PrefBlog

The effect of shareholder-friendly actions on creditworthiness was discussed in the post Rating Agencies Unhappy With Enbridge (particularly in the comments!). Nowadays, shareholders are really feeling the love:

Stock buybacks, which along with dividends eat up sums of money equal to almost all the Standard & Poor’s 500 Index’s earnings, vaulted to a record in February, with chief executive officers announcing $104.3 billion in planned repurchases. That’s the most since TrimTabs Investment Research began tracking the data in 1995 and almost twice the $55 billion bought a year earlier.

Even with 10-year Treasury yields holding below 2.1 percent, economic growth trailing forecasts and earnings estimates deteriorating, the stock market snapped back last month as companies announced an average of more than $5 billion in buybacks each day. That’s enough to cover about 2 percent of the value of shares traded on U.S. exchanges, data compiled by Bloomberg show.
…
Companies in the S&P 500 have spent more than $2 trillion on their own stock since 2009, underpinning an equity rally in which the index has more than tripled. They were on pace to spend a sum equal to 95 percent of their earnings on repurchases and dividends in 2014, data compiled in October showed.

The BoC took no action on yields today:

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

Total CPI inflation in Canada has fallen as expected, reflecting the significant drop in oil prices. Core inflation remains close to 2 per cent and continues to be temporarily boosted by the pass-through effects of the lower Canadian dollar, as well as sector-specific factors.
…
Financial conditions in Canada have eased materially since January, in response to the Bank’s recent monetary policy action and to global financial developments. This easing is reflected across the yield curve and in a wide range of asset prices, including the Canadian dollar. These conditions will mitigate the negative effects of the oil price shock, further boosting growth through stronger non-energy exports and investment.

In light of these developments, the risks around the inflation profile are now more balanced and financial stability risks are evolving as expected in January. At present, we judge that the current degree of monetary policy stimulus is still appropriate and the target for the overnight rate remains at 3/4 per cent.

To some extent, this was foreshadowed by the GDP numbers released yesterday:

The Canadian dollar rose the most in two weeks after a report showed the economy grew at a faster rate than estimated with policy makers meeting Wednesday to consider further monetary stimulus.
…
The GDP report showed consumers boosted spending and businesses built up stockpiles of unsold goods. Gross domestic product expanded at a 2.4 percent annual pace, higher than the Bloomberg News forecast for a 2 percent gain.

The government also raised third-quarter growth to 3.2 percent, from an initially reported 2.8 percent.

But clearly this foreshadowing was incomplete:

As expected, the Bank of Canada maintained the overnight rate at 0.75 per cent, sending the Canadian dollar and short-term yields higher.

The Canadian dollar was trading below 79.8 cents (U.S.) against the greenback prior to the announcement, and proceeded to spike by more than half a cent.

Meanwhile, the yield on the two-year Government of Canada bond rose by 10 basis points to 0.6 per cent. On Feb. 23, the yield bottomed out at 0.386 per cent.
…
To adapt a tagline from Lay’s potato chips, the market was, prior to this announcement, back to betting that the Bank of Canada can’t just cut rates once. Nearly one full cut was fully priced in by the September announcement, with 10 per cent odds of the central bank being at the zero lower bound by its final meeting of the year.
…
Traders pared their bets on the likelihood of more stimulus following this statement; as of 10:15 a.m. ET, just over 25 basis points of easing are expected by the end of 2015.

Longevity risk and the impact of new actuarial tables on companies with pension plans was discussed on February 9. Now Sun Life and BCE have done a pension risk-transfer deal:

Sun Life Financial Inc., Canada’s third-largest life insurer, agreed to take on a C$5 billion ($4 billion) pension liability from telecommunications company BCE Inc.

BCE, known by its brand name Bell, will pay monthly premiums to the Toronto-based insurer, the companies said today in a statement that didn’t disclose terms.

BCE is joining large employers such as New York-based Verizon Communications Inc. in turning to insurers to cap liabilities that can increase if retirees live longer than expected or bond yields remain near record-low levels. Verizon in 2012 struck a deal to transfer about $7.5 billion in pension obligations to Prudential Financial Inc.

My new favourite SEC Commissioner Daniel M. Gallagher has some interesting things to say about boosting micro-cap liquidity:

Second, the Committee will examine secondary market trading of small company shares, particularly through Venture Exchanges. I believe Venture Exchanges are a vital bookend to our JOBS Act rulemaking on Regulation A+.[2] In thinking about these entities, I’ve been envisioning them as national securities exchanges, with full state law preemption, but with tailored periodic reporting and listing requirements that are more appropriate for small businesses.[3] They would be exempt from the National Market System rules and Unlisted Trading Privileges requirements, so as to concentrate liquidity in the listing venue, and would be free to structure trading however they see fit (e.g., periodic auctions instead of continuous trading). I believe these principles would create liquidity in Regulation A+ shares. Moreover, these same principles could be extended to the shares of the smallest public companies, currently traded over-the-counter, to facilitate liquidity for them as well. We must embrace change. We must depart from the failed policies and feeble ideas of the past, in order to pursue critically-needed innovation like Venture Exchanges. I believe this Commission has the courage and leadership to do so.

It’s nice to see some acknowledgement that the National Market System rules, which incorporate the National Best Bid and Offer rules have some effect beyond being fairsy-wairsy to Granny.

A Pew Research study recently awarded India a better-than-awful grade on religious freedom, while noting a very high level of social hostilities. They may want to review the ‘freedom’ part:

A prime filet mignon at New York’s Old Homestead Steakhouse will set you back $56. Wolfgang Puck’s Cut in London charges as much as $210 for a ribeye. In Tokyo, a sirloin can top $250.

But nowhere is a juicy piece of beef as dear as in Mumbai, where it can now cost you five years in prison.

The government of the state of Maharashtra this week banned possession of beef and its byproducts and the slaughtering of cows, bulls and bullocks. The prohibition marks a victory for hardline Hindu groups that have sought to protect an animal their religion considers holy.

It was a positive day for the Canadian preferred share market, with PerpetualDiscounts gaining 3bp, FixedResets up 8bp and DeemedRetractibles winning 12bp. Beneath the placid surface, however, there continued to be a lot of churn in the market, with the Performance Highlights table relatively lengthy and dominated by winning FixedResets (although HSE.PR.C was a loser, hurt by today’s new issue announcement). Volume was above average.

PerpetualDiscounts now yield 5.03%, equivalent to 6.54% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 280bp, a slight (and perhaps spurious) widening from the 275bp reported February 25.

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 24.75 to be $1.72 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.18 cheap at its bid price of 24.83.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.71 to be $0.28 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.85 to be $0.52 cheap.

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.X, resetting at +180bp on 2017-6-30, bid at 18.11 to be $0.66 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.34 and appears to be $0.63 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.69, looks $1.46 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.80 and is $1.09 rich.

This is rather odd – the investment grade break-even rates are clustered just below zero, with one outlier: the TRP.PR.A / TRP.PR.F pair, clocking in at more aggressive 1.45%.

The market’s distaste for product linked to Money Market rates does not extend to prime, as shown by the FixedFloater/RatchetRate pairs:

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	0.00 %	0.00 %	0	0.00	0	0.9081 %	2,401.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.9081 %	4,199.2
Floater	3.13 %	3.15 %	76,995	19.29	3	0.9081 %	2,553.1
OpRet	4.07 %	1.20 %	111,004	0.29	1	0.1193 %	2,762.6
SplitShare	4.48 %	4.61 %	54,247	4.46	5	-0.5403 %	3,201.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1193 %	2,526.1
Perpetual-Premium	5.29 %	-1.76 %	57,249	0.08	25	-0.0172 %	2,521.7
Perpetual-Discount	4.94 %	5.03 %	156,616	15.14	9	0.0324 %	2,813.2
FixedReset	4.41 %	3.54 %	233,329	16.81	80	0.0820 %	2,424.5
Deemed-Retractible	4.90 %	-0.63 %	107,551	0.15	37	0.1173 %	2,659.5
FloatingReset	2.49 %	2.83 %	87,528	6.35	8	0.5234 %	2,349.4

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.H	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 4.28 %
HSE.PR.C	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 23.12 Evaluated at bid price : 24.84 Bid-YTW : 4.03 %
CGI.PR.D	SplitShare	-1.13 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 3.58 %
BAM.PR.T	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 3.62 %
BAM.PF.B	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 22.98 Evaluated at bid price : 24.30 Bid-YTW : 3.62 %
PWF.PR.P	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 3.36 %
MFC.PR.F	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 5.50 %
SLF.PR.G	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 6.13 %
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 : 20.41 Bid-YTW : 5.59 %
BAM.PR.K	Floater	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 15.74 Evaluated at bid price : 15.74 Bid-YTW : 3.20 %
TRP.PR.F	FloatingReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 3.09 %
TRP.PR.B	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 3.46 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.T	FixedReset	260,300	Nesbitt crossed one block of 156,400 shares and two of 50,000 each, all at 25.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 23.29 Evaluated at bid price : 25.10 Bid-YTW : 3.21 %
TRP.PR.G	FixedReset	209,020	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 23.06 Evaluated at bid price : 24.83 Bid-YTW : 3.66 %
GWO.PR.H	Deemed-Retractible	129,040	Desjardins bought 112,900 from anonymous at 24.95. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.88 %
GWO.PR.N	FixedReset	120,730	Desjardins crossed 50,000 at 18.35. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 5.79 %
OSP.PR.A	SplitShare	87,500	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2020-03-31 Maturity Price : 10.00 Evaluated at bid price : 10.20 Bid-YTW : 4.61 %
MFC.PR.M	FixedReset	73,937	Nesbitt crossed 50,000 at 24.50 and 19,800 at 24.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.44 Bid-YTW : 3.79 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CGI.PR.D	SplitShare	Quote: 25.31 – 26.00 Spot Rate : 0.6900 Average : 0.5335 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 3.58 %
PWF.PR.F	Perpetual-Premium	Quote: 25.49 – 25.88 Spot Rate : 0.3900 Average : 0.2577 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-03 Maturity Price : 25.00 Evaluated at bid price : 25.49 Bid-YTW : -12.59 %
IFC.PR.C	FixedReset	Quote: 24.84 – 25.25 Spot Rate : 0.4100 Average : 0.3056 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.84 Bid-YTW : 3.74 %
MFC.PR.N	FixedReset	Quote: 24.12 – 24.59 Spot Rate : 0.4700 Average : 0.3671 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 3.89 %
IFC.PR.A	FixedReset	Quote: 20.41 – 21.14 Spot Rate : 0.7300 Average : 0.6273 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 5.59 %
TRP.PR.F	FloatingReset	Quote: 19.80 – 20.35 Spot Rate : 0.5500 Average : 0.4485 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-04 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 3.09 %

Daniel M. Gallagher has just become my favourite SEC commissioner:

During a fireside chat at today’s Institute of International Bankers’ 26th Annual Washington Conference, I expressed my concern about the number and aggregate impact of regulations that have been imposed on U.S. financial services firms since the enactment of the Dodd-Frank Act in 2010. These regulations come from an alphabet soup of domestic regulators, including the SEC, and many are related to the edicts of non-accountable international bodies such as the Financial Stability Board. Unfortunately, in promulgating many of these myriad regulations, a robust cost-benefit analysis was not required—and therefore none was performed. Even where a cost-benefit analysis was performed (an exercise for the most part limited to rules adopted by the SEC or CFTC, either independently or jointly with other regulators, given their statutory mandate for cost-benefit analysis), such analysis encompassed only the incremental effects of the rule being considered for adoption. No regulator, as far as I know, has considered the overall regulatory burden on financial services firms when determining whether to impose additional costly regulations. We as regulators are, when it comes to the possibility that our rules are causing death by a thousand cuts, the proverbial ostrich—head firmly entrenched in the sand.

There is yet another rate cut:

India’s central bank lowered interest rates in an unscheduled move for the second time this year, a sign of approval for Prime Minister Narendra Modi’s first full-year budget.

Governor Raghuram Rajan cut the benchmark repurchase rate to 7.5 percent from 7.75 percent, the Reserve Bank of India said in a statement on Wednesday. The central bank acted due to weakness in the economy and after it agreed upon a formal inflation target with the government, Rajan said.

“This makes explicit what was implicit before –- that the government and the Reserve Bank have common objectives and that fiscal and monetary policy will work in a complementary way,” Rajan said in the statement, referring to the monetary policy framework agreement. “In sum, then, the government intends to compensate for the delay in fiscal consolidation with a commitment to an improvement in the quality of adjustment.”

The decision came four days after Modi pushed back deficit targets to spur economic growth through corporate tax cuts and increased spending on infrastructure. More than a dozen central banks from Turkey to China have eased policy in 2015 as a slide in oil prices damps inflation.

It was a fine day for the Canadian preferred share market, with both PerpetualDiscounts and FixedResets up 39bp, while DeemedRetractibles gained 17bp. The Performance Highlights table is dominated by FixedReset winners. 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 24.65 to be $1.67 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.21 cheap at its bid price of 24.83.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.84 to be $0.39 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.89 to be $0.57 cheap.

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.X, resetting at +180bp on 2017-6-30, bid at 18.15 to be $0.39 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.38 and appears to be $0.75 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.63, looks $1.36 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.80 and is $1.09 rich.

This is rather odd – the investment grade break-even rates are clustered around negative 20bp, with one outlier: the TRP.PR.A / TRP.PR.F pair, clocking in at more reasonable 1.24%.

The market’s distaste for product linked to Money Market rates does not extend to prime, as shown by the FixedFloater/RatchetRate pairs:

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	0.00 %	0.00 %	0	0.00	0	1.4136 %	2,380.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.4136 %	4,161.4
Floater	3.16 %	3.17 %	77,523	19.25	3	1.4136 %	2,530.2
OpRet	4.08 %	1.59 %	110,955	0.29	1	0.1195 %	2,759.3
SplitShare	4.46 %	4.36 %	54,631	4.46	5	0.2589 %	3,219.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1195 %	2,523.1
Perpetual-Premium	5.29 %	-2.23 %	56,555	0.08	25	0.2210 %	2,522.1
Perpetual-Discount	4.95 %	5.06 %	157,544	15.10	9	0.3907 %	2,812.3
FixedReset	4.42 %	3.43 %	229,811	16.80	80	0.3893 %	2,422.6
Deemed-Retractible	4.90 %	0.79 %	106,008	0.16	37	0.1715 %	2,656.4
FloatingReset	2.50 %	2.92 %	88,523	6.35	8	0.1230 %	2,337.1

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 3.62 %
PWF.PR.P	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 3.40 %
CU.PR.C	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.17 Evaluated at bid price : 24.13 Bid-YTW : 3.31 %
HSE.PR.A	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 3.77 %
PWF.PR.T	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.34 Evaluated at bid price : 25.25 Bid-YTW : 3.18 %
NA.PR.S	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.24 Evaluated at bid price : 25.05 Bid-YTW : 3.22 %
MFC.PR.B	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 4.78 %
SLF.PR.H	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.01 %
GWO.PR.N	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.20 Bid-YTW : 5.83 %
BAM.PR.Z	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.58 Evaluated at bid price : 25.51 Bid-YTW : 3.72 %
POW.PR.G	Perpetual-Premium	1.16 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-15 Maturity Price : 26.00 Evaluated at bid price : 26.95 Bid-YTW : 3.94 %
MFC.PR.C	Deemed-Retractible	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.29 Bid-YTW : 4.86 %
VNR.PR.A	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.18 Evaluated at bid price : 24.31 Bid-YTW : 3.75 %
ENB.PR.N	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 20.99 Evaluated at bid price : 20.99 Bid-YTW : 4.23 %
MFC.PR.K	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.61 Bid-YTW : 3.98 %
IFC.PR.C	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 3.73 %
HSE.PR.C	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.25 Evaluated at bid price : 25.25 Bid-YTW : 3.94 %
MFC.PR.M	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 3.78 %
BAM.PR.B	Floater	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 3.16 %
TRP.PR.F	FloatingReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 3.16 %
TRP.PR.B	FixedReset	2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 14.47 Evaluated at bid price : 14.47 Bid-YTW : 3.55 %
BAM.PR.C	Floater	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 3.17 %
CIU.PR.C	FixedReset	3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 3.38 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.G	FixedReset	365,122	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.06 Evaluated at bid price : 24.83 Bid-YTW : 3.66 %
RY.PR.J	FixedReset	175,280	RBC crossed two blocks of 25,000 each, both at 25.00. Scotia crossed two blocks of 20,000 each and one of 10,000, all at 25.00. Scotia sold two blocks of 10,000 each to RBC at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.15 Evaluated at bid price : 25.00 Bid-YTW : 3.42 %
CM.PR.G	Perpetual-Premium	107,624	Called for redemption April 30. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-02 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : -2.44 %
BAM.PR.Z	FixedReset	51,285	Desjardins crossed 50,000 at 25.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.58 Evaluated at bid price : 25.51 Bid-YTW : 3.72 %
ENB.PR.D	FixedReset	47,246	TD crossed 25,000 at 19.23. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 19.19 Evaluated at bid price : 19.19 Bid-YTW : 4.29 %
TD.PF.B	FixedReset	42,861	Desjardins crossed 27,100 at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 23.08 Evaluated at bid price : 24.63 Bid-YTW : 3.14 %
There were 34 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.F	Deemed-Retractible	Quote: 25.30 – 26.00 Spot Rate : 0.7000 Average : 0.4517 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.54 %
FTS.PR.G	FixedReset	Quote: 23.66 – 24.30 Spot Rate : 0.6400 Average : 0.4465 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 22.75 Evaluated at bid price : 23.66 Bid-YTW : 3.16 %
BAM.PF.B	FixedReset	Quote: 24.03 – 24.60 Spot Rate : 0.5700 Average : 0.4019 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 22.86 Evaluated at bid price : 24.03 Bid-YTW : 3.67 %
BAM.PR.T	FixedReset	Quote: 22.25 – 22.73 Spot Rate : 0.4800 Average : 0.3125 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 21.76 Evaluated at bid price : 22.25 Bid-YTW : 3.64 %
BAM.PR.K	Floater	Quote: 15.50 – 15.99 Spot Rate : 0.4900 Average : 0.3247 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-03 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.25 %
RY.PR.L	FixedReset	Quote: 26.34 – 26.77 Spot Rate : 0.4300 Average : 0.2707 YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.34 Bid-YTW : 2.87 %

The latest hot new financial indicator is: How much European sovereign debt trades at negative yields?:

The European Central Bank’s imminent bond-buying plan has left $1.9 trillion of the euro region’s government securities with negative yields.

Germany sold five-year notes at an average yield of minus 0.08 percent on Wednesday, a euro-area record, meaning investors buying the securities will get less back than they paid when the debt matures in April 2020.

By the next day, German notes with a maturity out to seven years had sub-zero yields, while rates on seven other euro-area nations’ debt were also negative. While some bonds had such yields as far back as 2012, the phenomenon has gathered pace since the ECB’s decision to cut its deposit rate to below zero last year.

And there are more global rate cuts:

The dollar rallied with gold as the yuan slipped to a two-year low after China cut interest rates for the second time in three months. Oil retreated following its first monthly gain since June.

The Bloomberg Dollar Spot Index increased 0.2 percent at 1:22 p.m. in Hong Kong as China’s currency traded at its weakest level since October 2012 and the euro slipped 0.2 percent.
…
China’s second rate cut in 14 weeks was the latest in a wave of global easing that underscores diverging economic outlooks for the U.S. versus the rest of the world. A private measure of factory activity in Asia’s largest economy showed a faster-than-estimated expansion Monday as lawmakers prepare to meet in Beijing. The euro area updates on consumer prices and U.S. private spending data are due.
…
The People’s Bank of China announced a benchmark lending and deposit rate cut of a quarter percentage point Saturday. A day later, a government factory gauge for February signaled contraction for a second month, underscoring the scope for looser policy.

The yuan traded at 6.2732 per dollar after the central bank reduced its reference rate to the weakest since November today. Today’s purchasing managers index from HSBC Holdings Plc and Markit Economics came in at 50.7, beating economists’ estimates for it to hold steady from a preliminary reading of 50.1. Readings above 50 denote expansion.

The Bloomberg gauge of dollar strength traded at 1,174.11, less than one point from its highest level in at least 10 years. The greenback was stronger against 13 of 16 major peers, advancing 0.5 percent against the Australian and New Zealand currencies. The euro bought $1.1179.

There are more worries about corporate bond liquidity:

Investors have a fickle relationship with credit mutual funds lately, pouring cash in one year and yanking it out the next.

As a result, the world’s biggest mutual-fund firms are preparing for when sentiment sours for a prolonged period. They’re increasing the amount of cash in their portfolio and boosting their holdings of corporate-bond exchange-traded fund shares — which trade like stocks instead of the antiquated, telephone-based system of buying and selling debt.
…
Up to 10 percent of some corporate-debt funds’ holdings now consist of ETFs, a proportion that’s been rising for the past two years, according to Tabb Group research.
…
The potential for big outflows from U.S. bonds is all the scarier now because trading volumes have failed to keep pace with the 21 percent growth in outstanding debt since 2007. While taxable bond funds have received $932 billion of deposits since the end of 2007, Wall Street’s biggest banks have cut holdings of the debt previously used to facilitate trading.

“There has, indeed, been a meaningful deterioration in the ability to trade corporate bonds from the pre- to post-crisis period,” Barclays Plc analysts led by Jeffrey Meli and Bradley Rogoff wrote in a Feb. 27 report. “This has resulted in increased investor reliance on products such as ETFs” to manage liquidity.
…
Of course, there are some questions about how well ETFs will work as a liquidity tool in a downturn, too. There’s the potential for ETF shares to move away from the underlying market in a time of stress, forcing fire sales of assets that don’t trade as often.

The fragile new equilibrium stems from “liquidity mismatches between the assets themselves and the instruments being used to manage daily liquidity needs,” Barclays analysts wrote. Well-intentioned regulations and “a growing demand for liquidity may have led to increased instability and fire-sale risk in corporate debt markets.”

This has even attracted the attention of one of the well-intentioned regulators:

A lack of liquidity in corporate-bond markets could pose a “systemic risk” to the economy when interest rates rise, U.S. Securities and Exchange Commission member Daniel Gallagher said.

Gallagher, a Republican, warned that the Financial Stability Oversight Council, a group of U.S. regulators that monitors emerging systemic risks, hasn’t paid enough attention to the $7.3 trillion corporate-bond market, which has ballooned over the past seven years amid low interest rates. He made the remarks Monday at a banking conference in Washington.

The SEC last year began testing whether fixed-income mutual funds could withstand a possible sell-off during a period of financial stress, people with knowledge of the matter have said. The agency hasn’t made its findings public, but some large money managers have warned the market is primed for failure when the Federal Reserve starts raising interest rates.

I’ve said it before … I’ll say it again … it’s one thing to say that the banks’ pool of capital may not be used to inventory corporates, but that pool has to be replaced. The logical replacement source is hedge funds, pension funds and insurance companies starting to act as traders but – given that fantasies of creating liquidity through exchange-like electronic marketplaces is nothing more than the psychedelic dream of morons with no knowledge of the market whatsoever – that means they’ll have to have SEC clearance to act as traders. That is, with a Salesforce (that’s expensive!) and no moronic whimpering about fairness to clients. I’m not going to hold my breath. Instead, I’ll continue to be fearful of what will happen when what happened to sub-prime paper during the Credit Crunch happens to corporate debt in the next crisis, which will kill the market for a few years and do massive damage to the economy. There might be a few bargains, though, for those with dry ammunition and permission from our wise masters at the regulatory agencies to invest in fire-sale corporate debt.

Ian McGugan in the Globe writes a piece titled Why decades of inflationary pressure may be ahead of us which drew my attention to a BIS working paper by Mikael Juselius and Elod Takats titled Can Demography Affect Inflation and Monetary Policy?:

Several countries are concurrently experiencing historically low inflation rates and ageing populations. Is there a connection, as recently suggested by some senior central bankers? We undertake a comprehensive test of this hypothesis in a panel of 22 countries over the 1955-2010 period. We find a stable and significant correlation between demography and low-frequency inflation. In particular, a larger share of dependents (ie young and old) is correlated with higher inflation, while a larger share of working age cohorts is correlated with lower inflation. The results are robust to different country samples, time periods, control variables and estimation techniques. We also find a significant, albeit unstable, relationship between demography and monetary policy.
…
Given these developments, some senior central bankers have suggested an alternative to the “pure mistake” view, arguing that low-frequency inflation may be linked to demographic change. Governor Shirakawa of the Bank of Japan (2011a, 2011b, 2012 and 2013) has argued that population ageing can lead to deflationary pressures by lowering expectations of future economic growth. While people might ignore the implications of an ageing population for a while, they revise their expectations when they recognise the extent of the economic impact. The resulting loss of demand and investment might not be easily offset by monetary policy, especially if inflation is already low and policy rates are close to the zero lower bound. President Bullard of the St Louis Federal Reserve Bank has suggested a different explanation focusing on the political economy of central banking. Bullard et al (2012) argue that the old might prefer lower inflation than the young due to the redistributive effects of inflation. Thus, to the degree their policies reflect voter preference, central banks might engineer lower inflation when populations age.

The potential connection between demography and inflation has also sparked interest from researchers at policy institutions such as the International Monetary Fund. Motivated by the experience of Japan, for example, Anderson et al (2014) find that ageing causes deflationary pressures, mainly via slowing growth. Imam (2013) finds that it can weaken monetary transmission. Yoon et al (2014) find, based on a panel regression, that ageing is deflationary.
…
According to our estimates, demography accounts for around one-third of the variation in inflation and for the bulk of the deceleration between the late 1970s and early 1990s. Furthermore, our estimates reveal a stable U-shaped pattern: a larger share of dependents (ie young and old) is correlated with higher inflation, and a larger share of working age cohorts is correlated with lower inflation.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 6bp, FixedResets up 43bp and DeemedRetractibles gaining 1bp. There is a lengthy Performance Highlights table, suitably dominated by winning FixedResets. Volume was very high.

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:

The new issue, TRP.PR.G has caused a large change in the curve-fitting for the TRP series of FixedResets. TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.44 to be $1.47 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.22 cheap at its bid price of 24.83.

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.70 to be $0.42 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.71 to be $0.56 cheap.

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.

The cheapest issue relative to its peers is BAM.PR.Z, resetting at +296bp on 2017-12-31, bid at 25.22 to be $0.43 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.25 and appears to be $0.74 rich.

This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.65, looks $1.28 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.68 and is $0.99 rich.

The investment grade break-even rates average close to zero.

On the other hand, the market’s distaste for product linked to Money Market rates does not extend to prime, as shown by the FixedFloater/RatchetRate pairs:

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	0.00 %	0.00 %	0	0.00	0	1.9210 %	2,346.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.9210 %	4,103.4
Floater	3.20 %	3.25 %	78,183	19.05	3	1.9210 %	2,494.9
OpRet	4.08 %	1.98 %	112,355	0.30	1	-0.0398 %	2,756.0
SplitShare	4.47 %	4.58 %	53,344	4.49	5	-0.0239 %	3,211.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0398 %	2,520.1
Perpetual-Premium	5.30 %	-1.19 %	56,512	0.08	25	0.0141 %	2,516.6
Perpetual-Discount	4.97 %	5.06 %	146,066	15.33	9	-0.0558 %	2,801.3
FixedReset	4.44 %	3.53 %	233,061	16.91	80	0.4292 %	2,413.2
Deemed-Retractible	4.93 %	0.07 %	101,561	0.16	39	0.0142 %	2,651.9
FloatingReset	2.50 %	2.90 %	89,933	6.35	8	0.3219 %	2,334.2

Performance Highlights
Issue	Index	Change	Notes
CIU.PR.C	FixedReset	-5.78 %	Not real: this is simply another example either of the Exchange’s shoddy reporting or their inability to enforce market-making responsibilities. The day’s low was 16.78, VWAP was 16.90. Volume was 1,156 shares (consolidated exchanges), which probably overwhelmed the systems, poor little dears, on nine trades including four odd lots. A fine way to welcome CIU.PR.C on the first day of its return from the Scraps index, where it had been relegated on volume concerns! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 15.97 Evaluated at bid price : 15.97 Bid-YTW : 3.49 %
VNR.PR.A	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 23.04 Evaluated at bid price : 24.01 Bid-YTW : 3.81 %
ENB.PR.D	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.27 %
HSE.PR.A	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 3.73 %
TRP.PR.C	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 3.58 %
PWF.PR.T	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 23.26 Evaluated at bid price : 25.00 Bid-YTW : 3.22 %
BNS.PR.P	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 2.58 %
BAM.PR.C	Floater	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.25 %
TRP.PR.D	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 22.81 Evaluated at bid price : 23.94 Bid-YTW : 3.41 %
FTS.PR.G	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 22.86 Evaluated at bid price : 23.89 Bid-YTW : 3.12 %
ENB.PF.C	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 3.98 %
TRP.PR.E	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 22.98 Evaluated at bid price : 24.44 Bid-YTW : 3.36 %
ENB.PR.F	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 4.25 %
BNS.PR.Z	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 3.60 %
SLF.PR.H	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 4.14 %
CU.PR.C	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 23.29 Evaluated at bid price : 24.40 Bid-YTW : 3.26 %
BNS.PR.Y	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.22 Bid-YTW : 3.71 %
BAM.PR.B	Floater	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 15.69 Evaluated at bid price : 15.69 Bid-YTW : 3.21 %
MFC.PR.F	FixedReset	1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 5.65 %
TRP.PR.F	FloatingReset	2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 3.23 %
IFC.PR.A	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 5.81 %
IAG.PR.G	FixedReset	2.20 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.98 Bid-YTW : 2.41 %
ENB.PF.A	FixedReset	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 22.19 Evaluated at bid price : 22.82 Bid-YTW : 3.98 %
BAM.PR.K	Floater	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.25 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.G	FixedReset	1,351,456	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 23.06 Evaluated at bid price : 24.83 Bid-YTW : 3.66 %
RY.PR.J	FixedReset	182,598	TD crossed 50,000 at 24.98; RBC crossed 49,500 at 24.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 23.13 Evaluated at bid price : 24.96 Bid-YTW : 3.43 %
CU.PR.C	FixedReset	157,914	RBC crossed 150,000 at 23.92. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 23.29 Evaluated at bid price : 24.40 Bid-YTW : 3.26 %
ENB.PR.P	FixedReset	118,389	TD crossed 10,900 at 20.38; RBC crossed 98,400 at 20.57. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 4.21 %
TRP.PR.E	FixedReset	104,106	Scotia crossed 100,000 at 24.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 22.98 Evaluated at bid price : 24.44 Bid-YTW : 3.36 %
NA.PR.Q	FixedReset	83,250	RBC crossed 76,700 at 25.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.32 %
There were 52 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.A	FixedReset	Quote: 20.05 – 20.78 Spot Rate : 0.7300 Average : 0.4651 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 5.81 %
CIU.PR.C	FixedReset	Quote: 15.97 – 17.00 Spot Rate : 1.0300 Average : 0.7693 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 15.97 Evaluated at bid price : 15.97 Bid-YTW : 3.49 %
MFC.PR.K	FixedReset	Quote: 23.28 – 23.81 Spot Rate : 0.5300 Average : 0.3282 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.28 Bid-YTW : 4.15 %
MFC.PR.J	FixedReset	Quote: 25.10 – 25.66 Spot Rate : 0.5600 Average : 0.3676 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 3.53 %
MFC.PR.H	FixedReset	Quote: 25.71 – 26.10 Spot Rate : 0.3900 Average : 0.2356 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 3.06 %
BAM.PF.A	FixedReset	Quote: 25.27 – 25.65 Spot Rate : 0.3800 Average : 0.2443 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-03-02 Maturity Price : 23.39 Evaluated at bid price : 25.27 Bid-YTW : 3.70 %