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MAPF

MAPF Performance: January 2019

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close January 31, 2019, was $8.5108.

Returns to January 31, 2019
Period	MAPF	BMO-CM “50” Preferred Share Index	TXPR* Total Return	CPD – according to Blackrock
One Month	-2.03%	-0.93%	-0.50%	N/A
Three Months	-12.85%	-9.07%	-7.93%	N/A
One Year	-15.86%	-11.72%	-9.81%	-10.37%
Two Years (annualized)	+0.72%	+0.39%	+0.02%	N/A
Three Years (annualized)	+11.35%	+7.96%	+7.51%	+7.00%
Four Years (annualized)	+0.72%	+0.61%	-0.19%	N/A
Five Years (annualized)	+1.52%	+0.48%	+0.06%	-0.36%
Six Years (annualized)	+0.66%	+0.20%	-0.36%	N/A
Seven Years (annualized)	+1.54%	+0.75%	+0.30%	N/A
Eight Years (annualized)	+1.92%	+1.62%	+1.08%	N/A
Nine Years (annualized)	+3.57%	+2.64%	+1.93%	N/A
Ten Years (annualized)	+7.71%	+4.70%	+3.82%	+3.28%
Eleven Years (annualized)	+7.45%	+2.86%	+1.84%
Twelve Years (annualized)	+6.86%	+2.16%
Thirteen Years (annualized)	+6.76%	+2.31%
Fourteen Years (annualized)	+6.69%	+2.40%
Fifteen Years (annualized)	+7.01%	+2.54%
Sixteen Years (annualized)	+8.18%	+2.91%
Seventeen Years (annualized)	+7.85%	+2.91%
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The full name of the BMO-CM “50” index is the BMO Capital Markets “50” Preferred Share Index. It is calculated without accounting for fees.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
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 -0.26%, -5.66% and -8.58%, respectively, according to Morningstar after all fees & expenses. Three year performance is +7.02%; five year is +0.96%; ten year is +4.50%
Manulife Preferred Income Class Adv has been terminated by Manulife.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are -0.44%, -9.62% & -12.27%, respectively. Three year performance is +7.22%, five-year is +0.80%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -0.31%, -9.47% and -12.57% for one-, three- and twelve months, respectively. Three year performance is +6.58%; five-year is -0.04%. Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.
The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -11.54% for the past twelve months. Two year performance is -0.68%, three year is +8.55%, five year is -1.83%.
Figures for Natixis Canadian Preferred Share Class Series F (formerly NexGen Canadian Preferred Share Tax Managed Fund) are -2.05%, -9.34% and -12.33% for one-, three- and twelve-months, respectively. Three year performance is +5.26%; five-year is +1.54%
Figures for BMO Preferred Share Fund (advisor series) according to Morningstar are -0.89%, -9.99% and -13.65% for the past one-, three- and twelve-months, respectively. Three year performance is +4.06%; five-year is -1.86%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F are -% for the past twelve months. The three-year figure is +%; five years is +%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR)
Figures for Lysander-Slater Preferred Share Dividend Fund according to Morningstar are -0.38%, -9.39% and -12.54% for the past one, three and twelve months, respectively. Three year performance is +5.00%.
Figures for the Desjardins Canadian Preferred Share Fund A Class, as reported by Morningstar are -0.62%, -8.82% and -11.94% for the past one, three and twelve months, 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.

The preferred share market has suffered a sharp reverse in the past four months, leaving a lot of room for outsized gains. The Seniority Spread (the interest-equivalent yield on reasonably liquid, investment-grade PerpetualDiscounts less the yield on long term corporate bonds) is extremely elevated (chart end-date 2019-1-11)

Click for Big

Note that the Seniority Spread was 345bp on January 30. As a good practical example of the spreads between markets, consider that on November 19, CIU issued $385-million of 30-year bonds yielding 3.95%, at a time when issuing Straight Perpetuals would have cost them about 5.75% – a very wide spread even before considering the tax effect.

… and the relationship between five-year Canada yields and yields on investment-grade FixedResets is also well within what I consider ‘decoupled panic’ territory (chart end-date 2018-12-14):

Click for Big

In addition, I feel that the yield on five-year Canadas is unsustainably low (it should be the inflation rate plus an increment of … 1%? 1.5%? 2.0%?),and a return to sustainable levels is likely over the medium term.

It seems clear that many market players are, wittingly or not, using FixedResets to speculate on future moves in the Canada 5-Year yield. This is excellent news for those who take market action based on fundamentals and the long term characteristics of the market because nobody can consistently time the markets. The speculators will, over the long run, lose money, handing it over to more sober investors.

FixedReset (Discount) performance on the month was -1.12% vs. PerpetualDiscounts of +1.01% in January; the two classes finally decoupled in mid-November after months of moving in lockstep.:

Click for Big

Floaters took another hit over the month, as they returned -7.21% for January and -21.13% for the past twelve months. But look at the long-term performance:

Click for Big

Some Assiduous Readers will be interested to observe that the ‘Quantitative Easing’ decline was not as bad as the ‘Credit Crunch’ decline, which took the sector down to the point where the 15-year cumulative total return was negative. I wrote about that at the time and still can’t get over it. Fifteen years!

But, as mentioned earlier with respect to FixedResets, it seems clear that Floaters are used, wittingly or otherwise, as a vehicle for speculation on the policy rate and Canada Prime.

As for the future, of course, it’s one thing to say that ‘spreads are unsustainable and so are government yields’ and it’s quite another to forecast just how and when a more economically sustainable environment will take effect. It could be years. There could be a reversal, particularly if Trump’s international trade policies cause a severe recession or even a depression. And, of course, I could be just plain wrong about the sustainability of the current environment. However, the sharp declines of the past two months clarify the market’s fears, which were unclear on October 29: the market is behaving more as if it fears falling interest rates rather than rising ones – although this does not explain the very high value of the Seniority Spread, discussed above.

Yields on preferred shares of all stripes are extremely high compared to those available from other investments of similar quality. A I told John Heinzl in an eMail interview in late November, the best advice I can offer investors remains Shut up and clip your coupons!

I think that a broad, sustainable rally in FixedResets will require higher five-year Canada yields (or a widespread expectation of them) … and although I’m sure this will happen eventually, it would be foolish to speculate on just when it will happen!

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	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
June	7.6704	7.67%	1.011	7.587%	1.0000	$0.5819
September	8.0590	7.35%	0.993	7.402%	1.0000	$0.5965
December, 2016	8.5844	7.24%	0.990	7.313%	1.0000	$0.6278
March, 2017	9.3984	6.26%	0.994	6.298%	1.0000	$0.5919
June	9.5313	6.41%	0.998	6.423%	1.0000	$0.6122
September	9.7129	6.56%	0.998	6.573%	1.0000	$0.6384
December, 2017	10.0566	6.06%	1.004	6.036%	1.0000	$0.6070
March, 2018	10.2701	6.22%	1.007	6.177%	1.0000	$0.6344
June	10.2518	6.22%	0.995	6.251%	1.0000	$0.6408
September	10.2965	6.62%	1.018	6.503%	1.0000	$0.6696
December, 2018	8.6875	7.16%	0.997	7.182%	1.0000	$0.6240
January, 2019	8.5108	7.51%	1.000	7.510%	1.0000	$0.6392
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 the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis. The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.
The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018
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.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end	GOC-5	3-Month Bill
September, 2015	0.78%	0.40%
December, 2015	0.71%	0.46%
March, 2016	0.70%	0.44%
June	0.57%	0.47%
September	0.58%	0.53%
December, 2016	1.16%	0.47%
March, 2017	1.08%	0.55%
June	1.35%	0.69%
September	1.79%	0.97%
December, 2017	1.83%	1.00%
March, 2018	2.06%	1.08%
June	1.95%	1.22%
September	2.33%	1.55%
December, 2018	1.88%	1.65%
January, 2019	1.89%	1.63%

Significant positions were held in NVCC non-compliant regulated FixedReset issues on January 31, 2019; 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 2030-1-31 (insurers and insurance holding companies) or on a different date (SplitShares, when present in the portfolio) This presents another complication in the calculation of sustainable yield, which also assumes that redemption proceeds will be reinvested at the same rate. It will also be noted that my analysis of likely insurance industry regulation as updated is not given much weight by the market.

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: January 2019

Turnover exploded in January to slightly over 17%. This was due to large sectoral changes, with SplitShares declining from 6.4% to 0.0% of the portfolio, PerpetualDiscounts from 14.1% to 5.8% and DeemedRetractibles from 10.4% to 6.4%, while FixedReset (Discounts) increased from 22.5% to 34.7% and FixedReset Insurance non-NVCC from 35.2% to 41.5%.

Note that the changes by sector add up to more than the reported turnover. The turnover calculation is based on book-value and ignores cash (e.g., the effect on turnover of investing a cash balance is null), while the sectoral composition is based on market value and therefore may change even in the absence of any trading at all.

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.

I have argued for a long time that insurers will become covered by NVCC rules similar to the banks, but regulatory process on the issue is very slow.

As a result of prior delays, I initially 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.

I recently extended the DeemedMaturity date for insurance issues by another five years, to 2030-1-31.

The new date has been chosen with the idea that a decision will be made by the IAIS (International Association of Insurance Supervisors) in 2019, and (if favourable) will be implemented with an 11-year grace period, similarly to the banks. We shall see just how accurate these suppositions might be!

I must emphasize that these extensions do not give rise to any desire on my part to alter the fundamentals of my analysis. It is simply a reaction to the excessive time the regulators are taking to discuss the issue.

Sectoral distribution of the MAPF portfolio on January 31 was as follows:

MAPF Sectoral Analysis 2019-1-31
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	5.8%	5.69%	14.30
Fixed-Reset Discount	34.7%	6.15%	13.99
Deemed-Retractible	6.4%	7.15%	8.24
FloatingReset	0%	N/A	N/A
FixedReset Premium	0%	N/A	N/A
FixedReset Bank non-NVCC	0%	N/A	N/A
FixedReset Insurance non-NVCC	41.5%	8.94%	8.49
Scraps – Ratchet	0%	N/A	N/A
Scraps – FixedFloater	0%	N/A	N/A
Scraps – Floater	0%	N/A	N/A
Scraps – OpRet	0%	N/A	N/A
Scraps – SplitShare	0%	N/A	N/A
Scraps – PerpPrem	0%	N/A	N/A
Scraps – PerpDisc	0%	N/A	N/A
Scraps – FR Discount	10.9%	7.54%	12.24
Scraps – DeemedRet	0%	N/A	N/A
Scraps – FloatingReset	0.7%	8.20%	11.13
Scraps – FR Premium	0%	N/A	N/A
Scraps – Bank non-NVCC	0%	N/A	N/A
Scraps – Ins non-NVCC	0%	N/A	N/A
Cash	-0.0%	0.00%	0.00
Total	100%	7.51%	11.15
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
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 2030-1-31 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis. 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 and by a further five years in December, 2018.
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.89% and a constant 3-Month Bill rate of 1.63%

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 2019-1-31
DBRS Rating	Weighting
Pfd-1	0
Pfd-1(low)	0
Pfd-2(high)	24.5%
Pfd-2	34.4%
Pfd-2(low)	29.5%
Pfd-3(high)	3.3%
Pfd-3	4.5%
Pfd-3(low)	3.1%
Pfd-4(high)	0%
Pfd-4	0%
Pfd-4(low)	0%
Pfd-5(high)	0.7%
Pfd-5	0.0%
Cash	-0.0%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C, which is rated P-5(high) by S&P and is unrated by DBRS; it is included in the Pfd-5(high) total.
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.

Liquidity Distribution is:

MAPF Liquidity Analysis 2019-1-31
Average Daily Trading	Weighting
<$50,000	3.5%
$50,000 – $100,000	38.7%
$100,000 – $200,000	53.6%
$200,000 – $300,000	2.8%
>$300,000	1.5%
Cash	-0.0%
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 July 31, 2017, and published in the August, 2017, PrefLetter. It is fair to say:

MAPF credit quality is much better
MAPF liquidity is lower
MAPF Yield is higher
Weightings
- MAPF is less exposed to Straight Perpetuals
- Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
- MAPF is equally exposed to SplitShares (that is to say, currently no exposure)
- MAPF is less exposed to FixFloat / Floater / Ratchet
- MAPF is significantly higher weighted in FixedResets, with a much greater emphasis on lower-spread and insurance issues

Market Action

February 1, 2019

Click for Big

TXPR closed at 626.64, up 0.67% on the day. Volume of 2.08-million was roughly average in the context of the past thirty days. The TXPR Total Return index turned positive for the year-to-date!

CPD closed at 12.56, up 0.72% on the day. Volume of 143,910 was mid-range in the context of the past thirty days.

ZPR closed at 10.22, up 1.19% on the day. Volume of 304,367 was fourth-highest of the past thirty days.

Here’s a graph that helps explain the past four months:

Bank of Canada – Five Year Canada Yield
Click for Big

GOC-5 was up 8bp to 1.86% today, according to TMXMoney citing CanDeal.

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	-0.2781 %	2,281.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2781 %	4,185.9
Floater	5.14 %	5.44 %	32,331	14.74	4	-0.2781 %	2,412.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0201 %	3,209.0
SplitShare	4.93 %	4.78 %	71,170	3.98	8	-0.0201 %	3,832.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0201 %	2,990.0
Perpetual-Premium	5.90 %	-8.36 %	146,805	0.08	2	-0.0198 %	2,892.6
Perpetual-Discount	5.62 %	5.72 %	75,988	14.24	33	0.3753 %	2,959.7
FixedReset Disc	5.12 %	5.53 %	221,381	14.68	65	1.0178 %	2,215.4
Deemed-Retractible	5.38 %	6.32 %	95,677	8.16	27	0.3933 %	2,950.1
FloatingReset	4.28 %	5.30 %	66,700	8.50	6	0.6395 %	2,439.6
FixedReset Prem	5.13 %	4.29 %	251,525	2.17	17	0.1527 %	2,526.4
FixedReset Bank Non	2.81 %	4.19 %	143,173	2.87	5	0.0835 %	2,578.4
FixedReset Ins Non	5.10 %	7.19 %	138,250	8.24	22	1.0052 %	2,183.0

Performance Highlights
Issue	Index	Change	Notes
PVS.PR.E	SplitShare	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.78 %
BIP.PR.E	FixedReset Disc	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 6.00 %
GWO.PR.G	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 6.47 %
GWO.PR.N	FixedReset Ins Non	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 9.50 %
NA.PR.W	FixedReset Disc	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 5.70 %
BIP.PR.D	FixedReset Disc	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.75 Evaluated at bid price : 22.02 Bid-YTW : 6.36 %
BAM.PR.R	FixedReset Disc	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.98 %
NA.PR.S	FixedReset Disc	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 5.70 %
BAM.PR.C	Floater	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 12.85 Evaluated at bid price : 12.85 Bid-YTW : 5.44 %
CGI.PR.D	SplitShare	1.02 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.20 %
BMO.PR.S	FixedReset Disc	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 5.45 %
TRP.PR.K	FixedReset Disc	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 23.04 Evaluated at bid price : 24.25 Bid-YTW : 5.78 %
W.PR.J	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 5.91 %
PWF.PR.S	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.65 %
GWO.PR.L	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.87 Bid-YTW : 5.82 %
BNS.PR.I	FixedReset Disc	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 22.18 Evaluated at bid price : 22.84 Bid-YTW : 4.88 %
BAM.PF.E	FixedReset Disc	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.92 %
SLF.PR.A	Deemed-Retractible	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 6.63 %
CU.PR.C	FixedReset Disc	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 5.55 %
CU.PR.H	Perpetual-Discount	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 23.15 Evaluated at bid price : 23.53 Bid-YTW : 5.66 %
SLF.PR.H	FixedReset Ins Non	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.45 Bid-YTW : 7.93 %
CM.PR.S	FixedReset Disc	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.35 %
IAF.PR.G	FixedReset Ins Non	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.81 Bid-YTW : 7.23 %
CM.PR.O	FixedReset Disc	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 5.57 %
NA.PR.E	FixedReset Disc	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.53 %
BAM.PR.X	FixedReset Disc	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 5.82 %
RY.PR.Z	FixedReset Disc	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.27 %
BMO.PR.D	FixedReset Disc	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 22.29 Evaluated at bid price : 22.85 Bid-YTW : 5.37 %
EMA.PR.F	FixedReset Disc	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 5.79 %
TRP.PR.D	FixedReset Disc	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 5.91 %
PWF.PR.E	Perpetual-Discount	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 23.92 Evaluated at bid price : 24.16 Bid-YTW : 5.72 %
BIP.PR.A	FixedReset Disc	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.64 %
RY.PR.J	FixedReset Disc	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.38 Evaluated at bid price : 21.69 Bid-YTW : 5.25 %
IFC.PR.E	Deemed-Retractible	1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 6.32 %
PWF.PR.P	FixedReset Disc	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 5.85 %
IFC.PR.F	Deemed-Retractible	1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.31 Bid-YTW : 6.26 %
CM.PR.Q	FixedReset Disc	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 5.50 %
NA.PR.G	FixedReset Disc	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.54 Evaluated at bid price : 21.85 Bid-YTW : 5.43 %
RY.PR.H	FixedReset Disc	1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.27 %
TD.PF.D	FixedReset Disc	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.65 Evaluated at bid price : 22.07 Bid-YTW : 5.21 %
IFC.PR.G	FixedReset Ins Non	1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.00 %
PWF.PR.Z	Perpetual-Discount	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 22.18 Evaluated at bid price : 22.50 Bid-YTW : 5.75 %
MFC.PR.L	FixedReset Ins Non	1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.24 %
MFC.PR.I	FixedReset Ins Non	1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 7.06 %
TRP.PR.A	FixedReset Disc	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 15.84 Evaluated at bid price : 15.84 Bid-YTW : 6.05 %
TRP.PR.C	FixedReset Disc	1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 13.91 Evaluated at bid price : 13.91 Bid-YTW : 5.96 %
BMO.PR.E	FixedReset Disc	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 22.14 Evaluated at bid price : 22.75 Bid-YTW : 5.08 %
TD.PF.J	FixedReset Disc	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.88 Evaluated at bid price : 22.29 Bid-YTW : 5.19 %
HSE.PR.C	FixedReset Disc	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 6.48 %
TRP.PR.G	FixedReset Disc	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.96 Evaluated at bid price : 19.96 Bid-YTW : 6.03 %
MFC.PR.F	FixedReset Ins Non	1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.38 Bid-YTW : 9.31 %
BMO.PR.T	FixedReset Disc	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.44 %
SLF.PR.G	FixedReset Ins Non	2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.29 %
TRP.PR.B	FixedReset Disc	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 13.03 Evaluated at bid price : 13.03 Bid-YTW : 6.00 %
TD.PF.C	FixedReset Disc	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 5.37 %
TD.PF.K	FixedReset Disc	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.68 Evaluated at bid price : 22.05 Bid-YTW : 5.17 %
TD.PF.B	FixedReset Disc	2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 5.30 %
BMO.PR.W	FixedReset Disc	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.39 %
HSE.PR.G	FixedReset Disc	2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 6.52 %
IFC.PR.A	FixedReset Ins Non	2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.10 Bid-YTW : 8.69 %
HSE.PR.E	FixedReset Disc	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 6.51 %
MFC.PR.N	FixedReset Ins Non	2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.29 Bid-YTW : 7.95 %
SLF.PR.I	FixedReset Ins Non	2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 6.70 %
MFC.PR.M	FixedReset Ins Non	3.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.63 Bid-YTW : 7.82 %
TRP.PR.F	FloatingReset	3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 15.92 Evaluated at bid price : 15.92 Bid-YTW : 5.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.A	FixedReset Disc	104,028	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 5.30 %
BIP.PR.D	FixedReset Disc	96,175	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.75 Evaluated at bid price : 22.02 Bid-YTW : 6.36 %
CM.PR.T	FixedReset Disc	93,018	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 23.15 Evaluated at bid price : 25.00 Bid-YTW : 5.14 %
NA.PR.A	FixedReset Prem	78,355	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 4.56 %
RY.PR.H	FixedReset Disc	74,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.27 %
SLF.PR.G	FixedReset Ins Non	68,000	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 9.29 %
There were 28 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.C	FixedReset Disc	Quote: 19.52 – 20.25 Spot Rate : 0.7300 Average : 0.5349 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 6.48 %
BAM.PR.T	FixedReset Disc	Quote: 17.02 – 17.54 Spot Rate : 0.5200 Average : 0.3336 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 6.04 %
BAM.PF.F	FixedReset Disc	Quote: 20.07 – 20.66 Spot Rate : 0.5900 Average : 0.4138 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 5.99 %
CU.PR.D	Perpetual-Discount	Quote: 22.09 – 22.45 Spot Rate : 0.3600 Average : 0.2173 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 22.09 Evaluated at bid price : 22.09 Bid-YTW : 5.65 %
MFC.PR.K	FixedReset Ins Non	Quote: 18.66 – 19.15 Spot Rate : 0.4900 Average : 0.3498 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.66 Bid-YTW : 7.87 %
RY.PR.S	FixedReset Disc	Quote: 21.56 – 21.89 Spot Rate : 0.3300 Average : 0.2067 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-01 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 5.13 %

Market Action

January 31, 2019

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	-1.6411 %	2,287.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.6411 %	4,197.6
Floater	5.13 %	5.41 %	32,502	14.78	4	-1.6411 %	2,419.1
OpRet	0.00 %	0.00 %	0	0.00	0	0.1356 %	3,209.6
SplitShare	4.93 %	4.75 %	65,910	3.98	8	0.1356 %	3,833.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1356 %	2,990.6
Perpetual-Premium	5.90 %	-8.55 %	148,369	0.08	2	0.2185 %	2,893.2
Perpetual-Discount	5.64 %	5.78 %	76,236	14.20	33	-0.1513 %	2,948.7
FixedReset Disc	5.17 %	5.60 %	226,957	14.66	65	-0.3102 %	2,193.1
Deemed-Retractible	5.40 %	6.34 %	96,210	8.15	27	0.1046 %	2,938.5
FloatingReset	4.31 %	5.31 %	68,258	8.51	6	-0.3841 %	2,424.1
FixedReset Prem	5.14 %	4.38 %	254,862	2.17	17	-0.0963 %	2,522.6
FixedReset Bank Non	2.81 %	4.20 %	148,558	2.87	5	-0.0894 %	2,576.2
FixedReset Ins Non	5.15 %	7.27 %	135,064	8.20	22	-1.0711 %	2,161.3

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.A	Floater	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 4.49 %
IAF.PR.G	FixedReset Ins Non	-3.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.56 Bid-YTW : 7.38 %
IFC.PR.G	FixedReset Ins Non	-2.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.21 %
SLF.PR.H	FixedReset Ins Non	-2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.24 Bid-YTW : 8.07 %
IFC.PR.A	FixedReset Ins Non	-2.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.72 Bid-YTW : 8.97 %
NA.PR.G	FixedReset Disc	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.54 %
IAF.PR.I	FixedReset Ins Non	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.24 Bid-YTW : 6.76 %
TRP.PR.F	FloatingReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 15.38 Evaluated at bid price : 15.38 Bid-YTW : 5.84 %
BAM.PF.E	FixedReset Disc	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 5.99 %
HSE.PR.C	FixedReset Disc	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 6.60 %
BAM.PR.C	Floater	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 12.72 Evaluated at bid price : 12.72 Bid-YTW : 5.50 %
BAM.PF.D	Perpetual-Discount	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 21.14 Evaluated at bid price : 21.14 Bid-YTW : 5.87 %
MFC.PR.K	FixedReset Ins Non	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.68 Bid-YTW : 7.85 %
MFC.PR.F	FixedReset Ins Non	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.11 Bid-YTW : 9.53 %
MFC.PR.L	FixedReset Ins Non	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.40 Bid-YTW : 8.45 %
CU.PR.H	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 22.88 Evaluated at bid price : 23.25 Bid-YTW : 5.73 %
BAM.PF.C	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.94 %
IFC.PR.E	Deemed-Retractible	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 6.51 %
SLF.PR.I	FixedReset Ins Non	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 7.03 %
BIP.PR.F	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 21.47 Evaluated at bid price : 21.76 Bid-YTW : 5.92 %
TRP.PR.B	FixedReset Disc	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 6.12 %
EMA.PR.F	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.87 %
BAM.PR.X	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.89 %
TRP.PR.A	FixedReset Disc	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 15.57 Evaluated at bid price : 15.57 Bid-YTW : 6.16 %
TD.PF.E	FixedReset Disc	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 5.38 %
BAM.PR.T	FixedReset Disc	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 6.09 %
TD.PF.K	FixedReset Disc	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 5.29 %
PWF.PR.P	FixedReset Disc	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 5.94 %
TRP.PR.C	FixedReset Disc	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 13.67 Evaluated at bid price : 13.67 Bid-YTW : 6.07 %
BAM.PR.Z	FixedReset Disc	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 20.99 Evaluated at bid price : 20.99 Bid-YTW : 5.81 %
GWO.PR.G	Deemed-Retractible	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.97 Bid-YTW : 6.33 %
EMA.PR.H	FixedReset Disc	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 22.47 Evaluated at bid price : 23.30 Bid-YTW : 5.23 %
GWO.PR.R	Deemed-Retractible	2.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 6.46 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.W	Perpetual-Discount	321,450	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 23.89 Evaluated at bid price : 24.14 Bid-YTW : 5.07 %
CM.PR.T	FixedReset Disc	173,275	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 23.13 Evaluated at bid price : 24.95 Bid-YTW : 5.15 %
BIP.PR.D	FixedReset Disc	118,199	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 6.42 %
TD.PF.L	FixedReset Disc	87,248	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 23.15 Evaluated at bid price : 25.02 Bid-YTW : 5.09 %
NA.PR.A	FixedReset Prem	85,444	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.67 %
CM.PR.R	FixedReset Disc	85,375	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 22.40 Evaluated at bid price : 23.02 Bid-YTW : 5.52 %
There were 45 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
EIT.PR.A	SplitShare	Quote: 24.33 – 24.70 Spot Rate : 0.3700 Average : 0.2214 YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 24.33 Bid-YTW : 5.58 %
IFC.PR.G	FixedReset Ins Non	Quote: 20.40 – 20.85 Spot Rate : 0.4500 Average : 0.3164 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.21 %
HSE.PR.G	FixedReset Disc	Quote: 20.30 – 20.95 Spot Rate : 0.6500 Average : 0.5184 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.67 %
BAM.PR.M	Perpetual-Discount	Quote: 20.13 – 20.66 Spot Rate : 0.5300 Average : 0.4187 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 5.98 %
TD.PF.K	FixedReset Disc	Quote: 21.60 – 22.00 Spot Rate : 0.4000 Average : 0.2901 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-31 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 5.29 %
BAM.PF.I	FixedReset Prem	Quote: 25.02 – 25.39 Spot Rate : 0.3700 Average : 0.2641 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 4.94 %

Market Action

January 30, 2019

The Fed issued its FOMC Statement:

Information received since the Federal Open Market Committee met in December indicates that the labor market has continued to strengthen and that economic activity has been rising at a solid rate. Job gains have been strong, on average, in recent months, and the unemployment rate has remained low. Household spending has continued to grow strongly, while growth of business fixed investment has moderated from its rapid pace earlier last year. On a 12-month basis, both overall inflation and inflation for items other than food and energy remain near 2 percent. Although market-based measures of inflation compensation have moved lower in recent months, survey-based measures of longer-term inflation expectations are little changed.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. In support of these goals, the Committee decided to maintain the target range for the federal funds rate at 2-1/4 to 2-1/2 percent. The Committee continues to view sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective as the most likely outcomes. In light of global economic and financial developments and muted inflation pressures, the Committee will be patient as it determines what future adjustments to the target range for the federal funds rate may be appropriate to support these outcomes.

In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

Voting for the FOMC monetary policy action were: Jerome H. Powell, Chairman; John C. Williams, Vice Chairman; Michelle W. Bowman; Lael Brainard; James Bullard; Richard H. Clarida; Charles L. Evans; Esther L. George; Randal K. Quarles; and Eric S. Rosengren.

No changes were expected, so no surprises there – but notably:

While the Fed said continued U.S. economic and job growth were still “the most likely outcomes,” it removed language from its December policy statement that risks to the outlook were “roughly balanced” and struck language that projected “some further” rate hikes would be appropriate in 2019.

They also issued a Statement Regarding Monetary Policy Implementation and Balance Sheet Normalization:

After extensive deliberations and thorough review of experience to date, the Committee judges that it is appropriate at this time to provide additional information regarding its plans to implement monetary policy over the longer run. Additionally, the Committee is revising its earlier guidance regarding the conditions under which it could adjust the details of its balance sheet normalization program. Accordingly, all participants agreed to the following:

•The Committee intends to continue to implement monetary policy in a regime in which an ample supply of reserves ensures that control over the level of the federal funds rate and other short-term interest rates is exercised primarily through the setting of the Federal Reserve’s administered rates, and in which active management of the supply of reserves is not required.

•The Committee continues to view changes in the target range for the federal funds rate as its primary means of adjusting the stance of monetary policy. The Committee is prepared to adjust any of the details for completing balance sheet normalization in light of economic and financial developments. Moreover, the Committee would be prepared to use its full range of tools, including altering the size and composition of its balance sheet, if future economic conditions were to warrant a more accommodative monetary policy than can be achieved solely by reducing the federal funds rate.

Finally, they updated their Statement on Longer-Run Goals and Monetary Policy Strategy, reaffirming the 2% symmetrical inflation target and stating that their current estimates of the longer-run normal rate of unemployment is 4.4%, down from last year’s figure of 4.6%.

The IAIS (International Association of Insurance Supervisors) issued its January 2019 newsletter today, with a reminder that:

The IAIS is hosting an ICS stakeholder event. The meeting will provide Members and stakeholders with the opportunity to provide feedback on the ICS prior to the finalisation of ICS Version 2.0 for the monitoring period. The IAIS published the ICS Version 2.0 consultation document on 31 July 2018. The event will take place between 09.00 and 15.00 CET (Basel time) on 1 February 2019, at the BIS Tower in Basel, Switzerland.

Assiduous Readers will rememeber that the Comment Period Expired 2018-10-30 for IAIS Public Consultation on ICS 2.0; ICS 2.0 is the set of global insurance guidelines that, we hope, will include tighter rules on the going-concern loss-absorption ability of insurance company preferred shares … even if OSFI takes the lowest-trigger-possible approach with NVCC rules similar to banks.

I also note there is an “ICS Task Force” meeting in Basel on February 26.

PerpetualDiscounts now yield 5.72%, equivalent to 7.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.95%, so the pre-tax interest-equivalent spread is now about 345bp, a slight (and perhaps spurious) narrowing from the 350bp reported January 23.

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	-0.0911 %	2,325.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0911 %	4,267.6
Floater	5.04 %	5.38 %	32,787	14.84	4	-0.0911 %	2,459.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0803 %	3,205.3
SplitShare	4.93 %	4.74 %	65,683	3.98	8	-0.0803 %	3,827.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0803 %	2,986.6
Perpetual-Premium	5.91 %	-5.49 %	148,213	0.08	2	0.1990 %	2,886.9
Perpetual-Discount	5.63 %	5.72 %	77,078	14.21	33	0.1321 %	2,953.2
FixedReset Disc	5.14 %	5.60 %	221,907	14.60	65	0.1489 %	2,199.9
Deemed-Retractible	5.41 %	6.35 %	94,977	8.15	27	-0.0604 %	2,935.5
FloatingReset	4.29 %	5.29 %	63,793	8.51	6	-0.1870 %	2,433.4
FixedReset Prem	5.13 %	4.39 %	255,819	2.18	17	0.0786 %	2,525.0
FixedReset Bank Non	2.81 %	4.24 %	149,353	2.88	5	-0.0250 %	2,578.5
FixedReset Ins Non	5.09 %	7.16 %	134,153	8.22	22	0.3334 %	2,184.7

Performance Highlights
Issue	Index	Change	Notes
BIP.PR.D	FixedReset Disc	-3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 6.39 %
PWF.PR.P	FixedReset Disc	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 5.88 %
CCS.PR.C	Deemed-Retractible	-2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.08 Bid-YTW : 6.60 %
GWO.PR.R	Deemed-Retractible	-2.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.38 Bid-YTW : 6.78 %
IFC.PR.C	FixedReset Ins Non	-2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 7.76 %
BAM.PR.B	Floater	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 12.99 Evaluated at bid price : 12.99 Bid-YTW : 5.38 %
TRP.PR.K	FixedReset Disc	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 22.93 Evaluated at bid price : 24.00 Bid-YTW : 5.85 %
ELF.PR.H	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 23.37 Evaluated at bid price : 23.67 Bid-YTW : 5.85 %
RY.PR.S	FixedReset Disc	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 5.09 %
EMA.PR.F	FixedReset Disc	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.82 %
BIP.PR.A	FixedReset Disc	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.80 %
BAM.PF.F	FixedReset Disc	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.04 %
IFC.PR.G	FixedReset Ins Non	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 6.87 %
TD.PF.J	FixedReset Disc	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.69 Evaluated at bid price : 22.02 Bid-YTW : 5.25 %
SLF.PR.E	Deemed-Retractible	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 7.08 %
MFC.PR.L	FixedReset Ins Non	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.68 Bid-YTW : 8.25 %
BAM.PF.D	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.77 %
MFC.PR.J	FixedReset Ins Non	1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 7.16 %
RY.PR.J	FixedReset Disc	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 5.32 %
TD.PF.E	FixedReset Disc	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.56 Evaluated at bid price : 21.94 Bid-YTW : 5.31 %
SLF.PR.I	FixedReset Ins Non	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.39 Bid-YTW : 6.85 %
NA.PR.C	FixedReset Disc	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 22.07 Evaluated at bid price : 22.53 Bid-YTW : 5.69 %
RY.PR.M	FixedReset Disc	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 5.32 %
MFC.PR.K	FixedReset Ins Non	1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.64 %
BAM.PF.C	Perpetual-Discount	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.85 %
VNR.PR.A	FixedReset Disc	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 22.10 Evaluated at bid price : 22.57 Bid-YTW : 5.21 %
PWF.PR.T	FixedReset Disc	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.60 %
NA.PR.G	FixedReset Disc	2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 5.38 %
BAM.PR.R	FixedReset Disc	2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 6.04 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.H	FixedReset Prem	331,600	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 4.31 %
TD.PF.L	FixedReset Disc	171,816	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 23.17 Evaluated at bid price : 25.06 Bid-YTW : 5.08 %
RY.PR.L	FixedReset Bank Non	164,310	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-26 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 3.95 %
CM.PR.T	FixedReset Disc	116,871	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 23.13 Evaluated at bid price : 24.94 Bid-YTW : 5.15 %
RY.PR.H	FixedReset Disc	64,520	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 5.38 %
BNS.PR.I	FixedReset Disc	61,101	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 4.89 %
There were 37 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.Q	FixedReset Ins Non	Quote: 20.13 – 20.68 Spot Rate : 0.5500 Average : 0.3738 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.13 Bid-YTW : 7.28 %
BIP.PR.D	FixedReset Disc	Quote: 21.90 – 22.31 Spot Rate : 0.4100 Average : 0.2749 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 6.39 %
IFC.PR.E	Deemed-Retractible	Quote: 22.98 – 23.50 Spot Rate : 0.5200 Average : 0.3941 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.98 Bid-YTW : 6.33 %
GWO.PR.R	Deemed-Retractible	Quote: 21.38 – 21.90 Spot Rate : 0.5200 Average : 0.3975 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.38 Bid-YTW : 6.78 %
IFC.PR.C	FixedReset Ins Non	Quote: 18.61 – 19.00 Spot Rate : 0.3900 Average : 0.2679 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 7.76 %
PWF.PR.P	FixedReset Disc	Quote: 14.35 – 14.89 Spot Rate : 0.5400 Average : 0.4219 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-30 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 5.88 %

Issue Comments

PPL.PR.C To Reset At 4.478%

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 3 (“Series 3 Shares”) (TSX: PPL.PR.A) [sic] on March 1, 2019 (the “Conversion Date”).

As a result, and subject to certain terms of the Series 3 Shares, as described in the prospectus supplement dated September 25, 2013 relating to the issuance of the Series 3 Shares, the holders of the Series 3 Shares will have the right to elect to convert all or any of their Series 3 Shares into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 4 of Pembina (“Series 4 Shares”) on the basis of one Series 4 Share for each Series 3 Share on the Conversion Date.

With respect to any Series 3 Shares that remain outstanding after March 1, 2019, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 3 Shares for the five-year period from and including March 1, 2019 to, but excluding, March 1, 2024 will be 4.478%, being equal to the five-year Government of Canada bond yield of 1.878% determined as of today plus 2.60%, in accordance with the terms of the Series 3 Shares.

With respect to any Series 4 Shares that may be issued on March 1, 2019, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the 3-month floating rate period from and including March 1, 2019 to, but excluding, June 1, 2019 will be 4.227%, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 1.627% plus 2.60%, in accordance with the terms of the Series 4 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

As provided in the terms of the Series 3 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 3 Shares, all remaining Series 3 Shares will be converted automatically into Series 4 Shares on a one-for-one basis effective March 1, 2019; or (ii) if Pembina determines that there would remain outstanding immediately following the conversion, less than 1,000,000 Series 4 Shares, holders of Series 3 Shares will not be entitled to convert their Series 3 Shares into Series 4 Shares on the Conversion Date. There are currently 6,000,000 Series 3 Shares outstanding.

The Series 3 Shares are issued in “book entry only” form and, as such, the sole registered holder of the Series 3 Shares is the Canadian Depositary for Securities Limited (“CDS”). All rights of holders of Series 3 Shares must be exercised through CDS or the CDS participant through which the Series 3 Shares are held. The deadline for the registered shareholder (CDS) to provide notice of exercise of the right to convert Series 3 Shares into Series 4 Shares is 3:00 p.m. (MST) / 5:00 p.m. (EST) on February 14, 2019. Any notices received after this deadline will not be valid. As such, holders of Series 3 Shares who wish to exercise their right to convert their Series 3 Shares into Series 4 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 the time to complete the necessary steps.

If Pembina does not receive an election notice from CDS during the time fixed therefor, then the Series 3 Shares shall be deemed not to have been converted (except in the case of an automatic conversion). Holders of Series 3 Shares and Series 4 Shares will have an opportunity to convert their shares again on March 1, 2024, and every five years thereafter as long as the shares remain outstanding.

As previously announced, the dividend payable on March 1, 2019 to holders of the Series 3 Shares of record on February 1, 2019 will be $0.293750 per Series 3 Share, consistent with the dividend rate in effect since issuance of the Series 3 Shares on October 2, 2013.

For more information on the terms of, and risks associated with an investment in, the Series 3 Shares and the Series 4 Shares, please see Pembina’s prospectus supplement dated September 25, 2013, which can be found at www.sedar.com.

They later corrected themselves (and changed the text on their linked press release):

In the news release, “Pembina Pipeline Corporation Provides Notice of Series 3 Preferred Share Conversion Right and Announces Reset Dividend Rates,” issued earlier today by Pembina Pipeline Corporation over Cision, we are advised by the company that the opening paragraph referred to a ticker symbol, which should read “TSX: PPL.PR.C” rather than “TSX: PPL.PR.A” as originally issued inadvertently. The complete, corrected release follows:

PPL.PR.C was issued as a FixedReset, 4.70%+260, that commenced trading 2013-10-2 after being announced 2013-9-23. It is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., PPL.PR.C and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

Click for Big

The market has lost its fleeting enthusiasm for floating rate product; the implied rates until the next interconversion are below the current 3-month bill rate as the averages for investment-grade and junk issues are at +1.41% and +1.22%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the PPL.PR.C FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for PPL.PR.C) Trading Price In Current Conditions
			Assumed FloatingReset Price if Implied Bill is equal to
FixedReset	Bid Price	Spread	2.00%	1.50%	1.00%
PPL.PR.C	17.65	260bp	17.77	17.29	16.81

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, PPL.PR.C. Therefore, it seems likely that I will recommend that holders of PPL.PR.C continue to hold the issue and not to convert, but I will wait until it’s closer to the February 14 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Issue Comments

ENB.PR.P To Reset To 4.379%

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series P (Series P Shares) (TSX: ENB.PR.P) on March 1, 2019. As a result, subject to certain conditions, the holders of the Series P Shares have the right to convert all or part of their Series P Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series Q of Enbridge (Series Q Shares) on March 1, 2019. Holders who do not exercise their right to convert their Series P Shares into Series Q Shares will retain their Series P Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series P Shares outstanding after March 1, 2019, then all remaining Series P Shares will automatically be converted into Series Q Shares on a one-for-one basis on March 1, 2019; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series Q Shares outstanding after March 1, 2019, no Series P Shares will be converted into Series Q Shares. There are currently 16,000,000 Series P Shares outstanding.

With respect to any Series P Shares that remain outstanding after March 1, 2019, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series P Shares for the five-year period commencing on March 1, 2019 to, but excluding, March 1, 2024 will be 4.379 percent, being equal to the five-year Government of Canada bond yield of 1.879 percent determined as of today plus 2.50 percent in accordance with the terms of the Series P Shares.

With respect to any Series Q Shares that may be issued on March 1, 2019, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series Q Shares for the three-month floating rate period commencing on March 1, 2019 to, but excluding, June 1, 2019 will be 1.04099 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 1.63 percent plus 2.50 percent in accordance with the terms of the Series Q Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series P Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2019 until 5:00 p.m. (EST) on February 14, 2019, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.P is a FixedReset, 4.00%+250, that commenced trading 2012-9-14 after being announced 2012-9-4. It is tracked by HIMIPref™ but is relegated to the Scraps FixedReset Discount index on credit concerns.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., ENB.PR.P and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

Click for Big

If we plug in the current bid price of the ENB.PR.P FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for ENB.PR.P) Trading Price In Current Conditions
			Assumed FloatingReset Price if Implied Bill is equal to
FixedReset	Bid Price	Spread	2.00%	1.50%	1.00%
ENB.PR.P	16.70	250bp	16.82	16.34	15.86

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, ENB.PR.P. Therefore, it seems likely that I will recommend that holders of ENB.PR.P continue to hold the issue and not to convert, but I will wait until it’s closer to the February 14 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Issue Comments

ENB.PR.J To Reset To 4.449%

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 7 (Series 7 Shares) (TSX: ENB.PR.J) on March 1, 2019. As a result, subject to certain conditions, the holders of the Series 7 Shares have the right to convert all or part of their Series 7 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 8 of Enbridge (Series 8 Shares) on March 1, 2019. Holders who do not exercise their right to convert their Series 7 Shares into Series 8 Shares will retain their Series 7 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 7 Shares outstanding after March 1, 2019, then all remaining Series 7 Shares will automatically be converted into Series 8 Shares on a one-for-one basis on March 1, 2019; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 8 Shares outstanding after March 1, 2019, no Series 7 Shares will be converted into Series 8 Shares. There are currently 10,000,000 Series 7 Shares outstanding.

With respect to any Series 7 Shares that remain outstanding after March 1, 2019, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 7 Shares for the five-year period commencing on March 1, 2019 to, but excluding, March 1, 2024 will be 4.449 percent, being equal to the five-year Government of Canada bond yield of 1.879 percent determined as of today plus 2.57 percent in accordance with the terms of the Series 7 Shares.

With respect to any Series 8 Shares that may be issued on March 1, 2019, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 8 Shares for the three-month floating rate period commencing on March 1, 2019 to, but excluding, June 1, 2019 will be 1.05863 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 1.63 percent plus 2.57 percent in accordance with the terms of the Series 8 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 7 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2019 until 5:00 p.m. (EST) on February 14, 2019, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.J is a FixedReset, 4.40%+257, that commenced trading 2013-12-12 after being announced 2013-12-3. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedResets (Discount) subindex on credit concerns.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., ENB.PR.J and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

Click for Big

If we plug in the current bid price of the ENB.PR.J FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for ENB.PR.J) Trading Price In Current Conditions
			Assumed FloatingReset Price if Implied Bill is equal to
FixedReset	Bid Price	Spread	2.00%	1.50%	1.00%
ENB.PR.J	17.09	257bp	17.21	16.73	16.25

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, ENB.PR.J. Therefore, it seems likely that I will recommend that holders of ENB.PR.J continue to hold the issue and not to convert, but I will wait until it’s closer to the February 14 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Issue Comments

ENB.PF.V To Reset To 5.3753%

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 5 (Series 5 Shares) (TSX: ENB.PF.V) on March 1, 2019. As a result, subject to certain conditions, the holders of the Series 5 Shares have the right to convert all or part of their Series 5 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 6 of Enbridge (Series 6 Shares) on March 1, 2019. Holders who do not exercise their right to convert their Series 5 Shares into Series 6 Shares will retain their Series 5 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 5 Shares outstanding after March 1, 2019, then all remaining Series 5 Shares will automatically be converted into Series 6 Shares on a one-for-one basis on March 1, 2019; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 6 Shares outstanding after March 1, 2019, no Series 5 Shares will be converted into Series 6 Shares. There are currently 8,000,000 Series 5 Shares outstanding.

With respect to any Series 5 Shares that remain outstanding after March 1, 2019, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 5 Shares for the five-year period commencing on March 1, 2019 to, but excluding, March 1, 2024 will be 5.3753 percent, being equal to the five-year United States Treasury bond yield of 2.5553 percent determined as of today plus 2.82 percent in accordance with the terms of the Series 5 Shares.

With respect to any Series 6 Shares that may be issued on March 1, 2019, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 6 Shares for the three-month floating rate period commencing on March 1, 2019 to, but excluding, June 1, 2019 will be 1.34597 percent, based on the annual rate on three month United States Government treasury bills for the most recent treasury bills auction of 2.52 percent plus 2.82 percent in accordance with the terms of the Series 6 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 5 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2019 until 5:00 p.m. (EST) on February 14, 2019, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PF.V is a US-Pay FixedReset, 4.40%+282, that commenced trading 2013-9-27 after being announced 2013-9-19. It is not tracked by HIMIPref™.

Market Action

January 29, 2019

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	-0.2363 %	2,327.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2363 %	4,271.5
Floater	5.04 %	5.28 %	34,253	15.01	4	-0.2363 %	2,461.7
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1403 %	3,207.8
SplitShare	4.93 %	4.58 %	67,962	3.98	8	-0.1403 %	3,830.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1403 %	2,989.0
Perpetual-Premium	5.92 %	-2.84 %	150,407	0.08	2	0.1595 %	2,881.1
Perpetual-Discount	5.64 %	5.73 %	79,985	14.22	33	-0.0066 %	2,949.3
FixedReset Disc	5.15 %	5.60 %	217,912	14.60	65	0.2995 %	2,196.7
Deemed-Retractible	5.40 %	6.37 %	91,928	8.15	27	0.1030 %	2,937.3
FloatingReset	4.29 %	5.24 %	60,696	8.51	6	0.2279 %	2,438.0
FixedReset Prem	5.13 %	4.43 %	258,640	2.32	17	0.2131 %	2,523.0
FixedReset Bank Non	2.81 %	4.08 %	154,452	2.88	5	0.0552 %	2,579.2
FixedReset Ins Non	5.11 %	7.23 %	135,888	8.23	22	0.1962 %	2,177.4

Performance Highlights
Issue	Index	Change	Notes
BIP.PR.F	FixedReset Disc	-2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 21.75 Evaluated at bid price : 22.15 Bid-YTW : 5.81 %
PWF.PR.A	Floater	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.39 %
PWF.PR.T	FixedReset Disc	-2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.72 %
BAM.PR.R	FixedReset Disc	-2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 16.43 Evaluated at bid price : 16.43 Bid-YTW : 6.18 %
BAM.PR.Z	FixedReset Disc	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.83 %
BIP.PR.A	FixedReset Disc	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.87 %
HSE.PR.E	FixedReset Disc	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 6.69 %
BIP.PR.D	FixedReset Disc	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 22.17 Evaluated at bid price : 22.60 Bid-YTW : 6.19 %
W.PR.H	Perpetual-Discount	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 23.34 Evaluated at bid price : 23.63 Bid-YTW : 5.86 %
IFC.PR.A	FixedReset Ins Non	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 8.75 %
BIP.PR.C	FixedReset Disc	-1.41 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 6.40 %
IFC.PR.G	FixedReset Ins Non	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 7.02 %
BIP.PR.B	FixedReset Prem	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 23.49 Evaluated at bid price : 24.70 Bid-YTW : 6.42 %
BAM.PR.N	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 5.92 %
MFC.PR.H	FixedReset Ins Non	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 6.73 %
BMO.PR.D	FixedReset Disc	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 22.32 Evaluated at bid price : 22.90 Bid-YTW : 5.43 %
BAM.PR.B	Floater	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 13.24 Evaluated at bid price : 13.24 Bid-YTW : 5.28 %
EMA.PR.F	FixedReset Disc	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 5.75 %
POW.PR.D	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 21.72 Evaluated at bid price : 21.97 Bid-YTW : 5.73 %
CCS.PR.C	Deemed-Retractible	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.63 Bid-YTW : 6.30 %
NA.PR.S	FixedReset Disc	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.70 %
PWF.PR.Q	FloatingReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 5.24 %
BMO.PR.W	FixedReset Disc	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 5.50 %
BAM.PR.K	Floater	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.38 %
BAM.PF.G	FixedReset Disc	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.03 %
TD.PF.C	FixedReset Disc	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 5.49 %
HSE.PR.C	FixedReset Disc	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.48 %
TD.PF.J	FixedReset Disc	2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 5.32 %
TD.PF.I	FixedReset Disc	3.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 22.24 Evaluated at bid price : 22.80 Bid-YTW : 5.28 %
BMO.PR.E	FixedReset Disc	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 22.24 Evaluated at bid price : 22.92 Bid-YTW : 5.19 %
RY.PR.S	FixedReset Disc	3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 21.58 Evaluated at bid price : 21.92 Bid-YTW : 5.02 %
BNS.PR.I	FixedReset Disc	4.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 22.19 Evaluated at bid price : 22.85 Bid-YTW : 4.88 %
TD.PF.K	FixedReset Disc	4.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 21.48 Evaluated at bid price : 21.77 Bid-YTW : 5.24 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.L	FixedReset Disc	499,072	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 23.13 Evaluated at bid price : 24.95 Bid-YTW : 5.11 %
CM.PR.T	FixedReset Disc	148,361	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 23.08 Evaluated at bid price : 24.82 Bid-YTW : 5.18 %
TRP.PR.K	FixedReset Disc	126,078	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 23.08 Evaluated at bid price : 24.35 Bid-YTW : 5.75 %
TD.PF.H	FixedReset Prem	94,100	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 4.42 %
BMO.PR.T	FixedReset Disc	77,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 5.53 %
TRP.PR.B	FixedReset Disc	77,343	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 12.91 Evaluated at bid price : 12.91 Bid-YTW : 6.05 %
There were 40 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IAF.PR.G	FixedReset Ins Non	Quote: 20.00 – 20.93 Spot Rate : 0.9300 Average : 0.5745 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 7.11 %
BAM.PR.R	FixedReset Disc	Quote: 16.43 – 17.50 Spot Rate : 1.0700 Average : 0.7658 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 16.43 Evaluated at bid price : 16.43 Bid-YTW : 6.18 %
BAM.PF.D	Perpetual-Discount	Quote: 21.24 – 22.02 Spot Rate : 0.7800 Average : 0.4810 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 5.84 %
BAM.PR.Z	FixedReset Disc	Quote: 20.90 – 21.59 Spot Rate : 0.6900 Average : 0.4471 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.83 %
PWF.PR.T	FixedReset Disc	Quote: 18.75 – 19.28 Spot Rate : 0.5300 Average : 0.3325 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.72 %
ELF.PR.H	Perpetual-Discount	Quote: 24.00 – 24.49 Spot Rate : 0.4900 Average : 0.3143 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-29 Maturity Price : 23.65 Evaluated at bid price : 24.00 Bid-YTW : 5.77 %

PrefBlog

MAPF Performance: January 2019

MAPF Portfolio Composition: January 2019

February 1, 2019

January 31, 2019

January 30, 2019

PPL.PR.C To Reset At 4.478%

ENB.PR.P To Reset To 4.379%

ENB.PR.J To Reset To 4.449%

ENB.PF.V To Reset To 5.3753%

January 29, 2019

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