PrefBlog

TXPR closed at 539.19, down 2.78% on the day. Volume today was 1.47-million, fourth-highest of the past 21 trading days.

CPD closed at 10.82, down 2.26% on the day. Volume was 237,920, highest of the past 21 trading days.

ZPR closed at 8.93 after hitting a new 52-week low of 8.85, down 2.83% on the day. Volume was 615,230, by far the highest of the past 21 trading days.

Five-year Canada yields plummetted to 2.87% today, giving up yesterday’s gains and a bit more besides!

Equities had a bad day, but bounced a little in the afternoon:

Markets shuddered Wednesday on worries about a spreading banking crisis and how badly it will hit the global economy, with stocks and bond yields falling on both sides of the Atlantic.

The S&P 500 sank as much as 2.1% before ending the day with a loss of 0.7%, while markets in Europe fell more sharply as shares of Switzerland’s Credit Suisse dropped to a record low. The Dow Jones Industrial Average lost 280 points, or 0.9%, after dropping as much as 725 points. The Nasdaq composite rose 0.1% after erasing a steep decline.

The TSX fared even worse than Wall Street, as a big drop in oil prices pressured the energy sector, while the heavily weighted financial sector also saw another day of steep declines. The S&P/TSX Composite Index lost 1.6%, only modestly off its lows for the session, as oil sank to its lowest level in more than a year.
…
Some of this week’s wildest action has been in the bond market, where traders are rushing to guess what all the chaos will mean for future Fed action. On one hand, stress in the financial system could push the Fed to hold off on hiking rates again at its meeting next week, or at least refrain from the larger rate hike it had been potentially signaling.

On the other hand, inflation is still high. While taking it easier on interest rates could give more breathing space to banks and the economy, the fear is such a move by the Fed could also give inflation more oxygen.
…
The volatility in global credit markets has dramatically impacted where money markets are placing bets on the next Bank of Canada rate setting, although these bets are seeing large swings day to day. Interest rate probabilities based on overnight swaps trading suggest a 60% chance of a quarter of a percentage point cut at the central bank’s next meeting in April. These same markets are pricing in a full 75 basis points of cuts in the bank’s trend-setting interest rate by this fall. Just a week ago, they were pricing in another interest rate hike this year.

A bit more colour on SVB:

Gregory Becker, the chief executive of Silicon Valley Bank, leaned back in his chair at a technology conference last week in San Francisco’s luxurious Palace Hotel, and delivered a bullish message.
…
What he didn’t say was that, roughly a week earlier, the rating agency Moody’s had called to tell Mr. Becker that his bank’s financial health was in jeopardy, and its bonds were in danger of being downgraded to junk. Realizing the bank needed to raise cash, Mr. Becker had been scrambling since then to fix things.
…
As of Dec. 31, SVB classified most of its debt portfolio, or roughly $95 billion, as “held to maturity.” Because of a quirk in banking regulation, the bank didn’t have to account for fluctuations in the value of those bonds on its balance sheet.

On average, banks with at least $1 billion in assets classified only 6 percent of their debt in this category at the end 2022. But Silicon Valley Bank put 75 percent of its debt as held to maturity, according to a research report by Janney Montgomery Scott.

And it’s not OSFI’s problem!

The Superintendent of Financial Institutions took additional action to protect creditors of the Silicon Valley Bank’s Canadian branch by taking permanent control of its assets. In addition, the Ontario Superior Court of Justice granted a winding up order in respect of the institution.

The winding up order under section 10.1 of the Winding-up and Restructuring Act begins an orderly, court-supervised process to restructure the branch as a result of the newly created, full-service U.S. Federal Deposit Insurance Corporation (FDIC) “bridge bank” – Silicon Valley Bridge Bank, N.A. – in a way that best serves the interests of its creditors and will allow operations of the Silicon Valley Bank to continue in Canada.

The process is intended to facilitate an orderly transition of the Canadian branch of Silicon Valley Bank to the FDIC Bridge Bank. PriceWaterhouseCooper Inc. has been appointed by the court to oversee the transition. As the court order has been granted, OSFI no longer has an active role in the resolution of this matter.

On March 12, the Superintendent took temporary control of the assets held by Silicon Valley Bank’s Canadian branch in Toronto after the California Department of Financial Protection and Innovation shut down the bank, which is headquartered in Santa Clara, California, and appointed the FDIC as its receiver.

Credit Suisse joined the fun:

Shares in Credit Suisse tumbled to a record low on Wednesday, leading a brutal day for banking stocks, as the embattled Swiss lender’s biggest shareholder said it would not make further investments in the firm.

A plunge of nearly 27 percent in Credit Suisse’s shares raised new worries about the banking industry on a day when broader European stock markets suffered sharp losses.
…
The latest setback came on Wednesday, when the chairman of the state-owned Saudi National Bank — which, as part of the firm’s turnaround plan, agreed to invest up to $1.6 billion for a nearly 10 percent stake, making it the Credit Suisse’s largest shareholder — ruled out any more investments in the firm.

But the reason the Saudi bank provided did not have to do with losing faith in Credit Suisse’s finances.
…
If Saudi National Bank were to raise its stake above 10 percent, it would be subject to additional Swiss regulations that Mr. Al Khudairy said he was not interested in becoming subject to.

But they do have some hope:

The cost of financial contracts that insure against a default by the bank spiked to the highest level on record.

Unlike Silicon Valley Bank, Credit Suisse is considered a global systemically important financial institution, with $569 billion in assets as of year’s end and vastly stricter capital requirements. There is no sign of a gaping hole in the bank’s balance sheet, and it has tens of billions of dollars in cash stored at central banks across the world that it can draw upon, said Johann Scholtz, a research analyst at Morningstar.

But the costs to fund its operations have jumped significantly in recent weeks.

Banks often borrow from each other in what are known as overnight lending markets. The cost of that funding is partially influenced by the price of an instrument known as a credit default swap — essentially, a form of insurance that one party buys to protect against the possibility that another party will default. The higher the risk of default, the higher the price of the C.D.S., and the higher the cost of funding.

Given Credit Suisse’s struggles, the danger that it could default drove banks and others that do business with Credit Suisse to buy more swaps to cover their increased risk. As the price of Credit Suisse’s swaps rose throughout the trading day Wednesday, the likelihood that the bank would have to pay a lot more in the overnight market to fund itself also rose.
…
Shortly after European markets closed on Wednesday, Switzerland’s central bank and Finma, the country’s financial regulator, issued a joint statement certifying Credit Suisse’s financial health.

The firm “meets the higher capital and liquidity requirements applicable to systemically important banks” and was not directly at risk from the banking turmoil in the United States, the two said. Still, they noted that Credit Suisse’s stock and debt prices had fallen — and that the Swiss National Bank would backstop the bank if needed.

“We welcome the statement of support,” Credit Suisse said in a statement.

Bonds went crazy:

The two-year Treasury yield, which is particularly sensitive to Fed policy, fell by a fifth of a percentage point, a big move for that asset, to just over 4 percent. Futures markets still expect that Fed policymakers will raise rates by a quarter-point at their next meeting, but they now believe that the central bank will begin cutting rates in the second half of the year, setting rates at a lower level at the end of the year than they are now.

In a sign of the whipsaw trading conditions confronting traders, a measure of volatility in the bond market soared to its highest level since 2009.

But there was good news for one Canadian company:

The U.S. regulator approved Canadian Pacific Railway Ltd.’sCP-T +5.47%increase
US$27-billion takeover of Kansas City Southern on Wednesday, allowing Canada’s second-biggest rail shipper to forge a network that reaches the Gulf of Mexico and Pacific Ocean via the North American industrial heartland.

“This merger will create the first railroad providing single-line service spanning Canada, the United States, and Mexico,” the U.S. Surface Transportation Board said in its ruling.

The takeover is expected to create jobs, remove 64,000 trucks from North American roads, and support investment in infrastructure, the STB said.

But there are other markets in the doldrums:

The Canadian Real Estate Association says homes sales shrunk by 40 per cent in February compared with a year ago.

The association says February sales were comparable to what was recorded during the same month in 2018 and 2019, before the COVID-19 pandemic.

The year-over-year drop in home sales in February came as the national average sale price posted an 18.9 per cent decline compared with the all-time record in February 2022.

The real estate association says the actual average home price in Canada was $662,437 in February.

And the US is getting a version of Interac:

The Federal Reserve announced that the FedNow Service will start operating in July and provided details on preparations for launch.

The first week of April, the Federal Reserve will begin the formal certification of participants for launch of the service. Early adopters will complete a customer testing and certification program, informed by feedback from the FedNow Pilot Program, to prepare for sending live transactions through the system.

Certification encompasses a comprehensive testing curriculum with defined expectations for operational readiness and network experience. In June, the Federal Reserve and certified participants will conduct production validation activities to confirm readiness for the July launch.

“We couldn’t be more excited about the forthcoming FedNow launch, which will enable every participating financial institution, the smallest to the largest and from all corners of the country, to offer a modern instant payment solution,” said Ken Montgomery, first vice president of the Federal Reserve Bank of Boston and FedNow program executive. “With the launch drawing near, we urge financial institutions and their industry partners to move full steam ahead with preparations to join the FedNow Service.”

FedNow has a dedicated explanatory website. Take that, Venmo! Suck it, PayPal!

PerpetualDiscounts now yield 6.43%, equivalent to 8.36% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.88% on 2023-3-10 and since then the closing price has changed from 15.35 to 15.38, an increase of 19bp in price, with a Duration of 12.47 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decline in yield of about 1bp since 3/10 to 4.87%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened substantially to about 350bp from the 320bp reported March 8.

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	-4.3444 %	2,327.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-4.3444 %	4,464.4
Floater	9.68 %	9.47 %	54,224	10.02	2	-4.3444 %	2,572.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0557 %	3,311.3
SplitShare	5.08 %	7.32 %	51,637	2.71	7	-0.0557 %	3,954.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0557 %	3,085.4
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-1.2038 %	2,699.4
Perpetual-Discount	6.32 %	6.43 %	62,220	13.24	35	-1.2038 %	2,943.5
FixedReset Disc	5.84 %	7.65 %	96,674	12.06	61	-3.3946 %	2,105.0
Insurance Straight	6.25 %	6.30 %	78,963	13.54	20	-0.9191 %	2,873.7
FloatingReset	10.42 %	10.66 %	35,382	9.10	2	-2.8311 %	2,423.6
FixedReset Prem	6.68 %	6.53 %	225,359	12.72	2	-1.5406 %	2,313.5
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-3.3946 %	2,151.7
FixedReset Ins Non	5.67 %	7.17 %	84,419	12.31	13	-3.7257 %	2,290.8

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.G	Perpetual-Discount	-12.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 7.24 %
BN.PR.K	Floater	-7.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 11.77 Evaluated at bid price : 11.77 Bid-YTW : 10.03 %
BN.PF.A	FixedReset Disc	-6.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 7.98 %
NA.PR.G	FixedReset Disc	-6.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 7.08 %
MFC.PR.M	FixedReset Ins Non	-6.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 7.87 %
TRP.PR.C	FixedReset Disc	-6.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 10.86 Evaluated at bid price : 10.86 Bid-YTW : 9.14 %
CM.PR.Q	FixedReset Disc	-5.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.70 %
MFC.PR.Q	FixedReset Ins Non	-5.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 7.41 %
TD.PF.J	FixedReset Disc	-5.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 6.86 %
IFC.PR.G	FixedReset Ins Non	-5.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 7.17 %
TD.PF.K	FixedReset Disc	-5.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 7.19 %
MFC.PR.N	FixedReset Ins Non	-5.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 7.84 %
RY.PR.M	FixedReset Disc	-5.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 7.68 %
MFC.PR.F	FixedReset Ins Non	-5.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 12.37 Evaluated at bid price : 12.37 Bid-YTW : 7.90 %
BIP.PR.F	FixedReset Disc	-5.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.80 %
NA.PR.W	FixedReset Disc	-4.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 8.03 %
MFC.PR.L	FixedReset Ins Non	-4.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 7.66 %
TRP.PR.A	FixedReset Disc	-4.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 8.85 %
CM.PR.O	FixedReset Disc	-4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 7.74 %
BMO.PR.E	FixedReset Disc	-4.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 7.01 %
TD.PF.D	FixedReset Disc	-4.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.80 %
NA.PR.E	FixedReset Disc	-4.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 6.99 %
TRP.PR.E	FixedReset Disc	-4.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 14.77 Evaluated at bid price : 14.77 Bid-YTW : 8.79 %
PWF.PR.T	FixedReset Disc	-4.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 7.83 %
TRP.PR.B	FixedReset Disc	-4.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 10.31 Evaluated at bid price : 10.31 Bid-YTW : 9.19 %
CU.PR.C	FixedReset Disc	-4.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 7.22 %
RY.PR.H	FixedReset Disc	-4.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 7.65 %
BN.PF.I	FixedReset Disc	-4.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 7.89 %
BNS.PR.I	FixedReset Disc	-4.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 7.00 %
BMO.PR.Y	FixedReset Disc	-4.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.63 %
TD.PF.E	FixedReset Disc	-4.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 7.66 %
SLF.PR.G	FixedReset Ins Non	-4.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 8.04 %
IFC.PR.K	Perpetual-Discount	-4.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.53 %
RY.PR.Z	FixedReset Disc	-4.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 7.62 %
TD.PF.C	FixedReset Disc	-4.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 7.87 %
BMO.PR.W	FixedReset Disc	-4.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 7.80 %
TD.PF.L	FixedReset Disc	-4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 22.52 Evaluated at bid price : 23.00 Bid-YTW : 6.75 %
FTS.PR.K	FixedReset Disc	-4.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 15.54 Evaluated at bid price : 15.54 Bid-YTW : 8.01 %
BN.PF.G	FixedReset Disc	-4.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 14.62 Evaluated at bid price : 14.62 Bid-YTW : 9.17 %
NA.PR.S	FixedReset Disc	-3.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 7.93 %
IFC.PR.C	FixedReset Disc	-3.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 7.36 %
BMO.PR.T	FixedReset Disc	-3.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 7.90 %
SLF.PR.J	FloatingReset	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 10.32 %
FTS.PR.M	FixedReset Disc	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 8.09 %
TRP.PR.D	FixedReset Disc	-3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 15.37 Evaluated at bid price : 15.37 Bid-YTW : 8.62 %
MFC.PR.K	FixedReset Ins Non	-3.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.95 %
CM.PR.P	FixedReset Disc	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 7.85 %
RY.PR.S	FixedReset Disc	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.66 Evaluated at bid price : 19.66 Bid-YTW : 6.80 %
FTS.PR.G	FixedReset Disc	-3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 7.42 %
TD.PF.A	FixedReset Disc	-3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 7.75 %
IFC.PR.A	FixedReset Ins Non	-3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 7.17 %
CM.PR.T	FixedReset Disc	-3.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 22.75 Evaluated at bid price : 23.26 Bid-YTW : 6.70 %
CM.PR.Y	FixedReset Disc	-3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 23.14 Evaluated at bid price : 23.60 Bid-YTW : 6.88 %
BN.PR.T	FixedReset Disc	-3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 13.88 Evaluated at bid price : 13.88 Bid-YTW : 8.74 %
BIP.PR.E	FixedReset Disc	-3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 6.92 %
BN.PR.X	FixedReset Disc	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 14.37 Evaluated at bid price : 14.37 Bid-YTW : 8.21 %
BMO.PR.F	FixedReset Disc	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 23.04 Evaluated at bid price : 23.54 Bid-YTW : 6.80 %
BMO.PR.S	FixedReset Disc	-3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.63 %
BN.PF.B	FixedReset Disc	-3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 8.37 %
TRP.PR.G	FixedReset Disc	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 8.20 %
BN.PR.R	FixedReset Disc	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 8.86 %
BN.PR.Z	FixedReset Disc	-2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 7.52 %
BN.PF.F	FixedReset Disc	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 8.80 %
IFC.PR.F	Insurance Straight	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 6.41 %
MFC.PR.J	FixedReset Ins Non	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.48 %
MFC.PR.I	FixedReset Ins Non	-2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.87 Evaluated at bid price : 22.31 Bid-YTW : 6.57 %
CCS.PR.C	Insurance Straight	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.49 %
CM.PR.S	FixedReset Disc	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.56 %
TD.PF.M	FixedReset Disc	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 23.10 Evaluated at bid price : 23.56 Bid-YTW : 6.85 %
BIP.PR.A	FixedReset Disc	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 9.13 %
GWO.PR.L	Insurance Straight	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 6.42 %
TRP.PR.F	FloatingReset	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 10.66 %
PWF.PR.P	FixedReset Disc	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 7.97 %
POW.PR.B	Perpetual-Discount	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 6.51 %
IFC.PR.E	Insurance Straight	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 6.36 %
PWF.PF.A	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.13 Evaluated at bid price : 18.13 Bid-YTW : 6.31 %
CU.PR.H	Perpetual-Discount	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 6.29 %
BIP.PR.B	FixedReset Disc	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 22.52 Evaluated at bid price : 23.10 Bid-YTW : 7.68 %
PWF.PR.O	Perpetual-Discount	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 22.40 Evaluated at bid price : 22.66 Bid-YTW : 6.50 %
PVS.PR.H	SplitShare	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 8.07 %
BN.PF.J	FixedReset Disc	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.85 Evaluated at bid price : 22.30 Bid-YTW : 6.84 %
TD.PF.I	FixedReset Prem	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 23.08 Evaluated at bid price : 24.70 Bid-YTW : 6.14 %
BN.PR.B	Floater	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 12.45 Evaluated at bid price : 12.45 Bid-YTW : 9.47 %
RY.PR.O	Perpetual-Discount	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.63 Evaluated at bid price : 22.05 Bid-YTW : 5.59 %
FTS.PR.F	Perpetual-Discount	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.27 %
NA.PR.C	FixedReset Prem	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 23.24 Evaluated at bid price : 25.15 Bid-YTW : 6.53 %
SLF.PR.D	Insurance Straight	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 6.11 %
CU.PR.J	Perpetual-Discount	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 6.41 %
SLF.PR.E	Insurance Straight	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 6.15 %
ELF.PR.F	Perpetual-Discount	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 6.58 %
IAF.PR.B	Insurance Straight	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.08 %
ELF.PR.G	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 6.45 %
GWO.PR.T	Insurance Straight	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.37 %
ELF.PR.H	Perpetual-Discount	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.52 %
RY.PR.N	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.67 Evaluated at bid price : 22.10 Bid-YTW : 5.58 %
BN.PR.N	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.63 %
MFC.PR.C	Insurance Straight	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 6.16 %
PVS.PR.K	SplitShare	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 7.09 %
TD.PF.B	FixedReset Disc	16.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 7.86 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.E	FixedReset Disc	52,305	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 7.66 %
TD.PF.M	FixedReset Disc	42,750	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 23.10 Evaluated at bid price : 23.56 Bid-YTW : 6.85 %
BMO.PR.T	FixedReset Disc	39,951	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 7.90 %
TD.PF.A	FixedReset Disc	37,950	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 7.75 %
CM.PR.S	FixedReset Disc	29,090	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.56 %
TD.PF.C	FixedReset Disc	27,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 7.87 %
There were 27 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.M	FixedReset Ins Non	Quote: 16.35 – 20.45 Spot Rate : 4.1000 Average : 2.9159 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 7.87 %
PWF.PR.G	Perpetual-Discount	Quote: 20.76 – 23.60 Spot Rate : 2.8400 Average : 1.8358 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 7.24 %
CM.PR.O	FixedReset Disc	Quote: 16.69 – 18.35 Spot Rate : 1.6600 Average : 1.0213 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 7.74 %
BIP.PR.A	FixedReset Disc	Quote: 16.66 – 18.49 Spot Rate : 1.8300 Average : 1.1962 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 9.13 %
TRP.PR.A	FixedReset Disc	Quote: 13.27 – 14.69 Spot Rate : 1.4200 Average : 0.8627 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 8.85 %
TD.PF.L	FixedReset Disc	Quote: 23.00 – 24.35 Spot Rate : 1.3500 Average : 0.8078 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-03-15 Maturity Price : 22.52 Evaluated at bid price : 23.00 Bid-YTW : 6.75 %

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