PrefBlog

Market Action

RY Outlook Negative, Says S&P

Standard & Poor’s has announced:

•We believe Royal Bank of Canada’s (RBC) risk appetite has grown relative to peers’.
•We are revising our outlook on RBC to negative from stable, reflecting credit quality metrics that have recently converged to the peer average and the risk that this may continue (or worsen).
•We are affirming our ratings on the bank, including our ‘AA-/A-1+’ long- and short-term issuer credit ratings.
•The negative outlook reflects RBC’s higher risk appetite and aggregate loan risk exposure relative to those of its peers.

…
“The outlook revision reflects concerns over what we see as RBC’s higher risk appetite, relative to peers’,” said S&P Global Ratings credit analyst Lidia Parfeniuk. “We see one example of this in its aggressive growth in loans and commitments in the capital markets wholesale loan book, particularly in the U.S., with an emphasis on speculative-grade borrowers, including exposure to leveraged loans. RBC also has higher-than-peer average exposure to the highly indebted Canadian consumer and to oil and gas-producing regions. These exposures, and potential future growth, in aggregate, could lead to higher loan losses than peers’.”

RBC’s U.S. wholesale loan portfolio has grown very rapidly. The growth has been, on average, 16% per year, adjusted for foreign exchange from 2010 through 2015. We believe that the emphasis has been on speculative-grade loans. We also believe the bank has been increasing risky exposure to improve risk-adjusted returns amid low interest rates.

Adding to the bank’s risk exposures is its higher-than-peers exposure to leveraged loans, which we view as a frothy segment within wholesale lending. We believe that while credit conditions have been benign over the last few years, they may begin to worsen, particularly in a rising-rate environment.
…
The outlook is negative. We could lower the rating over the next two years if RBC’s credit quality metrics remain at the peer average (or worse) for several quarters. This would most likely result in the issuer credit rating falling by one notch to ‘A+’, to reflect the higher risk profile. We could revise the outlook to stable if we were to see evidence that risk appetite is moderating and that credit quality metrics recover to a more favorable stance than the peer average.

Oddly, the press release made no reference to the ‘bail-in’ regime, which the agency has previously assigned a position of some importance and which has been endorsed by the new government, as discussed March 22, 2016.

Affected issues are: RY.PR.A, RY.PR.B, RY.PR.C, RY.PR.D, RY.PR.E, RY.PR.F, RY.PR.G, RY.PR.H, RY.PR.I, RY.PR.J, RY.PR.K, RY.PR.L, RY.PR.M, RY.PR.N, RY.PR.O, RY.PR.P, RY.PR.Q, RY.PR.R, RY.PR.W and RY.PR.Z.

MAPF

MAPF Performance: May, 2016

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close May 31, 2016, was $7.8999.

Returns to May 31, 2016
Period	MAPF	BMO-CM “50” Index	TXPR Total Return	CPD – according to Blackrock
One Month	+1.59%	-0.05%	+0.52%	N/A
Three Months	+16.04%	+13.16%	+13.15%	N/A
One Year	-15.60%	-11.19%	-11.92%	-12.40%
Two Years (annualized)	-8.91%	-7.35%	-7.62%	N/A
Three Years (annualized)	-5.24%	-4.84%	-5.22%	-5.62%
Four Years (annualized)	-1.67%	-2.44%	-2.62%	N/A
Five Years (annualized)	-1.44%	-1.20%	-1.47%	-1.93%
Six Years (annualized)	+2.83%	+1.70%	+1.00%
Seven Years (annualized)	+5.13%	+3.02%	+2.03%
Eight Years (annualized)	+7.63%	+1.96%	+1.06%
Nine Years (annualized)	+7.07%	+1.52%
Ten Years (annualized)	+6.88%	+1.47%
Eleven Years (annualized)	+6.73%	+1.61%
Twelve Years (annualized)	+7.01%	+2.04%
Thirteen Years (annualized)	+8.05%	+2.20%
Fourteen Years (annualized)	+7.94%	+2.59%
Fifteen Years (annualized)	+7.39%	+2.42%
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
CPD Returns are for the NAV and are after all fees and expenses.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are %, % and %, respectively, according to Morningstar after all fees & expenses. Three year performance is %; five year is %
Figures for Manulife Preferred Income Class Adv [into which was merged Manulife Preferred Income Fund (formerly AIC Preferred Income Fund)] (which are after all fees and expenses) for 1-, 3- and 12-months are %, % & %, respectively. It will be noted that AIC Preferred Income Fund was in existence prior to August, 2009, but long term performance figures have been suppressed.
Figures for Horizons Active Preferred Share ETF (which are after all fees and expenses) for 1-, 3- and 12-months are +0.69%, +12.24% & -9.13%, respectively. Three year performance is -0.10%, five-year is +0.67%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are %, % and % for one-, three- and twelve months, respectively. Three year performance is %
The figure for BMO S&P/TSX Laddered Preferred Share Index ETF is +0.11%, +15.11% and -16.91% for one-, three- and twelve-months, respectively. Two year performance is -12.45%, three year is -9.12%.
Figures for NexGen Canadian Preferred Share Tax Managed Fund (Dividend Tax Credit Class, the best performing) are -%, +% and -% for one-, three- and twelve-months, respectively.
Figures for BMO Preferred Share Fund are +11.66% and -11.38% for the past three- and twelve-months, respectively.
Figures for PowerShares Canadian Preferred Share Index Class, Series F are -10.71% for the past twelve months. The three-year figure is -5.83%.
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are +0.14%, +15.29% and -23.20% for the past one, three and twelve months, respectively. The two-, three-, four- and five-year figures are -14.55%, -10.53%, -7.17% and -5.65%, respectively.

MAPF returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page. The fund is available either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited.

Calculation of MAPF Sustainable Income Per Unit
Month	NAVPU	Portfolio Average YTW	Leverage Divisor	Securities Average YTW	Capital Gains Multiplier	Sustainable Income per current Unit
June, 2007	9.3114	5.16%	1.03	5.01%	1.3240	0.3524
September	9.1489	5.35%	0.98	5.46%	1.3240	0.3773
December, 2007	9.0070	5.53%	0.942	5.87%	1.3240	0.3993
March, 2008	8.8512	6.17%	1.047	5.89%	1.3240	0.3938
June	8.3419	6.034%	0.952	6.338%	1.3240	$0.3993
September	8.1886	7.108%	0.969	7.335%	1.3240	$0.4537
December, 2008	8.0464	9.24%	1.008	9.166%	1.3240	$0.5571
March 2009	$8.8317	8.60%	0.995	8.802%	1.3240	$0.5872
June	10.9846	7.05%	0.999	7.057%	1.3240	$0.5855
September	12.3462	6.03%	0.998	6.042%	1.3240	$0.5634
December 2009	10.5662	5.74%	0.981	5.851%	1.1141	$0.5549
March 2010	10.2497	6.03%	0.992	6.079%	1.1141	$0.5593
June	10.5770	5.96%	0.996	5.984%	1.1141	$0.5681
September	11.3901	5.43%	0.980	5.540%	1.1141	$0.5664
December 2010	10.7659	5.37%	0.993	5.408%	1.0298	$0.5654
March, 2011	11.0560	6.00%	0.994	5.964%	1.0298	$0.6403
June	11.1194	5.87%	1.018	5.976%	1.0298	$0.6453
September	10.2709	6.10% Note	1.001	6.106%	1.0298	$0.6090
December, 2011	10.0793	5.63% Note	1.031	5.805%	1.0000	$0.5851
March, 2012	10.3944	5.13% Note	0.996	5.109%	1.0000	$0.5310
June	10.2151	5.32% Note	1.012	5.384%	1.0000	$0.5500
September	10.6703	4.61% Note	0.997	4.624%	1.0000	$0.4934
December, 2012	10.8307	4.24%	0.989	4.287%	1.0000	$0.4643
March, 2013	10.9033	3.87%	0.996	3.886%	1.0000	$0.4237
June	10.3261	4.81%	0.998	4.80%	1.0000	$0.4957
September	10.0296	5.62%	0.996	5.643%	1.0000	$0.5660
December, 2013	9.8717	6.02%	1.008	5.972%	1.0000	$0.5895
March, 2014	10.2233	5.55%	0.998	5.561%	1.0000	$0.5685
June	10.5877	5.09%	0.998	5.100%	1.0000	$0.5395
September	10.4601	5.28%	0.997	5.296%	1.0000	$0.5540
December, 2014	10.5701	4.83%	1.009	4.787%	1.0000	$0.5060
March, 2015	9.9573	4.99%	1.001	4.985%	1.0000	$0.4964
June, 2015	9.4181	5.55%	1.002	5.539%	1.0000	$0.5217
September, 2015	7.8140	6.98%	0.999	6.987%	1.0000	$0.5460
December, 2015	8.1379	6.85%	0.997	6.871%	1.0000	$0.5592
March, 2016	7.4416	7.79%	0.998	7.805%	1.0000	$0.5808
May, 2016	7.8999	7.46%	0.989	7.573%	1.0000	$0.5982
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains. Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00% The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99 Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings. The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested. Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: Seeking NVCC Status and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis. The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.
Calculations of resettable instruments are performed assuming constant contemporary GOC-5 and 3-Month Bill rates. For September 30, 2015, yields of 0.78% and 0.40%, respectively, were assumed; base rates in December, 2015, were 0.71% and 0.46%, respectively. March, 2016: 0.70% and 0.44%; May, 2016: 0.79% and 0.54%.

Significant positions were held in DeemedRetractible, SplitShare and NVCC non-compliant regulated FixedReset issues on May 31, 2016; all of these currently have their yields calculated with the presumption that they will be called by the issuers at par prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies) or on a different date (SplitShares) This presents another complication in the calculation of sustainable yield, which also assumes that redemption proceeds will be reinvested at the same rate.

I will also note that the sustainable yield calculated above is not directly comparable with any yield calculation currently reported by any other preferred share fund as far as I am aware. The Sustainable Yield depends on:
i) Calculating Yield-to-Worst for each instrument and using this yield for reporting purposes;
ii) Using the contemporary value of Five-Year Canadas to estimate dividends after reset for FixedResets. The assumption regarding the five-year Canada rate has become more important as the proportion of low-spread FixedResets in the portfolio has increased.
iii) Making the assumption that deeply discounted NVCC non-compliant issues from both banks and insurers, both Straight and FixedResets will be redeemed at par on their DeemedMaturity date as discussed above.

MAPF

MAPF Portfolio Composition: May, 2016

Turnover in May was modest at about 5%.

There is extreme segmentation in the marketplace, with OSFI’s NVCC rule changes in February 2011 having had the effect of splitting the formerly relatively homogeneous Straight Perpetual class of preferreds into three parts:

Unaffected Straight Perpetuals
DeemedRetractibles explicitly subject to the rules (banks)
DeemedRetractibles considered by me, but not (yet!) by the market, to be likely to be explicitly subject to the rules in the future (insurers and insurance holding companies)

This segmentation, and the extreme valuation differences between the segments, has cut down markedly on the opportunities for trading.

To make this more clear, it used to be that there were 70-odd Straight Perpetuals and I was more or less indifferent as to which ones I owned (subject, of course, to issuer concentration concerns and other risk management factors). Thus, if any one of these 70 were to go down in price by – say – $0.25, I would quite often have something in inventory that I’d be willing to swap for it. The segmentation means that I am no longer indifferent; in addition to checking the valuation of a potential buy to other Straights, I also have to check its peer group. This cuts down on the potential for trading.

And, of course, the same segmentation has the same effect on trading opportunities between FixedReset issues.

There is no real hope that this situation will be corrected in the near-term. OSFI has indicated that the long-promised “Draft Definition of Capital” for insurers will not be issued “for public consultation in late 2012 or early 2013”, as they fear that it might encourage speculation in the marketplace. It is not clear why OSFI is so afraid of informed speculation, since the constant speculation in the marketplace is currently less informed than it would be with a little bit of regulatory clarity. While the framework has been updated, the modifications focus on the amount of capital required, not the required characteristics of that capital.

As a result of this delay, I have extended the Deemed Maturity date for insurers and insurance holding companies by three years (to 2025-1-31), in the expectation that when OSFI finally does provide clarity, they will allow the same degree of lead-in time for these companies as they did for banks. This had a major effect on the durations of preferred shares subject to the change but, fortunately, not much on their calculated yields as most of these issues were either trading near par when the change was made or were trading at sufficient premium that a par call was expected on economic grounds. However, with the declines in the market over the past nine months, the expected capital gain on redemption of the insurance-issued DeemedRetractibles has become an important component of the calculated yield.

Due to the footdragging by OSFI, I will be extending the DeemedMaturity date for insurance issues by another two years in the near future.

Sectoral distribution of the MAPF portfolio on February 29 was as follows:

MAPF Sectoral Analysis 2016-5-31
HIMI Indices Sector	Weighting	YTW	ModDur
Ratchet	0%	N/A	N/A
FixFloat	0%	N/A	N/A
Floater	0%	N/A	N/A
OpRet	0%	N/A	N/A
SplitShare	0%	N/A	N/A
Interest Rearing	0%	N/A	N/A
PerpetualPremium	0%	N/A	N/A
PerpetualDiscount	10.2%	5.40%	14.87
Fixed-Reset	62.2%	7.89%	9.89
Deemed-Retractible	2.9%	6.46%	7.02
FloatingReset	14.1%	8.01%	11.27
Scraps (Various)	9.5%	7.17%	12.82
Cash	+1.1%	0.00%	0.00
Total	100%	7.46%	10.68
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-3 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: NVCC Status Confirmed and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis. (all recent editions have a short summary of the argument included in the “DeemedRetractible” section) Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue.
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 0.79% and a constant 3-Month Bill rate of 0.54%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2016-05-31
DBRS Rating	Weighting
Pfd-1	0 (0)
Pfd-1(low)	0 (0)
Pfd-2(high)	29.0%
Pfd-2	36.9%
Pfd-2(low)	23.5%
Pfd-3(high)	4.6%
Pfd-3	2.4%
Pfd-3(low)	1.9%
Pfd-4(high)	0% (0)
Pfd-4	0%
Pfd-4(low)	0%
Pfd-5(high)	0.7%
Pfd-5	0.0%
Cash	+1.1%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.B / AZP.PR.C, which is rated P-5(high) by S&P and is unrated by DBRS
A position held in NPI.PR.C is not rated by DBRS, but has been included as “Pfd-3(high)” in the above table on the basis of its S&P rating of P-3(high).
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.
A position held in BIP.PR.A is not rated by DBRS, but has been included as “Pfd-2(low)” in the above table on the basis of its S&P rating of P-2(low).

Liquidity Distribution is:

MAPF Liquidity Analysis 2016-05-31
Average Daily Trading	Weighting
<$50,000	1.4%
$50,000 – $100,000	35.4%
$100,000 – $200,000	56.5%
$200,000 – $300,000	2.8%
>$300,000	2.7%
Cash	+1.1%
Totals will not add precisely due to rounding.

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of August 31, 2012, and published in the October (mainly methodology), November (most funds), and December (ZPR) 2012, PrefLetter. While direct comparisons are difficult due to the introduction of the DeemedRetractible class of preferred share (see above) it is fair to say:

MAPF credit quality is better
MAPF liquidity is a bit lower
MAPF Yield is higher
Weightings
- MAPF is less exposed to Straight Perpetuals (including DeemedRetractibles)
- MAPF is less exposed to Operating Retractibles
- MAPF is more exposed to SplitShares
- MAPF is less exposed to FixFloat / Floater / Ratchet
- MAPF is overweighted in FixedResets

Market Action

June 3, 2016

Jobs, jobs … whoopsy!

The U.S. economy looks to be in danger of losing its main pillar as employers throttled back hiring in May to the lowest level in almost six years.

The slowdown — payrolls rose by 38,000 after a downwardly revised 123,000 in April — raised questions about the ability of consumers to keep spending at a good clip. It also cast doubts on Federal Reserve policy makers’ intentions to raise interest rates soon.
…
The deceleration in the labor market was widespread, with industries from construction and manufacturing to temporary-help services cutting workers.
…
Unemployment did drop, to an almost nine-year low of 4.7 percent last month from 5 percent in April. But even that was bad news as the decline was mainly because more Americans dropped out of the labor force rather than from an increase in employment.

In a sign that the jobs market may remain weak, the Institute for Supply Management reported that American service providers expanded in May at the slowest pace in more than two years. Its measure of services employment dropped to its lowest since February 2014.
…
About the only bright spot in the report was worker pay. Average hourly earnings, rose by 0.2 percent in May after a 0.4 percent gain in April that was a bit stronger than initially reported. Pay increased 2.5 percent over the 12 months ended in May.

This, naturally enough, dampens expectations for a Fed hike:

The argument for a June interest-rate hike from the Federal Reserve has evaporated.

Economists and investors largely agreed that a disappointing employment report for May — the U.S. economy added just 38,000 new jobs — all but eliminated the chance that Fed officials would tighten policy when they meet June 14-15 in Washington, and may make it difficult for them to raise in July.
…
Odds of a June hike implied by futures trading, which had risen as high as 34 percent in late May as Fed officials hinted at their eagerness to raise rates, tumbled to just 4 percent following the employment report. The odds are based on prices in federal funds futures contracts.

And, perhaps on a related note, the amount of negative yield debt is increasing:

Negative-yielding government debt has risen above $10tn for the first time, enveloping an increasingly large part of the financial markets after being fuelled by central bank stimulus and a voracious investor appetite for sovereign paper.

The amount of sovereign debt trading with a sub-zero yield climbed 5 per cent in May from a month earlier to $10.4tn, buoyed by rising bond prices in Italy, Japan, Germany and France, according to rating agency Fitch. Yields fall as the price of the underlying bonds climbs.

The ascent of the negative yield, which first affected only the shortest maturing notes from highly rated sovereigns, has encompassed seven-year German Bunds and 10-year Japanese government bonds as both the European Central Bank and Bank of Japan have cut benchmark interest rates and launched bond-buying programmes.

On Wednesday the ECB left its main deposit rate for bank reserves unchanged at minus 0.4 per cent.

Unwinding this easy-money is going to be interesting:

Lurking in the bond market is a $1 trillion reason for the Federal Reserve to go slow on interest-rate increases.

That’s how much bondholders stand to lose if Treasury yields rise unexpectedly by 1 percentage point, according to a Goldman Sachs Group Inc. estimate. A hit of that magnitude would exceed the realized losses since the financial crisis on mortgage bonds without government backing, Goldman Sachs analysts Marty Young and Charles Himmelberg wrote in a note published today.

There’s been some loss of face for the US government’s regulatory extortion squad:

The U.S. government has been made several of these unusual repayments in the aftermath of its historic pursuit of insider trading, which led to 80 convictions, brought down at least five hedge funds and resulted in more than $2 billion in payments from defendants.

Fourteen of those convictions have now been overturned — including two that were struck down by an appeals court in 2014, opening the door for the victors and others to claw back penalties and fines from the Justice Department and the U.S. Securities and Exchange Commission. The government has now handed back more than $40 million in all, including to three individuals whose convictions were overturned and two of the hedge funds where they worked.
…
The refunds are among several setbacks for the government recently in its insider-trading crackdown. Earlier this year, an appeals court temporarily released convicted stock trader Douglas Whitman from a California halfway house after he argued that his conduct may not have been illegal, depending on how the U.S. Supreme Court rules in another pending insider-trading case.

Five others convicted of insider trading, including former Goldman Sachs Group Inc. director Rajat Gupta, have sought reviews of their cases.

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	-0.0320 %	1,673.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0320 %	3,057.1
Floater	4.54 %	4.61 %	64,181	16.14	3	-0.0320 %	1,761.8
OpRet	4.88 %	-0.61 %	46,540	0.08	1	-0.2779 %	2,827.9
SplitShare	4.90 %	5.14 %	81,368	4.70	7	-0.0231 %	3,324.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0231 %	2,594.1
Perpetual-Premium	5.62 %	3.54 %	79,812	0.09	9	0.2007 %	2,616.7
Perpetual-Discount	5.39 %	5.50 %	110,101	14.62	28	0.2864 %	2,719.4
FixedReset	5.10 %	4.66 %	163,460	14.32	87	-0.0451 %	2,003.0
Deemed-Retractible	5.12 %	5.36 %	128,646	4.97	33	-0.0240 %	2,699.5
FloatingReset	3.20 %	5.25 %	26,200	5.24	17	-1.9133 %	2,080.5

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.Q	FloatingReset	-28.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 9.32 Evaluated at bid price : 9.32 Bid-YTW : 5.81 %
TRP.PR.H	FloatingReset	-10.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 4.86 %
TRP.PR.I	FloatingReset	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.69 %
IAG.PR.G	FixedReset	-2.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.99 Bid-YTW : 6.81 %
TRP.PR.G	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.94 %
BNS.PR.Y	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.11 Bid-YTW : 5.98 %
BMO.PR.Q	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.79 %
HSE.PR.A	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 11.46 Evaluated at bid price : 11.46 Bid-YTW : 5.43 %
TRP.PR.A	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.71 %
TRP.PR.F	FloatingReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.42 %
BNS.PR.Z	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.30 %
CU.PR.C	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.57 %
BAM.PR.Z	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.02 %
TD.PF.E	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 4.48 %
W.PR.H	Perpetual-Discount	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 23.91 Evaluated at bid price : 24.15 Bid-YTW : 5.78 %
BAM.PR.X	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 4.83 %
HSE.PR.E	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 5.54 %
BAM.PF.G	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.75 %
FTS.PR.H	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 13.52 Evaluated at bid price : 13.52 Bid-YTW : 4.26 %
FTS.PR.J	Perpetual-Discount	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 22.58 Evaluated at bid price : 22.90 Bid-YTW : 5.20 %
BAM.PR.T	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 5.17 %
GWO.PR.N	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.34 Bid-YTW : 9.46 %
FTS.PR.F	Perpetual-Discount	2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.21 %
HSE.PR.G	FixedReset	2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.48 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.E	Perpetual-Discount	142,332	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 22.48 Evaluated at bid price : 22.79 Bid-YTW : 5.39 %
BAM.PR.C	Floater	100,891	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 10.36 Evaluated at bid price : 10.36 Bid-YTW : 4.62 %
CU.PR.D	Perpetual-Discount	94,671	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 22.45 Evaluated at bid price : 22.76 Bid-YTW : 5.40 %
MFC.PR.F	FixedReset	94,281	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.71 Bid-YTW : 10.20 %
RY.PR.H	FixedReset	80,961	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 4.32 %
BNS.PR.A	FloatingReset	72,063	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 4.38 %
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: 9.32 – 13.00 Spot Rate : 3.6800 Average : 2.0883 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 9.32 Evaluated at bid price : 9.32 Bid-YTW : 5.81 %
TRP.PR.F	FloatingReset	Quote: 13.90 – 14.90 Spot Rate : 1.0000 Average : 0.6346 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.42 %
HSE.PR.G	FixedReset	Quote: 19.99 – 21.00 Spot Rate : 1.0100 Average : 0.7024 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.48 %
TRP.PR.H	FloatingReset	Quote: 9.35 – 10.47 Spot Rate : 1.1200 Average : 0.8416 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 4.86 %
TRP.PR.G	FixedReset	Quote: 19.15 – 19.71 Spot Rate : 0.5600 Average : 0.3927 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-03 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.94 %
CGI.PR.D	SplitShare	Quote: 24.71 – 25.23 Spot Rate : 0.5200 Average : 0.3727 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 3.94 %

Issue Comments

SJR.PR.A To Reset To 2.791%

Shaw Communications Inc. has announced:

that it has given the registered shareholder of its Cumulative Redeemable Rate Reset Class 2 Preferred Shares, Series A (the “Series A Shares”) notices of the conversion right and dividend rates.

Beginning on May 31, 2016 and ending on June 15, 2016 holders of the Series A Shares will have the right to elect to convert any or all of their Series A Shares into an equal number of Cumulative Redeemable Floating Rate Class 2 Preferred Shares, Series B (the “Series B Shares”).

If Shaw does not receive an Election Notice from a holder of Series A Shares during the time fixed therefor, then the Series A Shares shall be deemed not to have been converted (except in the case of an Automatic Conversion). Holders of the Series A Shares and the Series B Shares will have the opportunity to convert their shares again on June 30, 2021, and every five years thereafter as long as the shares remain outstanding.

Effective June 30, 2016, the Annual Fixed Dividend Rate for the Series A Shares was set for the next five year period at 2.791%. Effective June 30, 2016, the Floating Quarterly Dividend for the Series B Shares was set for the first Quarterly Floating Rate Period (being the period from and including June 30, 2016 to but excluding September 30, 2016) at 2.539%. The Floating Quarterly Dividend Rate will be reset every quarter.

The Series A Shares are issued in “book entry only” form and, as such, the sole registered holder of the Series A Shares is the Canadian Depository for Securities Limited (“CDS”). All rights of beneficial holders of Series A Shares must be exercised through CDS or the CDS participant through which the Series A Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series A Shares into Series B Shares is 3:00 p.m. (MT) / 5:00 p.m. (ET) on June 15, 2016. Any notices received after this deadline will not be valid. As such, holders of Series A Shares who wish to exercise their right to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

After June 15, 2016, (i) if Shaw determines that there would remain outstanding on June 30, 2016, fewer than 1,000,000 Series A Shares, all remaining Series A Shares will be automatically converted into Series B Shares on a one-for one basis effective June 30, 2016; or (ii) if Shaw determines that there would remain outstanding after June 30, 2016, fewer than 1,000,000 Series B Shares, no Series A Shares will be permitted to be converted into Series B Shares effective June 30, 2016. There are currently 12,000,000 Series A Shares outstanding.

The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series B Shares effective on conversion. Listing of the Series B Shares is subject to the Shaw fulfilling all the listing requirements of the TSX and on approval, the Series B Shares will be listed on the TSX under the trading symbol SJR.PR.B. The Series A Shares are listed on the Toronto Stock Exchange under the ticker symbol SJR.PR.A.

For more information on the terms of, and risks associated with an investment in, the Series A Shares and the Series B Shares, see Shaw’s prospectus supplement dated May 20, 2011 which is available on sedar.com.

SJR.PR.A is a FixedReset 4.50%+200, that commenced trading 2011-5-31 after being announced 2011-5-18.

The new rate therefore represents a 38% cut in dividends.

As noted, the deadline to notify the company is 5 p.m. (ET) on June 15, 2016.; brokers will have internal deadlines a day or two in advance.

I will post a recommendation regarding whether or not to convert closer to the deadline.

Issue Comments

BPO.PR.N To Reset To 3.782%

Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners, has announced:

that it has determined the fixed dividend rate on its Class AAA Preference Shares, Series N (“Series N Shares”) (TSX: BPO.PR.N) for the five years commencing July 1, 2016 and ending June 30, 2021. If declared, the fixed quarterly dividends on the Series N Shares during that period will be paid at an annual rate of 3.782% ($0.236375 per share per quarter).

Holders of Series N Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on June 15, 2016, to convert all or part of their Series N Shares, on a one-for-one basis, into Class AAA Preference Shares, Series O (the “Series O Shares”), effective June 30, 2016.

The quarterly floating rate dividends on the Series O Shares have an annual rate, calculated for each quarter, of 3.07% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate in respect of the July 1, 2016 to September 30, 2016 dividend period for the Series O Shares will be 0.91244% (3.62% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.22811 per share, payable on September 30, 2016.

Holders of Series N Shares are not required to elect to convert all or any part of their Series N Shares into Series O Shares.

As provided in the share conditions of the Series N Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series N Shares outstanding after June 30, 2016, all remaining Series N Shares will be automatically converted into Series O Shares on a one-for-one basis effective June 30, 2016; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series O Shares outstanding after June 30, 2016, no Series N Shares will be permitted to be converted into Series O Shares. There are currently 11,000,000 Series N Shares outstanding.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series O Shares effective upon conversion. Listing of the Series O Shares is subject to Brookfield fulfilling all the listing requirements of the TSX and, upon approval, the Series O Shares will be listed on the TSX under the trading symbol “BPO.PR.O”.

BPO.PR.N is a FixedReset 6.15%+307, that commenced trading 2010-1-20 after being announced 2010-1-11. The issue attracted some unfavourable comment on issue due to the relatively long call lock-out period – which shows complete misunderstanding of the investment impact of an issuer call option, but we’ll ignore that.

The new rate therefore represents a 39% cut in dividends.

As noted, the deadline to notify the company is 5 p.m. (Toronto time) on June 15, 2016.; brokers will have internal deadlines a day or two in advance.

I will post a recommendation regarding whether or not to convert closer to the deadline.

Issue Comments

BAM.PR.R To Reset To 3.014%

Brookfield Asset Management Inc. has announced:

that it has determined the fixed dividend rate on its Cumulative Class A Preference Shares, Series 24 (“Series 24 Shares”) (TSX: BAM.PR.R) for the five years commencing July 1, 2016 and ending June 30, 2021. If declared, the fixed quarterly dividends on the Series 24 Shares during that period will be paid at an annual rate of 3.014% ($0.188375 per share per quarter). The implied yield on the Series 24 Shares based on the new fixed dividend rate that will apply for the five years commencing July 1, 2016 and today’s closing price for the Series 24 Shares is approximately 5.6%.

Holders of Series 24 Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on June 15, 2016, to convert all or part of their Series 24 Shares, on a one-for-one basis, into Cumulative Class A Preference Shares, Series 25 (the “Series 25 Shares”), effective June 30, 2016.

The quarterly floating rate dividends on the Series 25 Shares will be paid at an annual rate, calculated for each quarter, of 2.30% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate in respect of the July 1, 2016 to September 30, 2016 dividend period for the Series 25 Shares will be 0.71861% (2.851% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.1796525 per share, payable on September 30, 2016.

Holders of Series 24 Shares are not required to elect to convert all or any part of their Series 24 Shares into Series 25 Shares.

As provided in the share conditions of the Series 24 Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series 24 Shares outstanding after June 30, 2016, all remaining Series 24 Shares will be automatically converted into Series 25 Shares on a one-for-one basis effective June 30, 2016; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series 25 Shares outstanding after June 30, 2016, no Series 24 Shares will be permitted to be converted into Series 25 Shares. There are currently 10,970,000 Series 24 Shares outstanding.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 25 Shares effective upon conversion. Listing of the Series 25 Shares is subject to Brookfield fulfilling all the listing requirements of the TSX and, upon approval, the Series 25 Shares will be listed on the TSX under the trading symbol “BAM.PR.S”.

BAM.PR.R is a FixedReset, 5.40%+230, that commenced trading 2010-1-14 after being announced 2010-1-5.

The new rate therefore represents a 44% cut in dividends. Ouch!

As noted, the deadline to notify the company is 5 p.m. (Toronto time) on June 15, 2016.; brokers will have internal deadlines a day or two in advance.

I will post a recommendation regarding whether or not to convert closer to the deadline.

Market Action

June 2, 2016

There is growing fear that Canadian housing is a momentum play:

The Bank of Canada is concerned that the acceleration in housing prices in Toronto and Vancouver may be partly due to purchases based solely on the expectation that prices will keep going up, Deputy Governor Lawrence Schembri said on Thursday.

Schembri said that Canadians moving away from resource-producing regions to the major cities of Toronto and Vancouver in order to find jobs has created a huge demand for housing in those cities, driving prices up as supply remains relatively limited.

But he expressed concern that such fundamentals are not the only reason for rising prices.

“The concern that we have at the Bank of Canada is these price increases may reflect in part the fact that certain people (are) buying housing on (speculation), expecting this price increase to continue,” said Schembri.

“People should not be buying housing based on the expectation these prices are going to continue” as the demand from the influx of workers into those regions will not continue at the same rate, Schembri said.

He was speaking during a question-and-answer session following a presentation on the outlook for the economy.

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	-1.1698 %	1,674.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.1698 %	3,058.0
Floater	4.53 %	4.59 %	61,290	16.17	3	-1.1698 %	1,762.4
OpRet	4.86 %	-4.12 %	46,260	0.08	1	0.0000 %	2,835.8
SplitShare	4.90 %	5.02 %	82,104	4.70	7	0.2140 %	3,325.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2140 %	2,594.7
Perpetual-Premium	5.63 %	4.83 %	80,753	0.09	9	-0.0436 %	2,611.4
Perpetual-Discount	5.40 %	5.51 %	110,887	14.60	28	-0.0169 %	2,711.6
FixedReset	5.09 %	4.65 %	162,745	7.44	87	-0.3804 %	2,003.9
Deemed-Retractible	5.12 %	5.31 %	129,686	4.98	33	0.0454 %	2,700.1
FloatingReset	3.14 %	5.02 %	23,834	5.24	17	0.2978 %	2,121.1

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.T	FixedReset	-2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.26 %
TRP.PR.D	FixedReset	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 4.73 %
IFC.PR.A	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.81 Bid-YTW : 9.30 %
BAM.PR.R	FixedReset	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 15.08 Evaluated at bid price : 15.08 Bid-YTW : 5.22 %
NA.PR.Q	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 4.39 %
NA.PR.S	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 4.64 %
FTS.PR.F	Perpetual-Discount	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 22.79 Evaluated at bid price : 23.07 Bid-YTW : 5.33 %
BAM.PF.G	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 4.80 %
BNS.PR.Z	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.33 Bid-YTW : 6.08 %
RY.PR.J	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 4.56 %
CU.PR.C	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.52 %
BAM.PR.C	Floater	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 10.34 Evaluated at bid price : 10.34 Bid-YTW : 4.63 %
TRP.PR.C	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 12.35 Evaluated at bid price : 12.35 Bid-YTW : 4.74 %
CM.PR.Q	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.51 %
NA.PR.W	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 4.62 %
BAM.PR.B	Floater	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 10.48 Evaluated at bid price : 10.48 Bid-YTW : 4.57 %
FTS.PR.G	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 4.55 %
TRP.PR.E	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 4.62 %
FTS.PR.J	Perpetual-Discount	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 22.24 Evaluated at bid price : 22.56 Bid-YTW : 5.28 %
MFC.PR.M	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.56 %
BNS.PR.Y	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 5.69 %
BAM.PF.F	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.85 %
HSE.PR.C	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 5.66 %
TRP.PR.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 4.65 %
BMO.PR.R	FloatingReset	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.36 %
FTS.PR.H	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 4.32 %
TRP.PR.H	FloatingReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 10.45 Evaluated at bid price : 10.45 Bid-YTW : 4.35 %
FTS.PR.M	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.46 %
HSE.PR.B	FloatingReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 10.57 Evaluated at bid price : 10.57 Bid-YTW : 5.36 %
TRP.PR.I	FloatingReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.51 %
HSE.PR.A	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 11.62 Evaluated at bid price : 11.62 Bid-YTW : 5.36 %
TRP.PR.F	FloatingReset	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 14.06 Evaluated at bid price : 14.06 Bid-YTW : 4.37 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.S	FixedReset	226,216	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 4.64 %
NA.PR.X	FixedReset	130,483	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.96 Bid-YTW : 4.81 %
RY.PR.A	Deemed-Retractible	102,800	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.49 %
BNS.PR.G	FixedReset	74,200	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 4.65 %
TRP.PR.J	FixedReset	70,531	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 4.89 %
CU.PR.C	FixedReset	58,795	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.52 %
There were 27 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
NA.PR.Q	FixedReset	Quote: 23.81 – 24.39 Spot Rate : 0.5800 Average : 0.3808 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 4.39 %
BAM.PR.T	FixedReset	Quote: 15.35 – 15.91 Spot Rate : 0.5600 Average : 0.3752 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.26 %
GWO.PR.O	FloatingReset	Quote: 13.10 – 13.95 Spot Rate : 0.8500 Average : 0.6814 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.10 Bid-YTW : 10.24 %
FTS.PR.F	Perpetual-Discount	Quote: 23.07 – 23.49 Spot Rate : 0.4200 Average : 0.2575 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 22.79 Evaluated at bid price : 23.07 Bid-YTW : 5.33 %
HSE.PR.G	FixedReset	Quote: 19.50 – 20.00 Spot Rate : 0.5000 Average : 0.3652 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.62 %
BAM.PF.G	FixedReset	Quote: 20.27 – 20.65 Spot Rate : 0.3800 Average : 0.2690 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-02 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 4.80 %

PrefBlog

June 7, 2016

June 6, 2016

RY Outlook Negative, Says S&P

MAPF Performance: May, 2016

MAPF Portfolio Composition: May, 2016

June 3, 2016

SJR.PR.A To Reset To 2.791%

BPO.PR.N To Reset To 3.782%

BAM.PR.R To Reset To 3.014%

June 2, 2016

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