Category: Market Action

Looks like we may be looking at a Tobin Tax:

Chinese securities regulators are preparing some of the world’s strictest regulations on a trading practice at the heart of the global debate over high-speed computerized markets.

The draft rules are designed to prevent traders from flooding exchanges with orders they don’t fill by charging market participants fees for habitual cancellations. The proposal, which could come into force next year, echoes a plan by U.S. presidential hopeful Hillary Clinton to discourage high-speed trading strategies that she says could destabilize markets.

As regulators around the world grapple with the most effective ways to police computer-driven markets, they have focused on how to stop traders from using bogus orders to unfairly move prices in their favor. Critics contend that the tactic makes markets less fair and enables some traders to engage in a manipulative practice known as spoofing. Opponents of the proposed taxes on canceled orders say they would harm legitimate market makers and raise costs for the average investor.
…
China’s proposals on algorithmic trading, revealed around the same time in October as Clinton’s, state that “frequently placing and withdrawing orders where the ratio of trades concluded is abnormally low” would be prohibited, according to a translation by law firm Linklaters LLP. Traders who cancel more than 40 percent of their submitted orders in any given day would be charged a fee of 2 yuan (31 cents) per transaction.
…
Other measures suggested by the CSRC include forcing traders who use automated orders to provide a detailed description of their strategies to regulators and wait for a review before they’re allowed to execute trades. That proposal has raised concern among some international investors who don’t want to disclose their proprietary trading algorithms, according to Calvin Tai, the head of global clearing at Hong Kong’s stock exchange.

Clinton, the front-runner to win the Democratic nomination for president, called for a fee on canceled orders in October and explicitly linked the idea to curbing high-frequency traders. Her plan is designed to target “harmful” high-frequency trading that makes markets “less stable and less fair,” Clinton’s campaign said at the time.

There is nothing intrinsically wrong with an exchange fee for cancelled orders. A 96% cancellation rate will obviously strain the system more than will a lower rate and require increased investment by all serious participants, in bandwidth and a ticker-plant. However, when charges such as China’s $0.31/transaction become exorbitant it becomes clear that this is just a revenue grab that will lead to migration of the markets to more trader-friendly nations, as well as having all the usual effects of ‘stamp charges’ on market liquidity. Compare the $0.31/transaction fee to the Toronto Stock Exchange’s Maker-Taker fees, which net out to $0.0004 / share. [I’ll save you the trouble: that means the Exchange would charge as much for a cancelled order as for an execution of 775 shares].

As I stated on April 3, 2014:

However, it is quite apparent that Tobin taxes harm market quality. One possibility where the AR PL and I might have a meeting of minds is the potential for an exchange to impose a fee for the placement of an order – generally, once you’re permitted to place orders on the exchange, the only fees remaining are charged for executed transactions.

Schwab is upset about the number of orders:

High-frequency trading pumped out over 300,000 trade inquiries each second last year, up from just 50,000 only seven years earlier. Yet actual trade volume on the exchanges has remained relatively flat over that period. It’s an explosion of head-fake ephemeral orders – not to lock in real trades, but to skim pennies off the public markets by the billions.
…
Added systems burdens, costs and distortions of rapid-fire quote activity: Ephemeral quotes, also called “quote stuffing,” that are cancelled and reposted in milliseconds distort the tape and present risk to the resiliency and integrity of critical market data and trading infrastructure. The tremendous added costs associated with the expanded capacity and bandwidth necessary to support this added data traffic is ultimately borne in part by individual investors.

There are solutions. Today there is no restriction to pumping out millions of orders in a matter of seconds, only to reverse the majority of them. It’s the life-blood of high-frequency trading. A simple solution would be to establish cancellation fees to discourage the practice of quote stuffing. The SEC and CFTC floated the idea last year. It has great merit. Make the fees high enough and they will eliminate high-frequency trading entirely.

However, I would support a charge for order entry (or simply order cancellation, assuming that executed orders get charged by other means) only to the extent that it is imposed by the exchanges to recover costs or as a source of competitive advantage. If, once you count amortization of all the required infrastructure, it costs $1 to process 1,000,000 orders, then by all means, charge $0.000001 to process an order. If you want to make a profit and the market will bear it, then by all means, charge $0.000002 to process an order. If your customers complain that they have to process all these orders too, then by all means offer them a kiddie feed at reduced price, transmitting orders only when they have been extant for 10 milliseconds.

But don’t start imposing fees with grandiose visions of Better Living Through Higher Taxation. We all know where that ends up.

Fortis Inc., proud issuer of FTS.PR.E, FTS.PR.F, FTS.PR.G, FTS.PR.H, FTS.PR.I, FTS.PR.J, FTS.PR.K and FTS.PR.M, was confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed the A (low) Issuer Rating, A (low) Unsecured Debentures rating and Pfd-2 (low) Preferred Shares rating of Fortis Inc. (Fortis, the Parent or the Company) with Stable trends. This action is based on DBRS’s view of the Company’s financial performance to date in 2015 (YTD 2015). The confirmations reflect Fortis’ improved business risk profile following the completion of the Waneta Expansion hydro generation project (Waneta Expansion), no material changes in its regulated subsidiaries and its reasonable consolidated and non-consolidated financial profiles.
…
Fortis maintained reasonable consolidated and non-consolidated ratios in YTD 2015 and remained consistent with the current rating. These ratios are expected to improve by the end of 2015 and in the medium term since (i) $230 million non-consolidated debt was reduced after September 30, 2015, with proceeds from the sale of Fortis Properties; (ii) all regulated utilities are expected to maintain their leverage in line with the regulatory capital structure in their respective jurisdictions; and (iii) Fortis’ equity injection to its utilities is expected to be modest and manageable over the next few years.

The cessation of tax-loss selling pressure led to a superb day for the Canadian preferred share market, with PerpetualDiscounts up 94bp, FixedResets winning 121bp and DeemedRetractibles gaining 87bp. The Performance Highlights table is enormous, naturally enough, with only one loser. Volume was very extremely awfully low.

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 18.86 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.19 cheap at its bid price of 12.30.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 19.68 to be 0.45 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 22.00 to be 0.54 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.21 to be $1.60 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 21.95 and appears to be $0.96 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.43, looks $0.70 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.39 and is $0.80 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.37%, with one outlier above -0.50%. There are two junk outliers above -0.50%.

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	4.91 %	5.95 %	32,165	16.74	1	0.0180 %	1,586.9
FixedFloater	7.10 %	6.30 %	39,441	15.85	1	1.1338 %	2,748.6
Floater	4.28 %	4.40 %	82,517	16.61	4	2.8658 %	1,785.1
OpRet	4.86 %	4.15 %	26,388	0.66	1	0.0794 %	2,740.8
SplitShare	4.83 %	5.42 %	84,274	1.84	6	0.3027 %	3,202.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3027 %	2,498.6
Perpetual-Premium	5.79 %	5.45 %	91,663	2.58	7	0.8523 %	2,518.1
Perpetual-Discount	5.69 %	5.75 %	105,325	14.27	33	0.9418 %	2,523.3
FixedReset	5.07 %	4.37 %	270,601	14.85	81	1.2111 %	2,040.7
Deemed-Retractible	5.17 %	4.79 %	134,552	5.27	33	0.8682 %	2,594.6
FloatingReset	2.79 %	4.12 %	70,258	5.63	11	1.1263 %	2,135.0

Performance Highlights
Issue	Index	Change	Notes
NA.PR.W	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 4.45 %
MFC.PR.M	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 6.33 %
BAM.PR.Z	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 4.49 %
GWO.PR.S	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.42 %
SLF.PR.A	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.72 Bid-YTW : 6.74 %
TD.PF.F	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.19 Evaluated at bid price : 22.55 Bid-YTW : 5.51 %
RY.PR.O	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.16 Evaluated at bid price : 22.52 Bid-YTW : 5.49 %
TD.PR.Z	FloatingReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 4.02 %
BAM.PF.F	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 21.66 Evaluated at bid price : 21.95 Bid-YTW : 4.27 %
PWF.PR.O	Perpetual-Premium	1.08 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 5.67 %
FTS.PR.G	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 17.39 Evaluated at bid price : 17.39 Bid-YTW : 4.34 %
BAM.PR.G	FixedFloater	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 25.00 Evaluated at bid price : 13.38 Bid-YTW : 6.30 %
TD.PF.D	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.36 %
POW.PR.B	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.93 Evaluated at bid price : 23.20 Bid-YTW : 5.77 %
BNS.PR.P	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 3.14 %
HSE.PR.A	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 5.07 %
PVS.PR.B	SplitShare	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.94 %
IGM.PR.B	Perpetual-Premium	1.27 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.45 %
BAM.PR.K	Floater	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 4.59 %
RY.PR.H	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.19 %
FTS.PR.F	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.35 Evaluated at bid price : 22.62 Bid-YTW : 5.46 %
VNR.PR.A	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.75 %
BAM.PR.R	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 4.74 %
TD.PR.S	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 3.24 %
SLF.PR.D	Deemed-Retractible	1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 7.28 %
TD.PF.B	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.22 %
ELF.PR.G	Perpetual-Discount	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 5.84 %
PWF.PR.H	Perpetual-Premium	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 24.69 Evaluated at bid price : 25.01 Bid-YTW : 5.84 %
SLF.PR.J	FloatingReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.20 Bid-YTW : 9.86 %
ELF.PR.F	Perpetual-Discount	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.47 Evaluated at bid price : 22.73 Bid-YTW : 5.94 %
TRP.PR.A	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 4.31 %
BMO.PR.Z	Perpetual-Discount	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 23.01 Evaluated at bid price : 23.43 Bid-YTW : 5.38 %
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 : 22.01 Bid-YTW : 4.42 %
GWO.PR.G	Deemed-Retractible	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.24 Bid-YTW : 6.26 %
BMO.PR.S	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 4.21 %
SLF.PR.B	Deemed-Retractible	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 6.74 %
MFC.PR.I	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.46 Bid-YTW : 5.20 %
W.PR.K	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 23.09 Evaluated at bid price : 24.79 Bid-YTW : 5.25 %
TD.PF.C	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.23 %
GWO.PR.H	Deemed-Retractible	1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.88 Bid-YTW : 6.74 %
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 : 23.10 Bid-YTW : 6.30 %
SLF.PR.C	Deemed-Retractible	1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 7.15 %
BMO.PR.W	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.22 %
HSE.PR.G	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 5.87 %
SLF.PR.E	Deemed-Retractible	1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.79 Bid-YTW : 7.08 %
FTS.PR.J	Perpetual-Discount	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 21.70 Evaluated at bid price : 22.00 Bid-YTW : 5.44 %
SLF.PR.H	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 7.24 %
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 : 22.00 Bid-YTW : 5.43 %
BMO.PR.Y	FixedReset	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 4.30 %
FTS.PR.K	FixedReset	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 4.06 %
GWO.PR.I	Deemed-Retractible	1.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.84 Bid-YTW : 7.04 %
MFC.PR.J	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.21 Bid-YTW : 5.71 %
BNS.PR.D	FloatingReset	1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.91 Bid-YTW : 6.35 %
IAG.PR.G	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 5.68 %
NA.PR.Q	FixedReset	1.92 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 2.97 %
MFC.PR.N	FixedReset	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.01 Bid-YTW : 6.39 %
MFC.PR.C	Deemed-Retractible	2.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 7.12 %
MFC.PR.B	Deemed-Retractible	2.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 7.00 %
NA.PR.S	FixedReset	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.43 %
RY.PR.L	FixedReset	2.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 3.53 %
TRP.PR.B	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 12.10 Evaluated at bid price : 12.10 Bid-YTW : 4.21 %
BIP.PR.A	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 5.36 %
GWO.PR.M	Deemed-Retractible	2.15 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 4.89 %
IFC.PR.A	FixedReset	2.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.14 Bid-YTW : 8.63 %
GWO.PR.P	Deemed-Retractible	2.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 5.77 %
CM.PR.Q	FixedReset	2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 4.34 %
FTS.PR.I	FloatingReset	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 12.14 Evaluated at bid price : 12.14 Bid-YTW : 3.96 %
CIU.PR.A	Perpetual-Discount	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.71 %
MFC.PR.H	FixedReset	2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.64 Bid-YTW : 4.73 %
HSE.PR.C	FixedReset	2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 5.94 %
GWO.PR.R	Deemed-Retractible	2.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.79 Bid-YTW : 6.75 %
BAM.PF.G	FixedReset	2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 21.48 Evaluated at bid price : 21.76 Bid-YTW : 4.34 %
CM.PR.O	FixedReset	2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 4.23 %
BAM.PF.B	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 4.43 %
TRP.PR.G	FixedReset	2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 4.62 %
PWF.PR.T	FixedReset	2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.40 Evaluated at bid price : 22.95 Bid-YTW : 3.55 %
RY.PR.M	FixedReset	2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 4.36 %
W.PR.H	Perpetual-Discount	2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.69 Evaluated at bid price : 22.93 Bid-YTW : 6.01 %
TRP.PR.C	FixedReset	3.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 4.58 %
BAM.PF.E	FixedReset	3.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.41 %
TRP.PR.E	FixedReset	3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.37 %
W.PR.J	Perpetual-Discount	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 23.07 Evaluated at bid price : 23.33 Bid-YTW : 6.01 %
BAM.PF.A	FixedReset	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 4.43 %
BAM.PR.C	Floater	4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.42 %
TRP.PR.D	FixedReset	4.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.46 %
TRP.PR.F	FloatingReset	5.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 4.38 %
BAM.PR.B	Floater	5.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.40 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BIP.PR.B	FixedReset	54,030	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.74 Evaluated at bid price : 23.91 Bid-YTW : 5.75 %
RY.PR.Z	FixedReset	45,450	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.20 %
RY.PR.Q	FixedReset	25,850	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 4.97 %
CM.PR.O	FixedReset	21,434	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 4.23 %
RY.PR.H	FixedReset	17,941	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 4.19 %
MFC.PR.G	FixedReset	16,000	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 5.43 %
There were 3 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.T	FixedReset	Quote: 22.95 – 24.99 Spot Rate : 2.0400 Average : 1.4856 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 22.40 Evaluated at bid price : 22.95 Bid-YTW : 3.55 %
NA.PR.W	FixedReset	Quote: 18.02 – 18.70 Spot Rate : 0.6800 Average : 0.4352 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 4.45 %
CIU.PR.C	FixedReset	Quote: 12.33 – 13.46 Spot Rate : 1.1300 Average : 0.8966 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 12.33 Evaluated at bid price : 12.33 Bid-YTW : 4.30 %
SLF.PR.J	FloatingReset	Quote: 13.20 – 13.80 Spot Rate : 0.6000 Average : 0.3849 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.20 Bid-YTW : 9.86 %
HSE.PR.A	FixedReset	Quote: 12.15 – 12.68 Spot Rate : 0.5300 Average : 0.3188 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 5.07 %
TRP.PR.B	FixedReset	Quote: 12.10 – 12.60 Spot Rate : 0.5000 Average : 0.3208 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-29 Maturity Price : 12.10 Evaluated at bid price : 12.10 Bid-YTW : 4.21 %

Nothing happened today.

The last day of tax-loss selling season was mixed for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets gaining 22bp and DeemedRetractibles down 11bp. A lot of churn is still revealed by the Performance Highlights table. Volume was, somewhat surprisingly, above average even though the trading day was foreshortened due to the desire of the most highly paid professionals on earth to get away early.

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 18.50 to be $0.97 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 12.20.

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 19.50 to be 0.47 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 21.63 to be 0.52 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.00 to be $1.54 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 21.72 and appears to be $1.04 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.11, looks $0.50 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.20 and is $0.86 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.45%, with one outlier above -0.50%. There are two junk outliers above -0.50% and one below -2.50%.

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	4.89 %	5.95 %	33,564	16.69	1	-0.7143 %	1,586.6
FixedFloater	7.18 %	6.37 %	41,170	15.78	1	0.2273 %	2,717.8
Floater	4.40 %	4.61 %	83,713	16.21	4	-0.8776 %	1,735.4
OpRet	4.86 %	4.18 %	26,414	0.67	1	0.0000 %	2,738.6
SplitShare	4.84 %	5.94 %	84,686	1.86	6	-0.2694 %	3,192.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2694 %	2,491.1
Perpetual-Premium	5.83 %	5.80 %	94,481	13.90	7	-0.1713 %	2,496.8
Perpetual-Discount	5.74 %	5.79 %	106,793	14.18	33	-0.0537 %	2,499.8
FixedReset	5.13 %	4.48 %	274,689	14.73	81	0.2177 %	2,016.3
Deemed-Retractible	5.21 %	4.81 %	135,489	5.29	33	-0.1081 %	2,572.2
FloatingReset	2.81 %	4.18 %	69,695	5.65	11	-0.5551 %	2,111.2

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.D	FixedReset	-3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.71 %
BNS.PR.B	FloatingReset	-3.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.65 %
HSE.PR.G	FixedReset	-2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.98 %
RY.PR.M	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 4.49 %
BAM.PR.B	Floater	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 10.20 Evaluated at bid price : 10.20 Bid-YTW : 4.64 %
BNS.PR.D	FloatingReset	-2.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.57 Bid-YTW : 6.65 %
PWF.PR.T	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.97 Evaluated at bid price : 22.31 Bid-YTW : 3.68 %
TD.PR.Y	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 3.62 %
TD.PR.S	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 3.48 %
CM.PR.O	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.36 %
TRP.PR.G	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.76 %
BMO.PR.Y	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.38 %
FTS.PR.G	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.40 %
PVS.PR.D	SplitShare	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 6.74 %
NA.PR.S	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.53 %
BAM.PF.A	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 4.59 %
MFC.PR.M	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.46 %
BAM.PR.K	Floater	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 10.17 Evaluated at bid price : 10.17 Bid-YTW : 4.65 %
GWO.PR.M	Deemed-Retractible	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.74 %
TRP.PR.E	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.55 %
MFC.PR.N	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 6.65 %
FTS.PR.K	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.14 %
GWO.PR.I	Deemed-Retractible	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.47 Bid-YTW : 7.28 %
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 : 22.25 Bid-YTW : 4.18 %
RY.PR.I	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.66 %
BNS.PR.C	FloatingReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.60 %
BMO.PR.Z	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 22.74 Evaluated at bid price : 23.11 Bid-YTW : 5.45 %
GWO.PR.R	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.26 Bid-YTW : 7.08 %
TRP.PR.H	FloatingReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 9.90 Evaluated at bid price : 9.90 Bid-YTW : 4.37 %
BNS.PR.A	FloatingReset	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.92 Bid-YTW : 4.04 %
BAM.PR.R	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.81 %
CU.PR.I	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.69 %
IFC.PR.C	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 6.83 %
TD.PF.D	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 4.42 %
SLF.PR.J	FloatingReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.02 Bid-YTW : 10.01 %
VNR.PR.A	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.82 %
MFC.PR.F	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.80 Bid-YTW : 8.89 %
BIP.PR.A	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.48 %
SLF.PR.G	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.05 Bid-YTW : 8.63 %
TD.PF.E	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 4.21 %
MFC.PR.H	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.07 Bid-YTW : 5.06 %
BAM.PR.Z	FixedReset	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.99 Evaluated at bid price : 20.99 Bid-YTW : 4.54 %
MFC.PR.K	FixedReset	1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 6.61 %
CU.PR.C	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.12 %
SLF.PR.H	FixedReset	2.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.71 Bid-YTW : 7.46 %
MFC.PR.L	FixedReset	2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.61 %
BAM.PF.F	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.40 Evaluated at bid price : 21.72 Bid-YTW : 4.32 %
BNS.PR.Z	FixedReset	3.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 5.62 %
HSE.PR.A	FixedReset	3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 5.14 %
GWO.PR.N	FixedReset	3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.80 Bid-YTW : 9.51 %
SLF.PR.I	FixedReset	5.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.85 Bid-YTW : 5.94 %
IAG.PR.G	FixedReset	5.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.93 %
BAM.PR.X	FixedReset	6.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.34 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.G	FixedReset	64,200	RBC crossed 50,000 at 21.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.63 Bid-YTW : 5.66 %
TRP.PR.C	FixedReset	34,558	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 4.71 %
TRP.PR.D	FixedReset	29,210	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.71 %
RY.PR.Q	FixedReset	26,664	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 4.86 %
TD.PF.B	FixedReset	25,565	Scotia crossed 10,000 at 18.72. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 4.29 %
RY.PR.H	FixedReset	25,197	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.25 %
There were 37 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: 21.72 – 23.00 Spot Rate : 1.2800 Average : 0.7552 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.40 Evaluated at bid price : 21.72 Bid-YTW : 4.32 %
NA.PR.Q	FixedReset	Quote: 25.02 – 25.93 Spot Rate : 0.9100 Average : 0.5755 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 3.43 %
VNR.PR.A	FixedReset	Quote: 19.10 – 20.00 Spot Rate : 0.9000 Average : 0.5849 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.82 %
BAM.PF.A	FixedReset	Quote: 20.52 – 21.23 Spot Rate : 0.7100 Average : 0.4419 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 4.59 %
TD.PF.E	FixedReset	Quote: 21.65 – 22.40 Spot Rate : 0.7500 Average : 0.4968 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 4.21 %
W.PR.K	FixedReset	Quote: 24.40 – 24.95 Spot Rate : 0.5500 Average : 0.3051 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 22.94 Evaluated at bid price : 24.40 Bid-YTW : 5.34 %

Canadian preferred shares appear to have been hit over the past few months by tax loss selling, but we’re not the only targets:

Investors pulled more money from U.S. mutual funds last week than they have in any seven-day period in the past two and a half years.

Net redemptions reached $28.6 billion in the week ended Dec. 16, according to a statement from the Investment Company Institute, a trade group. It was the biggest weekly outflow since June 2013, ICI data show.

Some of the redemptions might reflect year-end tax-loss selling, which are sales made for tax purposes, ICI Senior Economist Shelly Antoniewicz said in the statement.

Investors withdrew $11.1 billion from stock funds, $12 billion from bond funds and $5.6 billion from funds that buy a mix of stocks and bonds. Municipal bond funds attracted $647 million, the only category that saw inflows.

Mutual funds have experienced net redemptions every month since July, according to ICI data. In each of the first six months of the year, funds gathered money.

On September 21 I discussed the characterization of the Canadian dollar as a petrodollar. Now it turns out that, as far as one measure is concerned, we’re the petrodollariest in the world!

No other major currency is as closely tied to the value of its key commodity export as the loonie is to crude right now. The correlation between the Canadian dollar and the benchmark West Texas Intermediate oil price is about 0.56, meaning the two have a strong positive relationship. That’s the closest association among 16 of the world’s most-traded currencies including the Australian and New Zealand dollars, Norway’s krone and Brazil’s real.

With oil futures trading below $45 a barrel through 2016, the loonie may continue to struggle. The currency has declined 16 per cent over the past year, touching an 11-year low of $1.4001 per U.S. dollar last week. The drop comes as the price of WTI fell to the lowest since 2009 after the Organization of Petroleum Exporting Countries announced this month it was abandoning production limits, and with U.S. crude stockpiles forecast to climb to the highest since 1930.
…
The 120-day correlation coefficient between 16 major currencies tracked by Bloomberg and their country’s main export commodity — based on 2014 World Bank data — show that the Mexican peso and oil had the second strongest correlation, at 0.41. The correlation between the Australian dollar and iron ore was 0.13, while the link between New Zealand’s currency and whole milk powder was 0.11. A reading of 1 means that gauges move in lockstep; minus 1 means they move in opposite directions.

Crude fell below $34 a barrel on Dec. 21. WTI futures for delivery in March are trading at about $37, compared to $39 for those settling in June.

The Canadian dollar has already fallen below Scotiabank’s 2016 target of $1.39 and there is “clear risk of an overshoot” toward $1.42-$1.43 through the first quarter, [chief foreign-exchange strategist for Bank of Nova Scotia] Mr. [Shaun] Osborne said.

There’s an interesting piece on the bond market, examined through the lens of the Litvak case:

Earlier this year, Sally Yates, the agency’s No. 2 official, ordered policy changes to push prosecutors to bring criminal charges against company executives suspected of financial wrongdoing. Her memo almost admitted that the U.S. Department of Justice had lapsed in its duty to put criminals behind bars. In a September speech, Yates said: “This memo is designed to ensure that all attorneys across the department are consistent in our best efforts to hold to account the individuals responsible for illegal corporate conduct. It’s the only way to truly deter corporate wrongdoing.”

The case against Litvak was supposed to be the opening salvo against dishonest conduct among bond traders. The Justice Department and U.S. Securities and Exchange Commission have built more than a dozen other cases using the one against Litvak as a model.

The cases won’t be easy victories for the government. Lying doesn’t necessarily violate securities law. It’s only fraud when that deception is considered important to a buyer. The question becomes: Is it important that the buyer knew how much Litvak paid for bonds he later sold? “The government may not like how these markets work, and it may look bad from the outside looking in, but it is how they do work,” says Charles Geisst, a Wall Street historian at Manhattan College in New York.
…
As the SEC sees it, just because something is common practice on Wall Street doesn’t mean it conforms to securities laws. The agency has built its own algorithms to comb through trading data to look for red flags instead of waiting for complaints. The SEC has uncovered brokers charging buyers higher fees, traders hiding their positions, and dealers running deceptive auctions. “We’ve identified billions of dollars of potentially problematic trades,” says Michael Osnato Jr., head of the regulator’s Complex Financial Instruments unit. “We have opened promising investigations thus far based on these efforts and expect more to follow soon.”

The Litvak ruling will shape how the SEC pursues some of these violations. The intensive monitoring of debt backed by mortgages and other assets represents a first for the agency. Before the credit crisis, the SEC viewed the market participants as sophisticated investors who didn’t need close supervision. That assumption came undone when plummeting prices in the debt markets kicked off the crisis. “The government’s new interest is reflective of the fact that they’ve had very little interest in this market historically,” says James Cox, a professor at Duke University School of Law. “They just hadn’t looked at it.”

The SEC doesn’t understand any markets, really, other than bank accounts that accrue interest daily. But hey! Markets went down, therefore nefarious activity was behind it, therefore somebody’s got to go to jail – it doesn’t matter who, really. The persecution of Litvak has been discussed on PrefBlog many times before, most recently on December 8.

Speaking of the way the market operates, I see there’s a dust-up with Dominion Diamond Corp. I have no knowledge of this company, but one part of the article drew my attention as a possible winner of “2015 Statements Best Illustrating Intellectual Bankruptcy of Equities Markets”:

Dominion enjoys considerable financial flexibility, according to Edward Sterck, a London-based analyst with Bank of Montreal’s investment arm. The miner has amassed net cash of $284-million (U.S.), equal to about 40 per cent of its market capitalization, he wrote in a research note.

He said that while Dominion’s near-term mine plan has been subject to frequent changes, its longer-term outlook has remained consistently positive.

Mr. Sterck projects an attractive bump in free cash flow over the years to come as new production comes into play, but added that “the problem is that the increased cash flows do not really begin in earnest until mid-2016, so why should investors hold the stock now?”

Ummmm … because increased cash flows begin in earnest in mid-2016?

Meanwhile, there has been a sudden change in the living rooms of preferred share investors … they now look like this:

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts gaining 30bp, FixedResets winning 166bp and DeemedRetractibles up 37bp … it appears that bargain hunters have decided not to wait until the precise end of tax-loss selling season after all! The performance highlights table is as lengthy as one might guess from the raw numbers. Volume continued to be enormously high … which leads to interesting speculation as to what might happen when tax-loss selling season ends.

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 18.73 to be $0.96 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.18 cheap at its bid price of 12.10.

Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 20.26 to be 0.48 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 21.50 to be 0.48 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.82 to be $1.53 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 19.58 and appears to be $0.81 rich.

FTS.PR.K, with a spread of +205bp, and bid at 18.32, looks $0.59 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.51 and is $0.67 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.52%, with one outlier below -2.50%. There are four junk outliers above -0.50%.

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	4.85 %	5.90 %	35,026	16.75	1	0.0000 %	1,598.0
FixedFloater	7.20 %	6.38 %	41,323	15.76	1	-0.4525 %	2,711.6
Floater	4.36 %	4.54 %	84,982	16.36	4	-1.3667 %	1,750.7
OpRet	4.86 %	4.17 %	27,412	0.67	1	0.0000 %	2,738.6
SplitShare	4.83 %	5.87 %	84,887	1.86	6	0.0293 %	3,201.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0293 %	2,497.8
Perpetual-Premium	5.82 %	5.87 %	97,659	13.91	7	0.2347 %	2,501.1
Perpetual-Discount	5.74 %	5.80 %	107,756	14.19	33	0.3040 %	2,501.1
FixedReset	5.14 %	4.48 %	278,104	14.72	81	1.6599 %	2,011.9
Deemed-Retractible	5.21 %	4.80 %	139,962	5.29	33	0.3745 %	2,575.0
FloatingReset	2.80 %	4.10 %	70,387	5.65	11	1.8268 %	2,123.0

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.F	FixedReset	-4.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.06 %
BAM.PR.B	Floater	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 10.42 Evaluated at bid price : 10.42 Bid-YTW : 4.54 %
BAM.PR.K	Floater	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 4.59 %
PWF.PR.P	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 4.21 %
PVS.PR.B	SplitShare	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 6.51 %
GWO.PR.N	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.32 Bid-YTW : 9.97 %
ENB.PR.A	Perpetual-Discount	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 22.41 Evaluated at bid price : 22.67 Bid-YTW : 6.12 %
POW.PR.C	Perpetual-Premium	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-22 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 1.36 %
BAM.PR.R	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 15.82 Evaluated at bid price : 15.82 Bid-YTW : 4.87 %
RY.PR.L	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 3.91 %
BAM.PF.G	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 4.50 %
TRP.PR.A	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 4.36 %
CIU.PR.A	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 20.03 Evaluated at bid price : 20.03 Bid-YTW : 5.81 %
BAM.PR.M	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 6.11 %
MFC.PR.G	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 5.73 %
BNS.PR.Y	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.42 Bid-YTW : 5.42 %
RY.PR.O	Perpetual-Discount	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 22.08 Evaluated at bid price : 22.41 Bid-YTW : 5.51 %
TD.PF.D	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.47 %
TRP.PR.E	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.49 %
TRP.PR.G	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.66 %
TD.PF.B	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 4.29 %
BAM.PF.H	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 4.19 %
FTS.PR.H	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 14.22 Evaluated at bid price : 14.22 Bid-YTW : 3.98 %
MFC.PR.I	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 5.50 %
BNS.PR.A	FloatingReset	1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.68 Bid-YTW : 4.23 %
SLF.PR.I	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.83 Bid-YTW : 6.62 %
IAG.PR.A	Deemed-Retractible	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.80 %
TD.PR.Y	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.77 Bid-YTW : 3.24 %
IFC.PR.C	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.13 Bid-YTW : 6.99 %
SLF.PR.H	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 7.77 %
MFC.PR.L	FixedReset	1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.03 Bid-YTW : 6.94 %
HSE.PR.C	FixedReset	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.09 %
MFC.PR.N	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.86 Bid-YTW : 6.48 %
VNR.PR.A	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.89 %
TD.PF.A	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.25 %
BAM.PF.E	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 4.52 %
TD.PR.S	FixedReset	1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 3.11 %
CM.PR.O	FixedReset	2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 4.27 %
BNS.PR.R	FixedReset	2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 3.50 %
RY.PR.H	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.24 %
HSE.PR.G	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.80 %
CM.PR.P	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.29 %
TD.PF.E	FixedReset	2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 4.31 %
NA.PR.W	FixedReset	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.40 %
CU.PR.C	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.21 %
MFC.PR.M	FixedReset	2.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.26 Bid-YTW : 6.28 %
MFC.PR.J	FixedReset	2.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.69 Bid-YTW : 6.04 %
BNS.PR.Q	FixedReset	2.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.44 %
BMO.PR.Q	FixedReset	2.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 4.70 %
FTS.PR.M	FixedReset	2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.27 %
MFC.PR.K	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.99 Bid-YTW : 6.86 %
TD.PF.C	FixedReset	2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.30 %
TRP.PR.B	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.35 %
CM.PR.Q	FixedReset	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.47 %
RY.PR.Z	FixedReset	2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.19 %
TRP.PR.D	FixedReset	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.55 %
BAM.PF.A	FixedReset	2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 4.53 %
NA.PR.S	FixedReset	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 4.47 %
TRP.PR.C	FixedReset	2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 12.10 Evaluated at bid price : 12.10 Bid-YTW : 4.75 %
BAM.PF.F	FixedReset	2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 4.48 %
BMO.PR.R	FloatingReset	3.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 3.36 %
BMO.PR.T	FixedReset	3.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.26 %
FTS.PR.K	FixedReset	3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 4.09 %
PWF.PR.T	FixedReset	3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 22.29 Evaluated at bid price : 22.78 Bid-YTW : 3.58 %
HSE.PR.A	FixedReset	3.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 11.59 Evaluated at bid price : 11.59 Bid-YTW : 5.33 %
BAM.PR.Z	FixedReset	3.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 4.63 %
BNS.PR.B	FloatingReset	3.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.37 Bid-YTW : 4.10 %
BAM.PR.T	FixedReset	4.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.60 %
FTS.PR.G	FixedReset	4.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.32 %
BNS.PR.Z	FixedReset	4.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 6.21 %
BMO.PR.Y	FixedReset	6.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 4.30 %
BNS.PR.D	FloatingReset	7.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.97 Bid-YTW : 6.27 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.I	FixedReset	82,237	Scotia crossed 75,000 at 25.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.95 %
RY.PR.Q	FixedReset	79,291	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.73 Bid-YTW : 4.93 %
SLF.PR.C	Deemed-Retractible	69,404	Desjardins crossed 51,900 at 20.40. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 7.33 %
RY.PR.J	FixedReset	58,200	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.47 %
TRP.PR.D	FixedReset	51,563	National crossed 11,900 at 18.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.55 %
BNS.PR.E	FixedReset	50,490	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.89 Bid-YTW : 4.78 %
There were 81 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.E	FixedReset	Quote: 18.73 – 19.30 Spot Rate : 0.5700 Average : 0.3645 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.49 %
RY.PR.L	FixedReset	Quote: 25.04 – 25.69 Spot Rate : 0.6500 Average : 0.4498 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 3.91 %
CM.PR.Q	FixedReset	Quote: 19.75 – 20.49 Spot Rate : 0.7400 Average : 0.5464 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-23 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.47 %
IAG.PR.A	Deemed-Retractible	Quote: 21.35 – 22.00 Spot Rate : 0.6500 Average : 0.4633 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.80 %
GWO.PR.S	Deemed-Retractible	Quote: 24.31 – 24.76 Spot Rate : 0.4500 Average : 0.3057 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.31 Bid-YTW : 5.66 %
MFC.PR.L	FixedReset	Quote: 19.03 – 19.49 Spot Rate : 0.4600 Average : 0.3198 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.03 Bid-YTW : 6.94 %

Nothing much happened today.

Neil Irwin of the NYT makes a good point in his review of The Big Short (movie to be released Wednesday 23rd):

A lot of people thought a decade ago that there might be a housing bubble. Few of them understood the connections between housing prices and poor lending practices; the connection from poor lending practices to complex, highly rated securities; the connection between those securities to the balance sheets of major banks; and the peril to the economy if just a few of them faltered.

At each link in that chain, there were people aware that something was wrong, but who lacked the ability to put those pieces together and connect bad lending in Florida suburbs with the existential risk being taken by companies like Bear Stearns and Lehman Brothers.

The impossible job for the regulators (and journalists, and credit rating agencies) of the future is to better understand how the pieces within the infinitely complex economy and financial system connect with one another.

“The Big Short” is a powerful reminder of how hard that will be.

It was really just another example of the Law of Unintended Consequences, writ large.

Brookfield Investments Corporation, proud issuer of BRN.PR.A, was confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) today confirms Brookfield Investments Corporation’s (BIC or the Company) Senior Preferred Shares rating at Pfd-2 (low) with a Stable trend. The confirmation follows the announcement that (1) Brookfield Asset Management (BAM or the Guarantor), BIC’s 100% shareholder, will provide a full and unconditional subordinated guarantee on BIC’s outstanding Senior Preferred Shares, and (2) BIC will rely on continuous disclosure exemption and no longer file its financial statements. DBRS understands that the guarantee will apply to all BIC’s Preferred Shares outstanding other than those held by BAM and its affiliates. Claims under the guarantee will be subordinated to all outstanding senior indebtedness of BAM and will effectively rank pari passu with Preferred Shares issued by BAM.
…
The proposed change will result in BIC’s discontinuing any public disclosure of its financial performance and investment composition. DBRS understands that BAM and BIC intend to maintain similar asset size, composition and financing sources in the foreseeable future. In view of this and so long as BAM’s guarantee remains valid, DBRS will no longer issue separate rating reports on BAM and will report the rating of BIC’s Preferred Shares as a guaranteed issue in future BAM rating reports.

Faircourt Split Trust, proud issuer of FCS.PR.C, has been confirmed at Pfd-3(low) by DBRS:

Based on yields of underlying securities as of December 15, 2015, the Portfolio currently receives dividends to cover 14% of Preferred Security distributions. As of December 14, 2015, downside protection available to holders of the Preferred Securities was 30.2%.
…
The asset coverage test does not permit any cash distributions to the [Capital] unitholders if, after giving effect to the proposed distribution, the total assets of the Portfolio would be less than 1.4 times the outstanding principal amount of the Preferred Securities.

The Preferred Share distributions will result in an average annual grind on the net asset value (NAV) of 4.4% in the next 3.5 years.
…
According to the terms of the Trust’s Declaration of Trust, the Trust has the ability to borrow up to 10% of Total Assets (as defined in the Declaration of Trust) under a loan facility in order to meet its investment objectives. Under the terms of the Company’s Trust Indenture, the loan facility is considered Senior Indebtedness, and all amounts owing under the loan facility will be paid in priority to the 6.00% Preferred Securities. There is currently no loan facility in place and, therefore, there are currently no amounts owing under a loan facility; however, to the extent that the Trust borrows under a loan facility, the rating on the 6.00% Preferred Securities could be negatively affected. DBRS will continue to monitor the situation in connection with the ongoing surveillance of the rating on the 6.00% Preferred Securities, and will take appropriate ratings action as necessary.

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 70bp, FixedResets up 67bp and DeemedRetractibles gaining 37bp. The Performance Highlights table continues to show a lot of churn. Volume remained extremely high.

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	4.85 %	5.90 %	33,806	16.75	1	5.5807 %	1,598.0
FixedFloater	7.16 %	6.35 %	39,135	15.80	1	0.0755 %	2,723.9
Floater	4.31 %	4.41 %	83,448	16.60	4	-2.2707 %	1,775.0
OpRet	4.86 %	4.15 %	28,440	0.68	1	0.0000 %	2,738.6
SplitShare	4.83 %	5.81 %	83,800	1.86	6	0.0156 %	3,200.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0156 %	2,497.1
Perpetual-Premium	5.83 %	5.86 %	99,151	13.93	7	0.3447 %	2,495.2
Perpetual-Discount	5.75 %	5.83 %	107,469	14.11	33	0.6970 %	2,493.5
FixedReset	5.22 %	4.59 %	274,045	14.70	81	0.6674 %	1,979.1
Deemed-Retractible	5.23 %	4.88 %	141,741	5.29	33	0.3733 %	2,565.4
FloatingReset	2.85 %	4.52 %	70,566	5.65	11	-0.0908 %	2,084.9

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.C	Floater	-4.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 10.36 Evaluated at bid price : 10.36 Bid-YTW : 4.56 %
BNS.PR.D	FloatingReset	-4.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.71 Bid-YTW : 7.49 %
BAM.PR.B	Floater	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 10.71 Evaluated at bid price : 10.71 Bid-YTW : 4.41 %
CIU.PR.C	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 12.51 Evaluated at bid price : 12.51 Bid-YTW : 4.25 %
SLF.PR.H	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.00 %
BAM.PR.K	Floater	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 10.58 Evaluated at bid price : 10.58 Bid-YTW : 4.47 %
IFC.PR.C	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 7.22 %
BAM.PF.H	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.54 Bid-YTW : 4.51 %
BIP.PR.A	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 5.60 %
RY.PR.P	Perpetual-Discount	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 24.06 Evaluated at bid price : 24.42 Bid-YTW : 5.47 %
MFC.PR.N	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 6.72 %
BNS.PR.A	FloatingReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.32 Bid-YTW : 4.52 %
SLF.PR.J	FloatingReset	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.22 %
BMO.PR.Y	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.56 %
BAM.PF.F	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 4.62 %
VNR.PR.A	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.98 %
TRP.PR.D	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.68 %
PWF.PR.E	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 23.51 Evaluated at bid price : 23.78 Bid-YTW : 5.87 %
RY.PR.I	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 3.64 %
IFC.PR.A	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 8.91 %
BNS.PR.C	FloatingReset	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 4.55 %
HSB.PR.C	Deemed-Retractible	1.29 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-21 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 1.62 %
MFC.PR.K	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.52 Bid-YTW : 7.20 %
GWO.PR.N	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.48 Bid-YTW : 9.81 %
GWO.PR.G	Deemed-Retractible	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 6.54 %
CU.PR.C	FixedReset	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 18.63 Evaluated at bid price : 18.63 Bid-YTW : 4.31 %
BAM.PR.R	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 4.92 %
NA.PR.S	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.60 %
TD.PF.D	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.53 %
TRP.PR.A	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 4.41 %
POW.PR.D	Perpetual-Discount	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 5.64 %
BMO.PR.Q	FixedReset	1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 5.15 %
BAM.PF.B	FixedReset	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 4.59 %
CU.PR.D	Perpetual-Discount	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.76 %
MFC.PR.H	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.39 %
CU.PR.F	Perpetual-Discount	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 5.68 %
BAM.PF.C	Perpetual-Discount	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 6.18 %
RY.PR.M	FixedReset	2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 4.41 %
CU.PR.G	Perpetual-Discount	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 5.68 %
BMO.PR.S	FixedReset	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.27 %
MFC.PR.L	FixedReset	2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.18 %
FTS.PR.K	FixedReset	2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 4.24 %
PWF.PR.S	Perpetual-Discount	2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.67 %
FTS.PR.G	FixedReset	2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 4.51 %
BAM.PR.Z	FixedReset	2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.82 %
BAM.PR.T	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 16.39 Evaluated at bid price : 16.39 Bid-YTW : 4.79 %
GWO.PR.L	Deemed-Retractible	3.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 5.59 %
IAG.PR.G	FixedReset	3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 6.65 %
MFC.PR.F	FixedReset	3.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.28 Bid-YTW : 8.46 %
BAM.PR.X	FixedReset	4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 14.57 Evaluated at bid price : 14.57 Bid-YTW : 4.62 %
NA.PR.W	FixedReset	4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.50 %
TRP.PR.B	FixedReset	4.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 11.45 Evaluated at bid price : 11.45 Bid-YTW : 4.46 %
FTS.PR.I	FloatingReset	4.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.06 %
PWF.PR.P	FixedReset	5.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.15 %
BAM.PR.E	Ratchet	5.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 5.90 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.C	Deemed-Retractible	183,101	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.38 Bid-YTW : 7.37 %
RY.PR.Q	FixedReset	131,502	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.99 %
NA.PR.S	FixedReset	120,129	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.60 %
BAM.PR.B	Floater	119,356	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 10.71 Evaluated at bid price : 10.71 Bid-YTW : 4.41 %
HSE.PR.G	FixedReset	87,850	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.93 %
BAM.PR.K	Floater	79,527	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 10.58 Evaluated at bid price : 10.58 Bid-YTW : 4.47 %
There were 74 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.T	FixedReset	Quote: 21.95 – 24.52 Spot Rate : 2.5700 Average : 1.5060 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 21.56 Evaluated at bid price : 21.95 Bid-YTW : 3.73 %
BAM.PR.E	Ratchet	Quote: 14.00 – 15.84 Spot Rate : 1.8400 Average : 1.1711 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 5.90 %
BNS.PR.D	FloatingReset	Quote: 17.71 – 18.60 Spot Rate : 0.8900 Average : 0.5109 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.71 Bid-YTW : 7.49 %
BAM.PR.T	FixedReset	Quote: 16.39 – 17.40 Spot Rate : 1.0100 Average : 0.6437 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 16.39 Evaluated at bid price : 16.39 Bid-YTW : 4.79 %
BMO.PR.T	FixedReset	Quote: 17.95 – 18.85 Spot Rate : 0.9000 Average : 0.6190 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-22 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.42 %
BNS.PR.A	FloatingReset	Quote: 22.32 – 22.99 Spot Rate : 0.6700 Average : 0.4431 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.32 Bid-YTW : 4.52 %

Nothing much happened today in the financial world, although what with the solstice and all, a few preferred share new issue salesmen may have been sacrificed by their clients.

In the real world, though there was marvellous news regarding private space ventures:

Elon Musk’s SpaceX showcased his dream of reusable spacecraft by making a Falcon 9 booster the first piece of an orbital rocket to land back on Earth, minutes after lofting satellites toward orbit.

Space Exploration Technologies Corp. pulled off the soft, vertical touchdown after the two-stage rocket propelled its payload of 11 Orbcomm Inc. satellites aloft. It was the company’s first flight since a fiery blast destroyed a Falcon 9 rocket in June, minutes after lift off.

“Welcome back, baby!” Musk wrote in a Twitter post on his way to the landing zone.

Monday’s mission helped validate Musk’s vision for lower-cost spaceflight and provides SpaceX a boost in his race with fellow billionaire Jeff Bezos to develop craft that can survive fiery blasts and return to Earth to be reused. Instead of ditching the booster, SpaceX used thrusters and sophisticated navigation to steer it from space to Landing Zone 1, a former U.S. Air Force rocket and missile testing range.

Scotia announced the redemption of sub-debt on its pretend-maturity:

Scotiabank (TSX: BNS) (NYSE: BNS) today announced that the Bank intends to redeem all outstanding 6.65% debentures due January 22, 2021 for 100% of their principal amount plus accrued interest to the redemption date. The redemption will occur on January 22, 2016. Formal notice will be delivered to the debenture holders in accordance with the terms and conditions set forth in the related trust indenture.

The redemption has been approved by the Office of the Superintendent of Financial Institutions and will be financed out of the general funds of Scotiabank.

This will assist new issue salesmen to sell ten-year sub-debt as if it should have a spread off five-year Canadas, although from what I understand this doesn’t work as well as it used to:

Investors who leaped into Basel-compliant bonds issued by Canadian banks to great fanfare are likely regretting their haste. A year on, the reward for taking on the risk of bailing out a bank has become much richer.

Relative yields of the bonds have widened 25 basis points this year, the worst performance among Canadian five-year corporate bonds, according to RBC Dominion Securities research. The debt is designed to convert to equity if a bank gets into financial distress, in line with new Basel rules to prevent another financial crisis. The first issue of the debt, called contingent capital bonds, in Canada was by Royal Bank of Canada in July, 2014.

RioCan REIT, proud issuer of REI.PR.A and REI.PR.C, was confirmed at Pfd-3(high) by DBRS:

DBRS Limited (DBRS) has today confirmed RioCan Real Estate Investment Trust’s (RioCan or the Trust) Senior Unsecured Debentures rating and Senior Unsecured Debentures, Series I rating at BBB (high) and its Preferred Trust Units rating at Pfd-3 (high), all with Stable trends. The confirmations reflect RioCan’s near-term enhanced financial flexibility to fund its development pipeline and DBRS’s expectation that financial metrics will return to BBB (high) levels. The confirmations follow RioCan’s announcement to sell its U.S. portfolio of 49 retail properties located in the Northeastern United States and Texas for a total sale price of USD 1.9 billion or $2.7 billion to Blackstone Real Estate Partners VIII (Blackstone; the Transaction).
…
DBRS notes that a positive rating action could occur should RioCan increase the size of its portfolio and reduce its geographic concentration while maintaining EBITDA interest coverage (including capitalized interest) above 3.0 times, such that it is more consistent with the A (low) rating category.

Valener Inc., proud issuer of VNR.PR.A, was confirmed at Pfd-2(low) by DBRS:

DBRS Limited (DBRS) has today confirmed Valener Inc.’s (Valener or the Company) Cumulative Rate Reset Preferred Shares, Series A rating at Pfd-2 (low) with a Stable trend. Valener’s preferred share rating is based on the credit quality of Gaz Métro Limited Partnership (the Partnership), which guarantees the First Mortgage Bonds and Senior Secured Notes (rated “A”) of Gaz Métro inc. The one-notch differential in the ratings of Valener and the Partnership reflects the structural subordination at Valener.
…
As the Company has no bonds/debentures issued, and is not expected to issue any long-term debt in the foreseeable future, its leverage solely consists of its credit facility outstanding. As at September 30, 2015, Valener utilized approximately $120 million of the $200 million credit facility which matures on September 30, 2020. Valener’s debt-to-capital ratio was reasonable at approximately 14.3% as at September 30, 2015. Valener is expected to fund future growth investments in a prudent manner to maintain leverage within the 20% threshold. If Valener is unable to do so on a sustained basis, this could result in a negative rating action. Other key non-consolidated credit metrics have also remained supportive of the current rating category, including cash flow-to-interest at 38.8 times, cash-flow fixed coverage at 10.4 times and cash flow-to-debt at 49.7% in F2015.

It was a modestly negative day for the Canadian preferred share market, with PerpetualDiscounts off 7bp, FixedResets down 9bp and DeemedRetractibles losing 36bp. The Performance Highlights table is very long considering the placid overall numbers. 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 18.60 to be $1.22 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.02 cheap at its bid price of 11.85.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 19.80 to be 0.68 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 18.28 to be 0.55 cheap.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.40 to be $1.30 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.78 and appears to be $1.09 rich.

FTS.PR.M, with a spread of +248bp, and bid at 19.48, looks $0.51 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.31 and is $1.05 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.44%, with one outlier above -0.50%. There are five junk outliers above -0.50%.

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	5.12 %	6.24 %	34,043	16.35	1	-3.5636 %	1,513.5
FixedFloater	7.17 %	6.35 %	38,939	15.79	1	0.3788 %	2,721.9
Floater	4.21 %	4.31 %	83,269	16.81	4	0.6949 %	1,816.2
OpRet	4.86 %	4.13 %	26,335	0.68	1	0.1192 %	2,738.6
SplitShare	4.83 %	6.01 %	84,147	1.86	6	-0.0361 %	3,199.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0361 %	2,496.7
Perpetual-Premium	5.83 %	5.90 %	97,956	13.93	7	-0.0686 %	2,486.7
Perpetual-Discount	5.79 %	5.87 %	105,174	14.05	33	-0.0666 %	2,476.3
FixedReset	5.26 %	4.64 %	273,504	14.67	81	-0.0881 %	1,966.0
Deemed-Retractible	5.25 %	5.32 %	139,767	5.29	33	-0.3552 %	2,555.9
FloatingReset	2.84 %	4.28 %	68,806	5.66	11	-0.9637 %	2,086.8

Performance Highlights
Issue	Index	Change	Notes
VNR.PR.A	FixedReset	-5.37 %	Not real. The issue traded 6,560 shares today in a range of 18.64-20.12 before closing at 18.31-09, 2×2. VWAP was 19.42. 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 : 2045-12-21 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 5.03 %
FTS.PR.M	FixedReset	-4.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.46 Evaluated at bid price : 19.46 Bid-YTW : 4.39 %
CIU.PR.C	FixedReset	-4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 4.15 %
IAG.PR.G	FixedReset	-4.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 7.10 %
BNS.PR.B	FloatingReset	-3.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 4.81 %
BAM.PR.E	Ratchet	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 25.00 Evaluated at bid price : 13.26 Bid-YTW : 6.24 %
FTS.PR.G	FixedReset	-3.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 4.64 %
FTS.PR.K	FixedReset	-2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.36 %
MFC.PR.L	FixedReset	-2.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.51 %
HSE.PR.C	FixedReset	-2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 6.17 %
CU.PR.C	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 4.37 %
HSE.PR.E	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 6.08 %
BNS.PR.D	FloatingReset	-2.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 6.76 %
PWF.PR.A	Floater	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 12.35 Evaluated at bid price : 12.35 Bid-YTW : 3.86 %
BAM.PF.E	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 4.63 %
BAM.PR.T	FixedReset	-1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 4.94 %
ENB.PR.A	Perpetual-Discount	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 22.61 Evaluated at bid price : 22.86 Bid-YTW : 6.07 %
PWF.PR.T	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 21.82 Evaluated at bid price : 22.10 Bid-YTW : 3.72 %
BNS.PR.C	FloatingReset	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.78 Bid-YTW : 4.78 %
CM.PR.Q	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.64 %
PWF.PR.K	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.87 %
MFC.PR.K	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.28 Bid-YTW : 7.38 %
PVS.PR.B	SplitShare	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 6.04 %
MFC.PR.J	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 6.32 %
BAM.PF.F	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.67 %
RY.PR.F	Deemed-Retractible	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 4.95 %
MFC.PR.G	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 6.02 %
PWF.PR.P	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.36 %
MFC.PR.I	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.43 Bid-YTW : 5.83 %
GWO.PR.Q	Deemed-Retractible	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 6.65 %
BNS.PR.L	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.87 %
BAM.PF.D	Perpetual-Discount	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.21 %
BMO.PR.Z	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 22.86 Evaluated at bid price : 23.25 Bid-YTW : 5.41 %
RY.PR.I	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 3.84 %
BMO.PR.T	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 17.98 Evaluated at bid price : 17.98 Bid-YTW : 4.41 %
BNS.PR.A	FloatingReset	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 4.28 %
BAM.PF.G	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 4.57 %
CIU.PR.A	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 5.87 %
SLF.PR.G	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.98 Bid-YTW : 8.68 %
BAM.PF.H	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.10 %
BAM.PR.N	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 6.17 %
RY.PR.J	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.54 %
PVS.PR.D	SplitShare	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 6.55 %
RY.PR.Q	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : 5.05 %
TRP.PR.B	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 10.96 Evaluated at bid price : 10.96 Bid-YTW : 4.66 %
BIP.PR.A	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.50 %
BNS.PR.Y	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 5.61 %
BMO.PR.W	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 18.03 Evaluated at bid price : 18.03 Bid-YTW : 4.36 %
CU.PR.I	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 4.20 %
BAM.PR.B	Floater	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 10.97 Evaluated at bid price : 10.97 Bid-YTW : 4.31 %
BAM.PF.A	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.63 %
NA.PR.Q	FixedReset	1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 3.48 %
BMO.PR.S	FixedReset	1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.37 %
CM.PR.O	FixedReset	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 4.42 %
CM.PR.P	FixedReset	2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.43 %
BMO.PR.Q	FixedReset	2.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 5.46 %
BAM.PR.K	Floater	2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.38 %
MFC.PR.F	FixedReset	3.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.74 Bid-YTW : 8.93 %
TRP.PR.A	FixedReset	4.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.49 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.E	OpRet	222,000	Nesbitt crossed blocks of 200,000 and 20,000, both at 25.22. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2016-08-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.13 %
RY.PR.Q	FixedReset	205,155	National bought 13,500 from anonymous at 25.50; Desjardins sold 10,000 to RBC and another 10,600 to National, both at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : 5.05 %
RY.PR.J	FixedReset	131,479	Scotia crossed 100,000 at 19.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.54 %
RY.PR.D	Deemed-Retractible	102,550	RBC crossed 100,000 at 24.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 4.88 %
BNS.PR.E	FixedReset	70,870	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.98 %
TD.PF.B	FixedReset	55,622	TD crossed 31,000 at 18.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 18.17 Evaluated at bid price : 18.17 Bid-YTW : 4.39 %
There were 72 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
ENB.PR.A	Perpetual-Discount	Quote: 22.86 – 23.50 Spot Rate : 0.6400 Average : 0.4216 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 22.61 Evaluated at bid price : 22.86 Bid-YTW : 6.07 %
ELF.PR.H	Perpetual-Discount	Quote: 23.03 – 23.67 Spot Rate : 0.6400 Average : 0.4305 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 22.68 Evaluated at bid price : 23.03 Bid-YTW : 6.07 %
BNS.PR.B	FloatingReset	Quote: 21.50 – 22.13 Spot Rate : 0.6300 Average : 0.4220 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 4.81 %
BAM.PF.D	Perpetual-Discount	Quote: 19.85 – 20.41 Spot Rate : 0.5600 Average : 0.3747 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.21 %
FTS.PR.I	FloatingReset	Quote: 11.26 – 11.92 Spot Rate : 0.6600 Average : 0.4953 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-21 Maturity Price : 11.26 Evaluated at bid price : 11.26 Bid-YTW : 4.25 %
RY.PR.D	Deemed-Retractible	Quote: 24.62 – 25.09 Spot Rate : 0.4700 Average : 0.3102 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 4.88 %

Amidst all the snivelling from old-stock Canadians unable to compete in the Vancouver housing market it’s nice to see a major move in the other direction:

President Barack Obama signed into law a measure easing a 35-year-old tax on foreign investment in U.S. real estate, potentially opening the door to greater purchases by overseas investors, a major source of capital since the financial crisis.

Contained in the $1.1 trillion spending measure that was passed to avoid a government shutdown is a provision that treats foreign pension funds the same as their U.S. counterparts for real estate investments. The provision waives the tax imposed on such investors under the 1980 Foreign Investment in Real Property Tax Act, known as FIRPTA.

“FIRPTA has historically made direct investment in U.S. property a non-starter for trillions of dollars worth of foreign pensions,” said James Corl, a managing director at private equity firm Siguler Guff & Co. “This tax-law modification is a game changer” that could result in hundreds of billions of new capital flows into U.S. real estate.

S&P has downgraded Alberta:

We are lowering our long-term issuer credit and senior unsecured debt ratings on the Province of Alberta to ‘AA+’ from ‘AAA’. We are also lowering our ‘AAA’ senior unsecured debt rating on Alberta Capital Finance Authority to ‘AA+’ from ‘AAA’.

The downgrade reflects our view of Alberta’s projected oil price-driven weak budgetary performances in the next two years; moderate, but rapidly rising, tax-supported debt burden; and now-average economic prospects. The stable outlook reflects our expectations that the province’s liquidity will continue to be exceptional in the next two years, real GDP growth will be positive in 2016 and 2017, and that the debt burden will remain moderate despite large deficit-driven increases in fiscal years 2016-2018.
…
We assess the provincial economy as strong despite the plunge in oil prices and declining real GDP that we expect for 2015. The concentration in the oil and gas industry tempers our assessment of the provincial economy. In 2014, the industry, which includes supporting activities, represented about 27% of real GDP and about 6% of employment. This exposure brings economic and fiscal volatility as oil and gas prices move, as the decline in oil prices indicates. Furthermore, the prospects for energy prices have caused us to reassess Alberta’s growth prospects as average, from above-average previously. We estimate the provincial GDP per capita to be about US$80,800 (2012-2014), which we consider to be high compared with that of peers. Real and nominal GDP growth in 2014 was what we consider very strong despite the fall in oil prices in the second half of the year. Real GDP rose 4.5% (5.1% in 2014): nominal GDP increased 9.1%, compared with 10.2%. Labor force results were also strong, in our opinion. Employment grew 2.2% (2.5% in 2013) and the unemployment rate was 4.7%, up only slightly from 2013. For 2015, the province expects real and nominal GDP to decline 1.0% and 9.4%, respectively. In 2016, we believe real and nominal GDP should rebound, with about 1.0% and 4.0% growth, respectively.

Alberta’s financial management is very strong, in our view. Budget information is comprehensive and detailed. The province produces a five-year capital plan annually. The level of transparency and disclosure in financial statements is high. The independent auditor-general, who reports to the legislature, audits financial statements. Debt and liquidity management and related policies and practices are prudent and risk-averse. A capable and experienced administration supports the recently elected governing party.

I mentioned the Capital Power debt reorganization on November 19 and November 20; now it has come to fruition:

Capital Power Corporation (“Capital Power”) (TSX: CPX) and Capital Power L.P. (“CPLP”) announced today the completion of a previously announced transaction to exchange all outstanding CPLP medium term notes (“CPLP Notes”) for newly issued Capital Power medium term notes (“Capital Power Notes”) that have the same financial and other terms as the CPLP Notes and that are unconditionally guaranteed by CPLP (“Note Exchange”).

The Note Exchange transaction received strong support and was approved by more than 87% of the votes cast at the December 17, 2015 meeting of holders of CPLP Notes, voting as a single class.

As a result of the Note Exchange, the CPLP Notes have been cancelled and the following Capital Power Notes were issued in exchange for them:
◦4.85% Medium Term Notes of Capital Power due February 21, 2019, Series 1
◦5.276% Medium Term Notes of Capital Power due November 16, 2020, Series 2

The Note Exchange and additional steps to reorganize CPLP’s capital structure were undertaken to simplify the organizational structure and reduce reporting obligations. The cessation of CPLP as a reporting issuer and transition of long-term credit ratings to only Capital Power will result in efficiencies for Capital Power while providing noteholders with better liquidity over time and structural enhancement. The timing of the Note Exchange follows the exchange of all remaining Exchangeable Common Limited Partnership Units of CPLP for shares of Capital Power by EPCOR Power Development Corporation on April 2, 2015.

RBC Capital Markets acted as the Solicitation Agent for the Note Exchange transaction

So, what’s done is done. RBC got paid and their counsel got paid:

The Solicitation Agent will be entitled to receive a fee for its services and be reimbursed for certain reasonable out-of-pocket expenses, including fees of legal counsel, and will be indemnified against certain liabilities and expenses in connection with the solicitation of votes in favour of the Note Exchange Resolution.

… and Kingsdale got paid:

CPLP has retained Kingsdale Shareholder Services to act as information agent in connection with the Note Exchange Transaction. The Information Agent will receive reasonable and customary compensation from CPLP for its services in connection with the Note Exchange Transaction, will be reimbursed for certain out-of-pocket expenses and will be indemnified against certain liabilities and expenses in connection with the Note Exchange Transaction.

… and I’m sure lots of other people got paid, but the Noteholders didn’t get paid, not a penny. And they voted in favour anyway! Like I always say, there’s one born every minute!

It was a modestly negative day for the Canadian preferred share market, with PerpetualDiscounts losing 26bp, FixedResets down 25bp and DeemedRetractibles off 8bp. The Performance Highlights table continues to be enormous, though, indicating a lot of churn under the placid surface. Volume was extremely 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 18.50 to be $1.26 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.84 cheap at its bid price of 11.91.

Most expensive is MFC.PR.G, resetting at +290bp on 2016-12-19, bid at 21.30 to be 0.37 cheap, while MFC.PR.N, resetting at +230bp on 2020-3-19, is bid at 19.75 to be 0.57 rich.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.41 to be $1.35 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 19.50 and appears to be $1.36 rich.

FTS.PR.M, with a spread of +248bp, and bid at 20.39, looks $0.33 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.89 and is $0.98 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.03%, with one outlier below -2.00%. There is one junk outlier below -2.00% and four 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	4.94 %	6.01 %	33,464	16.63	1	0.7326 %	1,569.5
FixedFloater	7.20 %	6.38 %	36,162	15.77	1	0.7634 %	2,711.6
Floater	4.24 %	4.37 %	83,977	16.68	4	2.4810 %	1,803.7
OpRet	4.87 %	4.26 %	24,386	0.69	1	0.0000 %	2,735.4
SplitShare	4.83 %	5.58 %	81,423	1.87	6	0.8948 %	3,201.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.8948 %	2,497.6
Perpetual-Premium	5.82 %	5.90 %	97,893	13.95	7	-0.0514 %	2,488.4
Perpetual-Discount	5.78 %	5.86 %	102,834	14.04	33	-0.2576 %	2,477.9
FixedReset	5.25 %	4.65 %	272,003	14.77	81	-0.2534 %	1,967.7
Deemed-Retractible	5.23 %	5.37 %	135,266	5.31	33	-0.0839 %	2,565.0
FloatingReset	2.80 %	4.19 %	67,614	5.67	11	-0.3235 %	2,107.1

Performance Highlights
Issue	Index	Change	Notes
IFC.PR.A	FixedReset	-4.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.19 %
TRP.PR.A	FixedReset	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 14.79 Evaluated at bid price : 14.79 Bid-YTW : 4.75 %
TRP.PR.H	FloatingReset	-3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 4.39 %
MFC.PR.K	FixedReset	-3.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.51 Bid-YTW : 7.22 %
TRP.PR.B	FixedReset	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.79 %
PWF.PR.P	FixedReset	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 13.66 Evaluated at bid price : 13.66 Bid-YTW : 4.37 %
MFC.PR.L	FixedReset	-2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.72 Bid-YTW : 7.17 %
IAG.PR.G	FixedReset	-2.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.26 Bid-YTW : 6.53 %
FTS.PR.I	FloatingReset	-2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 4.19 %
GWO.PR.N	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.33 Bid-YTW : 9.99 %
HSE.PR.A	FixedReset	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 5.57 %
TRP.PR.D	FixedReset	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 4.73 %
SLF.PR.G	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.81 Bid-YTW : 8.84 %
HSE.PR.C	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 6.05 %
VNR.PR.A	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.79 %
RY.PR.L	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 4.28 %
FTS.PR.K	FixedReset	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 4.27 %
FTS.PR.G	FixedReset	-1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 4.51 %
FTS.PR.H	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 4.10 %
FTS.PR.M	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 20.39 Evaluated at bid price : 20.39 Bid-YTW : 4.21 %
NA.PR.Q	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 3.81 %
HSB.PR.C	Deemed-Retractible	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.37 %
TRP.PR.F	FloatingReset	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 4.52 %
MFC.PR.M	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 6.60 %
TRP.PR.E	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.58 %
W.PR.J	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 6.19 %
MFC.PR.F	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.21 Bid-YTW : 9.45 %
TRP.PR.C	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 4.88 %
PWF.PR.T	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 22.07 Evaluated at bid price : 22.45 Bid-YTW : 3.68 %
W.PR.H	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 22.53 Evaluated at bid price : 22.78 Bid-YTW : 6.15 %
ELF.PR.G	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 5.90 %
SLF.PR.H	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 7.79 %
CIU.PR.A	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.93 %
HSB.PR.D	Deemed-Retractible	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 5.13 %
BNS.PR.A	FloatingReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.37 Bid-YTW : 4.46 %
ELF.PR.F	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 6.02 %
TD.PF.E	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 20.66 Evaluated at bid price : 20.66 Bid-YTW : 4.46 %
CU.PR.C	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.31 %
BMO.PR.Y	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.62 %
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 : 24.47 Bid-YTW : 4.94 %
PVS.PR.C	SplitShare	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.50 %
BAM.PR.K	Floater	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.50 %
PVS.PR.D	SplitShare	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.34 Bid-YTW : 6.81 %
BNS.PR.L	Deemed-Retractible	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 4.67 %
MFC.PR.J	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.17 %
BAM.PR.T	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 4.88 %
BNS.PR.E	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 5.09 %
CIU.PR.C	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 4.01 %
BAM.PF.F	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.64 %
ENB.PR.A	Perpetual-Discount	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 5.96 %
RY.PR.M	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.56 %
HSE.PR.G	FixedReset	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.95 %
BAM.PF.A	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.74 %
MFC.PR.H	FixedReset	1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 5.63 %
BAM.PR.B	Floater	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.37 %
BAM.PR.R	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 15.41 Evaluated at bid price : 15.41 Bid-YTW : 5.04 %
BAM.PF.B	FixedReset	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.74 %
TRP.PR.G	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.72 %
BAM.PR.C	Floater	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.42 %
BNS.PR.B	FloatingReset	2.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.38 Bid-YTW : 4.08 %
HSE.PR.E	FixedReset	2.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 5.98 %
PVS.PR.E	SplitShare	3.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 5.96 %
BAM.PF.E	FixedReset	4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.57 %
PWF.PR.A	Floater	4.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 3.78 %
IAG.PR.A	Deemed-Retractible	4.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 7.26 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	356,269	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 23.21 Evaluated at bid price : 25.22 Bid-YTW : 5.22 %
BNS.PR.E	FixedReset	167,063	Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 5.09 %
BAM.PF.B	FixedReset	113,133	Scotia crossed blocks of 37,600 and 54,000, both at 18.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.74 %
POW.PR.C	Perpetual-Premium	104,835	Nesbitt crossed blocks of 51,400 and 50,000, both at 25.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 24.81 Evaluated at bid price : 25.03 Bid-YTW : 5.90 %
BIP.PR.B	FixedReset	47,175	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 22.57 Evaluated at bid price : 23.56 Bid-YTW : 5.84 %
HSE.PR.E	FixedReset	46,986	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 5.98 %
There were 73 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
RY.PR.L	FixedReset	Quote: 24.55 – 25.13 Spot Rate : 0.5800 Average : 0.3617 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 4.28 %
VNR.PR.A	FixedReset	Quote: 19.35 – 20.07 Spot Rate : 0.7200 Average : 0.5351 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.79 %
IFC.PR.A	FixedReset	Quote: 15.50 – 16.09 Spot Rate : 0.5900 Average : 0.4132 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.19 %
BMO.PR.Y	FixedReset	Quote: 19.35 – 19.77 Spot Rate : 0.4200 Average : 0.2835 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.62 %
FTS.PR.I	FloatingReset	Quote: 11.35 – 11.79 Spot Rate : 0.4400 Average : 0.3146 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 4.19 %
BAM.PF.A	FixedReset	Quote: 20.00 – 20.40 Spot Rate : 0.4000 Average : 0.2885 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-18 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.74 %

The Fed’s implementation of new policy tools to raise the overnight rate went smoothly:

The Federal Reserve succeeded in nudging borrowing costs higher Thursday after its first interest-rate increase since 2006, and policy makers only needed to siphon $105 billion from money-market funds to achieve their goal.

Led by Chair Janet Yellen, the Fed lifted the federal funds rate from near zero, where it had been since the financial crisis unfolded in 2008. Thursday, the quarter-point rate boost rippled through money markets that are awash in nearly $3 trillion in excess cash that the Fed injected through bond purchases.

For all the talk of the challenge facing officials as they orchestrate higher rates with so much money sloshing around, Thursday’s market operations weren’t much different in scale than previous days. And the benchmark rate rose 0.2 percentage point, or 20 basis points — practically to the middle of the Fed’s intended range.
…
While the Fed is sticking to the funds rate as its main method of communicating its policy stance, the burden of lifting rates fell elsewhere. That’s because with so much cash in the system, interbank lending has fallen almost 90 percent since 2008.

It looks as if somebody was either naughty or careless at Octagon:

Octagon Capital Corp. has been declared bankrupt, its chief financial officer has been fired and the brokerage is facing a shortfall of as much as $6.1-million.

The Canadian Investor Protection Fund (CIPF) paid out millions of dollars to investors after the small Toronto-based investment firm was unable to meet obligations to clients when it entered bankruptcy proceedings earlier this month. The Investment Industry Regulatory Organization of Canada (IIROC) discovered the deficiency in late November after a routine audit, according to court documents filed by Octagon’s bankruptcy trustee, Ernst and Young Inc. reason for the shortfall is unknown and an investigation continues.

“I am co-operating fully with the trustee,” John Palumbo, Octagon Capital’s chief executive officer, said in an e-mail. “I can say that [the $6.1-million shortfall] represents an accounting amount which is in dispute, and I believe the total is much less.”

On the same day the shortfall was revealed, Octagon notified the IIROC that its chief financial officer, Christopher Everest, “was unable to return to work and was being removed from Octagon’s accounts, e-mail and payroll systems,” according to court documents.

“He was terminated for cause,” Mr. Palumbo said on Thursday.

The banks are claiming they are forced to publish shoddy analysis:

In a world where market news zips around at lightning speed with a click or a tweet, there is at least one anachronism: The delay in analyst research on companies that have just completed an IPO. Analysts who work for the investment firms that have taken the companies public have been blocked from issuing reports for 40 full days after the stock’s debut.

Regulators have now moved to shorten that period. FINRA, the U.S. body that governs its investment dealers, cut the IPO “quiet period” to 10 days this fall. And IIROC, the Investment Industry Regulatory Organization of Canada, followed quickly with a rule that harmonized the Canadian rules with the U.S. so as not to disadvantage this country’s investment dealers.

The biggest Canadian investment banks have now responded to this liberalization with a universal position: We want no part of this. Instead, they say, they want the quiet period extended to a full 25 days.
…
With a new publication schedule of 10 days post-IPO, analysts won’t have enough time to meet with management and produce a robust report, the firms argue.

If firms compete to be first to market with their reports, just 10 days after the IPO, “a likely outcome is a dilution in the quality of research being produced,” Quentin Broad, the head of equity research at CIBC World Markets Inc., said in that firm’s comment letter to IIROC. And the most likely investor to be harmed, Mr. Broad says, are retail investors who “may consume a single research product without conducting or having access to any additional research of their own.”

Does it really make any difference? Sell-side analysis is excellent for data, pretty good for generating ideas regarding analytical techniques … but as far as actual actionable investment recommendations are concerned? Entertainment value only.

As part of what appears to be a global redefinition of what the word “Conservative” means in politics, the UK wants all businesses and the self-employed to file four tax returns every year:

Tax returns will have to be filed four times a year as part of a “digital revolution” at HMRC, George Osborne has indicated

Business and self-employed workers will be expected to file their tax returns online from 2020 using free apps on their smartphones and HMRC’s website.

The Government estimates that the move will raise an additional £600million a year by the end of this Parliament because it will help the taxman keep a better track of people’s income. It has insisted that the new digital service will make it easier to file tax returns.
…
A spokeswoman for the ICAEW group of Chartered Accountants said: “This is an additional burden for small businesses especially at a time when they are already struggling with changes such as auto-enrollment. It is already a significant burden for people to file it once a year.”

Earlier this year it MPs condemned the “abysmal” customer service at HMRC after it emerged that half of all calls to the taxman go unanswered.

This has provoked howls of anguish:

Self-employed workers, landlords and small business owners currently have to submit their figures just once every 12 months.

Switching them to quarterly returns will bring them into line with big corporations. But financial experts say the move will simply add to the reams of red tape already strangling small firms.

‘These changes are going to be very onerous,’ said Chas Roy-Chowdhury, of the Association of Chartered Certified Accountants.

‘It is not just about filling in a form, it is going to be a real burden.

‘Workers will have to make sure their books and records are up to date at least four times a year in case the taxman decides something is amiss and investigates them.’

Initially workers will not have to pay tax four times a year. But accountants suspect quarterly returns are a step toward this.

The plans were slipped out in the small print of George Osborne’s autumn statement. Around four million people will be affected: the self employed, small business owners and landlords who make more than £10,000 a year profit.

Industrial Alliance Insurance and Financial Services Inc., proud issuer of IAG.PR.A and IAG.PR.G, was confirmed at Pfd-2(high) by DBRS:

The Company has strong capitalization as illustrated by (1) its financial leverage ratio of 24.5% at Q3 2015, significantly reduced from a high of 35.2% at year-end 2012; (2) the improvement in the EBIT fixed-charge coverage ratio to 6.8x at Q3 2015, compared with 5.6x at Q3 2014; and (3) the minimum continuing capital and surplus requirement (MCCSR) of 225% at Q3 2015, an improvement of ten percentage points from Q3 2014.

The Stable trends on IAG’s credit ratings take into account the Company’s conservative risk management, good financial metrics and capital levels coupled with low volatility. Negative ratings pressure could arise if IAG experiences a sustained erosion of market share in key segments, a negative impact on its earnings because of lower interest rates, equity market declines or adverse policyholder behaviour, or acquisitions of risky businesses. Positive pressure on IAG’s ratings could emerge if underperforming businesses become profitable, if there is a reduction in exposure to interest rate and stock market value fluctuations, and if there is a significant increase in market share without cutting premium rates.

There has been a massive amount of issue news today, so for convenience I will list the posts here:

• DBRS Releases and Applies New Insurance Company Methodology
• SLF: DBRS Downgrades to Pfd-2
• PWF: DBRS Downgrades to Pfd-2(high)
• GWO: DBRS Downgrades to Pfd-2(high)
• POW: DBRS Downgrades to Pfd-2
• FFH: DBRS Affirms at Pfd-3, Changes Trend to Positive
• MFC: DBRS Downgrades to Pfd-2
• CCS.PR.C: DBRS Upgrades to Pfd-2(low)
• IFC: DBRS Upgrades to Pfd-2
• SJR: Credit Agencies Nervous About Wind Acquisition
• DC.PR.C: Dundee Gets Support from Glass, Lewis & Co., Proxy Advisors
• BNS.PR.E Firm on Good Volume

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 28bp, FixedResets off 22bp and DeemedRetractibles up 43bp. The Performance Highlights table has shortened to a more manageable length. Volume was extremely high, though off the peaks of the past few days.

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	4.98 %	6.06 %	33,112	16.57	1	-0.3650 %	1,558.0
FixedFloater	7.25 %	6.43 %	35,636	15.72	1	-0.0763 %	2,691.0
Floater	4.34 %	4.46 %	83,721	16.52	4	-0.6391 %	1,760.0
OpRet	4.87 %	4.24 %	25,393	0.69	1	0.0397 %	2,735.4
SplitShare	4.87 %	6.04 %	82,279	1.87	6	-0.0968 %	3,172.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0968 %	2,475.4
Perpetual-Premium	5.82 %	5.89 %	97,851	13.96	7	0.4765 %	2,489.7
Perpetual-Discount	5.77 %	5.84 %	102,586	14.08	33	0.2777 %	2,484.3
FixedReset	5.24 %	4.68 %	271,798	14.86	81	-0.2172 %	1,972.7
Deemed-Retractible	5.22 %	4.88 %	139,760	5.31	33	0.4316 %	2,567.1
FloatingReset	2.79 %	4.26 %	68,255	5.68	11	0.4952 %	2,113.9

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.E	FixedReset	-6.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 6.15 %
HSE.PR.G	FixedReset	-4.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.05 %
IAG.PR.A	Deemed-Retractible	-4.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.71 Bid-YTW : 7.92 %
HSE.PR.C	FixedReset	-3.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 5.91 %
FTS.PR.H	FixedReset	-3.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.02 %
CIU.PR.C	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 13.23 Evaluated at bid price : 13.23 Bid-YTW : 4.07 %
TD.PF.D	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.62 %
SLF.PR.I	FixedReset	-2.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.86 Bid-YTW : 6.61 %
BAM.PR.C	Floater	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 10.45 Evaluated at bid price : 10.45 Bid-YTW : 4.52 %
BAM.PR.X	FixedReset	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 4.84 %
CIU.PR.A	Perpetual-Discount	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 5.86 %
BAM.PR.B	Floater	-2.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 4.46 %
MFC.PR.I	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 5.70 %
TRP.PR.A	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 15.36 Evaluated at bid price : 15.36 Bid-YTW : 4.57 %
IAG.PR.G	FixedReset	-2.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 6.17 %
TRP.PR.B	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.61 %
MFC.PR.J	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 6.34 %
TRP.PR.G	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.83 %
PWF.PR.P	FixedReset	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 4.24 %
SLF.PR.J	FloatingReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.83 Bid-YTW : 10.16 %
BMO.PR.Q	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 5.97 %
FTS.PR.I	FloatingReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 11.64 Evaluated at bid price : 11.64 Bid-YTW : 4.09 %
MFC.PR.G	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.09 Bid-YTW : 6.01 %
BNS.PR.Q	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 4.05 %
BAM.PR.K	Floater	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 10.40 Evaluated at bid price : 10.40 Bid-YTW : 4.54 %
BNS.PR.Z	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.15 Bid-YTW : 7.07 %
FTS.PR.G	FixedReset	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 4.42 %
SLF.PR.G	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.15 Bid-YTW : 8.54 %
BNS.PR.O	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-16 Maturity Price : 25.50 Evaluated at bid price : 25.83 Bid-YTW : -1.64 %
GWO.PR.I	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.62 Bid-YTW : 7.16 %
BAM.PF.H	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 4.56 %
FTS.PR.M	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.13 %
MFC.PR.C	Deemed-Retractible	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 7.25 %
TRP.PR.D	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 4.61 %
TD.PR.T	FloatingReset	1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 3.87 %
HSB.PR.C	Deemed-Retractible	1.13 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-16 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 1.26 %
NA.PR.Q	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 3.52 %
ELF.PR.F	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 22.38 Evaluated at bid price : 22.64 Bid-YTW : 5.95 %
NA.PR.W	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.70 %
ELF.PR.G	Perpetual-Discount	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.83 %
MFC.PR.M	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.39 %
BNS.PR.Y	FixedReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 5.92 %
BNS.PR.N	Deemed-Retractible	1.63 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-27 Maturity Price : 25.25 Evaluated at bid price : 25.55 Bid-YTW : 0.57 %
TD.PR.S	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 3.48 %
ENB.PR.A	Perpetual-Discount	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 22.66 Evaluated at bid price : 22.90 Bid-YTW : 6.06 %
TD.PR.Z	FloatingReset	1.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 3.92 %
TD.PF.E	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 4.42 %
GWO.PR.H	Deemed-Retractible	1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 6.83 %
BIP.PR.B	FixedReset	2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 22.46 Evaluated at bid price : 23.35 Bid-YTW : 5.89 %
PWF.PR.T	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 22.27 Evaluated at bid price : 22.75 Bid-YTW : 3.62 %
BNS.PR.D	FloatingReset	2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.90 Bid-YTW : 6.30 %
BIP.PR.A	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.56 %
TRP.PR.F	FloatingReset	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.45 %
PWF.PR.A	Floater	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 12.08 Evaluated at bid price : 12.08 Bid-YTW : 3.94 %
CM.PR.P	FixedReset	3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 4.58 %
VNR.PR.A	FixedReset	3.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.69 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.E	FixedReset	1,123,441	New issue settled today. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.36 %
RY.PR.Q	FixedReset	297,994	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 23.17 Evaluated at bid price : 25.12 Bid-YTW : 5.25 %
CU.PR.I	FixedReset	163,858	Nesbitt crossed 133,200 at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 23.13 Evaluated at bid price : 24.89 Bid-YTW : 4.44 %
RY.PR.H	FixedReset	132,160	Desjardins crossed 100,000 at 18.40 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 4.42 %
NA.PR.S	FixedReset	69,879	Nesbitt crossed 21,000 at 18.05; Desjardins crossed 36,400 at 17.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.74 %
BNS.PR.A	FloatingReset	65,000	RBC crossed 55,200 at 22.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 4.26 %
There were 72 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.F	Deemed-Retractible	Quote: 25.09 – 25.99 Spot Rate : 0.9000 Average : 0.5544 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-16 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : -1.23 %
TRP.PR.G	FixedReset	Quote: 19.50 – 20.40 Spot Rate : 0.9000 Average : 0.5610 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.83 %
CIU.PR.C	FixedReset	Quote: 13.23 – 14.33 Spot Rate : 1.1000 Average : 0.8335 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 13.23 Evaluated at bid price : 13.23 Bid-YTW : 4.07 %
BNS.PR.B	FloatingReset	Quote: 21.85 – 22.40 Spot Rate : 0.5500 Average : 0.3408 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 4.50 %
NA.PR.W	FixedReset	Quote: 17.25 – 18.00 Spot Rate : 0.7500 Average : 0.5431 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-17 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.70 %
BNS.PR.C	FloatingReset	Quote: 22.09 – 22.73 Spot Rate : 0.6400 Average : 0.4564 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.09 Bid-YTW : 4.50 %

The hot news of the day is the FOMC Statement:

Information received since the Federal Open Market Committee met in October suggests that economic activity has been expanding at a moderate pace. Household spending and business fixed investment have been increasing at solid rates in recent months, and the housing sector has improved further; however, net exports have been soft. A range of recent labor market indicators, including ongoing job gains and declining unemployment, shows further improvement and confirms that underutilization of labor resources has diminished appreciably since early this year. Inflation has continued to run below the Committee’s 2 percent longer-run objective, partly reflecting declines in energy prices and in prices of non-energy imports. Market-based measures of inflation compensation remain low; some survey-based measures of longer-term inflation expectations have edged down.
…
Overall, taking into account domestic and international developments, the Committee sees the risks to the outlook for both economic activity and the labor market as balanced. Inflation is expected to rise to 2 percent over the medium term as the transitory effects of declines in energy and import prices dissipate and the labor market strengthens further. The Committee continues to monitor inflation developments closely.

The Committee judges that there has been considerable improvement in labor market conditions this year, and it is reasonably confident that inflation will rise, over the medium term, to its 2 percent objective. Given the economic outlook, and recognizing the time it takes for policy actions to affect future economic outcomes, the Committee decided to raise the target range for the federal funds rate to 1/4 to 1/2 percent. The stance of monetary policy remains accommodative after this increase, thereby supporting further improvement in labor market conditions and a return to 2 percent inflation.
…
The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run. However, the actual path of the federal funds rate will depend on the economic outlook as informed by incoming data.

There were no dissents. The move was met with cheers:

“Americans should realize that the Fed’s decision today reflects our confidence in the U.S. economy,” Yellen said. “While things may be uneven across regions of the country and different industrial sectors, we see an economy that is on a path of sustainable improvement.”

Equity prices rallied in response, with the Standard & Poor’s 500 Index of U.S. stocks rising 1.5 percent to 2,073.07 in New York. Bond prices fell on the prospects of higher short-term interest rates, though yields on the benchmark 10-year Treasury note remained below levels seen last month.
…
Policy makers forecast that the short-term policy rate will rise to 1.375 percent at the end of 2016, implying four quarter-point increases in the target range next year, based on the median number from 17 officials.

“I do want to emphasize that while we have said gradual, gradual does not mean mechanical — evenly timed, equally sized, interest-rate changes,” she said. “As the outlook evolves, we’ll respond appropriately. I strongly doubt that it will mean equally spaced hikes,” she added.

The Fed will be able to take such an approach because inflation is so far below its 2 percent goal. As measured by the personal consumption expenditure price index, it rose by 0.2 percent in the 12 months through October.

The telecoms are changing:

Shaw Communications Inc. is finally poised to enter the wireless business, with a $1.6-billion deal to buy Toronto startup carrier Wind Mobile Corp.

Calgary-based cable operator Shaw announced the transaction on Wednesday evening, noting that while the deal still requires approval from the federal government and the Competition Bureau, it expects it to close during the third quarter of fiscal 2016 (the first half of the calendar year).

Wind, which operates in urban areas in Ontario, British Columbia and Alberta, has 940,000 subscribers, and Shaw said the small carrier is expected to generate $485-million in revenue and $65-million in earnings before interest, taxes, depreciation and amortization (EBITDA) in 2015.
…
Wind has provided a lower-priced alternative to Canada’s Big Three carriers – Telus, BCE Inc. and Rogers Communications Inc. – and consumers will be wondering whether that will evaporate with this sale.

[Shaw CEO] Mr. [Brad] Shaw said as the wireless company improves its coverage and upgrades to LTE (fourth-generation), “I see pricing somewhat discounted, but probably closer to the incumbents as we go forward, which allows us to increase ARPU [average revenue per user]. But listen, growth is very important to us and that’s going to be a key driver, as well as making sure consumers feel there’s value.”

HSBC Bank Canada, proud issuer of HSB.PR.C and HSB.PR.D, has been confirmed at Pfd-2 by DBRS:

DBRS Limited (DBRS) has today confirmed all the ratings of HSBC Bank Canada (HSBC Canada or the Bank) including the Bank’s Long-Term Deposits and Senior Debt at A (high) and the Short-Term Instruments at R-1 (middle). All trends are Stable. Additionally, DBRS discontinued the rating of HSBC Canada Asset Trust (HaTS HSBC Bank Canada’s innovative Tier 1 capital instruments) following repayment of the final instrument.

Earlier this year, on September 29, 2015, DBRS downgraded the Long-Term Deposits and Senior Debt, and Subordinated Debt ratings of HSBC Canada following the conclusion of a review of government support at HSBC Holdings plc, the indirect parent entity of HSBC Canada. The changes reflect DBRS’s view that developments in European regulation and legislation mean that there is less certainty about the likelihood of timely systemic support. Given HSBC Canada’s position in the global franchise of HSBC Group (the Group), DBRS has assigned an SA1 designation to the bank under “DBRS Criteria: Support Assessments for Banks and Banking Organisations,” which implies strong and predictable support from the Group, should it be required. As a result, HSBC Canada’s rating generally moves in tandem with HSBC Holdings plc’s rating. Accordingly, HSBC Canada’s senior debt rating is notched down by one notch from HSBC Holdings plc’s rating of AA (low).
…
Some factors that may improve HSBC Canada’s overall credit strength include reductions in geographic and/or sector loan concentrations, or a successful growth of retail wealth management. On the other hand, any significant increase in provisions (particularly related to energy sector lending), evidence of compliance failings or a change in DBRS’s assessment of likely support from the HSBC Group could put negative pressure on the rating assessment.

The trouble nowadays, though, is that when people refer to “lift-off”, I don’t know whether they’re talking about the Fed rate increase or the Canadian preferred share market!

The Canadian preferred share market was on fire again today, with PerpetualDiscounts up 102bp, FixedResets winning 336bp and DeemedRetractibles gaining 59bp. The Performance Highlights table is ridiculously long again, of course, with no less than fifteen issues returning more than 5.00% on the day. Volume was again very, very heavy.

PerpetualDiscounts now yield 5.86%, equivalent to 7.62% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, down only slightly (and perhaps spuriously) from the 345bp reported December 9

At time of writing the TMXMoney website doesn’t have the Total Return Index Value for TXPL, but I guess it’s about maybe 1,256.41, which would put the index down 3.22% on the month-to-date, but 6.36% above the December 14 low.

Similarly, TXPL is somewhere close to 773.32, down 3.68% on the month-to-date but 9.08% above the December 14 low.

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 18.66 to be $1.45 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.12 cheap at its bid price of 12.06.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 21.96 to be 0.64 cheap, while MFC.PR.I, resetting at +286bp on 2017-9-19, is bid at 22.13 to be 0.51 rich.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.20 to be $1.41 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.45 and appears to be $1.01 rich.

FTS.PR.M, with a spread of +248bp, and bid at 20.53, looks $0.35 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.42 and is $0.94 cheap.

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.33%, with one outlier below -2.00%. There are two junk outliers below -2.00% and four above 0.00%. Note the vertical axis of this graph has been changed.

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	4.96 %	6.03 %	33,638	16.60	1	0.3663 %	1,563.8
FixedFloater	7.25 %	6.42 %	35,518	15.72	1	1.9440 %	2,693.1
Floater	4.31 %	4.36 %	84,444	16.72	4	0.5739 %	1,771.4
OpRet	4.87 %	4.28 %	26,297	0.69	1	0.0000 %	2,734.3
SplitShare	4.87 %	5.81 %	82,956	1.87	6	0.0415 %	3,175.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0415 %	2,477.8
Perpetual-Premium	5.85 %	5.91 %	98,476	13.90	7	0.5310 %	2,477.8
Perpetual-Discount	5.78 %	5.86 %	104,697	14.05	33	1.0227 %	2,477.5
FixedReset	5.22 %	4.72 %	265,864	15.31	80	3.3632 %	1,977.0
Deemed-Retractible	5.25 %	5.30 %	135,940	5.31	33	0.5933 %	2,556.1
FloatingReset	2.81 %	4.27 %	68,373	5.67	11	1.9011 %	2,103.5

Performance Highlights
Issue	Index	Change	Notes
PVS.PR.E	SplitShare	-1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 6.43 %
BAM.PR.K	Floater	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 10.52 Evaluated at bid price : 10.52 Bid-YTW : 4.49 %
BAM.PF.H	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.80 %
CU.PR.I	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 23.13 Evaluated at bid price : 24.90 Bid-YTW : 4.44 %
RY.PR.B	Deemed-Retractible	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 4.80 %
RY.PR.D	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.88 Bid-YTW : 4.67 %
MFC.PR.C	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.31 Bid-YTW : 7.40 %
IFC.PR.C	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.26 Bid-YTW : 6.91 %
PWF.PR.H	Perpetual-Premium	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 24.43 Evaluated at bid price : 24.67 Bid-YTW : 5.91 %
FTS.PR.K	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.15 %
SLF.PR.C	Deemed-Retractible	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 7.31 %
CU.PR.D	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 5.84 %
PWF.PR.L	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.82 Evaluated at bid price : 22.06 Bid-YTW : 5.86 %
POW.PR.A	Perpetual-Discount	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 23.99 Evaluated at bid price : 24.24 Bid-YTW : 5.87 %
GWO.PR.P	Deemed-Retractible	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 6.01 %
TRP.PR.B	FixedReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 11.44 Evaluated at bid price : 11.44 Bid-YTW : 4.51 %
SLF.PR.D	Deemed-Retractible	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 7.38 %
ELF.PR.F	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.06 Evaluated at bid price : 22.35 Bid-YTW : 6.03 %
TRP.PR.E	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 4.54 %
BAM.PR.B	Floater	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 10.84 Evaluated at bid price : 10.84 Bid-YTW : 4.36 %
BIP.PR.A	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 5.70 %
PWF.PR.F	Perpetual-Discount	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.29 Evaluated at bid price : 22.56 Bid-YTW : 5.90 %
PVS.PR.D	SplitShare	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.06 Bid-YTW : 7.06 %
IAG.PR.A	Deemed-Retractible	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 7.32 %
BAM.PR.T	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 4.96 %
FTS.PR.J	Perpetual-Discount	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.56 %
TD.PR.T	FloatingReset	1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.07 %
CU.PR.E	Perpetual-Discount	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.82 %
ELF.PR.G	Perpetual-Discount	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.91 %
CU.PR.F	Perpetual-Discount	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.77 %
PWF.PR.E	Perpetual-Discount	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 23.33 Evaluated at bid price : 23.61 Bid-YTW : 5.90 %
MFC.PR.B	Deemed-Retractible	1.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.88 Bid-YTW : 7.18 %
CM.PR.Q	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.64 %
TD.PF.A	FixedReset	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 4.46 %
CU.PR.H	Perpetual-Discount	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.15 Evaluated at bid price : 22.50 Bid-YTW : 5.87 %
BIP.PR.B	FixedReset	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.20 Evaluated at bid price : 22.87 Bid-YTW : 6.03 %
PWF.PR.K	Perpetual-Discount	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.42 Evaluated at bid price : 21.68 Bid-YTW : 5.78 %
CM.PR.P	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.72 %
BAM.PR.R	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 5.11 %
TRP.PR.H	FloatingReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 10.10 Evaluated at bid price : 10.10 Bid-YTW : 4.25 %
ENB.PR.A	Perpetual-Discount	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 6.16 %
TD.PR.Z	FloatingReset	1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 4.23 %
TRP.PR.D	FixedReset	1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 4.67 %
VNR.PR.A	FixedReset	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.88 %
BAM.PR.Z	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.99 %
SLF.PR.J	FloatingReset	1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.05 Bid-YTW : 9.93 %
BAM.PR.C	Floater	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.41 %
RY.PR.I	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.93 %
CU.PR.G	Perpetual-Discount	1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.77 %
BAM.PR.G	FixedFloater	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 25.00 Evaluated at bid price : 13.11 Bid-YTW : 6.42 %
CIU.PR.C	FixedReset	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 3.95 %
BNS.PR.R	FixedReset	2.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.33 Bid-YTW : 3.87 %
TD.PF.B	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 4.51 %
BNS.PR.C	FloatingReset	2.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.57 %
PWF.PR.T	FixedReset	2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.93 Evaluated at bid price : 22.25 Bid-YTW : 3.71 %
BNS.PR.B	FloatingReset	2.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.87 Bid-YTW : 4.48 %
BNS.PR.D	FloatingReset	2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 6.73 %
NA.PR.Q	FixedReset	2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 3.74 %
W.PR.J	Perpetual-Discount	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.93 Evaluated at bid price : 23.21 Bid-YTW : 6.14 %
W.PR.H	Perpetual-Discount	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.08 %
BNS.PR.Z	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.37 Bid-YTW : 6.86 %
MFC.PR.H	FixedReset	2.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.96 Bid-YTW : 5.74 %
RY.PR.M	FixedReset	2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.59 %
BNS.PR.Y	FixedReset	2.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.55 Bid-YTW : 6.19 %
TRP.PR.G	FixedReset	2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.74 %
BMO.PR.S	FixedReset	2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.45 %
MFC.PR.F	FixedReset	2.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.36 Bid-YTW : 9.30 %
TRP.PR.C	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 12.06 Evaluated at bid price : 12.06 Bid-YTW : 4.82 %
NA.PR.W	FixedReset	3.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 4.76 %
TD.PR.S	FixedReset	3.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 3.79 %
FTS.PR.H	FixedReset	3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 3.90 %
MFC.PR.J	FixedReset	3.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 6.07 %
HSE.PR.E	FixedReset	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.77 %
NA.PR.S	FixedReset	3.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 4.76 %
BMO.PR.W	FixedReset	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.51 %
BMO.PR.R	FloatingReset	3.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 3.72 %
SLF.PR.G	FixedReset	3.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.67 %
BMO.PR.M	FixedReset	3.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 3.18 %
RY.PR.J	FixedReset	3.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 4.62 %
BAM.PF.B	FixedReset	3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.84 %
TD.PF.C	FixedReset	3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.45 %
TD.PF.D	FixedReset	3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 4.50 %
TD.PF.E	FixedReset	3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.50 %
BMO.PR.T	FixedReset	3.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.51 %
IFC.PR.A	FixedReset	3.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.24 Bid-YTW : 8.54 %
MFC.PR.L	FixedReset	3.84 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.18 Bid-YTW : 6.84 %
BNS.PR.P	FixedReset	3.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.68 Bid-YTW : 3.34 %
IAG.PR.G	FixedReset	3.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 5.88 %
FTS.PR.I	FloatingReset	3.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.03 %
RY.PR.H	FixedReset	3.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.40 %
RY.PR.Z	FixedReset	4.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.36 %
CM.PR.O	FixedReset	4.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.59 %
MFC.PR.G	FixedReset	4.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.36 Bid-YTW : 5.84 %
HSE.PR.C	FixedReset	4.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 5.71 %
BMO.PR.Q	FixedReset	4.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.54 Bid-YTW : 5.66 %
MFC.PR.K	FixedReset	4.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 6.83 %
BNS.PR.Q	FixedReset	4.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 3.81 %
FTS.PR.M	FixedReset	4.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 4.18 %
TRP.PR.A	FixedReset	4.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.47 %
HSE.PR.G	FixedReset	4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.76 %
GWO.PR.N	FixedReset	5.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.76 Bid-YTW : 9.56 %
CU.PR.C	FixedReset	5.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 4.28 %
MFC.PR.N	FixedReset	5.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.82 Bid-YTW : 6.51 %
MFC.PR.I	FixedReset	5.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 5.41 %
FTS.PR.G	FixedReset	5.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 4.37 %
MFC.PR.M	FixedReset	5.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 6.59 %
SLF.PR.I	FixedReset	5.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.35 Bid-YTW : 6.28 %
TD.PR.Y	FixedReset	5.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 3.54 %
BAM.PF.A	FixedReset	6.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 4.82 %
BAM.PF.G	FixedReset	6.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 4.67 %
BAM.PF.F	FixedReset	6.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 4.69 %
SLF.PR.H	FixedReset	6.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 7.56 %
BAM.PR.X	FixedReset	7.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 14.38 Evaluated at bid price : 14.38 Bid-YTW : 4.73 %
BAM.PF.E	FixedReset	7.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 4.76 %
PWF.PR.P	FixedReset	9.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 4.17 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	1,558,368	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 23.17 Evaluated at bid price : 25.10 Bid-YTW : 5.25 %
IFC.PR.A	FixedReset	135,504	Desjardins crossed blocks of 39,600 and 58,100, both at 16.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.24 Bid-YTW : 8.54 %
W.PR.K	FixedReset	102,801	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 22.89 Evaluated at bid price : 24.28 Bid-YTW : 5.36 %
RY.PR.W	Perpetual-Discount	92,464	Nesbitt crossed 75,000 at 21.87. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.69 Evaluated at bid price : 21.94 Bid-YTW : 5.63 %
HSE.PR.G	FixedReset	87,537	Scotia crossed 65,600 at 18.72. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.76 %
RY.PR.N	Perpetual-Discount	86,776	Nesbitt crossed 75,000 at 22.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 21.79 Evaluated at bid price : 22.11 Bid-YTW : 5.58 %
There were 93 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: 13.70 – 15.50 Spot Rate : 1.8000 Average : 1.3113 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 25.00 Evaluated at bid price : 13.70 Bid-YTW : 6.03 %
TD.PR.T	FloatingReset	Quote: 22.25 – 23.35 Spot Rate : 1.1000 Average : 0.6731 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.07 %
PWF.PR.A	Floater	Quote: 11.75 – 12.75 Spot Rate : 1.0000 Average : 0.6683 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.05 %
IGM.PR.B	Perpetual-Premium	Quote: 24.99 – 25.74 Spot Rate : 0.7500 Average : 0.4456 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 24.70 Evaluated at bid price : 24.99 Bid-YTW : 5.98 %
TD.PR.Z	FloatingReset	Quote: 22.15 – 22.97 Spot Rate : 0.8200 Average : 0.5641 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 4.23 %
VNR.PR.A	FixedReset	Quote: 19.00 – 19.66 Spot Rate : 0.6600 Average : 0.4336 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.88 %