Category: Market Action

Bloomberg reminds us that forecasting is hard:

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.33 %	6.50 %	11,976	16.07	1	-2.4615 %	1,468.4
FixedFloater	7.09 %	6.23 %	24,953	16.05	1	0.0000 %	2,804.3
Floater	4.69 %	4.87 %	67,495	15.76	4	-1.7065 %	1,651.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0453 %	2,759.1
SplitShare	4.83 %	5.80 %	71,928	1.65	7	-0.0453 %	3,228.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0453 %	2,519.2
Perpetual-Premium	5.81 %	-0.25 %	89,056	0.08	6	0.1323 %	2,542.3
Perpetual-Discount	5.71 %	5.75 %	99,684	14.24	33	0.0055 %	2,538.9
FixedReset	5.52 %	5.23 %	195,099	14.20	87	0.1115 %	1,846.9
Deemed-Retractible	5.30 %	5.49 %	116,808	5.11	34	0.1846 %	2,567.5
FloatingReset	3.14 %	5.14 %	38,499	5.43	16	-0.2368 %	1,978.3

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

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

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

Nothing happened today.

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

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.20 %	6.34 %	11,989	16.26	1	-1.8868 %	1,505.5
FixedFloater	7.09 %	6.23 %	24,465	16.06	1	0.0000 %	2,804.3
Floater	4.61 %	4.76 %	68,643	15.97	4	-0.1946 %	1,680.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.0352 %	2,760.4
SplitShare	4.82 %	5.67 %	72,309	1.65	7	0.0352 %	3,230.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0352 %	2,520.3
Perpetual-Premium	5.81 %	3.93 %	82,451	0.08	6	-0.0198 %	2,538.9
Perpetual-Discount	5.71 %	5.79 %	96,248	14.14	33	-0.1149 %	2,538.8
FixedReset	5.53 %	5.23 %	197,117	14.18	87	0.0956 %	1,844.8
Deemed-Retractible	5.31 %	5.52 %	114,690	5.11	34	-0.0687 %	2,562.8
FloatingReset	3.14 %	5.14 %	39,169	5.43	16	-0.2248 %	1,983.0

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

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.G	FixedReset	955,584	New issue settled today. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.31 %
PWF.PR.O	Perpetual-Premium	101,800	Nesbitt crossed 100,000 at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 24.69 Evaluated at bid price : 25.00 Bid-YTW : 5.88 %
RY.PR.R	FixedReset	86,663	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 5.23 %
TRP.PR.C	FixedReset	59,200	TD crossed 49,800 at 11.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.24 %
PWF.PR.H	Perpetual-Premium	53,300	Scotia crossed 50,000 at 25.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 24.84 Evaluated at bid price : 25.07 Bid-YTW : 5.81 %
MFC.PR.G	FixedReset	48,575	Scotia crossed 35,000 at 17.78. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.73 Bid-YTW : 8.53 %
There were 23 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.B	FixedReset	Quote: 14.90 – 16.98 Spot Rate : 2.0800 Average : 1.3764 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 6.02 %
TRP.PR.I	FloatingReset	Quote: 10.00 – 11.65 Spot Rate : 1.6500 Average : 1.2932 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.09 %
GWO.PR.O	FloatingReset	Quote: 11.51 – 12.95 Spot Rate : 1.4400 Average : 1.1309 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.51 Bid-YTW : 11.70 %
BAM.PR.E	Ratchet	Quote: 13.00 – 14.33 Spot Rate : 1.3300 Average : 1.0242 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 6.34 %
CM.PR.O	FixedReset	Quote: 17.50 – 18.18 Spot Rate : 0.6800 Average : 0.4539 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.75 %
VNR.PR.A	FixedReset	Quote: 16.90 – 17.50 Spot Rate : 0.6000 Average : 0.4105 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.55 %

There’s a horrible jobs market in Canada:

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

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

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

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

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

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

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.11 %	6.21 %	12,104	16.41	1	0.0000 %	1,534.4
FixedFloater	7.09 %	6.22 %	24,711	16.07	1	1.3616 %	2,804.3
Floater	4.60 %	4.77 %	69,288	15.95	4	-0.0873 %	1,683.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.1185 %	2,759.4
SplitShare	4.83 %	5.64 %	71,649	1.66	7	0.1185 %	3,229.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1185 %	2,519.4
Perpetual-Premium	5.81 %	1.38 %	76,345	0.08	6	-0.0661 %	2,539.4
Perpetual-Discount	5.70 %	5.76 %	96,638	14.19	33	0.5414 %	2,541.7
FixedReset	5.53 %	5.23 %	200,115	14.37	86	0.8486 %	1,843.1
Deemed-Retractible	5.31 %	5.51 %	115,679	5.12	34	0.4522 %	2,564.5
FloatingReset	3.13 %	5.10 %	39,734	5.44	16	0.1450 %	1,987.5

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

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

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

Europe continues to ease monetary policy:

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

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

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

Certainly the OSC is working hard to spark inflation:

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

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

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

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

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

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

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

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

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

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

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

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

There is speculation that TransCanada is contemplating a large acquisition:

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

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

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

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

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

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

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.11 %	6.21 %	12,271	16.42	1	0.0000 %	1,534.4
FixedFloater	7.19 %	6.31 %	24,098	15.96	1	0.1515 %	2,766.6
Floater	4.55 %	4.77 %	71,868	15.82	4	-0.7646 %	1,684.8
OpRet	0.00 %	0.00 %	0	0.00	0	0.1939 %	2,756.1
SplitShare	4.82 %	5.48 %	70,996	2.64	7	0.1939 %	3,225.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1939 %	2,516.4
Perpetual-Premium	5.81 %	-0.61 %	74,756	0.08	6	0.0794 %	2,541.1
Perpetual-Discount	5.72 %	5.77 %	96,300	14.18	33	-0.2096 %	2,528.0
FixedReset	5.57 %	5.19 %	201,732	14.28	86	-0.3913 %	1,827.6
Deemed-Retractible	5.33 %	5.66 %	114,768	5.12	34	-0.2115 %	2,553.0
FloatingReset	3.09 %	5.08 %	40,146	5.45	16	0.1835 %	1,984.6

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

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

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

Today’s big news was the BoC announcement:

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

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

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

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

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

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

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

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

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

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

And New Zealand has cut its policy rate:

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

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

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

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

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

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

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

They’d be better off checking their assumptions:

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

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

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

The Saudis are looking for a bank loan:

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

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

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

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

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

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

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

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

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

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

Here’s TRP:

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

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

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

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

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

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.11 %	6.21 %	12,116	16.42	1	0.0000 %	1,534.4
FixedFloater	7.20 %	6.32 %	24,080	15.95	1	0.9946 %	2,762.4
Floater	4.52 %	4.71 %	73,033	15.94	4	0.8191 %	1,697.8
OpRet	0.00 %	0.00 %	0	0.00	0	0.0730 %	2,750.8
SplitShare	4.83 %	5.82 %	71,615	2.64	7	0.0730 %	3,219.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0730 %	2,511.6
Perpetual-Premium	5.81 %	-0.80 %	77,419	0.08	6	0.1259 %	2,539.1
Perpetual-Discount	5.71 %	5.76 %	98,605	14.20	33	0.0219 %	2,533.3
FixedReset	5.54 %	5.19 %	205,975	14.53	86	0.3709 %	1,834.8
Deemed-Retractible	5.32 %	5.54 %	115,745	5.12	34	-0.2631 %	2,558.4
FloatingReset	3.09 %	4.98 %	40,623	5.45	16	0.5651 %	1,981.0

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

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

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

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:

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.

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.

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.

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.

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.

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 %

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 %

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.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 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.

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.

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.

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.

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.

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 %

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.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.95 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.

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.

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.

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.

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.

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 %