Category: Market Action

A horrible day for equities is continuing overnight:

Appetite for equities continued to sour in Asia as oil’s drop and a revival in demand for low-risk assets saw stocks from Japan to Australia decline with emerging-market currencies.

Asian shares fell the most in a week as a resurgent yen weighed on Japan’s Topix index, while mining and energy shares drove a 2.1 percent retreat in Australia’s benchmark. Crude fell toward $31 a barrel in New York after sliding last session as Iran’s oil minister ridiculed a plan forged by Saudi Arabia and Russia to lock production at January levels. Gold built on Tuesday’s advance, while yields on 10-year Japanese government debt fell back below zero. The pound slipped below $1.40 for the first time since 2009 as Malaysia’s ringgit dropped by the most in a week.
…
Futures on the Standard & Poor’s 500 index declined 0.1 percent, following a 1.3 percent retreat in the U.S. benchmark.

Meanwhile, Federal Reserve Bank of St. Louis President James Bullard made a presentation:

Bullard explained that modern theory suggests inflation expectations are a more important determinant of actual inflation than traditional “Phillips curve” effects (whereby further gains in labor markets put upward pressure on inflation).

He noted that the decline in market-based measures of inflation expectations in the U.S. since the summer of 2014 has been highly correlated with the decline in oil prices. “I suggested during 2015 that inflation expectations would return to previous levels once oil prices stabilized,” Bullard added. “Since then, inflation expectations have declined too far for comfort, the oil price correlation notwithstanding.”

Turning again to the FOMC’s normalization strategy being predicated on an environment of stable inflation expectations, Bullard said that renewed downward pressure on market-based measures of inflation expectations during 2016 has called this assumption into question. “I regard it as unwise to continue a normalization strategy in an environment of declining market-based inflation expectations,” he stated.

His presentation slides included a handy chart:

Interestingly, however, Alejandro Badel and Joseph McGillicuddy of the St. Louis Fed, have examined What Future Oil Price Is Consistent with Current Inflation Expectations? and come up with a surprising answer:

We calculated the future path of the CPI over the next 10 years (starting in January 2016) that would be consistent with breakeven inflation expectations at horizons of one year through 10 years.2 Then, using an annual growth rate of 2.87 percent for the “all items less energy” component and using 0.46 for the elasticity of the energy component with respect to oil prices, we backed out the future path of oil prices that would produce this future path of the CPI.3 The figure below displays the implied oil price series and compares it to the future oil prices implied by West Texas Intermediate crude oil futures.

According to our calculations, oil prices would need to fall to $0 per barrel by mid-2019 in order to validate current inflation expectations. After that, there is no oil price that would allow our model to predict a CPI path consistent with December 2015 breakeven inflation expectations. This implied path of oil prices is very different from the path of oil prices implied by futures contracts, which rises to more than $50 per barrel by mid-2019.

We state some potential explanations for our results:

• •Expectations for the future growth of the other CPI components besides energy may be lower than the annual rate of 2.87 percent we assumed in our model.
• •The recent movements in breakeven inflation expectations may have been caused by something other than the decline in oil prices. It is even possible that a third variable is driving the decline in both.
• •Investors may expect the relationship between oil price and the CPI energy component to change in the future. (This would be despite the strong relationship seen over the past 20 years, shown in the second figure in our previous blog post.)
• •Changes in the inflation risk premium for bonds that are not inflation-protected and/or changes in the liquidity premium for TIPS may be distorting breakeven inflation expectations in the last few months.

And Michael D. Bauer and Erin McCarthy of the San Francisco Fed ask Can We Rely on Market-Based Inflation Forecasts?:

Market-based measures of inflation expectations are calculated from the prices of financial securities. Their advantage is that they are readily available at high frequency and therefore are widely monitored. However, they reflect not only the public’s inflation expectations but also other idiosyncratic factors that affect market prices, which are difficult to quantify. For example, they include a risk premium to compensate investors for inflation uncertainty and are affected by changes in liquidity, unusual demand flows, and, more broadly, “animal spirits” that change prices but are unrelated to expectations (see Bauer and Rudebusch 2015). Hence it is unclear how much useful information they provide, and how much one should pay attention to these rates when forecasting inflation.

If market-based inflation expectations provided accurate inflation forecasts, then one surely would want to pay close attention to their evolution. In this Economic Letter, we evaluate their performance in comparison with a variety of alternative forecasts for CPI inflation.
…
For the one-year-ahead forecasts, the results indicate that market-based forecasts and the no-change forecast perform worst. Survey forecasts deliver the best performance. The constant forecast performs surprisingly well, with only slightly lower accuracy than the surveys.

For the two-year forecasts, Figure 2 shows that while the differences in forecast performance are smaller, market-based forecasts again are among the least accurate. Here, inflation swaps and the SPF perform about the same, both somewhat worse than the simple constant and no-change forecasts.
…
We find that market-based inflation expectations are not as accurate in predicting future inflation as one might expect. They can exhibit somewhat lower accuracy than forecasts constructed from survey expectations of future inflation, which incorporate all the information used by professional forecasters, or simple forecast rules. Interestingly, a simple constant inflation rate corresponding to the Federal Reserve’s 2% inflation target performs quite well. Our results should be viewed as only tentative as they are based on a short sample that displays a lot of volatility during the Great Recession, and because the differences in forecast accuracy are generally small. What we confidently conclude, however, is that market-based forecasts cannot improve upon some of the most common methods for predicting inflation.

Meanwhile, we will soon start seeing the effects of a grand experiment in bank funding:

Investors are poised to pull as much as $400 billion from U.S. money-market funds that buy such debt, known as commercial paper, JPMorgan Chase & Co. predicts. The looming exodus, a consequence of steps to make money markets safer after the financial crisis, is set to accelerate before October. That’s when Securities and Exchange Commission rules take effect mandating that so-called institutional prime funds, among the main buyers of commercial paper, report prices that fluctuate. Traditionally, those funds have stuck to $1 per share.

Wall Street strategists say investors may already be shifting from prime funds to those focused on government debt, which will keep a fixed share price. The diminished appetite for commercial paper is a potential headache for banks and other issuers, which saw the cost of the IOUs climb to an almost four-year high in recent weeks. The companies use the instruments for everything from loans to payrolls.
…
Financial firms’ short-term debts, including commercial paper, certificates of deposit and time deposits, make up U.S. prime funds’ biggest holdings. Bank of Tokyo-Mitsubishi UFJ Ltd., Credit Agricole SA, Sumitomo Mitsui Bank Corp., Royal Bank of Canada and DNB Bank ASA comprise the top five issuers of this debt held by the funds, according to Crane Data LLC.
…
With fund companies converting or closing prime offerings, the industry’s holdings of government securities have swelled. Taxable money-funds’ investments in government obligations rose to $1.47 trillion as of the end of January, from $1.18 billion in February 2015, according to Crane.

And there’s a new deputy in town:

The Bank of Canada plucked a researcher from the Federal Reserve Bank of San Francisco to help it navigate record-low interest rates and the lingering effects of a commodity shock.

Sylvain Leduc, currently a vice president at the San Francisco Fed, becomes the Canadian central bank’s newest policy maker starting May 2. The Montreal-born economist, 46, has published a string of papers in the last decade on subjects including the benefits of infrastructure spending, the links between exchange-rate swings and inflation, and extraordinary monetary policy.

And guess who visited the Canadian preferred share market today?

It was a grim day for the Canadian preferred share market, with PerpetualDiscounts off 26bp, FixedResets losing 183bp and DeemedRetractibles down 63bp. The Performance Highlights table is suitably enormous. Volume was very high.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.55 to be $1.41 rich, while TRP.PR.G, resetting 2020=11-30 at +296, is $0.85 cheap at its bid price of 17.00.

This analysis includes the new issue with a deemed price of 25.00.

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.44 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.24 to be 1.73 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 12.57 to be $1.40 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.28 and appears to be $1.11 rich.

FTS.PR.K, with a spread of +205bp, and bid at 14.35, looks $0.31 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 13.95 and is $0.49 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.83%, with one outlier above 0.50% and two below -1.50%. Note that the range of the y-axis has changed today. There is one junk outlier above 0.50% and two below -1.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.59 %	6.81 %	14,719	15.67	1	-5.1684 %	1,395.2
FixedFloater	7.78 %	6.81 %	23,090	15.38	1	-0.1635 %	2,555.2
Floater	4.97 %	5.23 %	78,533	15.04	4	0.0000 %	1,542.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2726 %	2,743.0
SplitShare	4.87 %	5.69 %	75,047	2.68	6	-0.2726 %	3,209.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2726 %	2,504.4
Perpetual-Premium	5.84 %	5.84 %	82,758	13.85	6	-0.1593 %	2,526.3
Perpetual-Discount	5.79 %	5.82 %	98,814	14.18	33	-0.2617 %	2,500.1
FixedReset	5.81 %	5.21 %	207,589	14.08	84	-1.8337 %	1,751.2
Deemed-Retractible	5.37 %	5.98 %	124,877	6.87	34	-0.6288 %	2,518.4
FloatingReset	3.17 %	5.47 %	49,891	5.47	16	-1.6229 %	1,928.8

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.X	FixedReset	-6.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 11.45 Evaluated at bid price : 11.45 Bid-YTW : 5.77 %
BAM.PR.R	FixedReset	-6.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 12.57 Evaluated at bid price : 12.57 Bid-YTW : 5.99 %
FTS.PR.K	FixedReset	-5.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 5.05 %
BAM.PF.A	FixedReset	-5.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.62 %
HSE.PR.E	FixedReset	-5.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 7.33 %
TD.PR.T	FloatingReset	-5.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.17 Bid-YTW : 5.91 %
BAM.PR.E	Ratchet	-5.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 25.00 Evaluated at bid price : 12.11 Bid-YTW : 6.81 %
BAM.PF.G	FixedReset	-5.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 5.64 %
BMO.PR.Q	FixedReset	-5.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.80 %
HSE.PR.G	FixedReset	-5.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 7.52 %
BAM.PF.B	FixedReset	-4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 15.52 Evaluated at bid price : 15.52 Bid-YTW : 5.61 %
BAM.PF.E	FixedReset	-4.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 5.40 %
TRP.PR.G	FixedReset	-4.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.37 %
TRP.PR.I	FloatingReset	-4.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 10.76 Evaluated at bid price : 10.76 Bid-YTW : 4.64 %
BNS.PR.Z	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.33 Bid-YTW : 7.79 %
PWF.PR.T	FixedReset	-4.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 4.26 %
PWF.PR.Q	FloatingReset	-4.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 10.06 Evaluated at bid price : 10.06 Bid-YTW : 5.12 %
TRP.PR.H	FloatingReset	-4.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 8.50 Evaluated at bid price : 8.50 Bid-YTW : 5.13 %
HSE.PR.C	FixedReset	-4.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 7.58 %
FTS.PR.H	FixedReset	-3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.92 %
MFC.PR.G	FixedReset	-3.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.24 Bid-YTW : 9.49 %
FTS.PR.G	FixedReset	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 5.23 %
BNS.PR.Y	FixedReset	-3.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.57 Bid-YTW : 7.21 %
HSE.PR.A	FixedReset	-3.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 8.03 Evaluated at bid price : 8.03 Bid-YTW : 7.45 %
MFC.PR.J	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.14 Bid-YTW : 9.38 %
NA.PR.S	FixedReset	-3.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 5.08 %
MFC.PR.I	FixedReset	-3.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 9.18 %
MFC.PR.K	FixedReset	-3.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.02 Bid-YTW : 10.04 %
BMO.PR.Y	FixedReset	-3.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 4.77 %
TRP.PR.F	FloatingReset	-3.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 10.76 Evaluated at bid price : 10.76 Bid-YTW : 5.57 %
NA.PR.W	FixedReset	-3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 14.87 Evaluated at bid price : 14.87 Bid-YTW : 5.24 %
TRP.PR.D	FixedReset	-3.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.12 %
BMO.PR.M	FixedReset	-2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 4.51 %
MFC.PR.N	FixedReset	-2.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.32 Bid-YTW : 9.15 %
BAM.PR.T	FixedReset	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 13.37 Evaluated at bid price : 13.37 Bid-YTW : 5.76 %
MFC.PR.L	FixedReset	-2.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.40 Bid-YTW : 9.83 %
CM.PR.Q	FixedReset	-2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.93 %
TRP.PR.C	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 10.37 Evaluated at bid price : 10.37 Bid-YTW : 5.32 %
NA.PR.Q	FixedReset	-2.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 5.34 %
BAM.PR.Z	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.73 %
RY.PR.H	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.67 %
SLF.PR.J	FloatingReset	-2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.25 Bid-YTW : 12.19 %
CU.PR.C	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 4.96 %
MFC.PR.M	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.62 Bid-YTW : 8.96 %
BNS.PR.D	FloatingReset	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 7.68 %
MFC.PR.H	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 8.04 %
BNS.PR.P	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 4.09 %
RY.PR.Z	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 4.58 %
FTS.PR.M	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 5.12 %
FTS.PR.I	FloatingReset	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 9.23 Evaluated at bid price : 9.23 Bid-YTW : 5.13 %
RY.PR.I	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 4.93 %
PWF.PR.P	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 11.36 Evaluated at bid price : 11.36 Bid-YTW : 4.97 %
SLF.PR.H	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.50 Bid-YTW : 10.28 %
BAM.PR.B	Floater	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 9.10 Evaluated at bid price : 9.10 Bid-YTW : 5.27 %
TRP.PR.B	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 9.75 Evaluated at bid price : 9.75 Bid-YTW : 5.09 %
IFC.PR.C	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 10.01 %
TD.PF.B	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.68 %
CM.PR.P	FixedReset	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.82 %
BNS.PR.C	FloatingReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 5.46 %
BNS.PR.B	FloatingReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 5.59 %
TD.PR.Y	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.67 %
IAG.PR.G	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.97 Bid-YTW : 9.07 %
BMO.PR.W	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 4.65 %
BMO.PR.R	FloatingReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.97 Bid-YTW : 5.24 %
CM.PR.O	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 4.78 %
RY.PR.L	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.53 Bid-YTW : 4.17 %
PVS.PR.D	SplitShare	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 6.33 %
BNS.PR.R	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.97 Bid-YTW : 4.85 %
ELF.PR.H	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 22.33 Evaluated at bid price : 22.62 Bid-YTW : 6.15 %
TD.PF.A	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.68 %
TD.PR.Z	FloatingReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 5.47 %
BNS.PR.M	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 5.65 %
PWF.PR.K	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 21.35 Evaluated at bid price : 21.62 Bid-YTW : 5.77 %
TRP.PR.A	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.27 %
BNS.PR.L	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 5.67 %
BAM.PR.K	Floater	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 9.15 Evaluated at bid price : 9.15 Bid-YTW : 5.24 %
GWO.PR.M	Deemed-Retractible	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 5.94 %
SLF.PR.B	Deemed-Retractible	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.39 Bid-YTW : 7.17 %
BMO.PR.S	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 4.64 %
RY.PR.E	Deemed-Retractible	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.66 Bid-YTW : 5.60 %
ELF.PR.F	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.10 %
SLF.PR.A	Deemed-Retractible	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.24 Bid-YTW : 7.21 %
RY.PR.G	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 5.68 %
BNS.PR.F	FloatingReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 7.80 %
TD.PF.D	FixedReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 4.83 %
GWO.PR.N	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.20 Bid-YTW : 11.48 %
MFC.PR.F	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 11.17 %
RY.PR.M	FixedReset	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.84 %
PWF.PR.A	Floater	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 10.61 Evaluated at bid price : 10.61 Bid-YTW : 4.48 %
GWO.PR.O	FloatingReset	1.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.00 Bid-YTW : 12.31 %
CIU.PR.C	FixedReset	7.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 10.57 Evaluated at bid price : 10.57 Bid-YTW : 4.70 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	143,934	TD crossed 100,000 at 25.36. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 23.27 Evaluated at bid price : 25.37 Bid-YTW : 5.21 %
BNS.PR.E	FixedReset	83,554	RBC crossed 38,400 at 25.47. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 23.29 Evaluated at bid price : 25.43 Bid-YTW : 5.12 %
RY.PR.Q	FixedReset	73,287	RBC crossed 25,000 at 25.43. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 23.24 Evaluated at bid price : 25.30 Bid-YTW : 5.17 %
SLF.PR.E	Deemed-Retractible	61,414	RBC crossed 50,000 at 20.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 7.79 %
NA.PR.X	FixedReset	55,631	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 23.19 Evaluated at bid price : 25.14 Bid-YTW : 5.47 %
SLF.PR.I	FixedReset	49,348	Desjardins crossed 25,000 at 16.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.75 Bid-YTW : 9.03 %
There were 57 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PR.Z	FloatingReset	Quote: 20.76 – 21.94 Spot Rate : 1.1800 Average : 0.7330 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 5.47 %
TD.PR.T	FloatingReset	Quote: 20.17 – 21.15 Spot Rate : 0.9800 Average : 0.5827 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.17 Bid-YTW : 5.91 %
BAM.PR.E	Ratchet	Quote: 12.11 – 12.86 Spot Rate : 0.7500 Average : 0.5357 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-23 Maturity Price : 25.00 Evaluated at bid price : 12.11 Bid-YTW : 6.81 %
GWO.PR.M	Deemed-Retractible	Quote: 25.05 – 25.70 Spot Rate : 0.6500 Average : 0.4749 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 5.94 %
MFC.PR.I	FixedReset	Quote: 16.70 – 17.23 Spot Rate : 0.5300 Average : 0.3792 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 9.18 %
BMO.PR.Q	FixedReset	Quote: 17.20 – 17.60 Spot Rate : 0.4000 Average : 0.2651 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.80 %

Assiduous Readers will remember David Rosenberg’s thesis that liquidations by resource-dependent Sovereign Wealth Funds are an important factor in the horrible markets, as discussed on February 2. Well, there’s some more fuel coming for that fire!

Sovereign wealth funds may withdraw $404.3 billion from global stock markets this year if crude prices stay between $30 to $40 per barrel as oil-rich nations seek to shore up their finances, according to the Sovereign Wealth Fund Institute.

The value of listed equities held by the world’s largest wealth funds will probably drop to $2.64 trillion this year, from about $3.04 trillion at the end of 2015, the Las Vegas-based SWFI said in an e-mailed report sent Monday. Withdrawals are set to approximately double from last year, when sovereign funds sold about $213.4 billion of equities, it said.
…
Norway, the world’s biggest wealth fund, hasn’t been “impervious to the oil glut” either, the SWFI report said.

Officials who supervise the $780 billion fund haven’t even discussed the possibility of shifting strategy, according to Egil Matsen, who last month started as the new deputy central bank governor in charge of oversight of the investor. The government this year plans to make its first withdrawal since the fund got its first capital infusion in 1996.

Meanwhile, hedge funds are moving onto the NYSE floor:

Citadel Securities and Global Trading Systems LLC recently agreed to buy NYSE floor-trading businesses, putting their computers on the same team as humans working at the lower Manhattan facility. They’re joining other automated market makers, Virtu Financial Inc. and IMC, who now oversee nearly all transactions on the floor.
…
Once their deals close, GTS and the market-making division of Citadel LLC will each oversee the trading of more than 1,000 securities. Along with Virtu and IMC, the high-speed traders will have a chance to build relationships with the listed companies whose stocks they manage.
…
Before a corporation lists its stock through an initial public offering, they interview and select the designated market maker that oversees their shares. NYSE requires the company and its trader to speak regularly.
…
Big brokers like Goldman Sachs Group Inc. and Bank of America Corp. once ruled the NYSE floor. Over time, as regulation and technology hurdles steepened, the banks sold their floor operations. Once GTS’s purchase of Barclays Plc’s NYSE business closes in the second quarter, no bank will have a designated market maker operation on the floor.

Jamil Nazarali, head of Citadel Execution Services, said that firms like his are better equipped technologically than banks to handle market making at NYSE.

“The equity markets are nearly completely automated, and the banks just don’t have the market-making capabilities we do,” Nazarali said. “It’s not an accident that the banks have left the floor.”

It’s nice to see technologically focussed firms doing well:

Cantor Fitzgerald, the Knight Capital Group and the Susquehanna International Group have all capitalized on the E.T.F. explosion.

And as these firms have grown, so has the demand for a new breed of Wall Street trader — one who can build financial models and write computer code but who also has the guts to spot a market anomaly and bet big with the firm’s capital.

In a word, these are not your suit-and-tie bond and stock traders of yore, riding the commuter train into Manhattan. They are, instead, the pick of the global brain crop.

Here is a small sample of Jane Street’s main traders: Tao Wang (doctorate in philosophy and finance from the National University of Singapore), Min Zhu (master’s in chemistry, Columbia), Brett Harrison (master’s in computer science with a focus in artificial intelligence, Harvard) and Srihari Seshadri (bachelor’s in computer science, Carnegie Mellon).

For large asset management firms like BlackRock, Vanguard and Invesco, the business of rolling out one E.T.F. after another has become a major profit center. But in many ways, the real money is being made by the trading firms that specialize in making a market in these securities.

Assiduous Reader prefobsessed has sent me a link to another Barry Critchley piece, Two tales of preferred redemption, Rona and RioCan REIT. I have updated the post REI.PR.A To Be Redeemed with some commentary.

The Norwegians remind us that anti-money-laundering laws and bureaucracies are pointless:

A study of 40 European jihadi cells by the Norwegian Defence Research Establishment found that the vast majority were financed by members’ own legitimate activities. One of the San Bernardino shooters took out a legitimate loan for $28,500 to finance the attack, rather than receiving the proverbial briefcase of cash from a foreign operative.

“One of the trends we’re seeing is local and parochial sources of income” for terrorist groups, [associate political scientist at the RAND institute Colin] Clarke agrees. He says that terrorist attacks are relatively inexpensive, and can be funded through local petty crime or credit loans. “If you plan to martyr yourself you’re not too concerned with your credit score,” he adds.

Update, 2016-4-20: There was more discussion of this on November 23, 2015

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets gaining 14bp and DeemedRetractibles down 21bp. Lots of churn is evident in the Performance Highlights table. Volume was above average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.50 to be $0.96 rich, while TRP.PR.C, resetting 2021-1-30 at +154, is $0.75 cheap at its bid price of 10.63.

This analysis includes the new issue with a deemed price of 25.00.

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.10 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.90 to be 1.45 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.41 to be $1.03 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.06 and appears to be $1.37 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.25, looks $0.64 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.51 and is $0.50 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.87%, with one outlier above 0.00% and one below -2.00%. There are thre junk outliers above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.30 %	6.46 %	14,620	16.08	1	0.5512 %	1,471.2
FixedFloater	7.77 %	6.80 %	23,504	15.40	1	0.6584 %	2,559.4
Floater	4.97 %	5.18 %	78,788	15.13	4	-0.2100 %	1,542.4
OpRet	0.00 %	0.00 %	0	0.00	0	0.0175 %	2,750.5
SplitShare	4.85 %	5.78 %	75,303	2.69	6	0.0175 %	3,218.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0175 %	2,511.3
Perpetual-Premium	5.83 %	5.80 %	83,884	13.91	6	0.0199 %	2,530.4
Perpetual-Discount	5.77 %	5.81 %	98,539	14.15	33	-0.0263 %	2,506.7
FixedReset	5.70 %	5.12 %	208,138	14.40	84	0.1355 %	1,783.9
Deemed-Retractible	5.33 %	5.78 %	125,145	6.88	34	-0.2113 %	2,534.3
FloatingReset	3.12 %	5.18 %	49,831	5.50	16	-0.2614 %	1,960.6

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.Q	FloatingReset	-5.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.90 %
GWO.PR.N	FixedReset	-4.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.01 Bid-YTW : 11.54 %
RY.PR.M	FixedReset	-4.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.93 %
RY.PR.J	FixedReset	-3.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.90 %
GWO.PR.O	FloatingReset	-3.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 10.80 Bid-YTW : 12.42 %
BAM.PF.F	FixedReset	-3.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 5.51 %
MFC.PR.F	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.10 Bid-YTW : 11.39 %
SLF.PR.H	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.74 Bid-YTW : 10.05 %
PWF.PR.P	FixedReset	-2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 4.89 %
BMO.PR.T	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 4.60 %
CIU.PR.C	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 9.83 Evaluated at bid price : 9.83 Bid-YTW : 5.05 %
NA.PR.W	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 15.34 Evaluated at bid price : 15.34 Bid-YTW : 5.07 %
HSB.PR.C	Deemed-Retractible	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.32 Bid-YTW : 5.83 %
TRP.PR.E	FixedReset	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.93 %
W.PR.J	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 22.84 Evaluated at bid price : 23.12 Bid-YTW : 6.13 %
TD.PF.D	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.89 %
RY.PR.I	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 4.60 %
CM.PR.Q	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.80 %
RY.PR.Z	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 16.92 Evaluated at bid price : 16.92 Bid-YTW : 4.49 %
GWO.PR.R	Deemed-Retractible	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.18 Bid-YTW : 7.31 %
TRP.PR.A	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 5.21 %
BAM.PR.C	Floater	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 9.10 Evaluated at bid price : 9.10 Bid-YTW : 5.27 %
BAM.PR.K	Floater	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 5.18 %
MFC.PR.G	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.90 Bid-YTW : 8.92 %
MFC.PR.N	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.79 Bid-YTW : 8.74 %
FTS.PR.G	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 5.02 %
MFC.PR.M	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.68 %
BAM.PF.G	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.34 %
TD.PR.Y	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.13 Bid-YTW : 4.40 %
SLF.PR.J	FloatingReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 11.88 %
BAM.PR.T	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 5.60 %
CU.PR.C	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 4.86 %
BNS.PR.P	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.99 Bid-YTW : 3.74 %
TRP.PR.G	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 5.13 %
BMO.PR.Y	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.61 %
BNS.PR.C	FloatingReset	1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.33 Bid-YTW : 5.18 %
IFC.PR.C	FixedReset	1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.75 Bid-YTW : 9.77 %
BMO.PR.Q	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.12 Bid-YTW : 7.82 %
BNS.PR.Z	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.16 Bid-YTW : 6.96 %
CIU.PR.A	Perpetual-Discount	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 5.88 %
PWF.PR.A	Floater	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 10.42 Evaluated at bid price : 10.42 Bid-YTW : 4.56 %
MFC.PR.K	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.52 Bid-YTW : 9.57 %
MFC.PR.L	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 9.46 %
MFC.PR.J	FixedReset	2.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 8.89 %
TD.PF.E	FixedReset	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 4.89 %
MFC.PR.I	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.26 Bid-YTW : 8.71 %
HSE.PR.E	FixedReset	2.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 15.36 Evaluated at bid price : 15.36 Bid-YTW : 6.94 %
NA.PR.Q	FixedReset	2.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.88 %
TRP.PR.B	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 9.91 Evaluated at bid price : 9.91 Bid-YTW : 5.01 %
BAM.PR.X	FixedReset	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 5.37 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset	326,018	RBC crossed blocks of 250,000 and 25,000, both at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 23.28 Evaluated at bid price : 25.40 Bid-YTW : 5.21 %
RY.PR.Q	FixedReset	112,850	Scotia crossed 21,900 at 25.41; RBC crossed 50,000 at 25.47. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 23.28 Evaluated at bid price : 25.43 Bid-YTW : 5.13 %
NA.PR.X	FixedReset	108,416	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 23.20 Evaluated at bid price : 25.17 Bid-YTW : 5.46 %
BNS.PR.E	FixedReset	64,240	Desjardins crossed 40,000 at 25.52. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 23.28 Evaluated at bid price : 25.41 Bid-YTW : 5.12 %
SLF.PR.E	Deemed-Retractible	63,072	RBC crossed 50,000 at 20.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.16 Bid-YTW : 7.68 %
BMO.PR.Q	FixedReset	50,025	TD crossed 20,000 at 18.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.12 Bid-YTW : 7.82 %
There were 43 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.F	FixedReset	Quote: 17.04 – 18.40 Spot Rate : 1.3600 Average : 0.9407 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 5.51 %
MFC.PR.K	FixedReset	Quote: 15.52 – 16.25 Spot Rate : 0.7300 Average : 0.4859 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.52 Bid-YTW : 9.57 %
RY.PR.M	FixedReset	Quote: 16.98 – 17.90 Spot Rate : 0.9200 Average : 0.6832 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.93 %
TRP.PR.E	FixedReset	Quote: 16.50 – 17.60 Spot Rate : 1.1000 Average : 0.8724 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.93 %
PWF.PR.Q	FloatingReset	Quote: 10.50 – 11.90 Spot Rate : 1.4000 Average : 1.1910 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-22 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.90 %
BNS.PR.F	FloatingReset	Quote: 17.83 – 18.49 Spot Rate : 0.6600 Average : 0.4705 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.83 Bid-YTW : 7.98 %

There was good news on US inflation today:

The cost of living in the U.S. excluding food and fuel increased in January by the most in more than four years, reflecting broad-based gains that signal companies may be getting some pricing power.

The so-called core consumer-price measure climbed 0.3 percent, more than forecast and the most since August 2011, after a 0.2 percent gain the month before, a Labor Department report showed Friday in Washington. Total prices were little changed, depressed by the continued plunge in energy costs.
…
In the 12 months ended January, the overall consumer price measure increased 1.4 percent after a 0.7 percent increase in the prior period.

The core index advanced 2.2 percent from a year earlier, the most since June 2012.

But, of course, there’s always worry:

The U.S. economy may be saddled with a “deflationary bias” after the last recession that makes it harder for the Federal Reserve to achieve its 2 percent inflation goal, according to research published this month by the central bank.

Economists Timothy Hills, Taisuke Nakata and Sebastian Schmidt argue that the bias stems from a recognition by companies that the Fed has limited ability to spur the economy when interest rates are low.

That in turn prompts firms to reduce expectations of future costs, affecting what they decide to charge for their products and services.

“Our result provides a cautionary tale for policy makers aiming to raise inflation from currently low levels,” the economists wrote in a paper and an accompanying note. “Achieving the inflation target may be more difficult now than before the Great Recession.”
…
To try to offset the deflationary bias, the authors suggest the Fed should place more emphasis on lifting inflation than on stabilizing output. That would imply allowing unemployment to fall below its long-run natural rate.

The central bank could also raise its inflation target from 2 percent to help increase expectations of future price increases, the researchers said.

At the core of the paper is an assumption that the zero lower bound on interest rates constrains the Fed’s ability to promote faster economic growth and higher inflation. It is that constraint — and the likelihood that the central bank will encounter it more frequently in the future — that prompts companies to lower their inflation expectations.

However, even if the Fed pushed rates below zero to a negative half percentage point, the model finds that inflation would still fall short of the central bank’s goal, albeit not by as much as otherwise.

And criticism is mounting:

Negative rates are a “dangerous experiment,” according to Huw van Steenis, an analyst at Morgan Stanley who warns in a recent report that they will erode banks’ profitability. The push below zero signals “policy exhaustion,” says Chris Xiao at Merrill Lynch. The moves in Switzerland and the euro zone have so far failed to boost growth, notes Christopher Swann, a strategist at UBS Wealth Management.

Some observers worry about possible dangers to international trade. “Negative interest rates represent another escalation of the so-called currency wars,” warns Mr. Mather of Pimco, who is concerned that some central banks are using subzero rates as a way to devalue their currencies and boost exports.

For his part, Mr. de Verteuil of CIBC cautions that subzero rates could lead to a stampede out of money market funds. “We aren’t sure whether individual investors will be prepared to pay to own a money market fund – but we highly doubt it,” he writes. Since those funds play an important role in buying companies’ short-term debt, the result could be a severe crimping of lending to the corporate sector.

Meanwhile, Canada’s economy is still in the doldrums:

The OECD now projects economic growth of just 1.4 per cent in Canada this year as the oil shock wreaks havoc on parts of the country, with a ripple effect outward. That’s well shy of its earlier call in November for 2 per cent.
…
While that downgrade is the steepest among the G7, it would still put Canada ahead of Germany, France, Italy and Japan.

However, Canada would still trail the forecast showings of Britain and the United States, at 2.1 per cent and 2 per cent, respectively.

While growth of 1.4 per cent is lame, it’s not as bad as some other economists project. Those other forecasts tend to be in the area of 1 per cent or even worse.

And there’s a contra-indicator to the idea that the bright lights of the new generation will bail us out:

Perhaps millennials should just stick to investing in index funds—or at least the exchange-traded funds that their robo-advisers put them in.

According to research from online brokerage TD Ameritrade Holding Corporation, one particularly risky ETF is attracting the millennial demographic far more than other age groups. In fact, it was one of the top 10 stocks traded by millennials in 2015.

The VelocityShares Daily 3x Long Crude ETN (UWTI) isn’t just a risky product; it is arguably the most dangerous ETF on planet Earth. First off, it is triple leveraged, which makes it extremely volatile—nearly 10 times more jumpy than the S&P 500 Index and more than double any of the other stocks on the list. The leverage amount in UWTI also gets reset each day, which can make for some epic days when oil does go up but over time causes returns to corrode.

As aficionados of Sequence of Returns risk will remember, these leveraged funds have an implicit policy to sell low and buy high … how could they not lose money?

Amidst all this gloom, let’s focus on a bright spot: supply management is losing its allure:

In a policy about-face, senior Quebec bureaucrat Florent Gagné is urging the province to end strict maple-syrup quotas and let producers sell what they want, to who they want.

“It’s hard to understand why in an international race that we impose constraints [on our producers] that the other players don’t,” Mr. Gagné lamented as he released a controversial report on the challenges facing the maple-syrup industry.
…
Quebec has been called the Saudi Arabia of maple syrup, producing more than 60 per cent of the global output of the sweet and sticky stuff – roughly 100 million pounds a year. A provincially sanctioned cartel was created in the early 2000s, run by the Federation of Quebec Maple Syrup Producers and blessed by government. The federation imposes production quotas, stockpiles surplus syrup and sets the price paid to producers.

But the province is bleeding market share to New England states, Ontario and New Brunswick, where producers are free to make and sell whatever they want. U.S. producers, in particular, have been ramping up output at the expense of Quebec.

Dream Office REIT, managed by Dream Unlimited, proud issuer of DRM.PR.A, is biting the bullet:

Battered by tumbling investor confidence in Alberta companies, and hamstrung by heavy cash outlays for the foreseeable future, Dream Office REIT has unveiled a stunning strategic shift.

Late Thursday, the real estate investment trust, which is one of Canada’s largest office tower owners, announced sweeping plans to slash its distribution by one-third, top up its credit facility to $800-million and unload at least $1.2-billion worth of properties over the next three years.

The ambitious strategy is something investors and analysts have been looking for. Partly because 20 per cent of Dream’s portfolio is in Alberta, spooked investors had sent its units tumbling 60 per cent from their peak in 2012. The REIT must also spend hundreds of millions to upgrade and maintain its buildings and pay its distribution. Cash was getting so tight that it looked likely Dream would need to borrow in order to fund its monthly payout next year. Slashing the distribution saves roughly $80-million annually.

It was a good solid day for the Canadian preferred share market, with PerpetualDiscounts up 43bp, FixedResets winning 44bp and DeemedRetractibles gaining 27bp. Floating Rate issues did very well. The Performance Highlights table continues to show lots of churn. Volume was below average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.76 to be $1.19 rich, while TRP.PR.C, resetting 2021-1-30 at +154, is $0.78 cheap at its bid price of 10.60.

This analysis includes the new issue with a deemed price of 25.00.

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.23 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.00 to be 1.39 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.28 to be $1.10 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.00 and appears to be $1.38 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.15, looks $0.63 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.35 and is $0.56 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.65%, with two outliers above 0.00%. Note that the range of the y-axis has changed. There are two junk outliers above 0.00% and one below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.33 %	6.49 %	15,250	16.05	1	6.2762 %	1,463.2
FixedFloater	7.82 %	6.84 %	23,928	15.36	1	0.8299 %	2,542.7
Floater	4.96 %	5.12 %	79,668	15.23	4	4.4694 %	1,545.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.1035 %	2,750.0
SplitShare	4.85 %	5.67 %	74,429	2.70	6	0.1035 %	3,218.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1035 %	2,510.8
Perpetual-Premium	5.83 %	5.79 %	83,155	13.88	6	0.2396 %	2,529.8
Perpetual-Discount	5.77 %	5.80 %	98,660	14.16	33	0.4296 %	2,507.3
FixedReset	5.70 %	5.10 %	206,438	14.47	84	0.4363 %	1,781.5
Deemed-Retractible	5.32 %	5.77 %	122,564	6.88	34	0.2709 %	2,539.7
FloatingReset	3.11 %	5.20 %	50,076	5.50	16	-0.0653 %	1,965.7

Performance Highlights
Issue	Index	Change	Notes
RY.PR.K	FloatingReset	-2.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.81 Bid-YTW : 4.80 %
BNS.PR.C	FloatingReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.02 Bid-YTW : 5.44 %
HSE.PR.E	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 7.11 %
TD.PF.E	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.98 %
HSE.PR.G	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 15.29 Evaluated at bid price : 15.29 Bid-YTW : 7.09 %
VNR.PR.A	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.36 %
NA.PR.Q	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 5.36 %
TRP.PR.C	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 5.16 %
TD.PF.C	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.57 %
CM.PR.P	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 4.68 %
GWO.PR.Q	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.79 Bid-YTW : 6.62 %
PWF.PR.F	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 22.43 Evaluated at bid price : 22.69 Bid-YTW : 5.83 %
GWO.PR.H	Deemed-Retractible	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.63 Bid-YTW : 7.05 %
FTS.PR.J	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 5.70 %
NA.PR.S	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 4.85 %
BAM.PR.T	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 13.58 Evaluated at bid price : 13.58 Bid-YTW : 5.63 %
BAM.PR.R	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 13.28 Evaluated at bid price : 13.28 Bid-YTW : 5.62 %
MFC.PR.H	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.77 %
TRP.PR.H	FloatingReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 8.91 Evaluated at bid price : 8.91 Bid-YTW : 4.89 %
IAG.PR.G	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.93 %
MFC.PR.F	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.69 Bid-YTW : 10.98 %
BNS.PR.Y	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.15 Bid-YTW : 6.62 %
TD.PF.D	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.80 %
RY.PR.M	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.67 %
MFC.PR.J	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.58 Bid-YTW : 9.18 %
MFC.PR.G	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 9.03 %
PWF.PR.P	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.75 %
BMO.PR.W	FixedReset	1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 4.54 %
RY.PR.F	Deemed-Retractible	1.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 5.52 %
FTS.PR.G	FixedReset	2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 5.04 %
FTS.PR.H	FixedReset	2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.68 %
BMO.PR.T	FixedReset	2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.48 %
BNS.PR.Z	FixedReset	2.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.82 Bid-YTW : 7.28 %
FTS.PR.K	FixedReset	2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 4.74 %
RY.PR.J	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 4.71 %
FTS.PR.M	FixedReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 5.03 %
CIU.PR.C	FixedReset	2.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 10.01 Evaluated at bid price : 10.01 Bid-YTW : 4.91 %
SLF.PR.H	FixedReset	2.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.11 Bid-YTW : 9.66 %
BAM.PR.C	Floater	4.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 9.20 Evaluated at bid price : 9.20 Bid-YTW : 5.21 %
BAM.PR.B	Floater	4.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 9.33 Evaluated at bid price : 9.33 Bid-YTW : 5.13 %
TRP.PR.I	FloatingReset	4.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 4.44 %
BAM.PR.E	Ratchet	6.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 25.00 Evaluated at bid price : 12.70 Bid-YTW : 6.49 %
BAM.PR.K	Floater	9.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 5.12 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.P	FixedReset	117,700	Scotia crossed blocks of 62,000 and 50,000, both at 16.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 4.68 %
CU.PR.I	FixedReset	103,258	Scotia crossed 100,000 at 25.08. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 23.20 Evaluated at bid price : 25.08 Bid-YTW : 4.38 %
BMO.PR.W	FixedReset	70,540	Scotia crossed 40,000 and 25,000, both at 16.51. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 4.54 %
SLF.PR.I	FixedReset	68,192	TD crossed 60,000 at 16.90. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.76 Bid-YTW : 8.99 %
TD.PF.G	FixedReset	43,914	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 23.28 Evaluated at bid price : 25.41 Bid-YTW : 5.18 %
BAM.PF.H	FixedReset	39,611	Scotia crossed 30,000 at 25.02. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 23.18 Evaluated at bid price : 25.02 Bid-YTW : 4.96 %
There were 25 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CM.PR.Q	FixedReset	Quote: 18.40 – 19.79 Spot Rate : 1.3900 Average : 0.8143 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.71 %
IFC.PR.A	FixedReset	Quote: 13.00 – 13.80 Spot Rate : 0.8000 Average : 0.5271 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 11.79 %
TRP.PR.E	FixedReset	Quote: 16.76 – 17.65 Spot Rate : 0.8900 Average : 0.6229 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 4.83 %
BAM.PR.X	FixedReset	Quote: 11.90 – 12.65 Spot Rate : 0.7500 Average : 0.5154 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 5.49 %
TD.PF.E	FixedReset	Quote: 17.86 – 18.80 Spot Rate : 0.9400 Average : 0.7083 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.98 %
BAM.PR.G	FixedFloater	Quote: 12.15 – 12.89 Spot Rate : 0.7400 Average : 0.5120 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-19 Maturity Price : 25.00 Evaluated at bid price : 12.15 Bid-YTW : 6.84 %

It’s the same the world over: competition by litigation and lobbying:

Aileen Jeffery arrived in Tokyo two years ago and spotted what she thought was the best opportunity of her career: Hotel rooms in Japan’s capital were scarce and a boom in tourism was exacerbating the shortage.

The 26-year-old former real estate analyst took a 21st Century approach to the business, investing in condominiums tailored for customers of Airbnb Inc. rather than travelers inclined to stay at traditional hotels. That let her offer rooms in residential neighborhoods and sidestep Japan’s strict and peculiar seven-decade old rules for hotels, which dictate everything from the length of reception desks to the color of pillow cases. Jeffery’s bet seemed like a good one at the time: Japan is Airbnb’s fastest-growing market in the world.

Perhaps not for much longer though. Under pressure from the hotel industry and a populace concerned with the surge of foreigners in their neighborhoods, Prime Minister Shinzo Abe’s government has released guidelines for home sharing — called minpaku in Japanese — that could make most Airbnb rentals in the country illegal. Airbnb hosts would only be allowed to rent to guests who stay for a week or longer, a minuscule slice of the market. The national guidelines only become law if local municipalities decide to ratify them, but that is beginning to happen. Jeffery is rethinking her expansion plans, while Airbnb is seeking ways to hang on to its business.

There’s an interesting Bloomberg story on ETFs that out-perform their benchmark:

In certain pockets of the industry, ETFs are consistently beating the return on the indexes they’re meant to track. Theoretically, an ETF should lag its index by roughly the amount of its fee to investors. But that doesn’t account for revenue from securities lending. ETFs can lend out as much as 33 percent of their equity holdings to short sellers in return for a small fee. ETFs can then use that revenue to offset the expense ratio.

In some cases, an ETF has securities in its portfolio that are in such high demand from short sellers that the lending fees add up to more than the fund’s expense ratio—so the ETF not only makes up its fees but also pushes returns above those of the index.

The most prominent examples of this phenomenon are in ETFs that track small-cap indexes. State Street Corp., BlackRock Inc.’s iShares, and Vanguard Group Inc. all have small-cap ETFs—with more than $30 billion in collective assets—whose extra revenue from securities lending leads to returns that top those of the indexes they track.

I’m trying to work out potential consequences of that. Say the ETF reduces the number of units outstanding. This will lead to a decline in the amount of stock available for lending (probably not on a 1:1 basis, but it could be pretty close) and therefore could lead to a short squeeze. This will cost the short-sellers a lot of money, and possibly lead to knock-on short-covering if they’re too close to their margin limits. But what will cause a reduction of units outstanding? Most likely, a decline in index level. So this scenario is negative-feedback, which is a Good Thing.

Off the top of my head, I can’t think of any positive feedback loops. But it’s an interesting thought.

Moody’s has confirmed HSE’s bond rating at Baa2. I have updated the post HSE: Trend Negative, says DBRS

It was a modestly positive day for the Canadian preferred share market today, with PerpetualDiscounts up 14bp, FixedResets winning 29bp and DeemedRetractibles gaining 12bp. The Performance Highlights table is lengthy. Volume was on the low side of average.

PerpetualDiscounts now yield 5.83%, equivalent to 7.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.2% – OK, maybe a little over – so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant narrowing from the 350bp reported February 10.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.78 to be $1.20 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.80 cheap at its bid price of 17.63.

This analysis includes the new issue with a deemed price of 25.00.

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.32 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.70 to be 1.57 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.11 to be $1.20 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.90 and appears to be $1.34 rich.

FTS.PR.K, with a spread of +205bp, and bid at 14.79, looks $0.61 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.05 and is $0.51 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.65%, with one outliers above 0.50% and two below -1.50%. Note that the range of the y-axis has changed. There are two junk outliers above 0.00%. There are no junk outliers.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.67 %	6.89 %	15,368	15.58	1	0.7589 %	1,376.7
FixedFloater	7.88 %	6.89 %	23,825	15.29	1	-0.0829 %	2,521.8
Floater	5.18 %	5.37 %	80,573	14.81	4	0.3854 %	1,479.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.0251 %	2,747.2
SplitShare	4.86 %	5.78 %	74,293	2.70	6	0.0251 %	3,214.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0251 %	2,508.2
Perpetual-Premium	5.85 %	5.84 %	82,455	0.08	6	0.0533 %	2,523.8
Perpetual-Discount	5.79 %	5.83 %	99,849	14.12	33	0.1406 %	2,496.6
FixedReset	5.72 %	5.11 %	210,017	14.39	84	0.2942 %	1,773.7
Deemed-Retractible	5.33 %	5.74 %	122,507	6.89	34	0.1215 %	2,532.8
FloatingReset	3.11 %	5.07 %	49,890	5.51	16	-0.0307 %	1,967.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-3.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 8.52 Evaluated at bid price : 8.52 Bid-YTW : 5.63 %
BAM.PR.X	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 11.96 Evaluated at bid price : 11.96 Bid-YTW : 5.46 %
BAM.PF.E	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.16 %
TD.PR.Y	FixedReset	-2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.64 %
SLF.PR.G	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.25 Bid-YTW : 10.45 %
GWO.PR.N	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.52 Bid-YTW : 11.09 %
MFC.PR.G	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 9.29 %
BAM.PR.Z	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.62 %
RY.PR.F	Deemed-Retractible	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 5.88 %
TD.PR.Z	FloatingReset	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.06 Bid-YTW : 5.19 %
TRP.PR.B	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 9.63 Evaluated at bid price : 9.63 Bid-YTW : 5.11 %
FTS.PR.K	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 14.79 Evaluated at bid price : 14.79 Bid-YTW : 4.86 %
MFC.PR.M	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.90 Bid-YTW : 8.90 %
TRP.PR.A	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 5.09 %
MFC.PR.N	FixedReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.71 Bid-YTW : 8.99 %
RY.PR.W	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 22.64 Evaluated at bid price : 22.89 Bid-YTW : 5.37 %
BIP.PR.A	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 6.23 %
HSE.PR.C	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 13.81 Evaluated at bid price : 13.81 Bid-YTW : 7.25 %
CM.PR.P	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.73 %
PWF.PR.Q	FloatingReset	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 10.99 Evaluated at bid price : 10.99 Bid-YTW : 4.68 %
CU.PR.H	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 22.56 Evaluated at bid price : 22.90 Bid-YTW : 5.74 %
CU.PR.C	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 15.71 Evaluated at bid price : 15.71 Bid-YTW : 4.88 %
BAM.PR.B	Floater	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 8.92 Evaluated at bid price : 8.92 Bid-YTW : 5.37 %
TRP.PR.F	FloatingReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 5.34 %
RY.PR.J	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 4.83 %
MFC.PR.F	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 11.19 %
HSE.PR.G	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 6.99 %
BAM.PR.C	Floater	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 8.81 Evaluated at bid price : 8.81 Bid-YTW : 5.44 %
TRP.PR.E	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 4.82 %
RY.PR.Z	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.44 %
BNS.PR.D	FloatingReset	1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.88 Bid-YTW : 7.43 %
BMO.PR.S	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.59 %
BMO.PR.Y	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.63 %
SLF.PR.I	FixedReset	1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.82 Bid-YTW : 8.93 %
PWF.PR.A	Floater	2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 10.22 Evaluated at bid price : 10.22 Bid-YTW : 4.65 %
VNR.PR.A	FixedReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.29 %
RY.PR.M	FixedReset	2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 4.75 %
CM.PR.Q	FixedReset	2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.71 %
HSE.PR.E	FixedReset	2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 6.97 %
TRP.PR.C	FixedReset	3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 10.71 Evaluated at bid price : 10.71 Bid-YTW : 5.11 %
MFC.PR.H	FixedReset	3.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.95 %
TRP.PR.D	FixedReset	3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 4.90 %

Volume Highlights
Issue	Index	Shares Traded	Notes
SLF.PR.I	FixedReset	167,545	Desjardins crossed three blocks, two of 50,000 each and one of 48,700, all at 16.85. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.82 Bid-YTW : 8.93 %
TD.PF.G	FixedReset	128,105	Desjardins crossed 21,500 at 25.45; RBC crossed blocks of 26,300 and 27,900, both at 25.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 23.25 Evaluated at bid price : 25.33 Bid-YTW : 5.20 %
RY.PR.Q	FixedReset	124,390	RBC crossed two blocks of 25,000 each, both at 25.50, and bought 11,000 from anonymous. TD crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 23.29 Evaluated at bid price : 25.45 Bid-YTW : 5.11 %
NA.PR.X	FixedReset	101,430	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 23.16 Evaluated at bid price : 25.03 Bid-YTW : 5.48 %
BMO.PR.Q	FixedReset	86,756	Scotia crossed 25,000 at 17.78 and another 25,000 at 17.70. RBC crossed 25,000 at 17.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.74 Bid-YTW : 8.18 %
MFC.PR.B	Deemed-Retractible	39,600	TD crossed 25,000 at 20.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.61 Bid-YTW : 7.55 %
There were 28 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.F	Deemed-Retractible	Quote: 23.25 – 23.97 Spot Rate : 0.7200 Average : 0.4107 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 5.88 %
POW.PR.G	Perpetual-Discount	Quote: 24.33 – 25.00 Spot Rate : 0.6700 Average : 0.4191 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-18 Maturity Price : 23.87 Evaluated at bid price : 24.33 Bid-YTW : 5.81 %
GWO.PR.S	Deemed-Retractible	Quote: 23.74 – 24.38 Spot Rate : 0.6400 Average : 0.4281 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.74 Bid-YTW : 6.13 %
BNS.PR.R	FixedReset	Quote: 23.21 – 23.89 Spot Rate : 0.6800 Average : 0.4741 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.21 Bid-YTW : 4.63 %
TD.PR.Y	FixedReset	Quote: 22.81 – 23.84 Spot Rate : 1.0300 Average : 0.8245 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.64 %
RY.PR.C	Deemed-Retractible	Quote: 24.11 – 24.63 Spot Rate : 0.5200 Average : 0.3430 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.11 Bid-YTW : 5.32 %

Equities popped today on the back of oil:

The Standard & Poor’s 500 Index rose 1.7 percent to 1,926.82 at 4 p.m. in New York, capping its first three-day advance this year and closing at a two-week high. The Dow climbed 257.42 points, or 1.6 percent, to 16,453.83. The Nasdaq Composite Index gained 2.2 percent. About 9.2 billion shares traded hands on U.S. exchanges, 14 percent above the three-month average.
…
Equity gains are coming virtually as fast as the losses that sent the S&P 500 to its worst start to any year, with almost half of 2016’s decline made up in three days. The rally today occurred as oil climbed more than 5 percent, Federal Reserve officials expressed caution on the economy and data on manufacturing was better than forecast.

On the other hand, Japan auctioned 5-year bonds with a negative yield:

Japan’s government got paid to borrow at a five-year note auction for the first time on Thursday after the central bank adopted a negative interest-rate policy on Jan. 29. The sale drew an average yield of minus 0.138 percent. Japan is following Germany, Switzerland and Denmark in being able to attract buyers even as yields fall below zero.

One of the many benefits of High Frequency Trading may be the arbitrage between the cash and futures markets:

The close relationship between market volatility and trading activity is a long-established fact in financial markets. In recent years, much of the trading in U.S. Treasury and equity markets has been associated with nearly simultaneous trading between the leading cash and futures platforms. The striking cross-activity patterns that arise in both high-frequency cross-market trading and related cross-market order book changes in U.S. Treasury markets are also witnessed in other asset classes and naturally lead to the question that we investigate in this post of how the cross-market component of overall trading activity is related to volatility.

The chart below displays a measure of cross-market activity for the ten-year Treasury note cash and futures markets (left column) and the S&P 500 cash and futures markets (right column) across different millisecond offsets. Of note is the pronounced asymmetry of the spike in the measure at +5 milliseconds for the S&P 500 compared with the ten-year U.S. Treasury. The much higher spike for the positive 5 millisecond offset is consistent with the often-cited dominant role played by the S&P futures market in price discovery. Leaving this asymmetry aside, the spikes in cross-market activity on October 15 and 16, 2014, stand out as being well-aligned with the heightened volatility and trading observed on those days. Cross-market trading and quoting activity thus appears to be related to variations in market volatility, which can create (short-lived) dislocations in relative valuations as market participants respond to news about fundamentals or market activity itself.

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts up 19bp, FixedResets winning 142bp and DeemedRetractibles gaining 12bp. Unsurprisingly, the Performance Highlights table is both enormous and dominated by FixedReset winners, with many issues gaining over 5%. Volume was very high.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.51 to be $1.16 rich, while TRP.PR.C, resetting 2021-1-30 at +154, is $0.97 cheap at its bid price of 10.36.

This analysis includes the new issue with a deemed price of 25.00.

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.32 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.99 to be 1.25 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.00 to be $1.46 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.31 and appears to be $1.62 rich.

FTS.PR.K, with a spread of +205bp, and bid at 15.00, looks $0.81 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.00 and is $0.58 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.72%, with four outliers above 0.00%. There are two junk outliers above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.71 %	6.94 %	15,457	15.53	1	1.2810 %	1,366.4
FixedFloater	7.88 %	6.89 %	24,873	15.30	1	1.7722 %	2,523.8
Floater	5.20 %	5.41 %	81,003	14.76	4	3.2983 %	1,473.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.3516 %	2,746.5
SplitShare	4.81 %	5.75 %	74,386	2.67	6	0.3516 %	3,213.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3516 %	2,507.6
Perpetual-Premium	5.85 %	5.82 %	83,019	13.87	6	0.1000 %	2,522.5
Perpetual-Discount	5.80 %	5.84 %	99,678	14.13	33	0.1897 %	2,493.1
FixedReset	5.74 %	5.11 %	211,852	14.43	84	1.4227 %	1,768.5
Deemed-Retractible	5.34 %	5.81 %	123,857	6.89	34	0.1153 %	2,529.7
FloatingReset	3.11 %	5.02 %	49,790	5.51	16	0.4631 %	1,967.6

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.B	FloatingReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 5.19 %
GWO.PR.O	FloatingReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.15 Bid-YTW : 12.10 %
BNS.PR.C	FloatingReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 5.02 %
TD.PR.Y	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.32 Bid-YTW : 4.22 %
TRP.PR.F	FloatingReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 11.04 Evaluated at bid price : 11.04 Bid-YTW : 5.42 %
TD.PF.B	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.58 %
PWF.PR.K	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 21.47 Evaluated at bid price : 21.73 Bid-YTW : 5.74 %
FTS.PR.G	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 5.17 %
MFC.PR.G	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.99 Bid-YTW : 9.04 %
RY.PR.J	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.90 %
CM.PR.Q	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.84 %
SLF.PR.I	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 9.20 %
TD.PF.E	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 4.85 %
BAM.PR.E	Ratchet	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 25.00 Evaluated at bid price : 11.86 Bid-YTW : 6.94 %
BNS.PR.Y	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.00 %
BMO.PR.M	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.31 Bid-YTW : 4.03 %
RY.PR.W	Perpetual-Discount	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 5.30 %
POW.PR.D	Perpetual-Discount	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 5.85 %
RY.PR.M	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 4.87 %
W.PR.K	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 22.83 Evaluated at bid price : 24.10 Bid-YTW : 5.48 %
TRP.PR.A	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 13.53 Evaluated at bid price : 13.53 Bid-YTW : 5.02 %
CM.PR.P	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.79 %
BNS.PR.D	FloatingReset	1.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.58 Bid-YTW : 7.73 %
PVS.PR.D	SplitShare	1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 6.17 %
BAM.PR.G	FixedFloater	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 25.00 Evaluated at bid price : 12.06 Bid-YTW : 6.89 %
TD.PF.F	Perpetual-Discount	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 22.12 Evaluated at bid price : 22.46 Bid-YTW : 5.49 %
BMO.PR.T	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 4.61 %
HSE.PR.A	FixedReset	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 8.35 Evaluated at bid price : 8.35 Bid-YTW : 7.09 %
NA.PR.Q	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.63 Bid-YTW : 5.16 %
FTS.PR.I	FloatingReset	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 9.42 Evaluated at bid price : 9.42 Bid-YTW : 5.02 %
FTS.PR.M	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.16 %
PWF.PR.T	FixedReset	2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 4.06 %
BAM.PR.T	FixedReset	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 13.37 Evaluated at bid price : 13.37 Bid-YTW : 5.72 %
SLF.PR.J	FloatingReset	2.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.45 Bid-YTW : 11.92 %
MFC.PR.L	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.78 Bid-YTW : 9.66 %
FTS.PR.K	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 4.79 %
BAM.PF.G	FixedReset	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.37 %
BAM.PF.F	FixedReset	3.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 5.33 %
HSE.PR.E	FixedReset	3.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 7.18 %
BAM.PR.R	FixedReset	3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.74 %
BAM.PF.B	FixedReset	3.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 5.38 %
BAM.PR.Z	FixedReset	3.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 5.52 %
CM.PR.O	FixedReset	4.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.71 %
TRP.PR.G	FixedReset	4.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.28 %
MFC.PR.N	FixedReset	4.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.90 Bid-YTW : 8.82 %
BAM.PR.K	Floater	4.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 8.86 Evaluated at bid price : 8.86 Bid-YTW : 5.41 %
MFC.PR.M	FixedReset	4.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.13 Bid-YTW : 8.70 %
BAM.PR.C	Floater	4.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 8.67 Evaluated at bid price : 8.67 Bid-YTW : 5.53 %
HSE.PR.G	FixedReset	4.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 15.26 Evaluated at bid price : 15.26 Bid-YTW : 7.10 %
BAM.PF.A	FixedReset	4.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.35 %
SLF.PR.H	FixedReset	4.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 10.14 %
GWO.PR.N	FixedReset	5.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.75 Bid-YTW : 10.83 %
MFC.PR.K	FixedReset	5.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.77 %
MFC.PR.F	FixedReset	5.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.31 Bid-YTW : 11.39 %
BAM.PR.B	Floater	5.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 8.80 Evaluated at bid price : 8.80 Bid-YTW : 5.44 %
SLF.PR.G	FixedReset	6.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.52 Bid-YTW : 10.17 %
BAM.PR.X	FixedReset	7.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 12.31 Evaluated at bid price : 12.31 Bid-YTW : 5.30 %
BAM.PF.E	FixedReset	7.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 5.03 %
PWF.PR.Q	FloatingReset	8.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 10.85 Evaluated at bid price : 10.85 Bid-YTW : 4.74 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.M	FixedReset	155,067	TD crossed 21,000 at 15.90, followed by blocks of 100,000 and 19,000, both at 16.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.16 %
FTS.PR.H	FixedReset	151,934	Scotia crossed blocks of 52,800 and 95,400, both at 11.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 11.16 Evaluated at bid price : 11.16 Bid-YTW : 4.83 %
BAM.PR.K	Floater	114,575	TD crossed 100,000 at 8.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 8.86 Evaluated at bid price : 8.86 Bid-YTW : 5.41 %
TD.PF.G	FixedReset	95,049	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 23.25 Evaluated at bid price : 25.31 Bid-YTW : 5.21 %
BMO.PR.Y	FixedReset	90,020	Scotia crossed blocks of 50,000 and 25,000, both at 18.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 4.71 %
RY.PR.Q	FixedReset	83,277	RBC crossed 10,000 at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 23.28 Evaluated at bid price : 25.44 Bid-YTW : 5.11 %
There were 56 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.H	FixedReset	Quote: 11.16 – 12.35 Spot Rate : 1.1900 Average : 0.7183 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 11.16 Evaluated at bid price : 11.16 Bid-YTW : 4.83 %
MFC.PR.H	FixedReset	Quote: 18.12 – 19.12 Spot Rate : 1.0000 Average : 0.6328 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.12 Bid-YTW : 8.44 %
CIU.PR.C	FixedReset	Quote: 9.82 – 10.57 Spot Rate : 0.7500 Average : 0.4374 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 9.82 Evaluated at bid price : 9.82 Bid-YTW : 5.00 %
FTS.PR.G	FixedReset	Quote: 14.00 – 15.00 Spot Rate : 1.0000 Average : 0.6993 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 5.17 %
TRP.PR.I	FloatingReset	Quote: 10.75 – 12.00 Spot Rate : 1.2500 Average : 1.0157 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.64 %
TRP.PR.A	FixedReset	Quote: 13.53 – 14.19 Spot Rate : 0.6600 Average : 0.4437 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-17 Maturity Price : 13.53 Evaluated at bid price : 13.53 Bid-YTW : 5.02 %

I have no idea how important this service really is … but certainly my projections of sixteen years ago (that the Internet would promote a meritocracy and decrease the importance of brand names) are seeing some acceptance:

Joshua Young started his hedge fund less than a year ago. Last month, he caught a break when a university endowment handed him $20 million, quintupling his assets under management.

How did an obscure Houston fund called Bison Interests land such a big fish?

Young, all of 32, had set up a profile on SumZero, a website that started out as a repository for buy-side research and has more recently morphed into a mashup of LinkedIn and Match.com where institutional investors can find up-and-coming fund managers and choose them based on the quality of their analysis. Using SumZero, Young bypassed an old-boy network that prizes relationships, credentials and word-of-mouth referrals. The company says it has helped generate hundreds of introductions between the more than 12,000 fund managers with SumZero profiles and the 270 institutional investors now using the site, which include the family offices of several big tech executives.
…
Multiple studies have shown that smaller funds tend to do better than larger ones, some of which have performed poorly during the recent market rout. But herd mentality and risk-avoidance prompts many institutional investors to steer their money to big, entrenched players. Firms with more than $5 billion under management represent just 6 percent of all hedge funds but manage about 70 percent of the invested capital, according to Hedge Fund Research.

This trend, if it is a trend, ties in with the Death of a Salesman meme:

Banks are taking a hatchet to their bond-trading businesses and the biggest casualties are proving to be the people with the most experience.

About 70 percent of credit traders cut in London last year at the 12 largest investment banks had worked in the financial industry for more than 10 years, according to data compiled by headhunters Michelangelo Search, which specializes in sales, trading and research roles. That’s increasingly leaving trading desks manned by more junior colleagues.

Experienced, better-compensated staff are falling victim to banks’ efforts to reduce costs as they try to generate profit within constraints imposed by regulators and central banks since the global financial crisis. There’s more to come as banks from Bank of America Corp. to Goldman Sachs Group Inc. consider cuts as soon as this quarter.

“I’ve been in the fixed income business for 35 years but most of my cohort is now missing in action,” said Tim Skeet, who has worked in bond-market roles since 1981, and is currently looking for a new position in the industry. “There’s a ‘juniorization’ of the workplace underway in London as banks focus more on costs than revenues.”

Understanding the connection requires a little explanation. The Masters of the Universe, the fixed income traders/salesmen who pulled down megabucks during the boom, do not achieve that status by being red-hot super-sharp analysts. What they got – and still get – paid for is bringing in business and keeping that inventory turning over while making the full spread (or more!) every time.

You don’t need any understanding of the bond market to do that. In my experience, that doesn’t even help. What you need is a deep voice, a firm handshake, a little charisma, and a great big expense account so entertain the clients. Contacts from prep school or Daddy’s friends are good things to have as well. And presto! You’re a trader!

Old bond traders didn’t make the big bucks for analysis, or helping clients achieve outperformance. As my Assiduous Readers will remember, the average Portfolio Manager has about enough brains to use the right fork when taking clients out to lunch, but that’s about where it ends and that’s all that’s necessary. So they rely extensively on their salesman’s advice. On occasion, that salesman will be the de facto portfolio manager, because the PM of record is a rubber stamp. And once the PM finds a guy he thinks he can trust, that salesman will get a lot of business from him; and that business will follow the salesman if he changes firms. And the bosses know that, so the salesman gets considerable incentive to stay on board and keep producing those lovely, lovely spreads of pure profit.

In Canada, the model started dying, as far as I can tell, some time in the mid-2000s. The banks don’t like having employees who make good money, so they started bringing in high-school students to act as salesmen (well, they sounded like high school students to me!). The selling template went from ‘I can make you look good’ to ‘We’re a bank!’.

And, I think, the same thing is starting to play out globally, helped along by a bit more transparency (even in 1990-odd, Bloomberg took all the fun out of the Eurobond market), a little less influence of the old-boy network when hiring portfolio managers (they’re all bank drones nowadays, too!) and, of course, all the scandals.

Maybe. It would take a team of sociologists to prove I’m right … but it would take the same team to prove I’m wrong! So I’ve said something provocative that is not susceptible to disproof, which is the holy grail of investment writing.

Meanwhile in Canada, the central planners are hard at work:

Canadians looking to buy homes between $500,000 and $1-million will have to put down larger down payments as new federal rules took effect Monday.

Under the changes, home buyers must now put at least 10 per cent down on the portion of a home that costs more than $500,000.

Buyers can still put down five per cent on the first $500,000 of a home purchase. Homes that cost more than $1-million still require a 20 per cent down payment.

Phil Soper, president and CEO of Royal LePage, says the new rules aim to slow the breakneck pace of price growth in the red-hot markets of Toronto and Vancouver without affecting markets that are lagging, such as those in oil-dependent provinces.

“The problem with monetary policy is that it impacts the struggling Calgary market or the just fine Winnipeg market and the overheated Vancouver market in equal amounts,” Soper said.

And in BC, there’s more welfare:

Hours after the Canadian Real Estate Association reported that Greater Vancouver housing prices led the country in growth, climbing on average by more than 20 per cent over the past year, Finance Minister Mike de Jong rose in the legislature to lay out a fiscal plan that he said will help more people realize the dream of owning a house.

In the first major overhaul of the Property Transfer Tax since its inception in 1988, Mr. de Jong has raised the exemption threshold – solely on new houses – to $750,000. The new tax break, available only to Canadian citizens and permanent residents, could mean savings of up to $13,000 on a house.

Element Financial, proud issuer of EFN.PR.A, EFN.PR.C, EFN.PR.E and EFN.PR.G, has announced:

that following the completion of a strategic review of each of the Company’s business units that it initiated in October of last year, the Board of Directors has approved plans to proceed with a transaction that will result in the separation of the current business into two publicly traded companies – a $19.5 billion world class fleet management company (Element Fleet Management) to be led by Bradley Nullmeyer and a $7.0 billion North American commercial finance company (Element Commercial Asset Management) to be led by Steven Hudson.
…
The Company is currently analyzing the most efficient method to implement the separation of the two businesses and further details will be provided to the market as Element completes this analysis with its advisors. The separation transaction that will split the Company into these two publicly traded entities is expected to be completed on a tax free basis before the end of 2016. The allocation of the assets, liabilities and capital structure of the Company, as well as the structure of the Board and the deployment of current corporate services staff between the two new entities will be determined as the details of this separation transaction are determined.

We’ll see what happens as details emerge, but I have a hard time envisaging this as being credit-positive for the preferreds!

It was a relatively quiet day overall for the Canadian preferred share market, with PerpetualDiscounts gaining 5bp, FixedResets off 10bp and DeemedRetractibles flat. The overall calm masked significant churn, as shown in the Performance Highlights table. Volume was high.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.52 to be $1.37 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.00 cheap at its bid price of 16.81.

This analysis includes the new issue with a deemed price of 25.00.

Most expensive is the new issue, resetting at +497bp on 2021-6-19, deemed at 25.00 to be 1.08 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.80 to be 1.13 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 12.56 to be $1.42 cheap. BAM.PF.H, resetting at +417M500bp on 2020-12-31 is bid at 25.03 and appears to be $1.08 rich.

FTS.PR.K, with a spread of +205bp, and bid at 14.59, looks $0.67 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 13.85 and is $0.44 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.62%, with three outliers above 0.50%. Note that the range of the y-axis has been changed. There are two junk outliers above 0.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.78 %	7.02 %	16,155	15.43	1	-3.6214 %	1,349.1
FixedFloater	8.02 %	7.00 %	25,969	15.17	1	0.0000 %	2,479.9
Floater	5.37 %	5.64 %	77,140	14.39	4	-0.3400 %	1,426.8
OpRet	0.00 %	0.00 %	0	0.00	0	0.3717 %	2,736.8
SplitShare	4.83 %	5.91 %	74,395	2.68	6	0.3717 %	3,202.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3717 %	2,498.8
Perpetual-Premium	5.86 %	5.83 %	84,124	13.88	6	0.4957 %	2,519.9
Perpetual-Discount	5.81 %	5.83 %	98,483	14.10	33	0.0488 %	2,488.4
FixedReset	5.82 %	5.12 %	210,031	14.13	84	-0.1013 %	1,743.7
Deemed-Retractible	5.34 %	5.89 %	123,748	6.89	34	0.0000 %	2,526.8
FloatingReset	3.12 %	4.91 %	49,989	5.51	16	-0.4494 %	1,958.6

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.Q	FloatingReset	-6.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.15 %
BAM.PR.E	Ratchet	-3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 25.00 Evaluated at bid price : 11.71 Bid-YTW : 7.02 %
TD.PF.E	FixedReset	-3.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 4.92 %
CM.PR.O	FixedReset	-3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.91 %
MFC.PR.K	FixedReset	-2.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.70 Bid-YTW : 10.54 %
FTS.PR.I	FloatingReset	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 9.20 Evaluated at bid price : 9.20 Bid-YTW : 5.14 %
NA.PR.S	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.00 %
PWF.PR.T	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 4.17 %
TD.PF.F	Perpetual-Discount	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 21.76 Evaluated at bid price : 22.06 Bid-YTW : 5.59 %
RY.PR.M	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 4.94 %
NA.PR.Q	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.56 %
MFC.PR.N	FixedReset	-1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.22 Bid-YTW : 9.41 %
MFC.PR.L	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.35 Bid-YTW : 10.06 %
BAM.PR.B	Floater	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 8.32 Evaluated at bid price : 8.32 Bid-YTW : 5.76 %
BMO.PR.Y	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 4.74 %
BAM.PF.F	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.49 %
MFC.PR.M	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.40 Bid-YTW : 9.33 %
TD.PF.D	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.93 %
MFC.PR.I	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.05 Bid-YTW : 9.07 %
BMO.PR.T	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.70 %
BNS.PR.R	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.23 Bid-YTW : 4.61 %
BNS.PR.Q	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.68 %
MFC.PR.H	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.15 Bid-YTW : 8.42 %
BAM.PR.K	Floater	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 8.50 Evaluated at bid price : 8.50 Bid-YTW : 5.64 %
TD.PR.Z	FloatingReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 4.85 %
BAM.PR.C	Floater	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 8.30 Evaluated at bid price : 8.30 Bid-YTW : 5.78 %
TD.PR.T	FloatingReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 4.91 %
BMO.PR.M	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 4.27 %
HSE.PR.G	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 7.44 %
RY.PR.A	Deemed-Retractible	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.56 Bid-YTW : 5.61 %
BAM.PF.E	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 5.41 %
TD.PF.A	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.61 %
NA.PR.W	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 15.27 Evaluated at bid price : 15.27 Bid-YTW : 5.07 %
BIP.PR.B	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 22.72 Evaluated at bid price : 23.85 Bid-YTW : 5.82 %
PVS.PR.D	SplitShare	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 6.53 %
TD.PF.C	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 4.60 %
BMO.PR.K	Deemed-Retractible	1.21 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 4.32 %
SLF.PR.J	FloatingReset	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.14 Bid-YTW : 12.29 %
BAM.PR.X	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 5.69 %
PWF.PR.O	Perpetual-Premium	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 24.49 Evaluated at bid price : 25.00 Bid-YTW : 5.83 %
GWO.PR.N	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.12 Bid-YTW : 11.53 %
FTS.PR.M	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 15.61 Evaluated at bid price : 15.61 Bid-YTW : 5.29 %
HSE.PR.A	FixedReset	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 8.18 Evaluated at bid price : 8.18 Bid-YTW : 7.24 %
FTS.PR.K	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 14.59 Evaluated at bid price : 14.59 Bid-YTW : 4.93 %
TRP.PR.A	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 13.32 Evaluated at bid price : 13.32 Bid-YTW : 5.10 %
BAM.PF.B	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 15.46 Evaluated at bid price : 15.46 Bid-YTW : 5.60 %
TRP.PR.B	FixedReset	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 9.70 Evaluated at bid price : 9.70 Bid-YTW : 5.07 %
BAM.PR.R	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 12.56 Evaluated at bid price : 12.56 Bid-YTW : 5.94 %
PWF.PR.A	Floater	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 10.05 Evaluated at bid price : 10.05 Bid-YTW : 4.73 %
HSE.PR.C	FixedReset	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 13.54 Evaluated at bid price : 13.54 Bid-YTW : 7.40 %
BAM.PR.T	FixedReset	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 13.01 Evaluated at bid price : 13.01 Bid-YTW : 5.88 %
IAG.PR.A	Deemed-Retractible	2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.18 %
TRP.PR.H	FloatingReset	2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 8.79 Evaluated at bid price : 8.79 Bid-YTW : 4.95 %
SLF.PR.I	FixedReset	2.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.30 Bid-YTW : 9.37 %
SLF.PR.H	FixedReset	3.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.91 Bid-YTW : 10.82 %
MFC.PR.F	FixedReset	4.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.67 Bid-YTW : 12.13 %
SLF.PR.G	FixedReset	5.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.71 Bid-YTW : 11.01 %

Volume Highlights
Issue	Index	Shares Traded	Notes
EML.PR.A	FixedReset	351,820	New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.73 Bid-YTW : 5.88 %
BMO.PR.Q	FixedReset	234,685	Desjardins crossed blocks of 200,000 and 19,900, both at 17.85. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.85 Bid-YTW : 8.05 %
PWF.PR.L	Perpetual-Discount	206,022	Nesbitt and TD crossed 100,000 shares each, both at 22.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.83 %
TD.PF.G	FixedReset	110,273	RBC crossed 10,000 at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 23.26 Evaluated at bid price : 25.35 Bid-YTW : 5.20 %
PWF.PR.K	Perpetual-Discount	101,110	Nesbitt crossed 100,000 at 21.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.82 %
RY.PR.Q	FixedReset	86,662	TD crossed 11,500 at 25.41. RBC crossed 10,000 at 25.42. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 23.27 Evaluated at bid price : 25.40 Bid-YTW : 5.12 %
There were 44 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
NA.PR.Q	FixedReset	Quote: 22.15 – 22.98 Spot Rate : 0.8300 Average : 0.5693 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.56 %
HSE.PR.G	FixedReset	Quote: 14.60 – 15.50 Spot Rate : 0.9000 Average : 0.6424 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 7.44 %
TD.PF.F	Perpetual-Discount	Quote: 22.06 – 22.67 Spot Rate : 0.6100 Average : 0.3760 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 21.76 Evaluated at bid price : 22.06 Bid-YTW : 5.59 %
TD.PR.Z	FloatingReset	Quote: 21.45 – 22.17 Spot Rate : 0.7200 Average : 0.5311 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 4.85 %
PWF.PR.Q	FloatingReset	Quote: 10.00 – 11.90 Spot Rate : 1.9000 Average : 1.7164 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-16 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.15 %
TD.PR.T	FloatingReset	Quote: 21.28 – 21.88 Spot Rate : 0.6000 Average : 0.4366 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 4.91 %

I’m pleased to see that the fed’s are asking Bombardier questions before cutting the inevitable cheque:

Prime Minister Justin Trudeau will have a hard time saying no to Bombardier Inc.’s request for aid to complete the troubled C Series aircraft because of the company’s deep political and economic roots in Canada.
…
Here are six things former officials and analysts say Trudeau is looking at:1. Viability Does the C Series have a bright future?
…
2. Efficacy Why hasn’t past aid worked?
…
3. Impact Bombardier now has Canada’s top corporate research budget at C$2 billion, more than double that of struggling smartphone-maker BlackBerry Ltd., according to Research Infosource Inc.
…
4. Competition Aerospace is supported by state funding elsewhere. Officials briefing Trudeau said it “is often seen as a ‘pay to play’ industry,” and the C Series will compete with aircraft made by Airbus Group SE, Boeing and Embraer SA. Sergio Marchi, a former Liberal trade minister and Canadian ambassador to the World Trade Organization, cited a past dispute with Brazil’s support for Embraer as an example of the risks to Canada of not backing Bombardier. “We need to find creative ways to sustain our global players, because other governments did,” he said in an interview last week.

5. Governance There are concerns with the way the company is run. Bombardier is controlled by its namesake family through shares with extra voting rights, and officials familiar with the government’s plans have said the company’s current governance structure is a barrier to federal aid.
…
6. Politics

Trudeau is from Bombardier’s hometown and 40 of his 184 Liberal lawmakers are from Quebec, Canada’s second-most populous province. Spurning Bombardier means the prime minister would have to explain why one of Quebec’s biggest employers can’t have a fraction of the C$9.15 billion bailout offered to Ontario’s General Motors Co. and Chrysler factories in 2009.

The cheque will inevitably come. The last time a Canadian Prime Minister told the Gee-Whiz boys that the Federal Money Fountain was being turned off, the political liability lasted over fifty years.

Dudley was dovish on rates today and nonplussed at premature talk of negative US policy rates:

The U.S. economy has the momentum to help weather stormy global financial markets and policy makers have many other options before they would consider driving borrowing costs below zero if they need to protect growth, Federal Reserve Bank of New York President William Dudley said.

“I just find that an extraordinarily premature conversation to be having,” Dudley said at a press briefing Friday in New York. “There are a lot of things that we would do long before we would really think about moving to negative interest rates.”

Financial markets have been routed in recent weeks by concerns over the global economic outlook. Dudley said the Fed was “definitely aware of what’s going on internationally” and would take that into account when the policy-setting Federal Open Market Committee meets on March 15-16.

In a remark that will probably reinforce views among investors that the Fed will not hike interest rates next month, Dudley said that the outlook for how quickly inflation would rise has been dimmed by recent financial-market developments.

“Inflation is probably going to take a little bit longer to get back to our 2 percent objective, everything equal, than maybe what you thought a few months ago,” he said.

But it’s not stopping the NYT from musing over possible consequences:

So what are some of the weird things that could happen in a world in which negative rates become routine?

The policies in Europe and Japan are still relatively new and involve rates only slightly below zero. But if the policies become long-lasting, or negative rates go much lower, there are a lot of mind-bending ways it could affect routine transactions.

For example, would people start prepaying years’ worth of cable bills to avoid having money tied up in a money-losing bank account? How about property taxes? Would companies and governments put in place new policies prohibiting people from paying their bills too early?

Or consider this: Many commercial transactions now take place with some short-term credit attached — for example, a company that gets a 60-day grace period to pay bills from its suppliers. Would that flip, and suddenly suppliers would prohibit upfront payment and insist that their customers wait 60 days to pay?

Might new businesses sprout up that allow people to securely store thousands of dollars in bundles of $100 bills, or could people buy physical objects as stores of value that the banks can’t charge a negative interest rate on?

“Negative interest rates in Japan is blowing my mind,” said Jose Canseco, the provocative retired baseball player not normally known for his economic musings, on Twitter. And the truth is, he’s not the only one.

And it’s not stopping the bond market worrying!

As worries about European banks’ credit pushed global stocks into a bear market, demand for U.S. debt heated up, driving benchmark 10-year yields toward record lows.

During the Treasuries rally, investors discounted the risk of any surprise jump in interest rates or inflation by the most since January 2015, according to a gauge known as the term premium. The measure of how much extra return investors demand against unexpected developments over the life of the security approached the 45-year low set during last year’s global deflation scare, going by the Federal Reserve Bank of New York’s favored formula.
…
By the close of trading Friday, the market-implied chances of a rate cut by the end of 2016 had fallen to about one percent. Traders assign a 30 percent chance of a quarter-point increase by the end of 2016, down from a 93 percent probability seen at the end of last year.

Signs of distress were also evident in the Treasuries yield curve. It has yet to flash the traditional recession signal — short-term yields climbing above long-term yields. But that difference has shriveled. The gap between three-month and 10-year yields, which the Cleveland Fed uses as a growth indicator, narrowed to the smallest since 2012. The spread between two- and 10-year yields shrank to the slimmest since 2007.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 15bp, FixedResets off 72bp and DeemedRetractibles up 36bp. The Performance Highlights table was produced on schedule. Volume was average.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.55 to be $1.42 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.94 cheap at its bid price of 16.90.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 16.50 to be 0.99 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.70 to be 1.05 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 12.32 to be $1.57 cheap. BAM.PF.H, resetting at +417M500bp on 2020-12-31 is bid at 25.04 and appears to be $1.00 rich.

FTS.PR.K, with a spread of +205bp, and bid at 14.35, looks $0.55 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 13.80 and is $0.35 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.53%, with one outlier above 0.50% and one below -1.50%. Note that the range of the y-axis has been changed. There are two junk outliers above 0.50% and three below -1.50%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.57 %	6.77 %	16,440	15.73	1	4.6512 %	1,399.8
FixedFloater	8.02 %	7.00 %	25,643	15.18	1	-1.2500 %	2,479.9
Floater	5.36 %	5.57 %	71,806	14.51	4	-0.5355 %	1,431.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.4077 %	2,726.7
SplitShare	4.84 %	5.82 %	73,447	2.69	6	0.4077 %	3,190.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.4077 %	2,489.6
Perpetual-Premium	5.89 %	5.85 %	82,283	13.85	6	-0.2272 %	2,507.5
Perpetual-Discount	5.82 %	5.85 %	97,920	14.08	33	0.1471 %	2,487.2
FixedReset	5.82 %	5.16 %	212,416	14.23	83	-0.7230 %	1,745.5
Deemed-Retractible	5.34 %	5.75 %	125,241	5.19	34	0.3587 %	2,526.8
FloatingReset	3.11 %	4.84 %	50,367	5.53	16	-0.3591 %	1,967.4

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.H	FixedReset	-4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.87 %
SLF.PR.G	FixedReset	-3.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 11.79 %
BAM.PR.C	Floater	-3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 8.39 Evaluated at bid price : 8.39 Bid-YTW : 5.71 %
BAM.PR.B	Floater	-3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 8.45 Evaluated at bid price : 8.45 Bid-YTW : 5.67 %
MFC.PR.F	FixedReset	-3.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.20 Bid-YTW : 12.69 %
CM.PR.Q	FixedReset	-3.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 17.53 Evaluated at bid price : 17.53 Bid-YTW : 4.94 %
MFC.PR.J	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.27 Bid-YTW : 9.42 %
MFC.PR.I	FixedReset	-3.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.28 Bid-YTW : 8.86 %
RY.PR.J	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 17.29 Evaluated at bid price : 17.29 Bid-YTW : 4.93 %
GWO.PR.N	FixedReset	-2.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.96 Bid-YTW : 11.69 %
NA.PR.W	FixedReset	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 5.12 %
IFC.PR.A	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 11.75 %
TRP.PR.F	FloatingReset	-2.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 10.95 Evaluated at bid price : 10.95 Bid-YTW : 5.46 %
BAM.PF.B	FixedReset	-2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 5.69 %
IAG.PR.G	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.76 Bid-YTW : 9.19 %
MFC.PR.K	FixedReset	-2.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 10.08 %
SLF.PR.J	FloatingReset	-2.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.00 Bid-YTW : 12.45 %
MFC.PR.L	FixedReset	-2.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.60 Bid-YTW : 9.81 %
NA.PR.S	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.39 Evaluated at bid price : 16.39 Bid-YTW : 4.89 %
CM.PR.P	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 4.83 %
HSE.PR.C	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 7.55 %
HSE.PR.G	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 7.35 %
CM.PR.O	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.75 %
RY.PR.M	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 4.85 %
RY.PR.H	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 4.60 %
TRP.PR.H	FloatingReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 8.60 Evaluated at bid price : 8.60 Bid-YTW : 5.06 %
BMO.PR.S	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.68 Evaluated at bid price : 16.68 Bid-YTW : 4.68 %
MFC.PR.H	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.37 Bid-YTW : 8.23 %
PWF.PR.A	Floater	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 9.85 Evaluated at bid price : 9.85 Bid-YTW : 4.81 %
FTS.PR.G	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 5.24 %
TD.PF.E	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.74 %
HSE.PR.E	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 7.43 %
FTS.PR.K	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 5.01 %
TD.PF.A	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 4.65 %
BAM.PR.G	FixedFloater	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 25.00 Evaluated at bid price : 11.85 Bid-YTW : 7.00 %
RY.PR.Z	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 4.52 %
TRP.PR.G	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.47 %
FTS.PR.M	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.36 %
TD.PF.D	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.86 %
TD.PF.C	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.42 Evaluated at bid price : 16.42 Bid-YTW : 4.65 %
BMO.PR.Y	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.66 %
BNS.PR.D	FloatingReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.24 Bid-YTW : 8.07 %
CIU.PR.C	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 5.00 %
NA.PR.Q	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 5.21 %
TRP.PR.D	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 15.66 Evaluated at bid price : 15.66 Bid-YTW : 5.08 %
SLF.PR.D	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.99 Bid-YTW : 7.71 %
SLF.PR.H	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.45 Bid-YTW : 11.29 %
BAM.PR.R	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 12.32 Evaluated at bid price : 12.32 Bid-YTW : 6.06 %
PVS.PR.B	SplitShare	1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.59 %
PWF.PR.S	Perpetual-Discount	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.80 %
GWO.PR.I	Deemed-Retractible	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.39 Bid-YTW : 7.48 %
BAM.PR.Z	FixedReset	2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 5.75 %
BAM.PR.E	Ratchet	4.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 25.00 Evaluated at bid price : 12.15 Bid-YTW : 6.77 %
BAM.PR.K	Floater	7.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 8.60 Evaluated at bid price : 8.60 Bid-YTW : 5.57 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.X	FixedReset	149,544	Desjardins crossed blocks of 103,000 and 40,000, both at 11.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 5.77 %
BAM.PF.E	FixedReset	118,920	Desjardins crossed 109,000 at 16.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.46 %
PWF.PR.P	FixedReset	81,969	Desjardins crossed blocks of 22,600 and 50,000, both at 11.68. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 4.85 %
BNS.PR.Z	FixedReset	58,615	TD crossed 49,700 at 18.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.57 %
RY.PR.Q	FixedReset	46,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 23.26 Evaluated at bid price : 25.37 Bid-YTW : 5.12 %
NA.PR.X	FixedReset	32,554	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 23.11 Evaluated at bid price : 24.90 Bid-YTW : 5.51 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.E	FixedReset	Quote: 16.00 – 18.48 Spot Rate : 2.4800 Average : 1.5742 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.46 %
ELF.PR.F	Perpetual-Discount	Quote: 21.95 – 22.42 Spot Rate : 0.4700 Average : 0.3193 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 6.10 %
TD.PR.S	FixedReset	Quote: 23.31 – 23.80 Spot Rate : 0.4900 Average : 0.3540 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.31 Bid-YTW : 4.03 %
BMO.PR.T	FixedReset	Quote: 16.41 – 16.93 Spot Rate : 0.5200 Average : 0.3849 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 4.64 %
ELF.PR.H	Perpetual-Discount	Quote: 22.61 – 23.03 Spot Rate : 0.4200 Average : 0.2890 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 22.32 Evaluated at bid price : 22.61 Bid-YTW : 6.14 %
BAM.PR.X	FixedReset	Quote: 11.35 – 11.78 Spot Rate : 0.4300 Average : 0.3003 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-12 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 5.77 %

Assiduous Reader prefobsessed sent me a link to a Barry Critchley piece titled Behind RioCan’s decision to redeem its first-of-its-kind rate reset preferreds. I have updated the post that reported REI.PR.A to be Redeemed.

Meanwhile, Sweden’s gone more deeply negative:

Sweden’s central bank lowered its key interest rate even further below zero and said it’s prepared to use its full toolbox of measures as it battles to revive inflation and keep the krona from appreciating.

The repo rate was reduced to minus 0.50 percent from minus 0.35 percent, the Stockholm-based bank said. A cut was predicted by 10 of the 18 analysts surveyed by Bloomberg, though only three had anticipated this magnitude. The bank said government bond purchases will continue as planned for the first six months of 2016 and that it “will reinvest maturities and coupons from the government bond portfolio until further notice.”

“Uncertainty regarding global developments is still high, with low inflation and several central banks pursuing more expansionary monetary policy,” the Riksbank said. “Swedish monetary policy must relate to this. Otherwise the krona exchange rate is at risk of strengthening at a faster rate than in the forecast, which would make it harder to push up inflation and stabilize it around 2 percent.”

There are fears that this policy will inflate a housing bubble:

HSBC economist James Pomeroy wrote in a recent note:

We’ve long argued that the Swedish economy does not warrant further stimulus, but that the Riksbank would continue to ease given the low inflation rate. The economy is the fastest growing in the developed world (3.9% y-o-y in Q3) and house prices continue to accelerate and are now up 18% y-o-y across the country. Under normal circumstances, one might expect the Riksbank to be hiking rates but – given ultra-loose ECB policy – rates are being kept much lower.

As positive as the story appears for early 2016, there are plenty of reasons to be concerned about the medium term. The pace of acceleration in the housing market points to a bubble.
…
… The housing market continues to pose significant risks for the Swedish economy. With prices now up 18% on the year and no sign of macroprudential measures coming into force, we worry that this is not sustainable. Should the housing market roll over at any point in 2016 (or 2017) the impact on the economy would be severe. Estimates from the National Institute of Economic Research suggest that a 20% fall in house prices would lead to a recession-like impact on consumption and unemployment, with a smaller fall still having severe economic consequences.

And Michael Babad of the Globe supplies another chart:

The Swedish action has been fingered as one of the triggers for today’s debacle:

The latest culprits picked out of the police lineup: The Swedish central bank’s bigger bet on negative interest rates; Fed chief Janet Yellen’s testimony before largely clueless U.S. legislators; and bearish hedge-fund manager Kyle Bass’s assertion that Chinese banks are facing huge losses that dwarf those of the U.S. financial system in the 2008 crash.

All are fanning fears that another U.S. and global recession looms, that central banks have run out of ammunition to fight it the way they did during the previous financial crisis and that more than a few of the world’s major banks aren’t in good enough shape to withstand the ensuing fallout.

… and what a debacle it was!

Fearful investors have turned to the health of the global banking system as the latest fixation in a market frenzy that continues to escalate.

Bank equities were trounced worldwide on Thursday, leading the way for an all-consuming stock market selloff that spared no major benchmark.

An overwhelming demand for safety dominated investor attitudes, as the ability of central banks to fend off economic threats seems increasingly doubtful.

While crude oil has been at the crux of the recent outburst of market volatility, bank valuations have now begun to reflect a grim assessment of the global economy.
…
Withering risk appetite gripped equities on Thursday, as major Asian and European indexes fell by between 2 per cent and 6 per cent, adding to global equity losses in excess of $15-trillion (U.S.) this year.

In North America, the S&P 500 index dipped to a new two-year low before a late afternoon rally pared back the losses to end the day down by 1.2 per cent. The Nasdaq composite index meanwhile flirted with a 20-per-cent decline conventionally signifying bear market territory. That’s where the S&P/TSX composite index already resides, with Thursday’s 100-point drop adding to a total decline of 23 per cent since September, 2014.

Overnight markets, at time of writing, seem to be getting worse:

The global equity bear market deepened in Asian trading, with Japanese stocks headed for their worst week since 2008 amid anxiety over central banks’ ability to revive the world economy. U.S. crude rose from a 12-year low.

The Topix index slumped 4.1 percent in Tokyo as traders returned from holiday, pushing the regional Asian benchmark toward its steepest weekly drop since gyrations in Chinese assets at the start of the year. The index pared some of its losses as the yen weakened for the first time this week. U.S. index futures indicated gains after losses there helped the MSCI All-Country Index cap a 20 percent slide from its May record.

…and in Korea:

Trading in South Korea’s Kosdaq exchange for smaller stocks was temporarily halted after the benchmark gauge plunged more than 8 percent on concern valuations were excessive relative to earnings prospects.

Trading was suspended for 20 minutes at 11:55 a.m. in Seoul after the measure dropped 8.2 percent. The index pared declines to 6.1 percent at the close. Celltrion Inc. was the biggest drag on the small-cap measure after the stock almost tripled in the past 12 months. The Kospi gauge of larger companies closed at its lowest level since August.

The Kosdaq index of more than 1,100 companies jumped 26 percent to outperform the large-cap gauge last year as investors piled into biotech shares and other smaller companies in search of earnings growth as smokestack industries stagnated. Celltrion, which developed an arthritis medicine, trades at 42 times projected 12 month profits, four times the Kospi’s 10.5 times.

And there are, as I always like to point out … unintended consequences:

It seemed like a good idea at the time: Cut interest rates below zero to revive growth.

But as policy makers from Tokyo to Stockholm embrace the notion, investors are close to panic mode. Far from buoying financial markets this year, negative rates have helped to put global stocks on the brink of a bear market, sent the cost of protection against corporate defaults soaring and driven investors to havens such as U.S. Treasury bonds and gold.

Fueling the turmoil is fear that negative rates will slam the world’s banks. In theory, negative rates could be the panacea to cure sluggish global growth: by charging lenders fees for parking money at central banks, policy makers hope banks will use that cash to make loans, jump-starting their economies. In practice, investors worry it may squeeze bank profits and rattle money markets.

“We’re here in an environment where central banks have to learn one message, and that is that negative interest rates are not desirable and they are not workable,” Hans Redeker, head of global foreign-exchange strategy at Morgan Stanley in London, said in a Bloomberg Television interview. “When you cut into negative interest rates you have to think about the profitability of the banking sector.”

About a quarter of the world economy is now in negative-rate territory with more than $7 trillion of government debt offering yields less than zero.

Last October, BIS published a working paper by Claudio Borio, Leonardo Gambacorta and Boris Hofmann titled The influence of monetary policy on bank profitability:

This paper investigates how monetary policy affects bank profitability. We use data for 109 large international banks headquartered in 14 major advanced economies for the period 1995–2012. Overall, we find a positive relationship between the level of short-term rates and the slope of the yield curve (the “interest rate structure”, for short), on the one hand, and bank profitability – return on assets – on the other. This suggests that the positive impact of the interest rate structure on net interest income dominates the negative one on loan loss provisions and on non-interest income. We also find that the effect is stronger when the interest rate level is lower and the slope less steep, ie that non-linearities are present. All this suggests that, over time, unusually low interest rates and an unusually flat term structure erode bank profitability.
…
Abstracting from macroeconomic effects, our findings help shed light on the impact of monetary policy on bank profitability after the crisis. Taking our results at face value, we find that the impact, on balance, was positive in the first two years post-crisis (2009–10) but turned negative in the following four years (2011–14). In the first two years, ROA was boosted by an estimated cumulative 0.3 percentage points: the negative effect on bank profitability linked to the decrease in the short-term rate was more than compensated for by the positive one deriving from the increase in the yield curve slope. In contrast, in the following four years, the further decrease in short-term rates and flattening of the yield curve cut ROA by an estimated cumulative 0.6 percentage points. With an average annual ROA of 0.64 over the sample period (1995-2012, Table 1), this means that over 2011–14, the average bank in the sample lost one year of profits as a consequence of low interest rates and compressed yield spreads.

Anybody who finds all this depressing should relax; read a nice book instead:

It was a horrible day for the Canadian preferred share market, horribler for some sectors than for others, with PerpetualDiscounts off 25bp, FixedResets losing 234bp and DeemedRetractibles down 65bp. Floaters got destroyed. Volume was high.

For those keeping track of Floaters, the all-time low closing bid for BAM.PR.B was 5.90 on 2008-12-19; for BAM.PR.C it was 6.06 on 2008-12-22; and for BAM.PR.K, 6.40 ON 2018-12-18. So we’re still a way off from my positive comments during the Credit Crunch. But some people, I’m sure, are just discovering the answer to the question: Are Floating Prefs Money Market Vehicles?.

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

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

Here’s TRP:

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.50 to be $1.34 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.80 cheap at its bid price of 17.11.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 15.95 to be 0.70 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 16.80 to be 1.33 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 12.15 to be $1.58 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 15.95 and appears to be $1.00 rich.

FTS.PR.K, with a spread of +205bp, and bid at 14.80, looks $0.49 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.25 and is $0.43 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.56%, with two outliers above 0.00%. There are four junk outliers above 0.00% and one below -2.00%.

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

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	5.83 %	7.07 %	17,116	15.38	1	-9.2969 %	1,337.6
FixedFloater	7.92 %	6.91 %	24,790	15.28	1	-2.8340 %	2,511.3
Floater	5.33 %	5.46 %	72,273	14.68	4	-11.9821 %	1,439.4
OpRet	0.00 %	0.00 %	0	0.00	0	0.0484 %	2,715.6
SplitShare	4.86 %	6.13 %	74,068	2.68	6	0.0484 %	3,177.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0484 %	2,479.5
Perpetual-Premium	5.87 %	5.85 %	85,307	13.97	6	0.3488 %	2,513.2
Perpetual-Discount	5.82 %	5.86 %	100,435	14.08	33	-0.2549 %	2,483.5
FixedReset	5.77 %	5.07 %	214,342	14.37	83	-2.3397 %	1,758.2
Deemed-Retractible	5.36 %	5.89 %	125,449	5.19	34	-0.6488 %	2,517.8
FloatingReset	3.08 %	4.83 %	50,523	5.53	16	0.3917 %	1,974.5

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-18.37 %	Only half real, but many will consider half to be rather more than enough! The issue traded 9,000 shares in a range of 8.99-85 before closing at 8.00-9.01, 5×1. The day’s low had been 9.58 until five trades totalling 600 shares took the price down to the day’s low in the last ten minutes of the day. It’s a good thing there was a market maker on duty to maintain an orderly market, eh? I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 8.00 Evaluated at bid price : 8.00 Bid-YTW : 5.99 %
BAM.PR.B	Floater	-11.52 %	Entirely real. The issue traded 10,420 shares in a range of 9.00-73 before closing at 8.76-00, 1×252. Not a typo! There were 25,200 shares being offered at 9.00 at the close! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 8.76 Evaluated at bid price : 8.76 Bid-YTW : 5.46 %
BAM.PR.C	Floater	-10.66 %	Totally real. The issue traded 8,990 shares in a range of 8.85-9.65 before closing at 8.72-85, 2×504. Yup … 504. There were 50,400 shares offered at 8.85 at the close. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 8.72 Evaluated at bid price : 8.72 Bid-YTW : 5.49 %
BAM.PR.E	Ratchet	-9.30 %	Not really all that real, since the issue traded 1,675 shares in a range of 12.40-80 before closing at 11.61-12.86 (!) 12×3. However, the bid probably dropped in sympathy with BAM’s floaters, above. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 25.00 Evaluated at bid price : 11.61 Bid-YTW : 7.07 %
PWF.PR.A	Floater	-7.83 %	Not real, since the issue traded 1,966 shares in a range of 10.19-86 before closing at 10.00-45, 1×1. As above, however, it’s reasonable to assume that bidders backed off when they saw what was happening to BAM’s floaters. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.73 %
BAM.PR.Z	FixedReset	-7.62 %	Not real. The issue traded 7,410 shares in a range of 16.45-34 before closing at 15.89-16.90 (!) 8×5. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.89 Evaluated at bid price : 15.89 Bid-YTW : 5.79 %
SLF.PR.H	FixedReset	-6.73 %	Not real. The issue traded 11,590 shares in a range of 13.75-10 before closing at 13.30-92, 5×6. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 11.33 %
FTS.PR.M	FixedReset	-6.16 %	Real enough, as the issue traded 13,016 shares in a range of 15.80-05 before closing at 15.85-25, 2×10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.21 %
SLF.PR.I	FixedReset	-5.37 %	Real enough, since the issue traded 3,392 shares in a range of 15.76-58 before closing at 15.85-29, 5×4. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.85 Bid-YTW : 9.66 %
BAM.PF.F	FixedReset	-4.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.31 %
MFC.PR.I	FixedReset	-4.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.85 Bid-YTW : 8.31 %
BAM.PF.A	FixedReset	-4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 5.41 %
MFC.PR.J	FixedReset	-4.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.82 Bid-YTW : 8.87 %
IFC.PR.C	FixedReset	-4.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.30 Bid-YTW : 10.02 %
MFC.PR.G	FixedReset	-4.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.80 Bid-YTW : 9.08 %
MFC.PR.H	FixedReset	-4.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.92 %
TRP.PR.A	FixedReset	-3.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 13.12 Evaluated at bid price : 13.12 Bid-YTW : 5.05 %
IFC.PR.A	FixedReset	-3.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.36 Bid-YTW : 11.26 %
TRP.PR.D	FixedReset	-3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.02 %
TD.PF.D	FixedReset	-3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.72 %
BAM.PF.G	FixedReset	-3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.45 %
MFC.PR.L	FixedReset	-3.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.95 Bid-YTW : 9.43 %
TRP.PR.B	FixedReset	-3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 9.55 Evaluated at bid price : 9.55 Bid-YTW : 4.99 %
HSE.PR.A	FixedReset	-3.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 8.01 Evaluated at bid price : 8.01 Bid-YTW : 7.13 %
IAG.PR.G	FixedReset	-3.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.15 Bid-YTW : 8.77 %
NA.PR.Q	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.32 Bid-YTW : 5.34 %
MFC.PR.M	FixedReset	-3.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.61 Bid-YTW : 9.07 %
BAM.PF.B	FixedReset	-3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 5.43 %
TD.PF.E	FixedReset	-3.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.59 %
BAM.PR.T	FixedReset	-3.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 12.70 Evaluated at bid price : 12.70 Bid-YTW : 5.87 %
HSE.PR.G	FixedReset	-3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.06 Evaluated at bid price : 15.06 Bid-YTW : 7.09 %
NA.PR.S	FixedReset	-3.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.68 %
RY.PR.M	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.67 %
MFC.PR.N	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 9.10 %
BNS.PR.Y	FixedReset	-2.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 6.95 %
SLF.PR.G	FixedReset	-2.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.48 Bid-YTW : 11.19 %
NA.PR.W	FixedReset	-2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 4.87 %
BAM.PR.G	FixedFloater	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 6.91 %
FTS.PR.G	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 5.06 %
MFC.PR.K	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.68 %
BNS.PR.Z	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 7.66 %
HSE.PR.E	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 7.22 %
FTS.PR.K	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 4.85 %
BMO.PR.T	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.50 %
CU.PR.C	FixedReset	-2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 4.88 %
FTS.PR.H	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.54 %
TRP.PR.C	FixedReset	-2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 10.40 Evaluated at bid price : 10.40 Bid-YTW : 5.11 %
PWF.PR.T	FixedReset	-2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 3.98 %
HSE.PR.C	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 7.27 %
TRP.PR.E	FixedReset	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.80 %
BNS.PR.D	FloatingReset	-2.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.42 Bid-YTW : 7.87 %
TD.PF.A	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 4.49 %
CM.PR.Q	FixedReset	-2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 18.13 Evaluated at bid price : 18.13 Bid-YTW : 4.69 %
SLF.PR.J	FloatingReset	-2.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.25 Bid-YTW : 12.12 %
TRP.PR.G	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 5.31 %
BAM.PR.X	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 5.64 %
BIP.PR.A	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 6.16 %
BMO.PR.W	FixedReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 4.50 %
RY.PR.I	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 4.30 %
GWO.PR.H	Deemed-Retractible	-2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 7.35 %
TD.PF.B	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 4.50 %
CM.PR.O	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.56 %
BMO.PR.Q	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.85 Bid-YTW : 7.94 %
BNS.PR.Q	FixedReset	-1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.02 Bid-YTW : 4.45 %
BNS.PR.P	FixedReset	-1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 4.01 %
BMO.PR.R	FloatingReset	-1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.83 %
FTS.PR.I	FloatingReset	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 9.55 Evaluated at bid price : 9.55 Bid-YTW : 5.00 %
RY.PR.H	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.42 %
RY.PR.J	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.68 %
CM.PR.P	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.63 %
GWO.PR.Q	Deemed-Retractible	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 6.91 %
RY.PR.Z	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.92 Evaluated at bid price : 16.92 Bid-YTW : 4.36 %
PWF.PR.P	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 11.51 Evaluated at bid price : 11.51 Bid-YTW : 4.74 %
SLF.PR.E	Deemed-Retractible	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.98 Bid-YTW : 7.77 %
BMO.PR.M	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 4.02 %
BAM.PR.R	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 5.98 %
SLF.PR.D	Deemed-Retractible	-1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.78 Bid-YTW : 7.86 %
BMO.PR.S	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 4.50 %
TD.PR.T	FloatingReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 4.69 %
MFC.PR.F	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.60 Bid-YTW : 12.07 %
GWO.PR.I	Deemed-Retractible	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 7.72 %
BMO.PR.Y	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.53 %
SLF.PR.C	Deemed-Retractible	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.04 Bid-YTW : 7.67 %
TD.PR.Y	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 3.98 %
SLF.PR.A	Deemed-Retractible	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 7.17 %
ELF.PR.H	Perpetual-Discount	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 22.28 Evaluated at bid price : 22.57 Bid-YTW : 6.15 %
CCS.PR.C	Deemed-Retractible	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 7.55 %
TD.PF.C	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 4.50 %
RY.PR.L	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 4.11 %
GWO.PR.R	Deemed-Retractible	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.40 %
BAM.PR.N	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 6.26 %
BNS.PR.N	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.43 %
SLF.PR.B	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 7.12 %
CIU.PR.C	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 9.90 Evaluated at bid price : 9.90 Bid-YTW : 4.75 %
PWF.PR.O	Perpetual-Premium	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 24.40 Evaluated at bid price : 24.91 Bid-YTW : 5.85 %
PWF.PR.H	Perpetual-Premium	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 24.57 Evaluated at bid price : 24.82 Bid-YTW : 5.83 %
GWO.PR.N	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.32 Bid-YTW : 11.24 %
RY.PR.W	Perpetual-Discount	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 22.66 Evaluated at bid price : 22.90 Bid-YTW : 5.36 %
BAM.PF.E	FixedReset	2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 5.38 %
PWF.PR.Q	FloatingReset	32.39 %	Just a pullback from yesterday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.76 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.X	FixedReset	167,480	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 23.08 Evaluated at bid price : 24.81 Bid-YTW : 5.47 %
RY.PR.Q	FixedReset	167,128	Scotia crossed blocks of 20,000 and 91,500, both at 25.42. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 23.26 Evaluated at bid price : 25.35 Bid-YTW : 5.07 %
TD.PF.G	FixedReset	94,653	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 23.26 Evaluated at bid price : 25.35 Bid-YTW : 5.13 %
POW.PR.C	Perpetual-Premium	78,100	TD crossed 67,800 at 24.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 5.92 %
BMO.PR.R	FloatingReset	61,900	Scotia crossed blocks of 20,000 and 40,000, both at 21.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 4.83 %
BNS.PR.E	FixedReset	50,782	Scotia crossed 29,000 at 25.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 23.24 Evaluated at bid price : 25.27 Bid-YTW : 5.07 %
There were 47 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.E	Ratchet	Quote: 11.61 – 12.86 Spot Rate : 1.2500 Average : 0.6887 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 25.00 Evaluated at bid price : 11.61 Bid-YTW : 7.07 %
BAM.PR.K	Floater	Quote: 8.00 – 9.01 Spot Rate : 1.0100 Average : 0.6016 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 8.00 Evaluated at bid price : 8.00 Bid-YTW : 5.99 %
BAM.PF.G	FixedReset	Quote: 16.95 – 18.00 Spot Rate : 1.0500 Average : 0.6512 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.45 %
RY.PR.K	FloatingReset	Quote: 22.00 – 22.83 Spot Rate : 0.8300 Average : 0.5400 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.62 %
BAM.PR.Z	FixedReset	Quote: 15.89 – 16.90 Spot Rate : 1.0100 Average : 0.7364 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 15.89 Evaluated at bid price : 15.89 Bid-YTW : 5.79 %
FTS.PR.K	FixedReset	Quote: 14.80 – 15.50 Spot Rate : 0.7000 Average : 0.4491 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-11 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 4.85 %