote: 23.20 – 23.90 Spot Rate : 0.7000 Average : 0.4183 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 4.20 %
FTS.PR.G	FixedReset	Quote: 15.00 – 15.78 Spot Rate : 0.7800 Average : 0.5113 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.93 %
FTS.PR.H	FixedReset	Quote: 11.12 – 11.78 Spot Rate : 0.6600 Average : 0.4031 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-04 Maturity Price : 11.12 Evaluated at bid price : 11.12 Bid-YTW : 4.98 %

Market Action

March 3, 2016

It seems there’s another way to increase low-end salaries:

Costco Wholesale Corp. will lift its minimum wage for the first time in nine years, by a $1.50 an hour, as the labor market tightens and competitors start giving workers a raise.

The second-largest U.S. retailer will start paying at least $13-to-$13.50 an hour, up from $11.50-to-$12 an hour, the company said Thursday in a conference call with analysts. The increase will cut its earnings per share in the next three months by 1 cent, and by 2 cents in the following three quarters, the Issaquah, Washington-based company said.

Retailers are under pressure to boost wages as unemployment falls below 5 percent and 14 states have raised their minimum wage this year. Wal-Mart Stores Inc., which operates the Sam’s Club warehouse-style chain, a Costco competitor, lifted its pay floor to $10 an hour this year and gave an increase to more than 1 million workers. Costco didn’t say how many of its 117,000 employees would get a raise.

But some might not sign up with Costco – because the fearmongers are winning:

The declining level of trust among Americans may have contributed to reduced flexibility in the U.S. labor market over the last several decades, according to a Federal Reserve working paper.

In the paper, Fed economists Raven Molloy, Christopher Smith and Riccardo Trezzi, along with University of Notre Dame professor Abigail Wozniak, identify a 10 percent to 15 percent decline in U.S. labor market fluidity — a measure that encompasses workers switching jobs and moving states as well as employers creating or cutting positions — since the early 1980s.

In U.S. states where the share of people who said their trust in strangers fell more steeply, labor mobility registered greater declines, according to the paper. The drop in social trust “may have increased the cost of job search or made both parties in the hiring process more risk averse,” it said.

“Regardless of the cause, less fluidity in the labor market leads to fewer opportunities for workers to renegotiate their current employment arrangements using outside options as leverage or to change jobs,” the authors wrote. That means less scope for wage growth, and that U.S. workers may be more reluctant to quit their jobs, “leading to ‘precautionary’ job holding and again an increase in the likelihood that the unemployed are there involuntarily.”

The paper by Raven S. Molloy, Christopher L. Smith, Riccardo Trezzi, and Abigail Wozniak is titled Understanding Declining Fluidity in the U.S. Labor Market. I would quote from it, but there appears to be some kind of incompatible font problem which gives rise to strange effects when copied.

BMO has redeemed a chunk of sub-debt on its pretend-maturity:

Bank of Montreal (TSX:BMO)(NYSE:BMO) today announced its intention to redeem all of its $700,000,000 Series D Medium-Term Notes First Tranche (the “Notes”) on April 21, 2016. The Notes are redeemable at par together with accrued and unpaid interest to, but excluding, the redemption date.

These notes were issued in 2006.

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts gaining 22bp, FixedResets winning 117bp and DeemedRetractibles up 53bp. The Performance Highlights table is, predictably enough, dominated by winning FixedResets, with issues from TRP and BAM leading the pack. Volume was average.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.95 to be $1.47 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $1.00 cheap at its bid price of 11.22.

Click for Big

Most expensive is MFC.PR.O, resetting at +497bp on 2021-6-19, bid at 25.20 to be 1.41 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.00 to be 1.34 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.23 to be $0.70 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.25 and appears to be $1.07 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 15.02 looks $0.57 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.50 and is $0.37 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.99%, with two outliers below -2.00%. Note that the range of the y-axis has changed today. There are no junk outliers.

Click for Big

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 %	6.47 %	12,259	16.12	1	1.6000 %	1,470.7
FixedFloater	7.44 %	6.53 %	23,056	15.71	1	2.1600 %	2,672.4
Floater	4.60 %	4.76 %	78,482	15.84	4	1.5328 %	1,666.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.3572 %	2,746.3
SplitShare	4.84 %	5.69 %	78,466	2.66	7	0.3572 %	3,213.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3572 %	2,507.4
Perpetual-Premium	5.81 %	4.21 %	77,077	0.08	6	0.1789 %	2,539.3
Perpetual-Discount	5.75 %	5.79 %	102,111	14.15	33	0.2184 %	2,516.1
FixedReset	5.64 %	5.14 %	198,742	14.54	85	1.1679 %	1,804.8
Deemed-Retractible	5.31 %	5.87 %	116,364	5.14	34	0.5280 %	2,563.5
FloatingReset	3.12 %	5.31 %	42,581	5.46	16	0.3813 %	1,953.6

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.Q	FloatingReset	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.89 %
GWO.PR.O	FloatingReset	-2.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.00 Bid-YTW : 12.20 %
GWO.PR.N	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.54 Bid-YTW : 11.01 %
RY.PR.H	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 4.62 %
RY.PR.D	Deemed-Retractible	1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.18 Bid-YTW : 5.20 %
RY.PR.I	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.91 Bid-YTW : 4.75 %
RY.PR.A	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.11 Bid-YTW : 5.21 %
CM.PR.P	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.58 Evaluated at bid price : 16.58 Bid-YTW : 4.72 %
GWO.PR.L	Deemed-Retractible	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.47 Bid-YTW : 5.94 %
GWO.PR.I	Deemed-Retractible	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.09 %
TD.PF.A	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 4.64 %
IAG.PR.G	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.15 Bid-YTW : 8.78 %
BMO.PR.T	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 4.61 %
BNS.PR.M	Deemed-Retractible	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 5.10 %
BAM.PR.R	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 14.23 Evaluated at bid price : 14.23 Bid-YTW : 5.38 %
MFC.PR.I	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.92 %
TD.PF.E	FixedReset	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.87 %
VNR.PR.A	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 5.44 %
MFC.PR.L	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.78 Bid-YTW : 9.55 %
CU.PR.C	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 15.66 Evaluated at bid price : 15.66 Bid-YTW : 5.01 %
PVS.PR.D	SplitShare	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.56 Bid-YTW : 6.64 %
BMO.PR.M	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.55 %
W.PR.K	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 23.03 Evaluated at bid price : 24.60 Bid-YTW : 5.36 %
RY.PR.Z	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.54 %
SLF.PR.I	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.80 Bid-YTW : 8.85 %
TD.PF.C	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 4.63 %
BAM.PR.E	Ratchet	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 25.00 Evaluated at bid price : 12.70 Bid-YTW : 6.47 %
FTS.PR.I	FloatingReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.03 %
TD.PF.B	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.84 Evaluated at bid price : 16.84 Bid-YTW : 4.64 %
BAM.PF.G	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 5.32 %
FTS.PR.M	FixedReset	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.06 %
MFC.PR.K	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.39 Bid-YTW : 9.77 %
MFC.PR.F	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.62 Bid-YTW : 10.93 %
MFC.PR.J	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.51 Bid-YTW : 9.13 %
HSE.PR.G	FixedReset	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 6.50 %
BAM.PR.B	Floater	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 4.77 %
BAM.PR.C	Floater	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 9.95 Evaluated at bid price : 9.95 Bid-YTW : 4.82 %
BAM.PF.E	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.15 %
BAM.PR.G	FixedFloater	2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 25.00 Evaluated at bid price : 12.77 Bid-YTW : 6.53 %
HSE.PR.E	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 6.54 %
BAM.PF.F	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 5.37 %
RY.PR.M	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 4.74 %
BAM.PR.Z	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 5.42 %
TRP.PR.B	FixedReset	2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.65 %
BIP.PR.A	FixedReset	2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 6.06 %
HSE.PR.C	FixedReset	2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 6.72 %
CM.PR.O	FixedReset	3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.68 %
MFC.PR.G	FixedReset	3.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 8.93 %
BAM.PR.K	Floater	3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 10.06 Evaluated at bid price : 10.06 Bid-YTW : 4.76 %
RY.PR.J	FixedReset	3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 18.13 Evaluated at bid price : 18.13 Bid-YTW : 4.79 %
BMO.PR.Q	FixedReset	3.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.37 %
TRP.PR.C	FixedReset	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.00 %
TRP.PR.F	FloatingReset	3.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 11.21 Evaluated at bid price : 11.21 Bid-YTW : 5.24 %
TRP.PR.E	FixedReset	3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.59 %
TRP.PR.A	FixedReset	3.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.79 %
BAM.PR.T	FixedReset	3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.39 %
BAM.PF.B	FixedReset	4.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 5.27 %
BAM.PF.A	FixedReset	4.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 5.34 %
TRP.PR.D	FixedReset	4.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.78 %
TRP.PR.G	FixedReset	5.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.96 %
TRP.PR.I	FloatingReset	7.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 10.25 Evaluated at bid price : 10.25 Bid-YTW : 4.86 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.W	FixedReset	99,180	RBC crossed 68,000 at 16.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 4.65 %
TD.PF.G	FixedReset	86,302	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 23.28 Evaluated at bid price : 25.41 Bid-YTW : 5.25 %
BNS.PR.E	FixedReset	73,858	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 23.27 Evaluated at bid price : 25.37 Bid-YTW : 5.18 %
NA.PR.X	FixedReset	72,223	Nesbitt crossed 39,000 at 25.17. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 23.20 Evaluated at bid price : 25.17 Bid-YTW : 5.51 %
MFC.PR.O	FixedReset	66,145	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.49 %
HSE.PR.A	FixedReset	56,150	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 8.60 Evaluated at bid price : 8.60 Bid-YTW : 7.12 %
There were 30 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.G	FixedReset	Quote: 16.88 – 24.50 Spot Rate : 7.6200 Average : 4.2889 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 6.50 %
PWF.PR.Q	FloatingReset	Quote: 10.50 – 12.05 Spot Rate : 1.5500 Average : 1.3123 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.89 %
CM.PR.Q	FixedReset	Quote: 17.84 – 18.50 Spot Rate : 0.6600 Average : 0.4432 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-03 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 4.95 %
MFC.PR.L	FixedReset	Quote: 15.78 – 16.39 Spot Rate : 0.6100 Average : 0.4169 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.78 Bid-YTW : 9.55 %
MFC.PR.K	FixedReset	Quote: 15.39 – 16.01 Spot Rate : 0.6200 Average : 0.4367 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.39 Bid-YTW : 9.77 %
BNS.PR.C	FloatingReset	Quote: 20.77 – 21.59 Spot Rate : 0.8200 Average : 0.6386 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 5.69 %

Market Action

March 2, 2016

American shoppers are loading up on the blue-light special:

The Canadian dollar — the loonie — has fallen about 18 percent against its U.S. counterpart over the past two years after flirting with parity several times in the last decade. At the same time, spending by U.S. shoppers using PayPal on Canadian websites jumped 20 percent in 2015 from the year before.

“The recent drop in the Canadian dollar presents an exciting export opportunity for Canadian businesses selling to American buyers,” Cameron Schmidt, PayPal Inc.’s Canadian general manager, said in an e-mail.

As the energy and mining industries struggle under the collapse of a decade-long bull market for commodities, Canada is turning to exports and tourism for growth. The expansion of online shopping allows that to happen without requiring Americans to dig out their passports.
…
“Across our customer base, Canadian businesses saw strong growth among U.S. shoppers in 2015,” Brent Bellm, chief executive officer of Austin, Texas-based Bigcommerce, said in an e-mail. Sales at Canadian Bigcommerce stores during the holiday shopping season rose 39 percent from the same period a year earlier, while the number of actual stores only went up 2.9 percent, he said.

Not just retail, but retailers:

U.S. health-care-services giant McKesson Corp. is taking on the heavyweights of Canada’s drugstore industry with a $3-billion deal for the Rexall pharmacy chain and related companies.

McKesson of San Francisco, which already owns smaller drugstores in Canada and supplies drugs to Rexall and other pharmacies, is adding to its size and buying power by acquiring the 470 Rexall stores. It gives Rexall more heft in its fight with industry leader Shoppers Drug Mart, which was acquired by grocery titan Loblaw Cos. Ltd. for $12.4-billion two years ago.

Zachary Tracer of Bloomberg adds:

The deal is the drug distributor’s latest in a series of efforts to expand geographically and deepen its offerings. In 2014, it announced it would buy 10 drugstores from Loblaw Cos., and last year it announced an agreement to buy a drug distribution business in Belgium. Its biggest recent deal was a $1.2 billion acquisition of two oncology businesses, Vantage Oncology LLC and Biologics Inc., which included 50 cancer treatment centers in 13 states.

There will, of course, be the usual whining from the usual crowd who don’t realize that the capital doesn’t just disappear:

Famously publicity shy, Mr. Katz gave little in the way of specifics Wednesday about what he will do with the proceeds of the sale of Rexall Health to the United States-based McKesson Corp.

In a news release on Wednesday, the billionaire said going forward, his privately held Katz Group will continue to invest in its three other lines of business – real estate, sports and entertainment, and private and public investments.

But Mr. Katz, 54, has made no secret that his current focus is far away from the world of neighbourhood drugstores and Medicentres, and is laser-trained on the building of Canada’s largest mixed-use sports and entertainment district.
…
The price tag will be hefty, even for someone of Mr. Katz’s considerable means. The development is a joint project with WAM Development Group, but Mr. Katz holds a 90-per-cent stake. The first 25-acre phases of the project will cost $2.5-billion, but the final tally, once the planned second phase is built, could reach $6-billion. The budget for the steel-topped arena itself – being jointly funded by the city, and set to open this fall – is $606.5-million.

There are other, more modest, sales – probably also given something of a boost by an influx of foreign capital:

Her strata council’s sale of their 21-unit building to Concert Properties for $5-million – about 65 per cent more than the assessed value of all the units – will close this May, as well as a recent sale of a group of owners in the West End to Bosa Properties, are the first two major deals such as this in the Lower Mainland.

Until now, strata buyouts have mainly been duplexes, triplexes or very small complexes with a handful of owners, said Tony Gioventu, president of the Condominium Home Owners Association.

But condo experts such as Mr. Gioventu, real estate lawyers, and residents say it’s just the beginning.

More than a million people in British Columbia live in strata-titled housing in the hundreds of buildings that have been constructed since the province’s first strata act in 1966 made them legally possible.

Buildings are getting old. Developers are hungry for any new site in the land-squeezed Lower Mainland.

And city governments have been identifying new areas of density, which is fresh bait for redevelopment.

The wave is especially likely to grow because British Columbia is about to enact a new piece of legislation this spring so that strata councils no longer have to get 100-per-cent agreement among owners to sell, but only 80 per cent.

That will open the door for many more strata councils to force a sale on holdout owners, of which there is generally at least one in any building.

Geez, it seems like only yesterday that I was talking about squeeze-outs and eminent domain laws! So here’s another attempt at a Solomonic decision regarding minority ownership rights!

It looks like the Fairfax underwriters bit off more than they chew:

Fairfax Financial Holdings Ltd.’s latest financing didn’t sell as planned, forcing the underwriters to absorb millions of dollars in potential losses from unsold shares.

The $735-million financing was sold by way of a bought deal, which means the underwriters paid Fairfax the money up front and absorbed the risk of re-selling the shares to the market. Many investors balked at the terms, with only about 50 per cent of the transaction sold, according to people familiar with it, so advisers are currently holding the remaining portion. The deal was originally priced at $735 a share, a 3.9-per-cent discount to the market price. Fairfax’s shares currently trade for $709 apiece, having fallen 7 per cent since the deal was announced.

At the moment, the underwriters are collectively breaking even on the deal – after accounting for the 4-per-cent, or $29-million, commission, they earn. However, they are expected to launch what is known as a “clean-up” trade, in which the unsold shares will be unloaded at a bigger discount. Depending on this final price, there is a chance the underwriters eke out a small profit on the deal – but they could also be on the hook for millions of dollars.

Looks like the OSC will soon be publishing mutual fund research:

Regulators are taking a closer look at actively managed funds to determine if portfolio managers are fulfilling their duty – or simply hugging an index.

The Ontario Securities Commission wants to know whether funds that are advertised as actively managed are in fact living up to their name, or whether they are exhibiting a close tracking of their benchmark index, such as the S&P 500 or the S&P/TSX composite index.
…
About 37 per cent of the assets in equity mutual funds sold in this country are in closet indexers, according to research by Martijn Cremers of the University of Notre Dame, Miguel Ferreira of the Nova School of Business and Economics, Pedro Matos of the University of Virginia and Laura Starks of the University of Texas.

By comparison, only 15 per cent of the net assets in equity mutual funds sold in the United States are in closet indexers. The level of closet indexing in Canada is the highest among the 20 countries covered in the paper when it is calculated as a percentage of equity funds sold in each country.

A recent report by the OSC stated that it had “commenced a targeted review of conventional mutual funds that disclose in their prospectus and marketing materials that they pursue active management strategies … Among other data, we considered the funds’ active share (a measure of the percentage of a fund’s portfolio holdings that differs from the composition of its benchmark index) to assess the extent of active management.”

The OSC is currently seeking additional information from portfolio managers, including how the securities are selected for their funds.

This story comes from the 2015 – Summary Report for Investment Fund and Structured Product Issuers.

Forbes published two pretty compelling charts about American universities:

Click for Big

Click for Big

RONA has filed its management circular for the proposed dual Plans of Arrangement with Lowe’s. I have updated the post regarding the announcement of the proposed Arrangement.

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts gaining 41bp, FixedResets winning 160bp and DeemedRetractibles up 63bp. There is not a single loser in the Performance Highlights table, which is suitably dominated by winning FixedResets. Floaters did very well. Volume was above average.

PerpetualDiscounts now yield 5.79%, equivalent to 7.53% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.3%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a significant narrowing from the 340bp reported February 24.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.32 to be $1.51 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $0.93 cheap at its bid price of 10.85.

Click for Big

Most expensive is MFC.PR.O, resetting at +497bp on 2021-6-19, bid at 25.18 to be 1.28 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.49 to be 1.71 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.T, resetting at +231bp on 2017-3-31, bid at 14.00 to be $0.72 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 16.90 and appears to be $1.04 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 14.90, looks $0.57 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.47 and is $0.26 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.90%, with three outliers below -1.50%. Note that the range of the y-axis has changed today. There are two junk outliers below -1.50%.

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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	5.41 %	6.57 %	12,782	16.00	1	2.4590 %	1,447.6
FixedFloater	7.60 %	6.66 %	22,025	15.55	1	2.8807 %	2,615.9
Floater	4.67 %	4.87 %	79,560	15.66	4	4.2257 %	1,641.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.1610 %	2,736.5
SplitShare	4.86 %	5.90 %	79,272	2.66	7	0.1610 %	3,202.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1610 %	2,498.5
Perpetual-Premium	5.82 %	-0.37 %	79,836	0.08	6	0.1061 %	2,534.7
Perpetual-Discount	5.76 %	5.79 %	102,804	14.11	33	0.4081 %	2,510.6
FixedReset	5.70 %	5.17 %	200,099	14.27	85	1.6000 %	1,784.0
Deemed-Retractible	5.33 %	5.94 %	117,576	5.14	34	0.6252 %	2,550.0
FloatingReset	3.13 %	5.46 %	44,355	5.46	16	1.6693 %	1,946.2

Performance Highlights
Issue	Index	Change	Notes
ELF.PR.G	Perpetual-Discount	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.04 %
BAM.PF.C	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 6.29 %
BNS.PR.A	FloatingReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.04 Bid-YTW : 3.94 %
GWO.PR.Q	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 6.35 %
SLF.PR.I	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.55 Bid-YTW : 9.06 %
GWO.PR.M	Deemed-Retractible	1.20 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-31 Maturity Price : 25.25 Evaluated at bid price : 25.25 Bid-YTW : 5.54 %
RY.PR.I	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.67 Bid-YTW : 4.95 %
BAM.PR.T	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 13.97 Evaluated at bid price : 13.97 Bid-YTW : 5.61 %
ELF.PR.F	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 6.07 %
HSE.PR.A	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 8.58 Evaluated at bid price : 8.58 Bid-YTW : 7.13 %
BMO.PR.W	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.67 %
PWF.PR.P	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 4.73 %
GWO.PR.O	FloatingReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.26 Bid-YTW : 11.88 %
GWO.PR.I	Deemed-Retractible	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.52 Bid-YTW : 7.25 %
FTS.PR.I	FloatingReset	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 5.11 %
BNS.PR.Y	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.99 Bid-YTW : 6.83 %
BMO.PR.Q	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.05 Bid-YTW : 7.98 %
CM.PR.Q	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.97 %
CCS.PR.C	Deemed-Retractible	1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.06 Bid-YTW : 7.43 %
SLF.PR.H	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.50 Bid-YTW : 10.15 %
TD.PF.A	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.69 %
CM.PR.P	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.77 %
BMO.PR.Y	FixedReset	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 4.90 %
CU.PR.C	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 5.08 %
RY.PR.Z	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.61 %
IAG.PR.G	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.95 %
TD.PF.E	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 4.93 %
FTS.PR.G	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 14.47 Evaluated at bid price : 14.47 Bid-YTW : 5.11 %
BNS.PR.D	FloatingReset	2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.63 Bid-YTW : 7.72 %
SLF.PR.J	FloatingReset	2.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 11.77 %
FTS.PR.M	FixedReset	2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 5.15 %
MFC.PR.K	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.11 Bid-YTW : 10.03 %
BAM.PR.E	Ratchet	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 6.57 %
NA.PR.W	FixedReset	2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 15.27 Evaluated at bid price : 15.27 Bid-YTW : 5.17 %
BAM.PF.G	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 5.42 %
BAM.PF.F	FixedReset	2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.51 %
BAM.PF.B	FixedReset	2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.49 %
TD.PR.Y	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.13 Bid-YTW : 4.45 %
BAM.PR.G	FixedFloater	2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 6.66 %
TRP.PR.F	FloatingReset	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 10.82 Evaluated at bid price : 10.82 Bid-YTW : 5.42 %
BAM.PF.E	FixedReset	3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.26 %
HSE.PR.G	FixedReset	3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.63 %
BAM.PR.K	Floater	3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 9.75 Evaluated at bid price : 9.75 Bid-YTW : 4.92 %
RY.PR.J	FixedReset	3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 4.94 %
RY.PR.M	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.87 %
TD.PF.D	FixedReset	3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 4.92 %
BAM.PR.R	FixedReset	3.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 14.06 Evaluated at bid price : 14.06 Bid-YTW : 5.44 %
MFC.PR.L	FixedReset	3.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.58 Bid-YTW : 9.73 %
NA.PR.S	FixedReset	3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 5.06 %
FTS.PR.K	FixedReset	3.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 4.93 %
CIU.PR.C	FixedReset	3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 10.23 Evaluated at bid price : 10.23 Bid-YTW : 4.97 %
BAM.PR.X	FixedReset	3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 5.25 %
HSE.PR.C	FixedReset	3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 14.67 Evaluated at bid price : 14.67 Bid-YTW : 6.92 %
MFC.PR.N	FixedReset	3.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 8.75 %
MFC.PR.M	FixedReset	3.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 8.70 %
BAM.PR.Z	FixedReset	3.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 5.57 %
TRP.PR.G	FixedReset	4.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.22 %
BAM.PR.C	Floater	4.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 9.75 Evaluated at bid price : 9.75 Bid-YTW : 4.92 %
TRP.PR.H	FloatingReset	4.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.74 %
TRP.PR.C	FixedReset	4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 10.85 Evaluated at bid price : 10.85 Bid-YTW : 5.17 %
TD.PR.T	FloatingReset	4.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 4.96 %
TRP.PR.B	FixedReset	4.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 10.40 Evaluated at bid price : 10.40 Bid-YTW : 4.78 %
HSE.PR.E	FixedReset	4.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.42 Evaluated at bid price : 16.42 Bid-YTW : 6.69 %
PWF.PR.A	Floater	4.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 4.29 %
BAM.PR.B	Floater	4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 9.85 Evaluated at bid price : 9.85 Bid-YTW : 4.87 %
TRP.PR.D	FixedReset	5.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 5.02 %
TRP.PR.A	FixedReset	5.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 4.97 %
TRP.PR.E	FixedReset	5.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 4.76 %
PWF.PR.Q	FloatingReset	6.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 10.85 Evaluated at bid price : 10.85 Bid-YTW : 4.73 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.Q	FixedReset	116,330	GMC sold 20,700 to Scotia, 15,200 to TD and crossed 40,000, all at 23.00. Scotia bought 24,100 from TD at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 5.02 %
FTS.PR.M	FixedReset	106,660	Nesbitt crossed 100,000 at 16.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 5.15 %
BAM.PR.Z	FixedReset	75,746	Scotia crossed blocks of 40,000 and 25,000, both at 17.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 5.57 %
POW.PR.C	Perpetual-Premium	72,300	Nesbitt crossed 68,900 at 25.32. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-01 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : -0.69 %
MFC.PR.O	FixedReset	63,534	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 5.50 %
IAG.PR.G	FixedReset	62,495	RBC crossed 25,000 at 16.55, then another 28,400 at 16.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.95 %
There were 40 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: 20.78 – 22.75 Spot Rate : 1.9700 Average : 1.3020 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.78 Bid-YTW : 5.46 %
HSE.PR.E	FixedReset	Quote: 16.42 – 17.40 Spot Rate : 0.9800 Average : 0.6866 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.42 Evaluated at bid price : 16.42 Bid-YTW : 6.69 %
BAM.PF.A	FixedReset	Quote: 16.95 – 17.61 Spot Rate : 0.6600 Average : 0.3940 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.58 %
BAM.PF.F	FixedReset	Quote: 17.25 – 17.92 Spot Rate : 0.6700 Average : 0.4523 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.51 %
PWF.PR.T	FixedReset	Quote: 19.16 – 19.80 Spot Rate : 0.6400 Average : 0.4418 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-02 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.23 %
BNS.PR.R	FixedReset	Quote: 22.83 – 23.40 Spot Rate : 0.5700 Average : 0.3943 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 5.01 %

Market Action

March 1, 2016

“Fairness!” shout the regulators! “Fairness in all things, which means equality in all things, regardless of marginal costs to the fair entity! So Barclay’s provides an example:

Click for Big

Financial market reporters covering U.S. stocks have known for a long time that before they speak to a research analyst they will, in all likelihood, be sent a bevy of disclosures by the analyst’s employer. What is less known is that new rules recently published by Finra and approved by the U.S. Securities and Exchange Commission require similar measures be put in place for debt research.

As law firm Shearman & Sterling LLP put it in a recent client note: “Firms that produce analysis falling within the rule’s definition of ‘debt research report’ may face significant new regulatory obligations depending on applicable exemptions.” Those include “requirements for policies and procedures imposing information barrier/institutional safeguards between persons producing fixed-income research reports and personnel in investment banking, sales and trading and principal trading functions,” as well as disclosures similar to those required for equity research.

So, OK, newspapers won’t be publishing much debt research any more. But if they did, it would be FAIR!

Speaking of fairness, it can be trumped in Canada when the government has picked its winners already:

Before 1987, the banks were banned from even owning dealers, but a federal rule change broke down the barriers and the banks have slowly crept in. Early on, their participation in investment banking was rather innocent. “There was a veiled attempt at tied selling,” he said, meaning banks would suggest that corporate and investment banking should be aligned, “but it was an inference. It wasn’t as caustic and as straightforward and as matter of fact as it is now.”
…
Under Canada’s Competition Act, tied selling is a serious offence, and publicly arguing the banks engage in it is something you don’t take lightly.
…
To really make their case, the independents need data, because the Competition Act demands it. The best chance these dealers have of making changes is filing a claim under Section 79 of the act, which covers abuse of dominance. The bar is high: The independents would have to prove the banks have market dominance, that they engage in anti-competitive acts (i.e. tied selling) and that there is a substantial lessening of competition.
…
Even more complicated, the competition issue butts up against the banking watchdog’s wishes. From a prudential standpoint, the Office of the Superintendent of Financial Institutions believes it is better to have banks that are as diversified as possible, because it helps them withstand crises. Personal loan losses in Alberta may spike during this downturn, but energy companies may eventually merge in the province, driving M&A fees.

To my eyes, the merits of this framework is the bigger issue. Whether tied selling exists is incredibly difficult to prove, but it’s obvious that the banks keep pushing into new businesses. Most recently, they won the war on wealth management, vaulting to top spot in long-term mutual-fund sales.

At some point, we, as a country, have to debate whether the prudential tradeoff is used too often, and whether the status quo is excessively unfair to independent companies of all stripes.

Remember, we live in a country in which the regulators will not enforce the Competition Act provided extra payments are made to the regulators.

But cheer up! There’s some more drone news today:

The Chinese drone-maker DJI has an answer to concerns that amateur pilots will crash their aircraft into things. Its newest drone, the Phantom 4, uses multiple cameras and software to sense and avoid obstacles automatically. The autonomous features show DJI is already commercializing technology that only recently was being tested in university research labs.
…
DJI’s obstacle-sensing system closely resembles one laid out last year by robotics researchers at the Massachusetts Institute of Technology in a series of papers and videos (one is embedded below). Using commercially available hardware, the MIT team outfitted a fixed-wing drone with a two-camera system that flew around tree branches and other obstacles at speeds of about 30 miles per hour. The Phantom 4 can avoid obstacles while flying at 22 miles per hour when it is in autonomous mode, DJI says.
…
Obstacle avoidance is a particular problem for drone developers. Keeping weight down and extending battery life is crucial for these birds, but scanning a three-dimensional environment requires lots of computing power. So the MIT drones didn’t capture 3D images continuously. Instead they looked for obstacles a certain distance away and then remembered where they were as the drone flew toward them. The technology is good enough to prevent drones from running into trees and buildings; they can’t react to another flying object traveling at high speeds.

Andy Barry, the lead author of the paper describing this research, later left to join Boston Dynamics, the robotics company whose demo videos have become must-watch material for tech geeks.
…
The Phantom 4 is a striking reminder of how far consumer drones have come. DJI’s latest bird can’t circle the skies for hours like military drones do; it can stay aloft for about half an hour on a fully charged battery. But for $1,400, you can get a self-flying aircraft—just months after the concept was hatched in a research lab.

Just a few months from lab to shelf! You snooze – you lose!

EML.PR.A has had its full greenshoe option exercised. I have updated the PrefBlog report of the issue’s settlement.

Global Champions Split Corp., proud issuer of GCS.PR.A, was confirmed at Pfd-2 by DBRS:

The Company makes quarterly fixed cumulative distributions of $0.25 per Preferred Share, yielding 4.00% per annum on the issue price. Distributions to holders of the Preferred Shares are denominated in Canadian dollars and are hedged back to U.S. dollars unless the net asset value (NAV) of the Company is less than the aggregate original issue price of the Class A Preferred Shares. Based on the dividend yields on the Portfolio and foreign exchange rates as of February 24, 2016, the current dividend coverage ratio is approximately 1.3 times. Holders of the Capital Shares are expected to receive all excess income after the Company’s expenses and Class A Preferred Share distributions have been paid.

As of February 24, 2016, the downside protection available to the Preferred Shares is 61.4% based on the NAV of $64.75 after considering the exchange rate adjustment.

Some particular strengths of the Company are adequate diversification of the Portfolio with strong credit quality of the underlying companies and consistency of dividend distributions of the companies in the Portfolio.

The stability of the downside protection and strong portfolio metrics are supportive of the rating of Pfd-2 on the Preferred Shares issued by the Company.

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts gaining 28bp, FixedResets winning 70bp and DeemedRetractibles up 31bp. The Performance Highlights table is suitably dominated by winning FixedResets. Volume was average.

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	5.55 %	6.73 %	13,011	15.82	1	0.0000 %	1,412.8
FixedFloater	7.82 %	6.85 %	22,237	15.32	1	1.1657 %	2,542.7
Floater	4.87 %	5.07 %	80,663	15.29	4	1.7834 %	1,574.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0543 %	2,732.1
SplitShare	4.87 %	5.99 %	81,934	2.66	7	-0.0543 %	3,197.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0543 %	2,494.5
Perpetual-Premium	5.83 %	4.96 %	79,334	0.08	6	0.0996 %	2,532.0
Perpetual-Discount	5.79 %	5.84 %	97,832	14.09	33	0.2812 %	2,500.4
FixedReset	5.79 %	5.28 %	202,260	14.14	85	0.6991 %	1,755.9
Deemed-Retractible	5.37 %	6.02 %	118,626	5.14	34	0.3098 %	2,534.1
FloatingReset	3.19 %	5.62 %	44,917	5.46	16	0.1936 %	1,914.3

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.I	FloatingReset	-4.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.51 Evaluated at bid price : 9.51 Bid-YTW : 5.24 %
CIU.PR.C	FixedReset	-3.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.88 Evaluated at bid price : 9.88 Bid-YTW : 5.16 %
PWF.PR.Q	FloatingReset	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.20 Evaluated at bid price : 10.20 Bid-YTW : 5.03 %
SLF.PR.H	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 10.39 %
TD.PR.Z	FloatingReset	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 5.62 %
FTS.PR.G	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 5.23 %
W.PR.K	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 22.83 Evaluated at bid price : 24.10 Bid-YTW : 5.49 %
BNS.PR.D	FloatingReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.12 %
FTS.PR.K	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.12 %
FTS.PR.J	Perpetual-Discount	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.72 %
BAM.PF.F	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.66 %
CU.PR.G	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.75 %
CU.PR.F	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.75 %
CU.PR.D	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.74 %
GWO.PR.M	Deemed-Retractible	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.80 %
BIP.PR.B	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 22.72 Evaluated at bid price : 23.85 Bid-YTW : 5.71 %
HSE.PR.C	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 7.19 %
BAM.PR.G	FixedFloater	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 25.00 Evaluated at bid price : 12.15 Bid-YTW : 6.85 %
SLF.PR.J	FloatingReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.25 Bid-YTW : 12.06 %
MFC.PR.F	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 11.05 %
CM.PR.Q	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 5.06 %
BMO.PR.S	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 4.78 %
NA.PR.S	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.24 %
BAM.PF.B	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.62 Evaluated at bid price : 15.62 Bid-YTW : 5.65 %
TRP.PR.G	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.43 %
PWF.PR.T	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.20 %
BAM.PF.G	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.56 %
BAM.PF.E	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 5.43 %
MFC.PR.N	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.25 Bid-YTW : 9.27 %
RY.PR.Z	FixedReset	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 4.70 %
BAM.PR.B	Floater	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.10 %
SLF.PR.G	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.08 Bid-YTW : 10.57 %
GWO.PR.N	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.60 Bid-YTW : 10.94 %
BMO.PR.W	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 4.74 %
TRP.PR.B	FixedReset	1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.96 Evaluated at bid price : 9.96 Bid-YTW : 5.00 %
TRP.PR.F	FloatingReset	1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 5.59 %
TD.PF.A	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.78 %
TRP.PR.H	FloatingReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 8.63 Evaluated at bid price : 8.63 Bid-YTW : 4.95 %
NA.PR.W	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 5.31 %
BAM.PR.T	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 5.68 %
BMO.PR.T	FixedReset	2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.71 %
MFC.PR.M	FixedReset	2.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.39 Bid-YTW : 9.22 %
IFC.PR.C	FixedReset	2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.73 Bid-YTW : 9.88 %
HSE.PR.G	FixedReset	2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 6.84 %
MFC.PR.L	FixedReset	2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.08 Bid-YTW : 10.20 %
FTS.PR.I	FloatingReset	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.10 Evaluated at bid price : 9.10 Bid-YTW : 5.18 %
IAG.PR.A	Deemed-Retractible	2.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.23 Bid-YTW : 7.77 %
BNS.PR.P	FixedReset	2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 4.12 %
BAM.PR.C	Floater	2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 5.13 %
RY.PR.H	FixedReset	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 4.69 %
BAM.PR.K	Floater	2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.45 Evaluated at bid price : 9.45 Bid-YTW : 5.07 %
MFC.PR.K	FixedReset	2.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.75 Bid-YTW : 10.37 %
TD.PF.C	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.72 %
BNS.PR.F	FloatingReset	3.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.17 Bid-YTW : 7.65 %
TRP.PR.A	FixedReset	5.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.25 %
PWF.PR.P	FixedReset	5.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 11.98 Evaluated at bid price : 11.98 Bid-YTW : 4.80 %
GWO.PR.O	FloatingReset	8.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.10 Bid-YTW : 12.07 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.I	FixedReset	153,287	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 23.18 Evaluated at bid price : 24.99 Bid-YTW : 4.41 %
MFC.PR.O	FixedReset	148,448	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 5.60 %
RY.PR.J	FixedReset	106,096	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 5.10 %
RY.PR.I	FixedReset	62,890	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 5.17 %
HSE.PR.A	FixedReset	52,890	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 8.47 Evaluated at bid price : 8.47 Bid-YTW : 7.22 %
MFC.PR.J	FixedReset	41,510	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.06 Bid-YTW : 9.52 %
There were 34 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.G	FixedReset	Quote: 16.05 – 17.10 Spot Rate : 1.0500 Average : 0.7426 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 6.84 %
CCS.PR.C	Deemed-Retractible	Quote: 20.70 – 21.97 Spot Rate : 1.2700 Average : 0.9645 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 7.68 %
RY.PR.M	FixedReset	Quote: 16.85 – 17.80 Spot Rate : 0.9500 Average : 0.6643 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 5.03 %
TD.PR.Y	FixedReset	Quote: 22.50 – 23.45 Spot Rate : 0.9500 Average : 0.6988 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 4.97 %
CIU.PR.C	FixedReset	Quote: 9.88 – 10.58 Spot Rate : 0.7000 Average : 0.5116 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.88 Evaluated at bid price : 9.88 Bid-YTW : 5.16 %
TD.PR.T	FloatingReset	Quote: 20.36 – 21.58 Spot Rate : 1.2200 Average : 1.0323 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.36 Bid-YTW : 5.75 %

Market Action

February 29, 2016

Again, just the bare bones. Sorry!

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	5.55 %	6.73 %	13,580	15.82	1	-0.4082 %	1,412.8
FixedFloater	7.91 %	6.93 %	22,338	15.23	1	0.0000 %	2,513.4
Floater	4.96 %	5.18 %	82,060	15.10	4	1.1943 %	1,546.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2247 %	2,733.6
SplitShare	4.86 %	5.66 %	80,750	2.66	7	-0.2247 %	3,198.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2247 %	2,495.9
Perpetual-Premium	5.84 %	2.80 %	80,096	0.08	6	0.1730 %	2,529.5
Perpetual-Discount	5.80 %	5.83 %	98,060	14.07	33	0.1450 %	2,493.4
FixedReset	5.83 %	5.32 %	204,410	14.09	85	0.1518 %	1,743.7
Deemed-Retractible	5.36 %	6.00 %	120,056	5.14	34	0.0163 %	2,526.3
FloatingReset	3.19 %	5.58 %	46,485	5.46	16	-0.2794 %	1,910.6

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.O	FloatingReset	-10.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 10.30 Bid-YTW : 13.22 %
IAG.PR.A	Deemed-Retractible	-3.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.78 Bid-YTW : 7.88 %
PVS.PR.D	SplitShare	-2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.01 %
CM.PR.Q	FixedReset	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 5.12 %
ELF.PR.G	Perpetual-Discount	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 6.14 %
TD.PF.A	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.87 %
RY.PR.M	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.07 %
BNS.PR.P	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 4.58 %
TD.PF.D	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.49 Evaluated at bid price : 17.49 Bid-YTW : 5.04 %
TD.PR.Y	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 4.85 %
CM.PR.O	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.85 %
TRP.PR.G	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 5.51 %
RY.PR.Z	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.78 %
BMO.PR.Y	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 4.99 %
BNS.PR.C	FloatingReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.61 Bid-YTW : 5.83 %
RY.PR.I	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.34 %
BNS.PR.F	FloatingReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.51 Bid-YTW : 8.34 %
BMO.PR.T	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 4.81 %
RY.PR.L	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 4.43 %
FTS.PR.I	FloatingReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 8.90 Evaluated at bid price : 8.90 Bid-YTW : 5.30 %
RY.PR.J	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.12 %
NA.PR.S	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.43 Evaluated at bid price : 15.43 Bid-YTW : 5.32 %
TRP.PR.F	FloatingReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.31 Evaluated at bid price : 10.31 Bid-YTW : 5.69 %
BIP.PR.B	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 22.60 Evaluated at bid price : 23.60 Bid-YTW : 5.78 %
TRP.PR.B	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.78 Evaluated at bid price : 9.78 Bid-YTW : 5.09 %
FTS.PR.G	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.14 %
MFC.PR.N	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 9.49 %
SLF.PR.J	FloatingReset	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.12 Bid-YTW : 12.22 %
RY.PR.P	Perpetual-Discount	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 24.00 Evaluated at bid price : 24.36 Bid-YTW : 5.41 %
BAM.PR.C	Floater	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.12 Evaluated at bid price : 9.12 Bid-YTW : 5.26 %
BAM.PR.X	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 12.33 Evaluated at bid price : 12.33 Bid-YTW : 5.44 %
PVS.PR.E	SplitShare	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.65 %
VNR.PR.A	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 5.46 %
HSE.PR.A	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 8.55 Evaluated at bid price : 8.55 Bid-YTW : 7.01 %
BAM.PF.G	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.65 %
SLF.PR.I	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.32 Bid-YTW : 9.25 %
TD.PR.Z	FloatingReset	1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.26 %
TRP.PR.C	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 5.42 %
BAM.PF.E	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 5.52 %
BAM.PR.K	Floater	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.21 Evaluated at bid price : 9.21 Bid-YTW : 5.21 %
BAM.PF.B	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.73 %
CU.PR.C	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 5.22 %
MFC.PR.I	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.64 Bid-YTW : 9.31 %
MFC.PR.G	FixedReset	1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.45 Bid-YTW : 9.39 %
PWF.PR.Q	FloatingReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 4.86 %
BAM.PF.A	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 5.64 %
BAM.PR.B	Floater	2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 5.18 %
HSE.PR.C	FixedReset	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 7.10 %
HSE.PR.E	FixedReset	2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 6.81 %
MFC.PR.H	FixedReset	2.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.43 Bid-YTW : 8.09 %
SLF.PR.H	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 10.04 %
BAM.PR.R	FixedReset	3.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 5.65 %
TRP.PR.I	FloatingReset	5.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.98 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.O	FixedReset	185,650	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.65 %
BNS.PR.E	FixedReset	46,548	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 23.21 Evaluated at bid price : 25.18 Bid-YTW : 5.22 %
IAG.PR.G	FixedReset	45,235	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.45 Bid-YTW : 9.37 %
PVS.PR.D	SplitShare	38,379	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.01 %
BAM.PF.D	Perpetual-Discount	37,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 6.39 %
TD.PF.G	FixedReset	31,551	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 23.20 Evaluated at bid price : 25.15 Bid-YTW : 5.31 %
There were 20 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.I	FloatingReset	Quote: 10.00 – 12.00 Spot Rate : 2.0000 Average : 1.4088 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.98 %
GWO.PR.O	FloatingReset	Quote: 10.30 – 11.50 Spot Rate : 1.2000 Average : 0.7928 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 10.30 Bid-YTW : 13.22 %
TRP.PR.F	FloatingReset	Quote: 10.31 – 11.30 Spot Rate : 0.9900 Average : 0.6497 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.31 Evaluated at bid price : 10.31 Bid-YTW : 5.69 %
BNS.PR.P	FixedReset	Quote: 23.01 – 23.90 Spot Rate : 0.8900 Average : 0.5697 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 4.58 %
IAG.PR.A	Deemed-Retractible	Quote: 19.78 – 20.98 Spot Rate : 1.2000 Average : 0.9420 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.78 Bid-YTW : 7.88 %
TD.PF.A	FixedReset	Quote: 16.10 – 16.60 Spot Rate : 0.5000 Average : 0.3690 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.87 %

Market Action

February 26, 2016

Sorry this is so late!

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	5.53 %	6.70 %	13,685	15.86	1	1.2397 %	1,418.6
FixedFloater	7.91 %	6.92 %	22,474	15.24	1	-0.7438 %	2,513.4
Floater	5.02 %	5.29 %	83,254	14.94	4	-1.3354 %	1,528.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1315 %	2,739.8
SplitShare	4.85 %	5.61 %	81,582	2.67	7	-0.1315 %	3,206.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1315 %	2,501.5
Perpetual-Premium	5.85 %	5.84 %	82,794	13.92	6	0.3203 %	2,525.1
Perpetual-Discount	5.81 %	5.85 %	97,211	14.08	33	0.2866 %	2,489.8
FixedReset	5.84 %	5.26 %	203,072	13.95	85	0.3778 %	1,741.0
Deemed-Retractible	5.35 %	5.96 %	119,641	6.85	34	0.2816 %	2,525.9
FloatingReset	3.20 %	5.59 %	48,402	5.47	16	-0.4599 %	1,915.9

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.I	FloatingReset	-11.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 9.50 Evaluated at bid price : 9.50 Bid-YTW : 5.27 %
TD.PR.T	FloatingReset	-2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.42 Bid-YTW : 5.69 %
IAG.PR.G	FixedReset	-2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.34 Bid-YTW : 9.40 %
SLF.PR.J	FloatingReset	-2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.10 Bid-YTW : 12.39 %
MFC.PR.H	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.90 Bid-YTW : 8.44 %
BAM.PR.C	Floater	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 9.01 Evaluated at bid price : 9.01 Bid-YTW : 5.32 %
BAM.PR.B	Floater	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 9.05 Evaluated at bid price : 9.05 Bid-YTW : 5.30 %
BAM.PR.K	Floater	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 9.07 Evaluated at bid price : 9.07 Bid-YTW : 5.29 %
BNS.PR.D	FloatingReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.53 Bid-YTW : 7.82 %
SLF.PR.I	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.35 Bid-YTW : 9.39 %
CCS.PR.C	Deemed-Retractible	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.86 Bid-YTW : 7.78 %
FTS.PR.H	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 10.96 Evaluated at bid price : 10.96 Bid-YTW : 4.96 %
BAM.PF.F	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 5.64 %
HSB.PR.D	Deemed-Retractible	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.07 Bid-YTW : 5.95 %
HSB.PR.C	Deemed-Retractible	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 5.89 %
BNS.PR.C	FloatingReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.88 Bid-YTW : 5.59 %
PWF.PR.T	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.19 %
SLF.PR.A	Deemed-Retractible	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.24 Bid-YTW : 7.22 %
POW.PR.D	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 21.27 Evaluated at bid price : 21.54 Bid-YTW : 5.88 %
TRP.PR.E	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 5.04 %
GWO.PR.Q	Deemed-Retractible	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.91 Bid-YTW : 6.56 %
BNS.PR.F	FloatingReset	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.72 Bid-YTW : 8.11 %
BAM.PR.E	Ratchet	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 6.70 %
GWO.PR.H	Deemed-Retractible	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.58 Bid-YTW : 7.10 %
BAM.PF.C	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 6.36 %
BAM.PR.N	Perpetual-Discount	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 6.32 %
PWF.PR.P	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 11.37 Evaluated at bid price : 11.37 Bid-YTW : 4.97 %
TD.PF.A	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 4.72 %
GWO.PR.S	Deemed-Retractible	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.84 Bid-YTW : 6.09 %
SLF.PR.H	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.40 Bid-YTW : 10.39 %
BAM.PR.X	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 12.18 Evaluated at bid price : 12.18 Bid-YTW : 5.41 %
TRP.PR.D	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 5.25 %
MFC.PR.J	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.94 Bid-YTW : 9.57 %
CM.PR.Q	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.96 %
HSE.PR.C	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 13.68 Evaluated at bid price : 13.68 Bid-YTW : 7.37 %
GWO.PR.O	FloatingReset	1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 11.72 %
MFC.PR.M	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 9.52 %
BAM.PF.D	Perpetual-Discount	2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 6.39 %
TRP.PR.F	FloatingReset	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 10.42 Evaluated at bid price : 10.42 Bid-YTW : 5.65 %
BAM.PR.R	FixedReset	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.74 %
IAG.PR.A	Deemed-Retractible	2.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.56 %
HSE.PR.E	FixedReset	2.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 6.93 %
HSE.PR.A	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 8.43 Evaluated at bid price : 8.43 Bid-YTW : 7.10 %
TRP.PR.G	FixedReset	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.37 %
PWF.PR.Q	FloatingReset	3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 4.98 %
TRP.PR.B	FixedReset	4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 9.88 Evaluated at bid price : 9.88 Bid-YTW : 4.94 %
HSE.PR.G	FixedReset	6.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 7.00 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.O	FixedReset	186,509	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.72 %
RY.PR.Q	FixedReset	146,125	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 23.19 Evaluated at bid price : 25.15 Bid-YTW : 5.21 %
BAM.PR.R	FixedReset	125,165	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.74 %
BAM.PF.H	FixedReset	124,945	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 23.17 Evaluated at bid price : 24.99 Bid-YTW : 4.98 %
BAM.PR.C	Floater	104,940	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 9.01 Evaluated at bid price : 9.01 Bid-YTW : 5.32 %
IFC.PR.C	FixedReset	93,860	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.28 Bid-YTW : 10.23 %
There were 31 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CCS.PR.C	Deemed-Retractible	Quote: 20.86 – 22.06 Spot Rate : 1.2000 Average : 0.7279 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.86 Bid-YTW : 7.78 %
TRP.PR.G	FixedReset	Quote: 17.00 – 18.00 Spot Rate : 1.0000 Average : 0.6053 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.37 %
TD.PR.T	FloatingReset	Quote: 20.42 – 21.61 Spot Rate : 1.1900 Average : 0.8996 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.42 Bid-YTW : 5.69 %
RY.PR.I	FixedReset	Quote: 22.48 – 23.19 Spot Rate : 0.7100 Average : 0.4446 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 5.07 %
SLF.PR.J	FloatingReset	Quote: 11.10 – 11.80 Spot Rate : 0.7000 Average : 0.4436 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.10 Bid-YTW : 12.39 %
TRP.PR.I	FloatingReset	Quote: 9.50 – 10.50 Spot Rate : 1.0000 Average : 0.7606 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-26 Maturity Price : 9.50 Evaluated at bid price : 9.50 Bid-YTW : 5.27 %

Market Action

February 25, 2016

Just the bare bones today, I’m afraid!

Liquidity in the FX market

Rules for lightweight drones

Towards a formal theory of bank interconnectedness

The bond market hates energy

Financial analysis jobs being automated.

HSBC confirmed

DC.PR.E post updated with Dundee’s estimate of the warrant value.

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	5.59 %	6.78 %	14,283	15.77	1	1.3542 %	1,401.2
FixedFloater	7.85 %	6.87 %	22,828	15.31	1	0.0000 %	2,532.2
Floater	4.95 %	5.21 %	77,306	15.07	4	-0.8052 %	1,549.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.2703 %	2,743.4
SplitShare	4.86 %	5.72 %	74,780	2.68	6	0.2703 %	3,210.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2703 %	2,504.8
Perpetual-Premium	5.86 %	5.85 %	81,656	13.92	6	-0.2795 %	2,517.1
Perpetual-Discount	5.83 %	5.85 %	97,422	14.07	33	-0.2051 %	2,482.7
FixedReset	5.86 %	5.29 %	204,483	13.90	85	-0.6471 %	1,734.5
Deemed-Retractible	5.37 %	6.11 %	121,339	5.15	34	0.2333 %	2,518.8
FloatingReset	3.18 %	5.40 %	49,140	5.48	16	0.1795 %	1,924.8

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset	-4.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 5.49 %
SLF.PR.H	FixedReset	-4.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.20 Bid-YTW : 10.59 %
MFC.PR.L	FixedReset	-3.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.82 Bid-YTW : 10.39 %
MFC.PR.M	FixedReset	-3.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 9.79 %
IAG.PR.A	Deemed-Retractible	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 7.94 %
MFC.PR.K	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.28 Bid-YTW : 10.77 %
BAM.PF.D	Perpetual-Discount	-2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.54 %
TRP.PR.B	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 9.50 Evaluated at bid price : 9.50 Bid-YTW : 5.14 %
IFC.PR.C	FixedReset	-2.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.30 Bid-YTW : 10.20 %
PWF.PR.P	FixedReset	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.04 %
MFC.PR.J	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 9.78 %
CU.PR.C	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 14.92 Evaluated at bid price : 14.92 Bid-YTW : 5.18 %
HSE.PR.G	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 7.45 %
BAM.PR.B	Floater	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 9.19 Evaluated at bid price : 9.19 Bid-YTW : 5.22 %
CM.PR.Q	FixedReset	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 5.03 %
BAM.PF.F	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.70 %
BAM.PF.C	Perpetual-Discount	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.44 %
BAM.PF.A	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 5.75 %
BAM.PR.N	Perpetual-Discount	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.41 %
BAM.PF.E	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.81 Evaluated at bid price : 15.81 Bid-YTW : 5.57 %
BNS.PR.E	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.16 Evaluated at bid price : 25.02 Bid-YTW : 5.22 %
TD.PF.E	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 18.09 Evaluated at bid price : 18.09 Bid-YTW : 4.94 %
MFC.PR.I	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.30 Bid-YTW : 9.54 %
BMO.PR.Y	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 4.85 %
FTS.PR.M	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.26 %
TD.PF.A	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.79 %
MFC.PR.H	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.27 Bid-YTW : 8.15 %
RY.PR.H	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 4.74 %
MFC.PR.F	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.22 Bid-YTW : 11.27 %
BIP.PR.B	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 22.63 Evaluated at bid price : 23.66 Bid-YTW : 5.89 %
MFC.PR.C	Deemed-Retractible	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 7.99 %
PWF.PR.O	Perpetual-Premium	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 24.36 Evaluated at bid price : 24.68 Bid-YTW : 5.93 %
BMO.PR.S	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.75 %
MFC.PR.N	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.81 Bid-YTW : 9.61 %
TRP.PR.D	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 5.34 %
TRP.PR.E	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.10 %
SLF.PR.I	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.55 Bid-YTW : 9.21 %
NA.PR.W	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 14.54 Evaluated at bid price : 14.54 Bid-YTW : 5.37 %
PWF.PR.L	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.91 %
BAM.PF.B	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.04 Evaluated at bid price : 15.04 Bid-YTW : 5.80 %
BMO.PR.W	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.72 %
BMO.PR.T	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 4.69 %
RY.PR.Q	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.17 Evaluated at bid price : 25.08 Bid-YTW : 5.22 %
SLF.PR.G	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.01 Bid-YTW : 10.74 %
CU.PR.H	Perpetual-Discount	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 22.44 Evaluated at bid price : 22.76 Bid-YTW : 5.78 %
RY.PR.B	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.72 Bid-YTW : 4.95 %
PVS.PR.E	SplitShare	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 6.80 %
TD.PR.Y	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 4.46 %
BNS.PR.M	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 5.46 %
RY.PR.A	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.44 %
RY.PR.F	Deemed-Retractible	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 5.51 %
BIP.PR.A	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 6.22 %
BNS.PR.Z	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.67 Bid-YTW : 7.46 %
RY.PR.E	Deemed-Retractible	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.41 %
PWF.PR.T	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.24 %
CU.PR.I	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.16 Evaluated at bid price : 24.96 Bid-YTW : 4.41 %
BAM.PR.E	Ratchet	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 25.00 Evaluated at bid price : 12.10 Bid-YTW : 6.78 %
HSE.PR.A	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 8.20 Evaluated at bid price : 8.20 Bid-YTW : 7.30 %
BMO.PR.Q	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 8.22 %
NA.PR.Q	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.22 %
BAM.PR.R	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 5.89 %
BAM.PR.T	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 13.43 Evaluated at bid price : 13.43 Bid-YTW : 5.74 %
RY.PR.D	Deemed-Retractible	1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 5.36 %
GWO.PR.N	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.51 Bid-YTW : 11.14 %
BNS.PR.Y	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.84 Bid-YTW : 6.94 %
BNS.PR.D	FloatingReset	1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 7.59 %
HSE.PR.C	FixedReset	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 7.50 %
TRP.PR.F	FloatingReset	3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 10.17 Evaluated at bid price : 10.17 Bid-YTW : 5.79 %
BAM.PR.X	FixedReset	4.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 12.01 Evaluated at bid price : 12.01 Bid-YTW : 5.49 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	860,432	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.17 Evaluated at bid price : 25.08 Bid-YTW : 5.22 %
MFC.PR.O	FixedReset	753,902	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 5.71 %
TD.PF.G	FixedReset	359,845	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.18 Evaluated at bid price : 25.09 Bid-YTW : 5.29 %
BNS.PR.E	FixedReset	194,018	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.16 Evaluated at bid price : 25.02 Bid-YTW : 5.22 %
FTS.PR.M	FixedReset	109,370	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.26 %
BNS.PR.O	Deemed-Retractible	101,800	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-26 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.70 %
NA.PR.X	FixedReset	100,160	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.15 Evaluated at bid price : 25.01 Bid-YTW : 5.51 %
There were 35 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.B	FixedReset	Quote: 9.50 – 10.42 Spot Rate : 0.9200 Average : 0.5842 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 9.50 Evaluated at bid price : 9.50 Bid-YTW : 5.14 %
IAG.PR.A	Deemed-Retractible	Quote: 19.97 – 21.08 Spot Rate : 1.1100 Average : 0.8337 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 7.94 %
SLF.PR.H	FixedReset	Quote: 14.20 – 15.00 Spot Rate : 0.8000 Average : 0.5335 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.20 Bid-YTW : 10.59 %
HSE.PR.G	FixedReset	Quote: 14.66 – 15.50 Spot Rate : 0.8400 Average : 0.6108 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 7.45 %
TD.PR.T	FloatingReset	Quote: 20.97 – 21.78 Spot Rate : 0.8100 Average : 0.5812 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.97 Bid-YTW : 5.20 %
TRP.PR.A	FixedReset	Quote: 12.25 – 12.88 Spot Rate : 0.6300 Average : 0.4309 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 5.49 %

Market Action

February 24, 2016

Assiduous Reader prefobsessed sent me a link to another Barry Critchley column titled Preferred shareholders, but in name only; he is incensed by the voting rights on the proposed takeover of Capstone. I have updated the post titled CSE.PR.A Ownership to Change?.

As reported by the Globe, Bank of Canada Deputy Governor Lawrence Schembri has given a speech titled Connecting the Dots: Elevated Household Debt and the Risk to Financial Stability. It’s really a reiteration of the same old song – Central Planning Now! – and there is one leap of logic that is rather conspicuous:

A broad-based decline in house prices would, in turn, have large direct effects on Canadian lenders and mortgage insurers. Results from stress tests show, however, that there are sufficient buffers in the financial system to withstand such a scenario.19 For example, the six largest Canadian banks, which hold roughly 70 per cent of outstanding mortgages, have increased the quantity and quality of their capital in recent years and are well diversified across regions and sectors. In addition, most of the mortgages they hold are supported by government-backed mortgage insurance programs or by high homeowner equity.

Nonetheless, if such a decline in house prices occurred, the impact on the broader Canadian economy and the financial system would be large.

Despite this, he does not call for a simple reduction the amount of CMHC insurance outstanding; preferring instead a politicized exercise in winner-picking:

Adopting macroprudential measures. In the immediate aftermath of the crisis, household debt and house prices resumed growing faster than disposable income in response to the lower interest rates and the recovering Canadian economy. The federal government and a number of agencies worked together to mitigate this growing systemic vulnerability. The Bank’s analysis of these vulnerabilities helped to inform these decisions.
For example, the federal government tightened rules for government-supported mortgage insurance four times over five years, starting in 2008. In December 2015, the federal government made a fifth change, increasing the minimum down payment for houses valued at from $500,000 to $1 million.

For its part, the Office of the Superintendent of Financial Institutions (OSFI) released new guidance on mortgage underwriting and mortgage insurance that implemented enhanced global standards.24 In December, OSFI announced that it would issue for public consultation proposed rules for how much capital the banks and mortgage insurers must hold against vulnerable insured mortgages.

These measures help to limit access to borrowing to the most creditworthy households, for example, those with higher credit scores, and thus complement the accommodative monetary policy of the Bank of Canada by better targeting the stimulus to those households with the capacity to borrow.

The CMHC is the issue. As he emphasizes, the Feds have a considerable amount of wrong-way risk on their books … a decline in housing will lead to an increase in federal debt (via bail-out of the CMHC) at the same time as a recession (or worse!) demands running a deficit. Clearly, the CHMC insurance outstanding should be cut back.

But it’s more fun to pick winners, obviously.

The head of EnCana gives us an idea of how bad the oil & gas situation really is:

“The job reductions not only at Encana but across the industry have been as severe as I’ve ever seen in 33 years,” CEO Doug Suttles said in a conference call with investors after the company released its fourth quarter results.

Last year, as oil prices took a nosedive, the company laid off 19 per cent of its workers. It began 2015 with 3,129 employees, meaning it ended the year with about 2,500 staff.

Encana did not say how many jobs would be affected by the latest round of layoffs. But based on last year’s figures, it’s expected another 500 people would lose their jobs this year.

“This will bring us to about 55 per cent reduction from just over two years ago,” Suttles said.

And it’s not just the producers who are scrambling to assure funding:

Enbridge Inc. plans to raise C$2 billion ($1.5 billion) in a share sale to shore up its finances in the midst of an oil price rout.

The Canadian pipeline company agreed with a group of lenders to issue 49.14 million common shares from treasury in a so-called bought deal, according to a statement. The funds will be used to pay short-term debt, the company said.

Canadian energy companies face a wave of debt maturities over the next five years that could make it challenging for them to access financing as investors drive up borrowing costs and shun commodities-related debt. Oil has plunged about 70 percent since mid-2014, sapping revenue.

Enbridge’s sale follows to other bought deals in the past week. Whitecap Resources Inc. and Raging River Exploration Inc. both raised C$95 million in the past week through equity raises of their own to pay down debt and fund capital expenditures.

So perhaps we should be grateful that Pembina Pipeline Corporation, proud issuer of PPL.PR.A, PPL.PR.C, PPL.PR.E, PPL.PR.G, PPL.PR.I and PPL.PR.K, was confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed the Issuer Rating and Senior Unsecured Notes rating of Pembina Pipeline Corporation (Pembina or the Company) at BBB, and the Company’s Preferred Shares at Pfd-3. The trends remain Stable. The confirmations largely reflect DBRS’s view that Pembina continues to maintain solid credit metrics and liquidity in the current significantly lower energy price environment, and has executed most of its major capital projects within budget and on schedule.
…
Pembina is currently pursuing a number of large capital projects in 2016 and 2017, mainly on its conventional pipelines, and natural gas and natural gas liquids (NGL) processing plants. Most projects are supported by ToP or FFS commitments from the producers for a significant portion of the designed capacity. Capex in 2016 and 2017 is estimated to be approximately $2.1 and $1.0 billion, respectively. As a result, substantial free cash flow deficits are expected to be incurred over the next two years. During this period, Pembina faces several challenges, such as (1) significant project execution risk relating to potential cost overruns and project delays, and (2) financing free cash flow deficits in a prudent manner as to maintain credit metrics at or close to current levels to be consistent with the current rating. DBRS expects Pembina to maintain the debt-to-capital ratio at around 40% and the cash flow-to-debt ratio at 25% on a sustainable basis. DBRS recognizes that during this period of large capital projects, Pembina’s credit metrics are expected to decline modestly but should improve once the major projects are completed. However, should Pembina’s credit metrics deteriorate significantly from current levels, a negative rating action could occur.

It was another poor day for the Canadian preferred share market, with PerpetualDiscounts losing 49bp, FixedResets down 31bp and DeemedRetractibles off 21bp. The Performance Highlights table was produced. Volume was above average.

PerpetualDiscounts now yield 5.86%, equivalent to 7.62% interest at the standard equivalency factor of 1.3x. Long corporates continue to yield about 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a slight (and perhaps spurious) widening from the 335bp reported February 18.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.20 to be $1.29 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $0.87 cheap at its bid price of 10.29.

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This analysis includes the new issue with a deemed price of 25.00.

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.27 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.25 to be 1.62 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 12.60 to be $1.35 cheap. BAM.PF.H, resetting at +417M500 on 2020-12-31 is bid at 24.96 and appears to be $1.24 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 14.60, looks $0.58 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.00 and is $0.42 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.77%, with two outliers above 0.00% and one below -2.00%. Note that the range of the y-axis has changed today. There are three junk outlier above 0.00% and one below -2.00%.

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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	5.64 %	6.87 %	14,091	15.60	1	-0.9083 %	1,382.5
FixedFloater	7.85 %	6.87 %	22,856	15.31	1	-0.9009 %	2,532.2
Floater	4.91 %	5.10 %	77,577	15.26	4	1.2625 %	1,561.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2558 %	2,736.0
SplitShare	4.88 %	5.98 %	74,648	2.68	6	-0.2558 %	3,201.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2558 %	2,498.0
Perpetual-Premium	5.85 %	5.84 %	81,978	13.88	6	-0.0864 %	2,524.1
Perpetual-Discount	5.81 %	5.86 %	98,294	14.10	33	-0.4942 %	2,487.8
FixedReset	5.82 %	5.22 %	205,683	14.04	84	-0.3073 %	1,745.8
Deemed-Retractible	5.38 %	6.03 %	125,534	6.87	34	-0.2148 %	2,513.0
FloatingReset	3.18 %	5.33 %	49,452	5.48	16	-0.3879 %	1,921.3

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.F	FloatingReset	-7.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 9.96 Evaluated at bid price : 9.96 Bid-YTW : 6.02 %
BNS.PR.F	FloatingReset	-2.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.51 Bid-YTW : 8.33 %
TRP.PR.D	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 15.24 Evaluated at bid price : 15.24 Bid-YTW : 5.27 %
FTS.PR.I	FloatingReset	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 5.26 %
CIU.PR.C	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 10.33 Evaluated at bid price : 10.33 Bid-YTW : 4.81 %
MFC.PR.M	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.25 Bid-YTW : 9.29 %
TRP.PR.E	FixedReset	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 5.03 %
TRP.PR.G	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 5.49 %
BAM.PF.B	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 5.73 %
MFC.PR.K	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.72 Bid-YTW : 10.33 %
RY.PR.J	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 5.00 %
MFC.PR.N	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.01 Bid-YTW : 9.43 %
TD.PF.C	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.76 %
FTS.PR.H	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 10.85 Evaluated at bid price : 10.85 Bid-YTW : 5.01 %
CU.PR.C	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 5.06 %
TD.PF.D	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.92 %
TD.PR.S	FixedReset	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 4.43 %
RY.PR.M	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.92 %
IAG.PR.A	Deemed-Retractible	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.62 Bid-YTW : 7.47 %
HSE.PR.C	FixedReset	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 7.70 %
PWF.PR.F	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.94 %
RY.PR.P	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 23.76 Evaluated at bid price : 24.10 Bid-YTW : 5.46 %
PWF.PR.K	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 5.87 %
CU.PR.I	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 23.05 Evaluated at bid price : 24.64 Bid-YTW : 4.48 %
BNS.PR.D	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.45 Bid-YTW : 7.90 %
BMO.PR.S	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 4.69 %
BAM.PF.E	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 5.47 %
BAM.PR.Z	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 5.79 %
SLF.PR.A	Deemed-Retractible	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 7.37 %
NA.PR.W	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 5.30 %
POW.PR.D	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.92 %
TD.PR.Z	FloatingReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.97 Bid-YTW : 5.28 %
PWF.PR.P	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.91 %
IFC.PR.C	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 9.83 %
TD.PF.E	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.85 %
TRP.PR.B	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 9.90 Evaluated at bid price : 9.90 Bid-YTW : 5.01 %
FTS.PR.K	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 4.96 %
BMO.PR.Q	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.51 Bid-YTW : 8.47 %
GWO.PR.O	FloatingReset	2.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.30 Bid-YTW : 11.95 %
SLF.PR.H	FixedReset	2.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.90 Bid-YTW : 9.90 %
BAM.PR.B	Floater	3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.10 %
HSE.PR.G	FixedReset	3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 7.27 %
HSE.PR.E	FixedReset	4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 7.04 %
TD.PR.T	FloatingReset	4.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.17 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	190,574	Nesbitt crossed blocks of 120,000 and 36,500, both at 25.33. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 23.26 Evaluated at bid price : 25.33 Bid-YTW : 5.22 %
PWF.PR.P	FixedReset	163,503	TD crossed blocks of 10,600 and 100,000 at 11.40, then another 50,000 at 11.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.91 %
BAM.PR.K	Floater	79,400	Scotia crossed 74,300 at 9.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 9.16 Evaluated at bid price : 9.16 Bid-YTW : 5.23 %
MFC.PR.C	Deemed-Retractible	73,005	RBC crossed 50,000 at 19.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 7.80 %
NA.PR.X	FixedReset	69,984	TD crossed 25,000 at 25.11. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 23.20 Evaluated at bid price : 25.15 Bid-YTW : 5.47 %
PWF.PR.L	Perpetual-Discount	59,850	Desjardins crossed 50,000 at 22.11. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.84 %
There were 43 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: 10.00 – 13.14 Spot Rate : 3.1400 Average : 2.1228 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.15 %
TRP.PR.F	FloatingReset	Quote: 9.96 – 10.75 Spot Rate : 0.7900 Average : 0.4949 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 9.96 Evaluated at bid price : 9.96 Bid-YTW : 6.02 %
RY.PR.C	Deemed-Retractible	Quote: 24.05 – 24.64 Spot Rate : 0.5900 Average : 0.3761 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.39 %
GWO.PR.I	Deemed-Retractible	Quote: 20.25 – 20.88 Spot Rate : 0.6300 Average : 0.4308 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.62 %
POW.PR.B	Perpetual-Discount	Quote: 23.06 – 23.60 Spot Rate : 0.5400 Average : 0.3493 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 22.78 Evaluated at bid price : 23.06 Bid-YTW : 5.87 %
HSE.PR.C	FixedReset	Quote: 13.11 – 13.69 Spot Rate : 0.5800 Average : 0.3992 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-24 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 7.70 %

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