Category: Market Action

Market Action

December 11, 2015

We have a new government, but the same old central planners:

Finance Minister Bill Morneau today announced changes to the rules for government-backed mortgage insurance to contain risks in the housing market, reduce taxpayer exposure and support long-term stability. Effective February 15, 2016, the minimum down payment for new insured mortgages will increase from 5 per cent to 10 per cent for the portion of the house price above $500,000. The 5 per cent minimum down payment for properties up to $500,000 remains unchanged.

Today’s announcement represents a graduated approach to increasing the down payment requirement proportionally to the cost of a home. Canadians who already hold mortgages will not be affected by this announcement.

The Government continuously monitors the housing market and is committed to implementing policy measures that maintain a healthy, competitive and stable housing market. Higher homeowner equity plays a key role in maintaining a stable and secure housing market.

The backgrounder reveals nothing relevant:

The Bank Act requires federally regulated lenders to obtain mortgage default insurance (“mortgage insurance”) for homebuyers who make a down payment of less than 20 per cent of the property purchase price. The homebuyer pays the premium for this insurance, which protects the lender against mortgage loan losses if the homebuyer defaults.

By reducing risk to lenders, mortgage insurance enables consumers to purchase homes with a down payment as low as 5 per cent of the property value and at lower mortgage interest rates that are comparable to those received by homebuyers with higher down payments.
…
The Government guarantee of mortgage insurance is intended to support access to homeownership for creditworthy buyers and promote stability in the housing market, financial system and economy. As part of its role to promote stability, and to protect taxpayers from potential mortgage loan losses, the Government sets the eligibility rules for new government-backed insured mortgages.

Between 2008 and 2012, four rounds of changes were made to the eligibility rules, aimed at encouraging insured borrowers to build and retain housing equity and take on mortgage debt that they are able to service over the economic cycle.

And the FAQs are puerile:

Why is the Government making this change at this time?

The Government continuously monitors the housing market and is prepared to implement policy measures to maintain a healthy, competitive and stable housing market. The new measure reduces housing market risks by increasing borrower equity. This protects the stability of the housing market and the economy as a whole, as well as the interests of taxpayers who ultimately back government-guaranteed mortgage insurance.

What will be the impact of the higher down payment requirement on the Canadian economy?

Higher homeowner equity will help maintain a stable and secure housing market and balanced economic growth over the long-term. In the short term, this targeted measure will dampen somewhat the pace of housing activity over the next year, as some prospective homebuyers save for the increased minimum down payment.

There is no meat on these bones at all. There is nothing to quantify any improvement in government policy objectives that is served by this policy. It’s just another randomly chosen measure that will be touted as an indication to those who are unable to compete for housing that Your Government Is Doing Something.

But the cheerleaders were out in force:

Some new buyers in Toronto and Vancouver will be knocked out of the market temporarily.

But that’s a fair price for bringing some stability to a housing market where prices in many cities have for years risen far in excess of incomes.
…
Boomers in particular are living in homes that have increased many times in value. A big decline in house prices would be a shocking setback to these people and could negatively affect their financial health in retirement.

Mild as it is, the new down payment rule could only momentarily slow hot markets. But at least the new Liberal government has shown that it’s monitoring housing and ready to act to keep it in line. For homeowners, that’s far better news than another month of big price gains.

As I have noted before, the fact that people are taking advantage of low interest rate to load up on non-productive housing assets instead of productive capital assets is a genuine concern for the western world. There was a story illustrating the process the other day:

It was after losing a huge chunk of money in the stock market, twice, that Ottawa couple Denise and Stuart MacPherson decided they needed to find a new way to save for retirement.

The first bath they took was during the dot-com bust at the start of the century, after getting caught up in the hype around technology stocks. The second was the global financial crisis in 2008, when they watched half of their investments go down the drain.

“That was a very hard lesson to learn, mostly because we didn’t really understand what we were investing in,” says Ms. MacPherson, 61. “It was a wake-up call for us.”

Instead of jumping back into the market, the couple, working then as civil servants, decided to start investing in something they could see and understand.

“That’s when we started looking at real estate,” Ms. MacPherson says.

I suggest that from a policy perspective, what we need is more housing price volatility, not less. Let’s wipe out a swath of real-estate entrepreneurs – as happened in the early eighties and again in the early nineties – pour encourager les autres. Trying to turn the housing market into a 5% GIC – as the repeated lauding of ‘stability’ implies – will have quite the opposite effect from that which is intended. The trouble is, of course, that the central planners and regulators want to turn everything into a 5% GIC, since they run into less criticism that way.

I was more impressed with OSFI’s note titled Updating capital requirements for residential mortgages:

OSFI is planning to update the regulatory capital requirements for loans secured by residential real estate properties (i.e. residential mortgages).
…
The purpose of OSFI’s regulatory capital framework is to ensure, as much as possible, that federally regulated financial institutions can absorb severe but plausible losses. The potential severity of loss scenarios in the residential mortgage market depends crucially on price developments. In particular, potential losses become more severe during extended periods where house prices have recently risen rapidly and/or are high relative to borrower incomes. As a result, the potential severity of losses may vary across Canada.

Accordingly, for banks using internal models, OSFI will propose a risk-sensitive floor for one of the model inputs (losses in the event of default) that will be tied to increases in local property prices and/or to house prices that are high relative to borrower incomes. This will ensure a level of consistency and conservatism in the protection provided to depositors and unsecured creditors.

For federally regulated private mortgage insurers, we will introduce a new standardized approach that updates the capital requirements for mortgage guarantee insurance risk. It will require more capital when house prices are high relative to borrower incomes. This will ensure a level of conservatism in the protection provided to policyholders and unsecured creditors.

The part of this policy that looks back at past prices to determine risk is – in broad outlines – something I’ve been advocating for years, most recently on November 30:

There are two approaches that can be taken: the first is to insist that for risk-management purposes, the loan-to-value ratio of a mortgage be calculated not according to the sale price or to the appraised value, but to an estimate of what this would have been five or ten years ago, adjusted for inflation. So, for instance, if we have a house that sold in 2014 for $567,000 and has a mortgage of $400,000, we would now currently say the LTV is 71%. I suggest that for regulatory risk purposes we use the 2009 price of $395,000, add on 10% to reflect plain vanilla inflation for a notional value of $435,000, and say OK, you’ve got to put up capital reflecting this notional LTV of 92%, which is a different kettle of fish altogether.

The second approach would simply say … 40% of your balance sheet is now mortgages, the average over the last ten years is 30%, the difference is 10% and 10% of that is 1%, so there’s a countercyclical capital surcharge of 1% that will be applied to your risk weighted assets. A solution would need to be more detailed, with meaningful categorizations of bank assets and threshold values for surcharges so that slow change is not discouraged, but that’s the general idea.

Such broad-brush changes are strongly preferable to the micro-management of the economy implicit in down-payment rules.

Meanwhile Third Avenue Management rocked the junk market by liquidating its junk fund:

I am writing to inform you that the Board of Trustees of the Third Avenue Trust has adopted a Plan of Liquidation for the Third Avenue Focused Credit Fund (“FCF”). Pursuant to this Plan, on or about December 16, 2015, there will be a distribution to all FCF shareholders of the Fund’s cash assets not required for the expenses of the Fund and its liquidation. The remaining assets have been placed into a liquidating trust (the “Liquidating Trust”) and interests in that trust will also be distributed to FCF shareholders on or about December 16, 2015. These two distributions will constitute the full redemption for all shares of FCF and existing FCF shareholders will all become beneficiaries of the Liquidating Trust, which will make periodic distributions as cash is received for the remaining investments. The record date for these distributions is December 9, 2015, so no further subscriptions or redemptions will be accepted. Interests in the Liquidating Trust will not trade and will, in general, be transferable only by operation of law.
…
In line with its investment approach, FCF has some investments in companies that have undergone restructurings in the last eighteen months, and while we believe that these investments are likely to generate positive returns for shareholders over time, if FCF were forced to sell those investments immediately, it would only realize a portion of those investments’ fair value given current market conditions. We believe that doing so would be contrary to the interests of all of our shareholders, which is why we have taken steps to protect shareholder value by returning cash and implementing the Liquidating Trust to seek maximum value for these investments.

The past performance of this fund – which I have not examined in any detail at all – makes it seem like just another go-go fund:

In 2010, it earned 15.63%, according to Morningstar MORN +0.00%, outperforming the Barclays Aggregate Bond Index by over 900 basis points. That out-performance turned in 2011 when bond markets were spooked by the government’s near-breach of a debt limit, but it returned the following year. In 2013, the Third Avenue Credit Fund was the top fund in its category, according to Morningstar, returning 16.8%, outperforming its index by a whopping 1,800 basis points.

Over the past 24-months, Third Avenue’s performance turned sharply negative, testing investors’ patience. Part of the fund’s troubles come from owning debts in some of the largest leveraged buyouts that remain in the coffers of private equity firms, or stumbled in their return to public markets.

But, as a chart prepared by the WSJ indicates, go-go investing works really well for managers!

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Look at all that money chasing performance! But all good things come to an end:

The fund, which had $3.5 billion in assets as recently as July of last year, suffered almost $1 billion in redemptions this year through November. The Third Avenue fund lost 13 percent in the past month and is down 27 percent this year, according to data compiled by Bloomberg. Assets have declined to $788 million as of Dec. 8 as clients pulled an estimated $979 million this year through November, according to Morningstar Inc.

“It’s significantly bad news for the market, and another straw on the camel’s back,” said Martin Fridson, a money manager at Lehmann Livian Fridson Advisors LLC. “It’s not typical, but it raises the question: Can this happen to the next-worst fund? You just don’t know. It certainly doesn’t encourage people to put money in, and that just exacerbates the liquidity problem there.”

The weakness in the market comes as credit quality in speculative-grade debt is falling. For every junk-bond issuer that had its rating boosted this year, two have been downgraded, a ratio not seen since 2009, according to data compiled by Bloomberg.

And companies are increasingly defaulting on their debt. Swift Energy Co.’s failure to make an $8.9 million interest payment last week raised the global tally of defaults to 102 issuers, a figure last exceeded in 2009, according to Standard & Poor’s.

And there is some credibility to the claim that the fund fell into a shark tank:

Mutual funds that own hard-to-trade debt are gunning for an advantage when it comes to returns, but they can face a big disadvantage when it comes time to sell.

They are often the weakest hand in a market of hungry experienced traders simply by virtue of their structure. They must publicly report their holdings, albeit on a delayed basis, and disclose information about investor inflows and outflows. Hedge funds, on the other hand, do not have to disclose nearly as much.

That’s like putting a huge “kick me” sign on these mutual funds when investors start asking for their money back. Because the debt these funds own may only trade a few times a year, prices are as reliant on supply and demand as the actual fundamentals of a given company.
…
Exhibit A of this phenomenon is Third Avenue Management. After it decided to liquidate its $788 million mutual fund that focuses on highly distressed debt — and to gate in remaining investors to avoid a fire sale of the remaining assets — its chief executive hinted that the fund was a victim of just such behavior.

“Our portfolio was well known, it’s almost like we were targeted,” CEO David Barse said, according to the Wall Street Journal.

But misery loves company, and fund holders had that, all right:

Global financial markets turned gloomy as the prospects for a Federal Reserve interest-rate increase next week and a drop in oil helped spark a selloff in riskier assets, from equities to commodities to high-yield debt.

U.S. stocks tumbled to a two-month low, with the Dow Jones Industrial Average dropping more than 300 points, while shares in developing nations extended the longest slump since June. Oil plunged below $36 a barrel to cap its worst week in a year, and junk bonds had their worst day since December 2012. Treasuries rallied with the yen on haven demand.
…
The Standard & Poor’s 500 Index slumped 1.9 percent to 2,012.37 at 4 p.m. in New York, to the lowest level since Oct. 14. The gauge sank 3.8 percent in the week. That’s the most since Aug. 21, when signs of slowing growth from China to Europe rekindled concern that weakness could spread to America.
…
The iShares iBoxx $ High Yield Corporate Bond exchange-traded fund, known by its ticker of HYG, tumbled 2.7 percent as oil extended its loss. Trading in the high-yield ETF options surged as billionaire investor Carl Icahnsaid more pain is coming. “The meltdown in High Yield is just beginning,” he wrote on his verified Twitter account Friday.
…
Traders are pricing in a 72 percent chance that the Fed will raise rates at its Dec. 16 meeting, with data out of the U.S. Friday showing growth in retail sales and producer prices for November. That’s down from 80 percent earlier this week, amid the turmoil on financial markets.
…
The Stoxx Europe 600 Index tumbled 2 percent, taking its weekly loss to 4 percent. The regional benchmark fell to its lowest level since October and has sunk 7.7 in December amid a rout in commodity companies and disappointment over the European Central Bank’s last meeting.
…
The risk premium on the Markit CDX North American High Yield Index, a credit-default swaps benchmark tied to the debt of 100 speculative-grade companies, rose 36 basis points to 514.52 basis points, the highest since December 2012. BlackRock’s iShares iBoxx High Yield Corporate Bond ETF, the largest fund of its kind, fell to the lowest levels since 2009.

U.S. 10-year yields fell nine basis points to 2.13 percent on Friday, compared with 2.17 percent on Dec. 31, 2014. The yield on similar-maturity German bunds was at 0.54 percent.
…
Oil declined to the lowest level since 2008 in London amid estimates that OPEC’s decision to scrap production limits will keep the market oversupplied. West Texas Intermediate for January delivery slipped to $35.62 a barrel for the lowest settlement since 2009.

Crude capped its worst week in a year. The global oil surplus will persist at least until late 2016 as demand growth slows and OPEC shows “renewed determination” to maximize output, the International Energy Agency said in a report released Friday.

I ran across an interesting blog post today – CBO: Tangled Web of Welfare Programs Creates High Tax Rates on Participants, which included this chart:

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… and this map of US federal programmes:

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Despite all this there are still many people willing to snare people in the poverty trap; if this requires intellectual dishonesty when discussing a universal refundable tax credit, so what?

E-L Financial, proud issuer of ELF.PR.F, ELF.PR.G and ELF.PR.H, has Solidified its Long-term Interest in Empire Life:

Financial Corporation Limited (E-L Financial) (TSX:ELF) (TSX:ELF.PR.F) (TSX:ELF.PR.G) (TSX:ELF.PR.H) has agreed to purchase Guardian Assurance Limited’s (Guardian) 19% share of holding company E-L Financial Services Limited (ELFS). As a result of this agreement, E-L Financial will own 100% of ELFS, which owns 98.3% of The Empire Life Insurance Company (Empire Life).

The transaction will close next week, at a purchase price of approximately book value, or $200 million (CDN).

“For years, Empire Life has been an important long-term investment for E-L Financial,” said Mr. Duncan Jackman, Chairman and Chief Executive Officer of E-L Financial, “We are very excited about being able to increase our stake in this great company and reinforce our continued commitment to its ongoing success.” Mr. Jackman also acknowledged Guardian’s strong contribution to Empire Life.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 33bp, FixedResets off 15bp and DeemedRetractibles up 41bp. Today’s big move in government rates took the YTW of FixedResets below 5%. The Performance Highlights table continues to show a lot of churn. Volume was extremely high by all standards save those of the last few days.

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:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.99 to be $1.14 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.89 cheap at its bid price of 11.81.

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Mostexpensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 21.00 to be 0.57 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 16.80 to be 0.59 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.51 to be $0.83 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 19.50 and appears to be $1.44 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 17.00, looks $0.75 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.00 and is $0.75 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.40%, with no outliers. There is one junk outlier below -1.50%.

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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	5.11 %	6.21 %	33,729	16.39	1	1.0638 %	1,518.1
FixedFloater	7.39 %	6.55 %	33,493	15.58	1	-2.5038 %	2,639.7
Floater	4.45 %	4.63 %	86,239	16.21	4	-1.5309 %	1,716.8
OpRet	4.87 %	4.20 %	28,843	0.71	1	0.0000 %	2,734.3
SplitShare	4.85 %	5.62 %	84,680	1.89	6	-0.5335 %	3,186.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.5335 %	2,486.0
Perpetual-Premium	5.88 %	5.94 %	93,087	13.89	7	0.2430 %	2,464.5
Perpetual-Discount	5.83 %	5.91 %	102,793	13.96	33	0.3315 %	2,456.3
FixedReset	5.52 %	4.90 %	258,329	14.80	78	-0.1508 %	1,870.1
Deemed-Retractible	5.30 %	5.46 %	136,053	5.32	33	0.4072 %	2,531.7
FloatingReset	2.85 %	4.44 %	64,555	5.68	11	-0.4301 %	2,070.3

Performance Highlights
Issue	Index	Change	Notes
BIP.PR.B	FixedReset	-3.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 22.56 Evaluated at bid price : 23.55 Bid-YTW : 5.83 %
HSE.PR.A	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 11.37 Evaluated at bid price : 11.37 Bid-YTW : 5.48 %
HSE.PR.G	FixedReset	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.15 %
BAM.PR.K	Floater	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.10 Evaluated at bid price : 10.10 Bid-YTW : 4.68 %
BAM.PR.G	FixedFloater	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 25.00 Evaluated at bid price : 12.85 Bid-YTW : 6.55 %
BAM.PR.C	Floater	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.65 %
RY.PR.L	FixedReset	-2.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 4.40 %
BNS.PR.B	FloatingReset	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.07 %
BAM.PR.B	Floater	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.20 Evaluated at bid price : 10.20 Bid-YTW : 4.63 %
BNS.PR.R	FixedReset	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 4.66 %
BIP.PR.A	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.85 %
BNS.PR.Q	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 4.82 %
BNS.PR.D	FloatingReset	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.07 Bid-YTW : 7.08 %
CM.PR.Q	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 4.94 %
BAM.PR.Z	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 5.36 %
MFC.PR.M	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.59 Bid-YTW : 8.21 %
TRP.PR.C	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 11.81 Evaluated at bid price : 11.81 Bid-YTW : 4.92 %
FTS.PR.I	FloatingReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 4.12 %
NA.PR.S	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.96 %
TRP.PR.B	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.86 Evaluated at bid price : 10.86 Bid-YTW : 4.75 %
PVS.PR.E	SplitShare	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 6.35 %
PVS.PR.D	SplitShare	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.42 Bid-YTW : 6.72 %
BMO.PR.S	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.68 %
MFC.PR.N	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.64 Bid-YTW : 8.10 %
HSE.PR.C	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.95 %
TD.PR.S	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.91 Bid-YTW : 4.47 %
PVS.PR.B	SplitShare	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.83 %
SLF.PR.D	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.64 Bid-YTW : 7.77 %
CU.PR.F	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.85 %
BAM.PR.E	Ratchet	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 6.21 %
BMO.PR.Z	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 22.51 Evaluated at bid price : 22.84 Bid-YTW : 5.51 %
GWO.PR.S	Deemed-Retractible	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 5.75 %
GWO.PR.I	Deemed-Retractible	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 7.45 %
SLF.PR.A	Deemed-Retractible	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.94 Bid-YTW : 7.21 %
GWO.PR.Q	Deemed-Retractible	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.55 Bid-YTW : 6.59 %
FTS.PR.K	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.45 %
MFC.PR.G	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 7.12 %
GWO.PR.R	Deemed-Retractible	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 7.22 %
POW.PR.A	Perpetual-Discount	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.91 %
IFC.PR.A	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.85 Bid-YTW : 9.76 %
TRP.PR.H	FloatingReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 9.83 Evaluated at bid price : 9.83 Bid-YTW : 4.37 %
FTS.PR.J	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.62 %
GWO.PR.P	Deemed-Retractible	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 6.18 %
IFC.PR.C	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.31 Bid-YTW : 8.36 %
FTS.PR.G	FixedReset	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.77 %
MFC.PR.K	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.80 Bid-YTW : 8.53 %
SLF.PR.C	Deemed-Retractible	1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.74 Bid-YTW : 7.70 %
MFC.PR.L	FixedReset	1.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.20 %
SLF.PR.J	FloatingReset	1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.92 Bid-YTW : 10.05 %
MFC.PR.J	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.30 %
TRP.PR.G	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.02 %
SLF.PR.H	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.85 Bid-YTW : 8.96 %
BAM.PR.R	FixedReset	2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 5.35 %
CU.PR.C	FixedReset	4.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 4.55 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.A	FloatingReset	378,986	TD crossed blocks of 80,476 and 284,943, both at 22.82. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 4.07 %
PWF.PR.K	Perpetual-Discount	305,430	Nesbitt crossed 300,000 at 21.46. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.86 %
PWF.PR.E	Perpetual-Discount	301,700	Nesbitt crossed 300,000 at 23.36. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 23.10 Evaluated at bid price : 23.36 Bid-YTW : 5.96 %
PWF.PR.S	Perpetual-Discount	213,165	Nesbitt crossed 200,000 at 20.82. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.91 %
BAM.PR.K	Floater	211,400	TD crossed 200,000 at 10.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.10 Evaluated at bid price : 10.10 Bid-YTW : 4.68 %
BAM.PR.C	Floater	207,699	TD crossed 200,000 at 10.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 4.65 %
PWF.PR.L	Perpetual-Discount	203,425	Nesbitt crossed 200,000 at 21.82. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 21.57 Evaluated at bid price : 21.83 Bid-YTW : 5.91 %
CU.PR.I	FixedReset	149,244	Desardins crossed 50,000 at 24.90. Scotia crossed blocks of 25,000 and 50,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 23.09 Evaluated at bid price : 24.80 Bid-YTW : 4.46 %
TD.PF.B	FixedReset	109,519	Nesbitt crossed 65,700 at 17.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 4.67 %
FTS.PR.E	OpRet	100,400	Scotia crossed 100,000 at 25.22. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2016-08-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.20 %
There were 77 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: 24.37 – 25.00 Spot Rate : 0.6300 Average : 0.3805 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 4.40 %
CIU.PR.A	Perpetual-Discount	Quote: 20.36 – 21.19 Spot Rate : 0.8300 Average : 0.6453 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 5.70 %
HSE.PR.C	FixedReset	Quote: 17.00 – 17.50 Spot Rate : 0.5000 Average : 0.3312 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.95 %
GWO.PR.M	Deemed-Retractible	Quote: 24.81 – 25.26 Spot Rate : 0.4500 Average : 0.2836 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 5.90 %
TD.PF.E	FixedReset	Quote: 19.38 – 19.90 Spot Rate : 0.5200 Average : 0.3627 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-11 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 4.76 %
MFC.PR.G	FixedReset	Quote: 19.43 – 19.97 Spot Rate : 0.5400 Average : 0.4013 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 7.12 %

Market Action

December 10, 2015

On November 24 I mentioned the tender offer for a big chunk of Talisman’s debt securities. Today they announced the pricing:

Talisman Energy Inc. (the “Offeror”) announced today the pricing of its previously announced tender offer (the “Offer”) to purchase for cash up to $1,524,531,000 aggregate principal amount (the “Maximum Tender Amount”) of the 5.85% Senior Notes due 2037 (CUSIP No. 87425E AJ2), 5.50% Senior Notes due 2042 (CUSIP No. 87425E AN3), 6.25% Senior Notes due 2038 (CUSIP No. 87425E AK9), 7.25% Debentures due 2027 (CUSIP No. 87425E AE3) and 5.75% Senior Notes due 2035 (CUSIP No. 87425E AH6) issued by the Offeror (collectively, the “Securities”).
…
The Offeror has accepted for purchase on the Early Settlement Date Securities having an aggregate principal amount equal to the Maximum Tender Amount that were validly tendered and not validly withdrawn on or before the Early Tender Date (as defined below). Settlement for Securities validly tendered on or prior to the Early Tender Date and accepted for purchase pursuant to the Offer is expected to occur on December 11, 2015.

The Offer is being made upon the terms and subject to the general conditions set forth in the Offer to Purchase, as amended by the Offeror’s press release dated December 9, 2015 announcing an increase in the Maximum Tender Amount to $1,524,531,000. The Offer will expire at 12:00 midnight, New York City time, on December 22, 2015 (one minute after 11:59 p.m., New York City time, on December 22, 2015), unless extended or earlier terminated by the Offeror (as it may be extended or earlier terminated, the “Expiration Date”). The deadline to validly withdraw tenders of Securities was 5:00 p.m., New York City time, on December 8, 2015; therefore, Securities that have been tendered and not validly withdrawn, and Securities tendered after that date, may not be withdrawn unless otherwise required by applicable law.

Seems to me they just about nailed the pricing of this, which was about 420bp over comparable Treasuries, give or take a few beeps dependent on the issue. They got all they wanted, with no more than 80% take-up for any of the five issues.

The bureaucrats will be happy today! The ‘guilty until proven innocent’ aspect of anti-corruption laws has permitted them to exercise a certain level of direction and control over SNC Lavalin:

The previous Conservative government softened its tough anti-corruption rules for companies doing business with Ottawa last July in the face of intense criticism from business groups. The most contentious part of the rules was an inflexible 10-year contracting ban on companies charged with a long list of offences anywhere in the world, which was softened to five years. Under the new rules, the government could also immediately suspend any company charged.

That last change was of particular concern to SNC, given that it was charged in February with fraud and corruption related to its business in Libya and does significant business with the federal government. The company wanted to be sure it wouldn’t be suspended so entered into talks on an administrative agreement, said SNC spokesman Louis-Antoine Paquin.

The SNC-Lavalin agreement is the first reached under the new regime, and allows the company to continue with existing contracts and any future work with the federal government. As part of the deal, it agreed to strict conditions and third-party oversight of its business practices. The specific terms are confidential, Mr. Paquin said.

And soon life may get even better for the central planners, when everybody’s a Secret Policeman:

A pledge of allegiance to the Islamic State (IS) – otherwise known as Daesh – that might have been posted to Facebook by suspected terrorist Tashfeen Malik has prompted US lawmakers to revive a bill that would require technology companies such as Facebook and Twitter to report suspected online terror activity.

Sen. Dianne Feinstein, a Democrat from California, is sponsoring the legislation along with Sen. Richard Burr, a Republican from North Carolina.

From her statement:

We’re in a new age where terrorist groups like [Islamic State of Iraq and the Levant, or ISIL] are using social media to reinvent how they recruit and plot attacks.

That information can be the key to identifying and stopping terrorist recruitment or a terrorist attack, but we need help from technology companies.

Feinstein said that under the legislation, companies wouldn’t have to go out of their way to uncover terrorist activity. But if they do happen upon it, they’d be required to report it to law enforcement.

Laurentian Bank, proud issuer of LB.PR.F and LB.PR.H, got a vote of confidence from DBRS:

DBRS Limited (DBRS) notes that yesterday Laurentian Bank of Canada (Laurentian or the Bank) (Deposits and Senior Debt, rated A (low)) launched a $65 million common share offering to strengthen its capital ratios after reporting a net loss for Q4 2015 of $18.7 million due to impairment and restructuring charges totalling $61.7 million after tax. Excluding these charges and other adjustments, Laurentian announced good core net earnings of $44.1 million for Q4 2015 and $172.2 million for the full year ended October 31, 2015. The Bank’s year-end CET1 capital ratio of 7.6% would instead be 8.0% pro forma the common share issue. With good underlying results and a net impact-to-capital ratio of only 7 basis points (bps) due to the charges, there is no impact to DBRS current ratings for Laurentian at this time.
…
DBRS does view positively Laurentian’s decision to issue common shares in order to improve the buffer it has relative to regulatory minimums. However, DBRS also reiterates its observation from its November 6, 2015, rating report that, even after the common share issuance, Laurentian’s capitalization levels are closer to regulatory minimums than its peers. Although the Bank has indicated it is raising the capital in order to strengthen its flexibility, including being able to proceed with opportunistic acquisitions consistent with its growth objectives, if they were to present themselves (there are none on the immediate horizon), DBRS believes the Bank will still have a limited buffer to withstand a major problem and continues to have limited financial flexibility.

It was – wait for it – a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 27bp, FixedResets off 9bp and DeemedRetractibles gaining 22bp. The Performance Highlights table continues to reveal a lot of churn. Volume is still enormously high.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 17.91 to be $1.15 rich, while TRP.PR.G, resetting 2020-11-30 at +154, is $1.02 cheap at its bid price of 18.40.

Click for Big

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 20.80 to be 0.54 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 16.53 to be 0.75 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.50 to be $1.13 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 19.50 and appears to be $1.16 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 16.80, looks $0.62 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.75 and is $0.83 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.41%, with one outlier below -1.50%. There is one junk outlier below -1.50%.

Click for Big

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	5.17 %	6.28 %	33,816	16.31	1	-3.5897 %	1,502.1
FixedFloater	7.21 %	6.38 %	33,212	15.78	1	-0.9023 %	2,707.5
Floater	4.34 %	4.56 %	80,043	16.21	4	-3.2889 %	1,743.5
OpRet	4.87 %	4.18 %	26,709	0.71	1	0.0000 %	2,734.3
SplitShare	4.82 %	5.46 %	83,698	2.86	6	0.0342 %	3,203.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0342 %	2,499.3
Perpetual-Premium	5.89 %	5.96 %	95,099	13.84	7	-0.1387 %	2,458.5
Perpetual-Discount	5.84 %	5.94 %	100,369	13.95	33	-0.2700 %	2,448.2
FixedReset	5.50 %	5.04 %	259,405	14.40	78	-0.0913 %	1,873.0
Deemed-Retractible	5.31 %	5.48 %	137,966	5.32	33	0.2263 %	2,521.5
FloatingReset	2.83 %	4.33 %	66,482	5.69	11	-0.8330 %	2,079.2

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.A	FixedReset	-3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 11.69 Evaluated at bid price : 11.69 Bid-YTW : 5.63 %
BAM.PR.E	Ratchet	-3.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 25.00 Evaluated at bid price : 13.16 Bid-YTW : 6.28 %
BAM.PR.K	Floater	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.56 %
BAM.PR.B	Floater	-3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.56 %
PWF.PR.A	Floater	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 3.97 %
BNS.PR.D	FloatingReset	-2.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.35 Bid-YTW : 6.79 %
BAM.PR.C	Floater	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.56 %
HSE.PR.C	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.03 %
BAM.PR.Z	FixedReset	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.48 %
BNS.PR.Y	FixedReset	-2.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.26 Bid-YTW : 6.48 %
BNS.PR.B	FloatingReset	-2.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 4.72 %
BNS.PR.Z	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 7.25 %
SLF.PR.J	FloatingReset	-1.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.70 Bid-YTW : 10.25 %
CU.PR.F	Perpetual-Discount	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.91 %
ENB.PR.A	Perpetual-Discount	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 6.23 %
MFC.PR.K	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.53 Bid-YTW : 8.87 %
BNS.PR.C	FloatingReset	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.73 Bid-YTW : 4.77 %
IAG.PR.G	FixedReset	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.43 Bid-YTW : 7.21 %
TD.PR.S	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 4.36 %
TRP.PR.C	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 11.97 Evaluated at bid price : 11.97 Bid-YTW : 5.15 %
BAM.PF.A	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 5.48 %
MFC.PR.F	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 9.71 %
PWF.PR.R	Perpetual-Discount	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 22.93 Evaluated at bid price : 23.32 Bid-YTW : 5.96 %
TD.PF.E	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.91 %
CU.PR.E	Perpetual-Discount	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 5.96 %
CU.PR.D	Perpetual-Discount	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.93 %
TD.PF.F	Perpetual-Discount	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 21.86 Evaluated at bid price : 22.20 Bid-YTW : 5.58 %
ELF.PR.G	Perpetual-Discount	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 6.06 %
TRP.PR.A	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 4.79 %
BAM.PR.R	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.76 %
CIU.PR.A	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.66 %
BMO.PR.Z	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 22.30 Evaluated at bid price : 22.59 Bid-YTW : 5.57 %
TRP.PR.B	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 4.93 %
PWF.PR.O	Perpetual-Premium	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 23.99 Evaluated at bid price : 24.46 Bid-YTW : 5.99 %
BMO.PR.W	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 4.87 %
RY.PR.B	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 4.91 %
TD.PF.C	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.88 %
GWO.PR.H	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 7.24 %
FTS.PR.J	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.70 %
RY.PR.H	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 17.29 Evaluated at bid price : 17.29 Bid-YTW : 4.82 %
RY.PR.W	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 21.50 Evaluated at bid price : 21.76 Bid-YTW : 5.67 %
NA.PR.W	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.07 %
RY.PR.J	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 5.00 %
BAM.PR.N	Perpetual-Discount	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 6.34 %
FTS.PR.F	Perpetual-Discount	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 5.64 %
RY.PR.Z	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.77 %
IAG.PR.A	Deemed-Retractible	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.34 %
BMO.PR.S	FixedReset	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.79 %
BAM.PR.T	FixedReset	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 15.07 Evaluated at bid price : 15.07 Bid-YTW : 5.60 %
BIP.PR.A	FixedReset	4.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 5.89 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.C	FloatingReset	184,623	TD crossed 182,600 shares at 21.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.73 Bid-YTW : 4.77 %
PWF.PR.H	Perpetual-Premium	106,684	RBC crossed 97,900 at 24.46. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 24.02 Evaluated at bid price : 24.27 Bid-YTW : 6.00 %
TD.PR.T	FloatingReset	105,364	TD crossed 100,000 at 22.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 4.13 %
RY.PR.Z	FixedReset	90,536	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.77 %
FTS.PR.M	FixedReset	76,669	Nesbitt crossed 50,000 at 18.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.88 %
RY.PR.J	FixedReset	70,415	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 5.00 %
There were 86 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.K	Floater	Quote: 10.51 – 11.30 Spot Rate : 0.7900 Average : 0.5157 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.56 %
BAM.PR.E	Ratchet	Quote: 13.16 – 14.00 Spot Rate : 0.8400 Average : 0.6874 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 25.00 Evaluated at bid price : 13.16 Bid-YTW : 6.28 %
MFC.PR.N	FixedReset	Quote: 17.85 – 18.40 Spot Rate : 0.5500 Average : 0.4130 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.85 Bid-YTW : 8.01 %
PWF.PR.A	Floater	Quote: 12.00 – 12.74 Spot Rate : 0.7400 Average : 0.6068 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 3.97 %
PWF.PR.R	Perpetual-Discount	Quote: 23.32 – 23.81 Spot Rate : 0.4900 Average : 0.3569 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 22.93 Evaluated at bid price : 23.32 Bid-YTW : 5.96 %
TRP.PR.H	FloatingReset	Quote: 9.71 – 10.17 Spot Rate : 0.4600 Average : 0.3278 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-10 Maturity Price : 9.71 Evaluated at bid price : 9.71 Bid-YTW : 4.40 %

Market Action

December 9, 2015

Well, it looks like one source of PrefBlog entertainment is coming to an end … Sprott is on the verge of winning the battle for Gold Trust:

Sprott Asset Management LP (“Sprott” or “Sprott Asset Management”), together with Sprott Physical Gold Trust (NYSE:PHYS) (TSX:PHY.U) and Sprott Physical Silver Trust (NYSE:PSLV) (TSX:PHS.U), today announced that a majority of Central GoldTrust (“GTU”) (TSX:GTU.UN) (TSX:GTU.U) (NYSEMKT:GTU) unitholders have tendered into the Sprott offer for GTU, and as a result Sprott, on behalf of tendering GTU unitholders and as described in Sprott’s November 20, 2015 Notice of Extension and Variation, has removed Brian Felske, Glenn Fox, Bruce Heagle, Ian McAvity, Michael Parente and Jason Schwandt as GTU trustees and appointed Marc Faber, James Fox, Sharon Ranson, John Wilson and Rosemary Zigrossi as new trustees of GTU. Stefan Spicer remains a trustee of GTU.

Following the replacement of GTU’s trustees, Sprott, also on behalf of tendering GTU unitholders, submitted a unitholder meeting requisition to the reconstituted GTU board proposing that the Merger transaction forming part of the Sprott offer for GTU be considered at a special meeting of GTU unitholders.

Sprott has extended the expiry times of the Sprott offers for GTU and for Silver Bullion Trust (“SBT”) (TSX:SBT.UN) (TSX:SBT.U) (collectively, the “Sprott offers”) to 5:00 p.m. (Toronto time) on January 12, 2016. Notices of extension will be filed shortly.

As of 5:00 p.m. (Toronto time) on December 7, 2015, there were 10,641,033 GTU units (55.14% of all outstanding GTU units) and 2,294,963 SBT units (41.98% of all outstanding SBT units) tendered to the respective Sprott offers.

Fortunately, the battle for Silver Trust still rages and incumbent management had this to say:

Silver Bullion Trust (“SBT”) (TSX:SBT.UN) (C$) and (TSX:SBT.U) (US$) confirmed today that the unsolicited offer by Sprott Asset Management LP and Sprott Physical Silver Trust (“Sprott PSLV”; and collectively, “Sprott”) for all of the outstanding units of SBT has once again failed to achieve sufficient acceptance to satisfy the required minimum tender condition. As a result, Sprott has yet again, for the 8th time, extended the expiry date of their offer, which is now set to expire on January 12, 2016.

Bruce Heagle, Chair of the Special Committee of the Board of Trustees, stated: “Yet again, Sprott’s inadequate offer has failed to achieve sufficient support from SBT unitholders. We expect that unitholder support for Sprott’s offer will erode further and support for the proposed conversion (the “ETF Conversion”) of SBT into a silver bullion exchange-traded fund will gain momentum as unitholders review the Trustees’ Information Circular (the “Circular”), which describes the benefits of the ETF Conversion for all unitholders and its clear advantages relative to Sprott’s offer. We are confident that unitholders will reach the same conclusion as the Independent Trustees have; that the proposed ETF Conversion is a superior alternative to Sprott’s inadequate offer.”

Gold Trust, regrettably, was silent.

I understand there will be a new publication devoted to the Canadian preferred share market:

Click for Big

It was another appalling day for the Canadian preferred share market, with PerpetualDiscounts down 3bp, FixedResets losing 133bp and DeemedRetractibles off 45bp. FixedReset yields have now broken through the 5.00% barrier. The Performance Highlights table is its usual ridiculous self. Volume was, again, incredibly high.

PerpetualDiscounts now yield 5.91%, equivalent to 7.68% 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 345bp, an incredibly high number, representing an explosive widening from the 310bp reported December 2.

For those keeping score, TXPR is now down about 7.16% on the month to date and is now only 0.93% above the low of October 14.

Click for Big

TXPL is down about 8.76% on the month to date and is 0.74% above the October 14 low.

Click for Big

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.00 to be $1.20 rich, while TRP.PR.G, resetting 2020-11-30 at +154, is $1.13 cheap at its bid price of 18.25.

Click for Big

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 21.00 to be 0.72 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 16.82 to be 0.52 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.68 to be $1.01 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 19.50 and appears to be $1.09 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 16.73, looks $0.61 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.75 and is $0.76 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.41%, with one outlier below -1.50%. There is one junk outlier below -1.50%.

Click for Big

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	4.98 %	6.05 %	34,207	16.59	1	1.1111 %	1,558.0
FixedFloater	7.14 %	6.32 %	32,909	15.86	1	-1.4815 %	2,732.1
Floater	4.20 %	4.39 %	75,601	16.53	4	1.5801 %	1,802.8
OpRet	4.87 %	4.17 %	27,812	0.71	1	0.0000 %	2,734.3
SplitShare	4.82 %	5.25 %	84,704	2.86	6	0.3504 %	3,202.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3504 %	2,498.5
Perpetual-Premium	5.89 %	5.96 %	95,692	13.88	7	-0.4143 %	2,461.9
Perpetual-Discount	5.83 %	5.91 %	99,616	14.00	33	-0.9342 %	2,454.8
FixedReset	5.49 %	5.06 %	253,245	14.45	78	-1.3343 %	1,874.7
Deemed-Retractible	5.33 %	5.51 %	133,768	5.33	33	-0.4532 %	2,515.8
FloatingReset	2.80 %	4.29 %	64,866	5.69	11	-0.6531 %	2,096.7

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.E	FixedReset	-7.36 %	Not real, as the issue traded 32,700 shares in a range of 18.47-19.60 before closing at 17.88-19.00, 12×4. Almost all of the last 25 trades were at 19.00, with a few dipping as low as 18.87. 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 : 2045-12-09 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 6.27 %
HSE.PR.G	FixedReset	-5.64 %	Real enough, as the issue traded 14,921 shares in a range of 18.10-19.60 before closing at 18.40-00, 1×1. Only two of the last twenty-five trades were executed below 18.80 and most were comfortably above 19.00. However, there were trades [for 100 shares apiece] at 18.55 and 18.45, timestamped 3:36, so I guess we can call this one “real enough”, while faulting the market maker for an unnecessarily volatile market. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.08 %
BIP.PR.A	FixedReset	-5.35 %	This is real, as the issue traded 11,461 shares in a range of 18.21-20 before closing at 18.22-45, 3×2. The trade price slipped below 18.40 at 3:01 and remained there for the day’s last sixteen trades. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 6.14 %
MFC.PR.M	FixedReset	-4.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.20 %
BAM.PR.X	FixedReset	-3.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 5.50 %
SLF.PR.H	FixedReset	-3.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.53 Bid-YTW : 9.40 %
MFC.PR.K	FixedReset	-3.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.82 Bid-YTW : 8.63 %
TD.PF.D	FixedReset	-3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 5.06 %
MFC.PR.N	FixedReset	-3.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 8.12 %
ENB.PR.A	Perpetual-Discount	-3.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 22.39 Evaluated at bid price : 22.65 Bid-YTW : 6.11 %
TD.PR.Y	FixedReset	-3.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.46 %
MFC.PR.L	FixedReset	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.57 %
NA.PR.W	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 5.13 %
BMO.PR.Q	FixedReset	-2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.73 %
BAM.PR.N	Perpetual-Discount	-2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 6.42 %
BAM.PF.C	Perpetual-Discount	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 6.48 %
BAM.PR.T	FixedReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 5.73 %
RY.PR.H	FixedReset	-2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.87 %
TD.PF.C	FixedReset	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 4.93 %
BMO.PR.Y	FixedReset	-2.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.81 %
TRP.PR.F	FloatingReset	-2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 12.96 Evaluated at bid price : 12.96 Bid-YTW : 4.53 %
CU.PR.G	Perpetual-Discount	-2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.80 %
RY.PR.J	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 5.06 %
BNS.PR.Z	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.48 Bid-YTW : 6.88 %
CU.PR.E	Perpetual-Discount	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.88 %
BAM.PR.R	FixedReset	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 14.68 Evaluated at bid price : 14.68 Bid-YTW : 5.68 %
NA.PR.S	FixedReset	-2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.11 %
RY.PR.Z	FixedReset	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 4.84 %
BNS.PR.Y	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.69 Bid-YTW : 6.08 %
HSE.PR.A	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 12.14 Evaluated at bid price : 12.14 Bid-YTW : 5.42 %
POW.PR.C	Perpetual-Premium	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 24.23 Evaluated at bid price : 24.53 Bid-YTW : 6.00 %
BNS.PR.R	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.37 %
TD.PF.A	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.87 %
BNS.PR.Q	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 4.50 %
BAM.PF.D	Perpetual-Discount	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 6.43 %
BAM.PF.E	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 5.36 %
FTS.PR.K	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 4.70 %
RY.PR.W	Perpetual-Discount	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 5.73 %
FTS.PR.J	Perpetual-Discount	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.76 %
TD.PF.E	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.84 %
BMO.PR.W	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 4.92 %
BAM.PR.M	Perpetual-Discount	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 6.40 %
MFC.PR.F	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.30 Bid-YTW : 9.52 %
BMO.PR.S	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.43 Evaluated at bid price : 17.43 Bid-YTW : 4.87 %
CU.PR.D	Perpetual-Discount	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.84 %
TRP.PR.H	FloatingReset	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 9.71 Evaluated at bid price : 9.71 Bid-YTW : 4.40 %
CU.PR.F	Perpetual-Discount	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 5.80 %
BAM.PR.G	FixedFloater	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 6.32 %
TD.PF.B	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.87 %
GWO.PR.I	Deemed-Retractible	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.92 Bid-YTW : 7.63 %
RY.PR.M	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.97 %
BMO.PR.Z	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 22.52 Evaluated at bid price : 22.85 Bid-YTW : 5.50 %
POW.PR.B	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 22.40 Evaluated at bid price : 22.66 Bid-YTW : 6.00 %
CM.PR.Q	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 5.04 %
BMO.PR.T	FixedReset	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.90 %
BNS.PR.P	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 4.14 %
PWF.PR.K	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.91 %
SLF.PR.J	FloatingReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.95 Bid-YTW : 10.00 %
FTS.PR.I	FloatingReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.04 %
MFC.PR.J	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.49 Bid-YTW : 7.68 %
GWO.PR.Q	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.22 Bid-YTW : 6.80 %
BNS.PR.O	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-26 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 5.21 %
FTS.PR.M	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 4.90 %
BAM.PR.E	Ratchet	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 25.00 Evaluated at bid price : 13.65 Bid-YTW : 6.05 %
BAM.PR.C	Floater	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.44 %
HSE.PR.C	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 5.86 %
PWF.PR.A	Floater	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 3.84 %
BAM.PR.K	Floater	2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 10.90 Evaluated at bid price : 10.90 Bid-YTW : 4.39 %
PVS.PR.D	SplitShare	3.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.68 Bid-YTW : 6.48 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.I	FixedReset	203,946	Nesbitt crossed 100,000 at 23.10 and 99,800 at 23.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 4.63 %
FTS.PR.M	FixedReset	154,838	Scotia crossed blocks of 48,500 and 70,000, both at 18.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 4.90 %
TD.PF.A	FixedReset	84,381	Nesbitt crossed 50,400 at 17.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.87 %
RY.PR.Z	FixedReset	75,757	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.04 Evaluated at bid price : 17.04 Bid-YTW : 4.84 %
RY.PR.J	FixedReset	73,576	Scotia crossed 40,000 at 18.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 5.06 %
TRP.PR.D	FixedReset	73,240	RBC crossed 25,000 at 17.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.98 %
There were 88 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PR.Y	FixedReset	Quote: 23.26 – 23.99 Spot Rate : 0.7300 Average : 0.4573 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.46 %
HSE.PR.E	FixedReset	Quote: 17.88 – 19.00 Spot Rate : 1.1200 Average : 0.8576 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 6.27 %
BAM.PR.X	FixedReset	Quote: 13.36 – 13.96 Spot Rate : 0.6000 Average : 0.3915 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 5.50 %
SLF.PR.H	FixedReset	Quote: 15.53 – 16.10 Spot Rate : 0.5700 Average : 0.3677 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.53 Bid-YTW : 9.40 %
RY.PR.N	Perpetual-Discount	Quote: 22.05 – 22.50 Spot Rate : 0.4500 Average : 0.2914 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 21.75 Evaluated at bid price : 22.05 Bid-YTW : 5.59 %
POW.PR.C	Perpetual-Premium	Quote: 24.53 – 25.00 Spot Rate : 0.4700 Average : 0.3137 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-09 Maturity Price : 24.23 Evaluated at bid price : 24.53 Bid-YTW : 6.00 %

Market Action

December 8, 2015

Good news! Litvak’s won his appeal!

In a ruling that will shape how the U.S. Justice Department and Securities and Exchange Commission pursue several similar cases already in the pipeline, a federal appeals court threw out Jesse Litvak’s March 2014 conviction for defrauding the U.S. Troubled Asset Relief Program and making false statements to the government. Prosecutors will retry charges of lying to buyers and sellers of mortgage-backed securities.

Tuesday’s decision forces the U.S. to bolster its case that traders who lie to customers are committing fraud. In it, the appeals court faulted the judge for excluding some defense evidence, saying the accused must be allowed to show that his actions were in keeping with how Wall Street does business.
…
A central issue in the Litvak case is whether it’s important for the buyer of a bond to know how much a trader paid for it. Prosecutors argued that Litvak’s lies about how much he paid constituted fraud. Litvak’s team compared their client to used-car salesman who isn’t expected to be honest about what he paid for a car: If a sophisticated bond-buyer agrees the price is fair, they argued, it doesn’t matter what the dealer originally paid.

Litvak’s case was last discussed on PrefBlog on August 13.

The Bank of Canada has acknowledged that its policy options have been widened:

Policy makers still have firepower to spur growth even with borrowing costs near zero, Bank of Canada Governor Stephen Poloz said, citing unconventional policies and fiscal stimulus.

While the central bank doesn’t expect another crisis that will force it to resort to such policies, a number of tools are still available, including charging banks for deposits, forward guidance and asset purchases, Poloz said. Fiscal stimulus could be even more effective than monetary policy in extreme circumstances, he said.

“I certainly hope we won’t ever have to use these tools,” Poloz said Tuesday during a speech in Toronto. “However, in an uncertain world, a central bank has to be prepared for all eventualities.”

While Poloz sought to highlight the hypothetical nature of his comments, the speech comes amid growing concern for Canada’s economy as fresh signs of weakness in China and growing concerns about a global oil glut damp the outlook for commodity-producing nations.

Swaps trading suggests investors are pricing in a 25 percent chance of another rate cut by May, following two reductions this year that brought the benchmark rate to 0.5 percent.

I’m not reading much into this. The central banks just want to make their toolbox transparent, so that during the next crisis there will be fewer surprises to worry about. During the Credit Crunch you could almost see the Fed moving down the list … ‘do this, tick the box, see if it’s enough ….’

Meanwhile the central planners are touting micro-management of the economy:

“There are significant pockets of vulnerability created by the growth in mortgage debt in recent years,” according to Craig Alexander, a C.D. Howe researcher and former chief economist at Toronto Dominion Bank, and Paul Jacobson, president of the Canadian Association for Business Economics. “The majority of Canadians have been responsible in their borrowing, but the sustained low interest rate environment has encouraged a significant minority to take on considerably more mortgage debt relative to after-tax income.”

New Finance Minister Bill Morneau, who was chairman of C.D. Howe before entering politics, has said housing is one of the first briefings he took from his officials. Canada has long faced international warnings about the need to head off a housing crash like those seen in the U.S., the U.K. and Spain, and former Finance Minister Jim Flaherty acted several times to tighten lending rules.

Putting in new restrictions is difficult because those past changes have already slowed credit growth, and because the risks now are in a few segments of the market that make using a “blunt tool” approach counter-productive, the authors said.

Policy makers could set tougher underwriting rules on criteria such as credit scores and debt-service ratios, or raise the interest rate that tests a borrower’s ability to pay up later, Alexander and Jacobson wrote.

One tool to target Vancouver and Toronto would be raising the down payment requirement on more expensive homes, the report said. That echoes a proposal the finance department has been making this year, according to people familiar with those talks.

OSFI’s Deputy Superintendent Mark Zelmer gave a speech to the C.D. Howe Institute, Toronto, Ontario, December 8, 2015 titled Asset Managers and Global Financial Stability:

Liquidity mismatches could potentially contribute to instability in important financial markets

The first topic I would like to address relates to liquidity mismatches. Combining less liquid investments with short-notice redemption features for fund units gives rise to a potential misalignment between the redeemability of investment fund units versus the actual liquidity of their underlying investments. This mismatch may result in fragile demand for those investments if investors think they are more liquid than they really are. When times are good, everyone benefits. But if prospects dim and investors suddenly decide to rush to the exit gates, it could prove very disruptive for the markets in question, particularly if a fund has to quickly liquidate large blocks of securities to meet the redemption requests.
…
While most funds are well positioned to cope with normal redemption flows, their ability to cope with an unexpectedly large surge in redemption requests merits further exploration. As we shine light down this corridor, however, we should resist the temptation to treat investment fund liquidity management practices as a macro-prudential tool for cushioning markets from the actions of end-investors. Taken to extremes, that would slow markets’ processing of new information, which could give rise to some easy arbitrage opportunities. I do not think we need to give more sophisticated and nimble market participants new ways to profit at the expense of everyone else.

Leverage comes in many forms
…
Investment funds of all types also make use of financial derivatives to hedge risks and as a cheap way to establish investment positions. The latter is often prevalent in situations where cash markets are less liquid and positions can be established at lower cost through derivatives markets. This can, however, result in the creation of leverage within a fund when the values of the derivatives’ exposures change over the life of the contracts.

As was shown by the failure of Long-term Capital Management in 1998, global financial stability concerns can emerge in situations where banks supply the financing for these investment funds or serve as the principal counterparties for investment fund derivatives transactions. Of course, much has changed since then. There have been advances in asset manager and bank risk management practices, plus a number of regulatory measures to contain the amount of leverage in the global financial system.

Transferring investment mandates may not be as easy as some people think

The third potential vulnerability I want to highlight focuses on the challenges of replacing asset managers. Now, let me stress at the outset that the asset management industry has plenty of experience in transferring investment mandates from one asset manager to another, with no disruptions to markets or other parts of the financial system. A lot of credit is due to the asset managers in question, their advisers, custodians and the firms that specialize in providing transition services. But, if you take a snapshot of the global asset management sector at any point in time, you will see a small group of asset managers that clearly stands out from the rest in terms of the amount of assets they have under management. This begs the question of how easy would it be to transfer their investment mandates to other asset managers on short notice, especially if the need arose in a period when markets are under stress.

Presumably, such an event is most likely to arise in a situation where a very large asset manager is experiencing operational difficulties or challenges that inhibit its ability to deliver services as per investor expectations. If the issues are serious enough and the disruptions sufficiently prolonged, it is conceivable that investors could lose confidence in the funds offered by the asset manager and seek to either move their funds or accounts to another manager, or even liquidate their investments and re-establish them with another manager. Similar issues could also arise from a reputational risk perspective.
…
Nevertheless, it does beg the issue of what steps could be taken to quickly transfer investment mandates from one manager to another in a smooth fashion, so as to minimise the need for any actual redemptions of fund units by end-investors that would then trigger transactions in financial markets. As I noted at the outset, the asset management industry argues that such processes operate fairly smoothly in practice, given the role that transition managers and custodians play in facilitating transfers of funds and investor accounts from one manager to another. The industry is also quick to cite the recent PIMCO experience as a good example to that effect. And, certainly, that has been the experience to date. But, one cannot help but wonder whether the PIMCO episode would have played out so smoothly had it happened say, in the autumn of 2008, when the global financial system as a whole was in the midst of trying to cope with a major crisis.

Huh. That last point could be laying the ground for expropriation of investment management contracts.

On another note, it appears that nowadays even your car will rat you out:

“Attention!” the automated call from the black Ford Escort’s vehicle emergency system had said after detecting a crash and calling emergency number 911.

“A crash has occurred in a Ford vehicle. Press 1 at any time for location information or press 0 to speak with vehicle occupants.”

A recording of the call obtained by local station WPBF features Bernstein, a 57-year-old from Port Lucie, Florida, telling the dispatcher (repeatedly) that there hadn’t been any accident and that no, she hadn’t been drinking.
…
Although Bernstein initially denied it, there had, in fact, been two accidents.

The first was a hit-and-run on Monday afternoon last week (30 November).

The victim, Anna Preston, said she was struck from behind by a black vehicle that took off.

As the New York Daily News reports, after her car ratted her out, police went by Bernstein’s house to have a chat with her.

There, they saw the black Ford with a wrecked front-end, with silver paint from Preston’s car still on it.

So I understand they’re making a movie based on the Canadian preferred share market:

Click for Big

It was an incredibly awful day for the Canadian preferred share market, with PerpetualDiscounts off 82bp, FixedResets losing an awesome 261bp and DeemedRetractibles down 97bp. The yield-to-worst on the HIMIPref™ FixedReset subindex is now 4.99% – a level not seen since late May, 2009. The Performance Highlights table is, of course, ridiculous, with bank issues being more prominent at the extreme bad end than usual. Volume was enormous – I’m not sure whether it is unprecedentedly enormous or not, but it’s certainly among the historic highs.

For those keeping score, TXPR is now down about 5.69% on the month to date and is now down to October 16 levels – about 2.53% above the low of October 14.

TXPL is down about 6.88% on the month to date and is also down to October 16 levels – about 2.81% above the October 14 low.

But take heart! There was a late day rally in TXPR:

Click for Big

… and in TXPL:

Click for Big

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	5.04 %	6.12 %	34,818	16.51	1	0.0000 %	1,540.9
FixedFloater	7.04 %	6.23 %	33,377	15.97	1	-2.5271 %	2,773.2
Floater	4.27 %	4.44 %	75,276	16.45	4	0.7276 %	1,774.7
OpRet	4.87 %	4.15 %	28,961	0.71	1	-0.0794 %	2,734.3
SplitShare	4.84 %	5.52 %	85,404	2.87	6	-0.6620 %	3,191.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.6620 %	2,489.8
Perpetual-Premium	5.86 %	5.91 %	94,764	13.90	7	-0.8445 %	2,472.2
Perpetual-Discount	5.77 %	5.88 %	99,912	14.05	33	-0.8221 %	2,478.0
FixedReset	5.42 %	4.99 %	244,070	14.51	78	-2.6133 %	1,900.0
Deemed-Retractible	5.30 %	5.43 %	130,510	5.33	33	-0.9703 %	2,527.2
FloatingReset	2.79 %	4.21 %	62,913	5.69	11	-1.3815 %	2,110.5

Performance Highlights
Issue	Index	Change	Notes
RY.PR.M	FixedReset	-6.91 %	Reasonable enough, as the issue traded 66,593 shares in a range of 18.01-19.55 before closing at 18.20-60, 2×9. Most of the trades in the last half hour were closer to the closing ask, but there was some activity at 18.25 at 3:32pm. The VWAP was 18.74. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.90 %
HSE.PR.C	FixedReset	-6.84 %	Reasonable, as the issue traded 39,786 shares in a range of 17.40-18.70 before closing at 17.42-74, 5×1. Most trades in the last two minutes were below 17.50. VWAP was 17.79. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 5.95 %
CM.PR.Q	FixedReset	-6.77 %	Quite reasonable, as the issue traded 60,797 shares in a range of 18.51-19.70 before closing at 18.60-23, 5×5. Twenty of the last twenty-five trades were below 18.70. VWAP was 18.98. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.98 %
RY.PR.J	FixedReset	-6.58 %	Quite reasonable, as the issue traded 71,991 shares in a range of 18.30-19.75 before closing at 18.45-60, 1×7. Twenty-three of the last twenty-five trades were at or below 18.50. VWAP was 18.78. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.95 %
HSE.PR.G	FixedReset	-6.25 %	Reasonable enough, as the issue traded 17,404 shares in a range of 19.36-91 before closing at 19.50-79, 7×10. Twenty-two of the last twenty-five trades were at or above 19.70. VWAP was 19.66. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.73 %
TD.PF.D	FixedReset	-6.04 %	Reasonable enough, as the issue traded 58,173 shares in a range of 18.73-20.18 before closing at 18.98-20, 6×100. Eighteen of the last twenty-five trades were below 19.00. VWAP was 19.27. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.98 Evaluated at bid price : 18.98 Bid-YTW : 4.88 %
BMO.PR.S	FixedReset	-5.55 %	Quite reasonable, as the issue traded 251,922 shares in a range of 17.40-18.72 before closing at 17.71-83, 4×12. Twenty-one of the last twenty-five trades were at or below 17.80. VWAP was 17.93. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.79 %
BMO.PR.T	FixedReset	-5.31 %	Reasonable, as the issue traded 32,668 shares in a range of 16.92-18.05 before closing at 17.11-39, 1×2. Twenty-one of the last twenty-five trades were at or below 17.20. VWAP was 17.48. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.84 %
BMO.PR.W	FixedReset	-4.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 4.83 %
CM.PR.O	FixedReset	-4.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.88 %
PVS.PR.D	SplitShare	-4.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 7.08 %
TD.PF.B	FixedReset	-4.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.80 %
TD.PF.C	FixedReset	-4.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.81 %
BAM.PF.F	FixedReset	-4.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 5.32 %
RY.PR.I	FixedReset	-4.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 4.66 %
HSE.PR.E	FixedReset	-4.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.81 %
SLF.PR.I	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.70 %
RY.PR.Z	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.73 %
MFC.PR.J	FixedReset	-4.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.69 Bid-YTW : 7.53 %
BAM.PF.B	FixedReset	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.40 %
TD.PF.E	FixedReset	-3.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.76 %
CM.PR.P	FixedReset	-3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.96 %
BMO.PR.Y	FixedReset	-3.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.69 %
BMO.PR.M	FixedReset	-3.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.15 Bid-YTW : 4.35 %
BAM.PF.A	FixedReset	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 5.41 %
MFC.PR.G	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 7.27 %
BAM.PF.G	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 5.32 %
RY.PR.H	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 4.75 %
TD.PF.A	FixedReset	-3.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 4.77 %
IAG.PR.G	FixedReset	-3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.73 Bid-YTW : 7.00 %
TD.PR.S	FixedReset	-3.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.07 %
BAM.PF.E	FixedReset	-2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 5.26 %
BAM.PR.Z	FixedReset	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.33 %
NA.PR.S	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 5.00 %
MFC.PR.C	Deemed-Retractible	-2.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.68 Bid-YTW : 7.82 %
BMO.PR.Z	Perpetual-Discount	-2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.77 Evaluated at bid price : 23.15 Bid-YTW : 5.43 %
MFC.PR.I	FixedReset	-2.72 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 7.13 %
NA.PR.W	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.99 %
FTS.PR.F	Perpetual-Discount	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.40 Evaluated at bid price : 21.67 Bid-YTW : 5.68 %
BAM.PF.H	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 24.91 Bid-YTW : 5.05 %
BIP.PR.A	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.81 %
BNS.PR.C	FloatingReset	-2.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 4.35 %
BAM.PR.G	FixedFloater	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 25.00 Evaluated at bid price : 13.50 Bid-YTW : 6.23 %
RY.PR.P	Perpetual-Discount	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.86 Evaluated at bid price : 24.20 Bid-YTW : 5.51 %
BMO.PR.R	FloatingReset	-2.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 4.21 %
CU.PR.C	FixedReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 4.91 %
CU.PR.I	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 24.90 Bid-YTW : 4.49 %
NA.PR.Q	FixedReset	-2.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 4.22 %
BNS.PR.R	FixedReset	-2.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.02 %
PWF.PR.H	Perpetual-Premium	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 24.10 Evaluated at bid price : 24.36 Bid-YTW : 5.98 %
FTS.PR.H	FixedReset	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.52 %
RY.PR.O	Perpetual-Discount	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.82 Evaluated at bid price : 22.15 Bid-YTW : 5.56 %
TRP.PR.G	FixedReset	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.28 %
SLF.PR.H	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.11 Bid-YTW : 8.90 %
RY.PR.W	Perpetual-Discount	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.63 %
BNS.PR.P	FixedReset	-1.92 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.92 %
FTS.PR.G	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.04 %
RY.PR.N	Perpetual-Discount	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.97 Evaluated at bid price : 22.26 Bid-YTW : 5.54 %
POW.PR.G	Perpetual-Premium	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.49 Evaluated at bid price : 23.95 Bid-YTW : 5.93 %
PWF.PR.P	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 4.62 %
GWO.PR.G	Deemed-Retractible	-1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.80 %
GWO.PR.I	Deemed-Retractible	-1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 7.43 %
IAG.PR.A	Deemed-Retractible	-1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.40 %
GWO.PR.R	Deemed-Retractible	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.81 Bid-YTW : 7.34 %
BNS.PR.B	FloatingReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 4.27 %
MFC.PR.B	Deemed-Retractible	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.39 Bid-YTW : 7.49 %
PWF.PR.T	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.81 Evaluated at bid price : 22.09 Bid-YTW : 3.88 %
BNS.PR.Z	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.91 Bid-YTW : 6.48 %
BNS.PR.N	Deemed-Retractible	-1.52 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 4.92 %
PWF.PR.S	Perpetual-Discount	-1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.88 %
ENB.PR.A	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 5.91 %
SLF.PR.D	Deemed-Retractible	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.42 Bid-YTW : 7.93 %
BNS.PR.Q	FixedReset	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 4.16 %
TRP.PR.F	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 4.42 %
TRP.PR.H	FloatingReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 9.86 Evaluated at bid price : 9.86 Bid-YTW : 4.33 %
IFC.PR.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.07 Bid-YTW : 8.92 %
BMO.PR.Q	FixedReset	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.27 %
GWO.PR.H	Deemed-Retractible	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 7.27 %
BNS.PR.D	FloatingReset	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.17 %
BNS.PR.A	FloatingReset	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.69 Bid-YTW : 4.17 %
TD.PR.T	FloatingReset	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 4.08 %
PWF.PR.E	Perpetual-Discount	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 23.39 Bid-YTW : 5.95 %
BNS.PR.M	Deemed-Retractible	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.85 %
ELF.PR.G	Perpetual-Discount	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.98 %
MFC.PR.N	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.31 Bid-YTW : 7.65 %
SLF.PR.C	Deemed-Retractible	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 7.90 %
BNS.PR.L	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 4.83 %
BAM.PR.T	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 5.58 %
TD.PR.Z	FloatingReset	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.21 Bid-YTW : 4.16 %
SLF.PR.E	Deemed-Retractible	-1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.66 Bid-YTW : 7.81 %
GWO.PR.P	Deemed-Retractible	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.29 Bid-YTW : 6.39 %
CU.PR.F	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 5.71 %
FTS.PR.J	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.66 %
TD.PF.F	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.10 Evaluated at bid price : 22.44 Bid-YTW : 5.51 %
BAM.PF.D	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 6.31 %
GWO.PR.L	Deemed-Retractible	-1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.43 Bid-YTW : 5.97 %
MFC.PR.H	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.47 %
PWF.PR.L	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.78 Evaluated at bid price : 22.02 Bid-YTW : 5.86 %
TD.PR.Y	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.02 Bid-YTW : 3.86 %
BAM.PR.M	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 6.30 %
MFC.PR.K	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.44 Bid-YTW : 8.12 %
BAM.PR.B	Floater	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 4.44 %
BAM.PR.C	Floater	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 10.68 Evaluated at bid price : 10.68 Bid-YTW : 4.49 %
SLF.PR.J	FloatingReset	1.55 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.10 Bid-YTW : 9.84 %
ELF.PR.H	Perpetual-Discount	4.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.66 Evaluated at bid price : 23.00 Bid-YTW : 6.07 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.O	FixedReset	287,269	Desjardins crossed 248,400 at 17.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 4.88 %
BMO.PR.S	FixedReset	251,922	RBC crossed 203,800 at 17.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 4.79 %
BAM.PF.H	FixedReset	166,439	TD bought 40,500 from National at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 23.13 Evaluated at bid price : 24.91 Bid-YTW : 5.05 %
RY.PR.L	FixedReset	150,200	TD sold 39,500 to CIBC at 25.00, and another 40,000 to RBC at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 4.10 %
BIP.PR.B	FixedReset	113,268	New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 22.92 Evaluated at bid price : 24.35 Bid-YTW : 5.61 %
BNS.PR.M	Deemed-Retractible	80,383	CIBC bought 50,000 from TD at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.85 %
There were 94 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.A	FixedReset	Quote: 15.51 – 17.50 Spot Rate : 1.9900 Average : 1.1428 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 4.70 %
ELF.PR.G	Perpetual-Discount	Quote: 20.20 – 20.84 Spot Rate : 0.6400 Average : 0.3954 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.98 %
RY.PR.I	FixedReset	Quote: 23.12 – 23.78 Spot Rate : 0.6600 Average : 0.4338 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 4.66 %
PWF.PR.H	Perpetual-Premium	Quote: 24.36 – 24.99 Spot Rate : 0.6300 Average : 0.4160 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 24.10 Evaluated at bid price : 24.36 Bid-YTW : 5.98 %
FTS.PR.F	Perpetual-Discount	Quote: 21.67 – 22.29 Spot Rate : 0.6200 Average : 0.4179 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-08 Maturity Price : 21.40 Evaluated at bid price : 21.67 Bid-YTW : 5.68 %
TD.PR.S	FixedReset	Quote: 23.51 – 24.03 Spot Rate : 0.5200 Average : 0.3354 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.07 %

Market Action

December 7, 2015

Oil got whacked today:

Oil fell to the lowest level in more than six years amid speculation that a record global glut will be prolonged after OPEC effectively abandoned its longtime strategy of limiting output to control prices.
…
West Texas Intermediate for January delivery sank $2.32, or 5.8 percent, to settle at $37.65 a barrel on the New York Mercantile Exchange, the lowest close since February 2009. The volume of all futures traded was 63 percent above the 100-day average at 2:40 p.m.
…
Tumbling oil helped spur a rout in energy stocks, which were the worst performers on the Standard & Poor’s 500 Index. Williams Cos., a pipeline company, dropped 17 percent, making it the worst performer on the S&P 500 Monday. Exxon Mobil Corp. and Chevron Corp., the biggest U.S. energy producers, fell 2.9 percent and 2.6 percent, respectively. The pain wasn’t limited to the U.S., as BP Plc slipped 3.4 percent and Royal Dutch Shell Plc decreased 4.2 percent.

Other places, too!

Oil’s struggles mean more suffering for the Canadian dollar. It fell .84 of a cent to 74 cents (U.S.) on Monday, its lowest since June of 2004. Energy products represented roughly a quarter of Canada’s exports last year, and oil’s slump has been the key factor in the loonie’s 21-per-cent nosedive against its U.S. counterpart since the middle of 2014.
…
The Toronto Stock Exchange’s oil and gas index tumbled 6 per cent, the main factor in a 2.4-per-cent slide in the S&P/TSX composite index. Energy stocks make up nearly a fifth of the composite index. Companies with the highest debt levels and focus on oil took the biggest hits. Penn West Petroleum Ltd. sank nearly18 per cent, and Baytex Energy Corp. fell 17 per cent.

Things may seem bleak, but take heart! There’s some more drone news today:

The ranks of older and frail adults are growing rapidly in the developed world, raising alarms about how society is going to help them take care of themselves in their own homes.

Naira Hovakimyan has an idea: drones.

The University of Illinois roboticist recently received a $1.5 million grant from the National Science Foundation to explore the idea of designing small autonomous drones to perform simple household chores, like retrieving a bottle of medicine from another room. Dr. Hovakimyan acknowledged that the idea might seem off-putting to many, but she believes that drones not only will be safe, but will become an everyday fixture in elder care within a decade or two.

And for preferred share investors …

Click for Big

It was a horrible day for the Canadian preferred share market, with PerpetualDiscounts losing 124bp, FixedResets down 99bp and DeemedRetractibles off 9bp. Let’s just not talk about the Performance Highlights table, OK? Volume was very, very extremely much huge, enlivened by a stack of after-hours contingent crosses by Nesbitt.

For those keeping score, TXPR is now down about 4.12% on the month to date and is now down to October 19 levels – about 4.23% above the low of October 14.

TXPL is down about 5.33% on the month to date and is also down to October 19 levels – about 4.52% above the October 14 low.

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	5.04 %	6.12 %	35,311	16.51	1	-9.0909 %	1,540.9
FixedFloater	6.86 %	6.07 %	31,670	16.18	1	-4.6143 %	2,845.1
Floater	4.30 %	4.50 %	74,465	16.34	4	-1.2573 %	1,761.9
OpRet	4.86 %	4.02 %	29,400	0.72	1	-0.0397 %	2,736.5
SplitShare	4.80 %	5.50 %	85,917	2.87	6	-0.1839 %	3,212.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1839 %	2,506.4
Perpetual-Premium	5.81 %	5.84 %	88,033	14.00	7	-0.3412 %	2,493.2
Perpetual-Discount	5.73 %	5.81 %	99,680	14.15	33	-1.2382 %	2,498.5
FixedReset	5.28 %	4.85 %	232,665	14.77	77	-0.9915 %	1,951.0
Deemed-Retractible	5.25 %	5.34 %	130,657	5.34	33	-0.0855 %	2,552.0
FloatingReset	2.75 %	3.95 %	62,476	5.71	11	-0.5768 %	2,140.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.E	Ratchet	-9.09 %	Sort-of reasonable, as the issue traded 4,600 shares in a range of 13.35-14.50 before closing at 13.50-14.59, 3×5. There were only five trades after 2:30pm, totaling 1400 shares, commencing with a trade at 14.10 and sporadically declining to 13.35. The VWAP was 14.21. 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 : 2045-12-07 Maturity Price : 25.00 Evaluated at bid price : 13.50 Bid-YTW : 6.12 %
MFC.PR.L	FixedReset	-6.65 %	Not entirely unreasonable, since the issue traded 18,101 shares in a range of 17.40-18.64 before closing at 17.42-74, 3×1. VWAP was 17.96. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.42 Bid-YTW : 8.23 %
ELF.PR.H	Perpetual-Discount	-6.26 %	Ridiculous, as the issue traded 6,528 shares in a range of 23.25-97 before closing at 22.03-00, 5×3. VWAP was 23.47. 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 : 2045-12-07 Maturity Price : 21.74 Evaluated at bid price : 22.03 Bid-YTW : 6.34 %
HSE.PR.C	FixedReset	-5.79 %	Entirely reasonable, as the issue traded 19,063 shares in a range of 18.57-19.86 before closing at 18.70-26, 1×1. VWAP was 19.17; There were quite a few trades below the closing bid after 3:30pm. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.54 %
BAM.PR.G	FixedFloater	-4.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 25.00 Evaluated at bid price : 13.85 Bid-YTW : 6.07 %
SLF.PR.I	FixedReset	-4.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 7.12 %
TRP.PR.G	FixedReset	-4.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 5.17 %
MFC.PR.N	FixedReset	-3.94 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.54 Bid-YTW : 7.48 %
MFC.PR.M	FixedReset	-3.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 7.51 %
IFC.PR.A	FixedReset	-3.77 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.06 Bid-YTW : 9.94 %
ELF.PR.F	Perpetual-Discount	-3.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 6.07 %
HSE.PR.E	FixedReset	-2.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.56 %
FTS.PR.M	FixedReset	-2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 4.90 %
CU.PR.H	Perpetual-Discount	-2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 22.08 Evaluated at bid price : 22.41 Bid-YTW : 5.89 %
MFC.PR.I	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 6.75 %
VNR.PR.A	FixedReset	-2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 5.32 %
TD.PF.E	FixedReset	-2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 4.58 %
TRP.PR.H	FloatingReset	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.27 %
SLF.PR.H	FixedReset	-2.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.43 Bid-YTW : 8.62 %
HSE.PR.G	FixedReset	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.37 %
MFC.PR.G	FixedReset	-2.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.78 %
BAM.PR.N	Perpetual-Discount	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 6.26 %
PWF.PR.A	Floater	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 3.88 %
IAG.PR.A	Deemed-Retractible	-1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.16 %
BAM.PF.C	Perpetual-Discount	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 6.29 %
BIP.PR.A	FixedReset	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 5.66 %
PWF.PR.R	Perpetual-Discount	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 23.27 Evaluated at bid price : 23.70 Bid-YTW : 5.86 %
TRP.PR.E	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.83 %
BAM.PR.X	FixedReset	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 13.86 Evaluated at bid price : 13.86 Bid-YTW : 5.29 %
CU.PR.C	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.80 %
MFC.PR.H	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.23 Bid-YTW : 6.31 %
POW.PR.D	Perpetual-Discount	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 21.56 Evaluated at bid price : 21.82 Bid-YTW : 5.81 %
FTS.PR.K	FixedReset	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.62 %
BAM.PR.M	Perpetual-Discount	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 6.23 %
BAM.PF.D	Perpetual-Discount	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.24 %
BAM.PR.C	Floater	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 10.52 Evaluated at bid price : 10.52 Bid-YTW : 4.55 %
TRP.PR.B	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 4.83 %
IFC.PR.C	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.31 Bid-YTW : 8.72 %
CU.PR.D	Perpetual-Discount	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 21.31 Evaluated at bid price : 21.58 Bid-YTW : 5.71 %
FTS.PR.H	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 13.54 Evaluated at bid price : 13.54 Bid-YTW : 4.42 %
SLF.PR.G	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.36 Bid-YTW : 9.29 %
PWF.PR.L	Perpetual-Discount	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 22.03 Evaluated at bid price : 22.26 Bid-YTW : 5.80 %
MFC.PR.F	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.46 Bid-YTW : 9.37 %
IAG.PR.G	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.37 Bid-YTW : 6.56 %
HSE.PR.A	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 12.38 Evaluated at bid price : 12.38 Bid-YTW : 5.31 %
PWF.PR.E	Perpetual-Discount	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 23.41 Evaluated at bid price : 23.70 Bid-YTW : 5.87 %
PWF.PR.F	Perpetual-Discount	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 5.89 %
CM.PR.P	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.77 %
TRP.PR.D	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.98 %
SLF.PR.C	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.69 Bid-YTW : 7.73 %
CU.PR.E	Perpetual-Discount	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.73 %
W.PR.J	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 23.56 Evaluated at bid price : 23.83 Bid-YTW : 5.96 %
BNS.PR.A	FloatingReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 3.92 %
BAM.PF.G	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 5.13 %
SLF.PR.E	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.89 Bid-YTW : 7.64 %
ENB.PR.A	Perpetual-Discount	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 5.82 %
POW.PR.A	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.91 %
BAM.PF.H	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 4.72 %
NA.PR.S	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 4.85 %
MFC.PR.B	Deemed-Retractible	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.26 %
GWO.PR.N	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.51 Bid-YTW : 9.97 %
TRP.PR.C	FixedReset	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 5.01 %
GWO.PR.S	Deemed-Retractible	5.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 5.66 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.S	FixedReset	313,635	Nesbitt crossed 293,800 at 18.82 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.52 %
MFC.PR.M	FixedReset	292,516	Nesbitt crossed 274,100 at 18.60 after hours as a contingent cross. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 7.51 %
BAM.PF.G	FixedReset	271,995	Nesbitt crossed 251,200 at 19.58 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 5.13 %
BAM.PF.F	FixedReset	265,625	Nesbitt crossed 260,000 at 19.65 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.09 %
RY.PR.J	FixedReset	255,232	Nesbitt crossed 228,400 at 19.83 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.62 %
FTS.PR.M	FixedReset	203,405	Nesbitt crossed 184,800 at 18.40 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 4.90 %
BAM.PR.T	FixedReset	185,974	Nesbitt crossed 166,400 at 15.43 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 5.51 %
POW.PR.G	Perpetual-Premium	184,737	Nesbitt crossed 178,700 at 24.40 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 23.90 Evaluated at bid price : 24.39 Bid-YTW : 5.81 %
HSE.PR.E	FixedReset	171,252	Nesbitt crossed 159,900 at 20.31 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.56 %
BAM.PR.N	Perpetual-Discount	168,241	Nesbitt crossed 152,100 at 19.50 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 6.26 %
TRP.PR.D	FixedReset	154,478	RBC crossed 14,100 at 17.55. Desjardins crossed 101,600 at 17.29. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.98 %
CU.PR.H	Perpetual-Discount	150,827	Nesbitt crossed 141,600 at 22.41 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 22.08 Evaluated at bid price : 22.41 Bid-YTW : 5.89 %
RY.PR.P	Perpetual-Discount	138,408	Nesbitt crossed 137,000 at 24.79 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 24.41 Evaluated at bid price : 24.79 Bid-YTW : 5.37 %
BNS.PR.M	Deemed-Retractible	138,241	Nesbitt crossed 126,500 at 25.01 after hours as a contingent cross. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.60 %
BNS.PR.L	Deemed-Retractible	135,762	Nesbitt crossed 127,900 at 25.02 after hours as a contingent cross. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.60 %
RY.PR.F	Deemed-Retractible	124,132	RBC crossed 49,400 at 24.82. Nesbitt crossed 61,700 at 24.78 after hours as a contingent cross. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.77 Bid-YTW : 4.68 %
BAM.PF.E	FixedReset	117,469	Nesbitt crossed 102,700 at 18.74 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 5.10 %
TD.PF.F	Perpetual-Discount	117,273	Nesbitt crossed 114,200 at 22.72 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 22.39 Evaluated at bid price : 22.69 Bid-YTW : 5.45 %
BAM.PR.Z	FixedReset	116,350	Nesbitt crossed 89,700 at 19.72 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 5.17 %
GWO.PR.M	Deemed-Retractible	114,826	Nesbitt crossed 106,200 at 25.20 after hours as a contingent cross. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.67 %
TRP.PR.E	FixedReset	112,153	Desjardins crossed 91,400 at 18.53. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.83 %
IGM.PR.B	Perpetual-Premium	110,292	Nesbitt crossed 108,400 at 25.28 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 24.93 Evaluated at bid price : 25.28 Bid-YTW : 5.90 %
PWF.PR.G	Perpetual-Premium	109,903	Nesbitt crossed 100,200 at 25.34 after hours as a contingent cross. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-01-06 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : -1.41 %
BMO.PR.Z	Perpetual-Discount	109,414	Nesbitt crossed 102,700 at 23.85 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 23.48 Evaluated at bid price : 23.80 Bid-YTW : 5.28 %
SLF.PR.B	Deemed-Retractible	108,170	Nesbitt crossed 99,500 at 21.21 after hours as a contingent cross. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 7.13 %
MFC.PR.B	Deemed-Retractible	104,967	Nesbitt crossed 99,100 at 20.75 after hours as a contingent cross. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 7.26 %
PWF.PR.K	Perpetual-Discount	104,603	Nesbitt crossed 101,100 at 21.87 after hours as a contingent cross. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 21.34 Evaluated at bid price : 21.61 Bid-YTW : 5.79 %
There were 68 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
VNR.PR.A	FixedReset	Quote: 18.01 – 19.00 Spot Rate : 0.9900 Average : 0.6495 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 5.32 %
ELF.PR.H	Perpetual-Discount	Quote: 22.03 – 23.00 Spot Rate : 0.9700 Average : 0.6410 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 21.74 Evaluated at bid price : 22.03 Bid-YTW : 6.34 %
HSE.PR.E	FixedReset	Quote: 20.15 – 20.98 Spot Rate : 0.8300 Average : 0.6028 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.56 %
TD.PF.E	FixedReset	Quote: 20.69 – 21.35 Spot Rate : 0.6600 Average : 0.4349 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 4.58 %
GWO.PR.M	Deemed-Retractible	Quote: 25.20 – 25.91 Spot Rate : 0.7100 Average : 0.5014 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.67 %
BAM.PR.E	Ratchet	Quote: 13.50 – 14.59 Spot Rate : 1.0900 Average : 0.8896 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-07 Maturity Price : 25.00 Evaluated at bid price : 13.50 Bid-YTW : 6.12 %

Market Action

December 4, 2015

Jobs, jobs, jobs!

Employers added more jobs than forecast in November, underscoring Federal Reserve Chair Janet Yellen’s confidence that the U.S. economy is strong enough to withstand higher borrowing costs.

The 211,000 increase in payrolls followed a 298,000 gain in October that was bigger than previously estimated, a Labor Department report showed Friday. The median forecast called for a 200,000 advance. The jobless rate held at a more than seven-year low of 5 percent.
…
Employee pay increased at a steady pace last month. Average hourly earnings at private employers rose 0.2 percent in November after a 0.4 percent gain. Year-over-year hourly pay rose 2.3 percent after a 2.5 percent gain a month earlier.

Employment in November was spurred by the biggest increase in construction hiring since January 2014. Retailers, health-care providers and leisure and hospitality companies added jobs at a healthy, but slower pace than in October.

Meanwhile in Canada:

Canada’s trade deficit unexpectedly jumped to $2.76-billion in October as exports to the crucial U.S. market dropped by the most in almost two-and-a-half years, Statistics Canada data showed on Friday.

October marked the 14th consecutive monthly trade deficit, reflecting Canadian exporters’ continuing struggles amid a sharp fall in oil prices. Analysts polled by Reuters had forecast a shortfall of $1.70-billion.

… and nothing good is forecast for oil:

OPEC’s refusal to rein in production spells extended pain for Canada’s oil patch, setting the stage for deeper cutbacks as a worldwide glut of crude keeps pressure on U.S. and global prices.

West Texas intermediate oil sank below $40 (U.S.) a barrel on Friday after the Organization of the Petroleum Exporting Countries failed to agree on production limits, effectively maintaining a Saudi Arabia-led policy of pumping record volumes to defend market share.
…
The Bank of Canada has estimated that overall capital spending in the industry will fall by 20 per cent in 2016 following a 40-per-cent drop this year.

Remember the Enbridge dropdown that was viewed so unfavourably by S&P, Moody’s and DBRS? It’s an ill wind that blows nobody any good:

Enbridge Inc. (“Enbridge” or “the Company”) (TSX:ENB) (NYSE:ENB) today announced that its Board of Directors has declared a quarterly dividend of $0.53 per common share, payable on March 1, 2016 to shareholders of record on February 16, 2016. The dividend reflects a 14 percent increase from the prior quarterly rate, marking the twenty-first consecutive year of increased dividends for the Company.

“The core of our shareholder value proposition is our reliable business model, which continues to deliver strong and predictable results and dividend growth,” said Al Monaco, President and Chief Executive Officer. “The 14 percent dividend increase reflects the confidence we have in our outlook, underpinned by the strength of our businesses, an industry leading growth program and our sound financial position. Over the last two years, we have increased our dividend by over 50 percent while maintaining strong available cash flow coverage.”

Enbridge also announced a guidance range for 2016 available cash flow from operations (“ACFFO”) per share of $3.80 to $4.50. The growth in the Company’s ACFFO per share guidance range for 2016 reflects growth from its existing businesses and the successful execution of its capital program.

Assiduous Readers will remember my post of June 26,2014, in which I advocated paying cash – always! Now we have more reason to use cash in Canada:

Users beware: The banks are spying on you! It recently emerged that deep inside a TD Canada Trust Visa cardholders agreement are embedded a couple of troubling lines giving the bank the legal right to collect data on everything a person does online.

The scope of these provisions, revealed last week by the CBC, is expansive. They basically give the bank the right to view the content of Google searches, the sort of online videos a cardholder watches, their social media activity and much, much more.

The bank can learn a lot from this information. Are you searching for legal advice on defaulting from a loan? Are you thinking of moving or getting married? Are you straight or gay? Do you prefer cats or dogs?

It was another crummy day for the Canadian preferred share market, with PerpetualDiscounts down 53bp, FixedResets off 44bp, and DeemedRetractibles losing 54bp. The Performance Highlights table is, of course, ridiculous, but at least there were a few winners today! Volume was extremely high.

Here’s TRP:

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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.45 to be $1.20 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.08 cheap at its bid price of 12.00.

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Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 19.30 to be 0.62 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 17.32 to be 1.11 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.02 to be $1.26 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 18.54 and appears to be $0.99 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 17.30, 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 15.95 and is $1.05 cheap.

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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.69%, with no outliers. There is one junk outlier below -1.50% and one above +0.50%.

Click for Big

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	4.58 %	5.54 %	34,691	17.21	1	6.5280 %	1,695.0
FixedFloater	6.54 %	5.77 %	30,193	16.55	1	0.0689 %	2,982.7
Floater	4.43 %	4.48 %	90,617	16.38	3	0.3761 %	1,784.3
OpRet	4.86 %	3.92 %	30,588	0.73	1	0.0397 %	2,737.6
SplitShare	4.76 %	5.50 %	127,573	4.31	5	0.0878 %	3,218.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0878 %	2,511.0
Perpetual-Premium	5.81 %	5.81 %	90,824	14.01	6	-0.5065 %	2,501.7
Perpetual-Discount	5.66 %	5.75 %	93,452	14.25	33	-0.5335 %	2,529.9
FixedReset	5.21 %	4.95 %	228,176	14.81	76	-0.4448 %	1,970.6
Deemed-Retractible	5.25 %	5.43 %	127,180	5.35	33	-0.5389 %	2,554.2
FloatingReset	2.68 %	3.86 %	63,057	5.71	10	-0.7167 %	2,152.4

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.S	Deemed-Retractible	-5.84 %	More nonsense from Nonsense Central, as the issue traded 4,100 shares in a range of 24.02-50 before closing at 23.07-24.53, 11×1. The last trade of the day, at the low, was timestamped 3:18pm. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.07 Bid-YTW : 6.36 %
IFC.PR.C	FixedReset	-4.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.51 %
MFC.PR.K	FixedReset	-4.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.32 Bid-YTW : 8.23 %
SLF.PR.H	FixedReset	-4.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 8.31 %
MFC.PR.H	FixedReset	-3.96 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.61 Bid-YTW : 6.09 %
CU.PR.C	FixedReset	-3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 4.75 %
FTS.PR.G	FixedReset	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 5.01 %
MFC.PR.B	Deemed-Retractible	-3.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.38 Bid-YTW : 7.49 %
FTS.PR.K	FixedReset	-2.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.57 %
MFC.PR.G	FixedReset	-2.74 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.57 Bid-YTW : 6.49 %
VNR.PR.A	FixedReset	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.21 %
BAM.PR.X	FixedReset	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 14.12 Evaluated at bid price : 14.12 Bid-YTW : 5.23 %
MFC.PR.I	FixedReset	-2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 6.39 %
ELF.PR.H	Perpetual-Discount	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 23.09 Evaluated at bid price : 23.50 Bid-YTW : 5.93 %
TRP.PR.B	FixedReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 11.41 Evaluated at bid price : 11.41 Bid-YTW : 4.80 %
SLF.PR.I	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.12 Bid-YTW : 6.58 %
BMO.PR.R	FloatingReset	-1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 3.82 %
CU.PR.H	Perpetual-Discount	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 22.69 Evaluated at bid price : 23.05 Bid-YTW : 5.72 %
IAG.PR.G	FixedReset	-1.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 6.39 %
BAM.PR.T	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 15.27 Evaluated at bid price : 15.27 Bid-YTW : 5.60 %
CM.PR.Q	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 19.94 Evaluated at bid price : 19.94 Bid-YTW : 4.67 %
GWO.PR.Q	Deemed-Retractible	-1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.52 Bid-YTW : 6.60 %
NA.PR.W	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 4.89 %
FTS.PR.M	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.79 %
MFC.PR.J	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.53 Bid-YTW : 6.94 %
HSE.PR.E	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 5.42 %
HSE.PR.A	FixedReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 5.30 %
MFC.PR.M	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.35 Bid-YTW : 6.98 %
IFC.PR.A	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.65 Bid-YTW : 9.49 %
POW.PR.G	Perpetual-Discount	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 24.14 Evaluated at bid price : 24.60 Bid-YTW : 5.76 %
GWO.PR.I	Deemed-Retractible	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.21 %
FTS.PR.H	FixedReset	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 4.39 %
POW.PR.B	Perpetual-Discount	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 5.83 %
POW.PR.D	Perpetual-Discount	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 21.98 Evaluated at bid price : 22.21 Bid-YTW : 5.71 %
GWO.PR.P	Deemed-Retractible	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 6.13 %
NA.PR.S	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.95 %
BAM.PF.B	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 5.25 %
PWF.PR.O	Perpetual-Premium	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 24.77 Evaluated at bid price : 25.06 Bid-YTW : 5.85 %
PWF.PR.K	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.74 %
BNS.PR.B	FloatingReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 4.00 %
SLF.PR.D	Deemed-Retractible	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.87 Bid-YTW : 7.59 %
CU.PR.G	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 5.65 %
TRP.PR.H	FloatingReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 10.26 Evaluated at bid price : 10.26 Bid-YTW : 4.21 %
RY.PR.H	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.65 %
GWO.PR.R	Deemed-Retractible	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.22 Bid-YTW : 7.06 %
TRP.PR.D	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 4.95 %
BAM.PR.C	Floater	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.48 %
HSE.PR.C	FixedReset	2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.24 %
BAM.PR.E	Ratchet	6.53 %	Just a reversal of yesterday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 25.00 Evaluated at bid price : 14.85 Bid-YTW : 5.54 %
BAM.PF.G	FixedReset	33.00 %	Don’t get excited! It’s just a reversal of yesterday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.09 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.B	Floater	192,246	Desjardins sold six blocks to anonymous, totalling 132,400 shares, all at 10.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.48 %
BAM.PR.K	Floater	136,450	TD crossed 127,200 at 10.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 10.63 Evaluated at bid price : 10.63 Bid-YTW : 4.51 %
BNS.PR.R	FixedReset	102,400	RBC crossed 50,000 at 24.80; TD crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.61 %
RY.PR.J	FixedReset	83,101	TD crossed blocks of 50,000 and 18,400, both at 19.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.65 %
BNS.PR.P	FixedReset	70,470	Nesbitt crossed 50,000 at 24.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 3.56 %
RY.PR.I	FixedReset	50,000	Scotia crossed blocks of 22,500 and 11,400, both at 24.35. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.72 %
There were 64 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.S	Deemed-Retractible	Quote: 23.07 – 24.53 Spot Rate : 1.4600 Average : 0.8676 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.07 Bid-YTW : 6.36 %
MFC.PR.K	FixedReset	Quote: 17.32 – 18.70 Spot Rate : 1.3800 Average : 0.9731 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.32 Bid-YTW : 8.23 %
MFC.PR.B	Deemed-Retractible	Quote: 20.38 – 21.07 Spot Rate : 0.6900 Average : 0.4580 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.38 Bid-YTW : 7.49 %
IAG.PR.G	FixedReset	Quote: 20.65 – 21.44 Spot Rate : 0.7900 Average : 0.5751 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 6.39 %
HSE.PR.A	FixedReset	Quote: 12.55 – 12.99 Spot Rate : 0.4400 Average : 0.2845 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 5.30 %
ELF.PR.H	Perpetual-Discount	Quote: 23.50 – 23.92 Spot Rate : 0.4200 Average : 0.2803 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-04 Maturity Price : 23.09 Evaluated at bid price : 23.50 Bid-YTW : 5.93 %

Market Action

December 3, 2015

Good news! Europe’s not considered to be in as much trouble as was previously feared! Let’s celebrate!

Equities tumbled around the world and government bonds sank, while the euro rallied the most in six years after the scale of additional stimulus from the European Central Bank disappointed investors just as the Federal Reserve signaled interest-rate increases are imminent.

The Standard & Poor’s 500 Index fell the most in two months and European equities had their worst day since the height of the summer selloff. The euro climbed against all its major peers, stinging traders who had piled on wagers against the currency amid expectations of aggressive easing from the ECB. Yields on 10-year German notes jumped 20 basis points, while rates on similar-maturity Treasuries posted their biggest advance since February. Brent crude rallied from a six-year low before Friday’s OPEC meeting.
…
Yields on two-year notes from Germany to Spain had touched record lows before the ECB’s decision. They had been tumbling since Draghi stoked expectations of further easing at his Oct. 22 press conference, pledging that policy makers would re-examine the scope of the central bank’s existing quantitative-easing plan this month.

Treasuries suffered their biggest rout since February, with 10-year yields climbing 14 basis points, or 0.14 percentage point, to 2.32 percent.

And junk bond illiquidity is attracting notice:

Sinkholes are popping up in the credit market.

Specific junk bonds are simply plummeting in value on little trading. For example, nothing all that obvious triggered a plunge in Syniverse Holdings, whose bonds fell to 39 cents on the dollar Monday, from 84.25 cents less than a month earlier. Debt of Intelsat, United States Steel, SandRidge Energy and Ultra Petroleum all lost about 30 percent last month.

Yet looking broadly, there isn’t a financial crisis in developed markets. U.S. stocks are still eking out gains. Companies are still issuing bonds.

So why the precipitous drops without warning?

The explanation is that asset managers are being forced to exit their riskiest positions, either because of withdrawals or to placate increasingly nervous investors, and they’re finding no buyers on the other side. When these fund managers finally get an offer to shed their unwanted holdings, they’re just taking it, even if it means taking a huge loss.

Greater love hath no man than this, that a man lay down his friends for cash.:

Three years ago, the National Whistleblowers Center in Washington dismissed Ms. Williams and Mr. Renner, who are both lawyers, citing mandatory layoffs that stemmed from funding woes and a staff reorganization.
…
Now, previously unreleased documents show that the layoffs coincided with an effort by Ms. Williams and Mr. Renner to unionize the whistle-blower center’s small work force. That effort, Ms. Williams and Mr. Renner contend, touched a nerve with the center’s leadership, including Stephen M. Kohn, a prominent lawyer who was a co-founder of the center and has become a national expert on whistle-blower cases.

After their dismissals, Ms. Williams and Mr. Renner took their concerns to the National Labor Relations Board, the documents show. After initially balking at the case, the agency ultimately filed a complaint of unfair labor practices against the whistle-blower center, blaming it for “interfering with, restraining and coercing employees” not to assemble a union.

In effect, Ms. Williams and Mr. Renner became whistle-blowers on their own boss.

Canadian preferred share investors today expressed their appreciation for European monetary policy:

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It was a horrible day for the Canadian preferred share market, with PerpetualDiscounts off 76bp, FixedResets losing 192bp and DeemedRetractibles down 102bp. The Performance Highlights table is extraordinarily lengthy, dominated by FixedResets and devoid of even a single winner. Volume was extremely heavy.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.51 to be $1.12 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.12 cheap at its bid price of 12.12.

Click for Big

Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 19.65 to be 0.33 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 18.10 to be 0.64 cheap.

Click for Big

As discussed in the Performance Highlights table, the official bid for BAM.PF.G is ridiculous, so for the purposes of this calculation I have adjusted the bid to 19.50, about 1% below the last price.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.16 to be $1.19 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 18.40 and appears to be $0.80 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 17.79, looks $0.82 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 16.50 and is $0.87 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.56%, with no outliers. There is one junk outlier below -1.50% and one above +0.50%.

Click for Big

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	4.88 %	5.92 %	34,940	16.76	1	-8.5902 %	1,591.1
FixedFloater	6.55 %	5.78 %	29,545	16.54	1	-2.8131 %	2,980.7
Floater	4.44 %	4.50 %	84,051	16.33	3	-2.5351 %	1,777.7
OpRet	4.86 %	3.96 %	30,750	0.73	1	-0.1586 %	2,736.5
SplitShare	4.76 %	5.54 %	127,978	4.31	5	-0.0821 %	3,215.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0821 %	2,508.8
Perpetual-Premium	5.78 %	2.11 %	90,391	0.08	6	-0.3343 %	2,514.5
Perpetual-Discount	5.63 %	5.68 %	92,392	14.28	33	-0.7615 %	2,543.4
FixedReset	5.19 %	4.84 %	225,372	14.76	76	-1.9241 %	1,979.4
Deemed-Retractible	5.22 %	5.30 %	126,490	5.35	33	-1.0284 %	2,568.0
FloatingReset	2.66 %	3.81 %	63,333	5.72	10	-0.1030 %	2,168.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.G	FixedReset	-27.91 %	A nonsensical result, as the issue traded 17,784 shares in a range of 19.70-20.73 before closing at 14.85-20.19. It looks like there were nine timed or algorithmic sales of 100 shares each at 3:59 out of an anonymous broker [and three more out of Laurentian], which took the price down from 20.21 as of the prior trade at 3:50 to 19.70, at which point they stopped – whether due to algorithmic interruption of the programme or whether the sales were exhausted cannot be determined from the data. Anyway, it looks like these sales eroded the bid. 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 : 2045-12-03 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 6.86 %
BAM.PR.E	Ratchet	-8.59 %	More nonsense from Nonsense Central, as the issue traded 1700 shares in a range of 15.00-35 before closing at 13.94-15.23, 4×4. The last trade of the day was 700 shares changing hands at the low, timestamped 3:41pm. 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 : 2045-12-03 Maturity Price : 25.00 Evaluated at bid price : 13.94 Bid-YTW : 5.92 %
BAM.PR.B	Floater	-4.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.63 Evaluated at bid price : 10.63 Bid-YTW : 4.50 %
BAM.PF.A	FixedReset	-4.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.27 %
MFC.PR.J	FixedReset	-4.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.72 %
CU.PR.C	FixedReset	-3.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.57 %
MFC.PR.H	FixedReset	-3.85 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.54 %
BAM.PR.C	Floater	-3.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.56 Evaluated at bid price : 10.56 Bid-YTW : 4.54 %
IAG.PR.G	FixedReset	-3.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 6.13 %
FTS.PR.G	FixedReset	-3.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.84 %
BAM.PR.Z	FixedReset	-3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.26 %
MFC.PR.G	FixedReset	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 6.11 %
BAM.PF.F	FixedReset	-3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.06 %
SLF.PR.I	FixedReset	-3.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 6.30 %
MFC.PR.I	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.32 Bid-YTW : 6.03 %
MFC.PR.N	FixedReset	-3.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.31 Bid-YTW : 6.93 %
FTS.PR.M	FixedReset	-3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 4.71 %
GWO.PR.H	Deemed-Retractible	-3.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 7.06 %
ELF.PR.G	Perpetual-Discount	-3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.64 Evaluated at bid price : 20.64 Bid-YTW : 5.85 %
SLF.PR.C	Deemed-Retractible	-2.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.89 Bid-YTW : 7.57 %
IFC.PR.C	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 7.89 %
MFC.PR.K	FixedReset	-2.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.10 Bid-YTW : 7.62 %
SLF.PR.A	Deemed-Retractible	-2.93 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.23 Bid-YTW : 6.99 %
GWO.PR.G	Deemed-Retractible	-2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 6.53 %
MFC.PR.C	Deemed-Retractible	-2.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 7.34 %
BAM.PR.G	FixedFloater	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 25.00 Evaluated at bid price : 14.51 Bid-YTW : 5.78 %
SLF.PR.B	Deemed-Retractible	-2.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 6.94 %
SLF.PR.H	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 7.72 %
BMO.PR.Y	FixedReset	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 4.56 %
PWF.PR.P	FixedReset	-2.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.59 %
RY.PR.M	FixedReset	-2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 4.61 %
FTS.PR.K	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.44 %
TRP.PR.H	FloatingReset	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 10.37 Evaluated at bid price : 10.37 Bid-YTW : 4.16 %
BAM.PR.X	FixedReset	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.09 %
TRP.PR.G	FixedReset	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.95 %
HSE.PR.C	FixedReset	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 5.38 %
PWF.PR.S	Perpetual-Discount	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 5.74 %
GWO.PR.I	Deemed-Retractible	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.79 Bid-YTW : 7.01 %
BAM.PF.B	FixedReset	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.18 %
PWF.PR.R	Perpetual-Discount	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.63 Evaluated at bid price : 24.10 Bid-YTW : 5.76 %
NA.PR.S	FixedReset	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 4.88 %
RY.PR.W	Perpetual-Discount	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.50 %
IFC.PR.A	FixedReset	-1.98 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.88 Bid-YTW : 9.28 %
BAM.PR.T	FixedReset	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.50 %
SLF.PR.E	Deemed-Retractible	-1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.24 Bid-YTW : 7.38 %
GWO.PR.R	Deemed-Retractible	-1.88 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.44 Bid-YTW : 6.91 %
MFC.PR.B	Deemed-Retractible	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 7.05 %
BAM.PF.E	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.14 %
BMO.PR.T	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.64 %
SLF.PR.D	Deemed-Retractible	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 7.43 %
TRP.PR.E	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.75 %
FTS.PR.H	FixedReset	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 4.33 %
TD.PF.D	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 4.65 %
TD.PF.E	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 4.48 %
TD.PF.A	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.65 %
POW.PR.A	Perpetual-Discount	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 24.16 Evaluated at bid price : 24.42 Bid-YTW : 5.81 %
TRP.PR.D	FixedReset	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.89 %
ELF.PR.F	Perpetual-Discount	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.74 Evaluated at bid price : 23.03 Bid-YTW : 5.83 %
BAM.PR.R	FixedReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 5.54 %
IAG.PR.A	Deemed-Retractible	-1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 6.80 %
MFC.PR.M	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 6.77 %
POW.PR.D	Perpetual-Discount	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.63 %
PWF.PR.K	Perpetual-Discount	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.67 %
MFC.PR.L	FixedReset	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.23 %
TD.PF.B	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 4.60 %
BIP.PR.A	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 5.59 %
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 : 24.03 Bid-YTW : 5.93 %
BMO.PR.S	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.52 %
ELF.PR.H	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.58 Evaluated at bid price : 24.05 Bid-YTW : 5.78 %
PWF.PR.E	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.78 %
TRP.PR.B	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 4.70 %
GWO.PR.Q	Deemed-Retractible	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 6.36 %
BNS.PR.D	FloatingReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.41 Bid-YTW : 5.80 %
PWF.PR.F	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 22.68 Evaluated at bid price : 22.97 Bid-YTW : 5.77 %
BMO.PR.W	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.63 %
CM.PR.O	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.34 Evaluated at bid price : 18.34 Bid-YTW : 4.66 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PF.A	FixedReset	184,945	Desjardins crossed 160,000 at 19.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.27 %
TRP.PR.D	FixedReset	129,312	Desjardins crossed 78,600 at 18.00. Nesbitt crossed 25,200 at 17.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.89 %
TRP.PR.E	FixedReset	60,635	Scotia crossed blocks of 15,300 and 13,400, both at 18.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.75 %
TRP.PR.C	FixedReset	55,210	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 12.12 Evaluated at bid price : 12.12 Bid-YTW : 5.14 %
RY.PR.Z	FixedReset	46,071	Nesbitt crossed 21,000 at 18.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.57 %
GWO.PR.N	FixedReset	45,868	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.26 Bid-YTW : 10.25 %
There were 78 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.G	FixedReset	Quote: 14.85 – 20.19 Spot Rate : 5.3400 Average : 2.8755 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 6.86 %
BAM.PR.E	Ratchet	Quote: 13.94 – 15.23 Spot Rate : 1.2900 Average : 0.8012 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 25.00 Evaluated at bid price : 13.94 Bid-YTW : 5.92 %
IFC.PR.C	FixedReset	Quote: 18.40 – 19.18 Spot Rate : 0.7800 Average : 0.4553 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 7.89 %
PWF.PR.R	Perpetual-Discount	Quote: 24.10 – 24.65 Spot Rate : 0.5500 Average : 0.3240 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 23.63 Evaluated at bid price : 24.10 Bid-YTW : 5.76 %
NA.PR.S	FixedReset	Quote: 17.93 – 18.60 Spot Rate : 0.6700 Average : 0.4512 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-03 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 4.88 %
GWO.PR.G	Deemed-Retractible	Quote: 22.70 – 23.30 Spot Rate : 0.6000 Average : 0.3815 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 6.53 %

Market Action

December 2, 2015

The hot news of the day is that the BoC did not move policy rates (emphasis added):

The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1/2 per cent. The Bank Rate is correspondingly 3/4 per cent and the deposit rate is 1/4 per cent.

Global economic growth is evolving essentially as the Bank had anticipated in its October Monetary Policy Report (MPR). The US economy continues to grow at a solid pace, although private domestic demand has proven slightly less robust than expected. Meanwhile, commodity prices have declined further. The ongoing terms-of-trade adjustments and shifting growth prospects across different regions are contributing to exchange rate movements. In this context, policy divergence is expected to remain a prominent theme.

In Canada, the dynamics of growth have been broadly in line with the Bank’s MPR outlook. The economy continues to undergo a complex and lengthy adjustment to the decline in Canada’s terms of trade. This adjustment is being aided by the ongoing US recovery, a lower Canadian dollar and the Bank’s monetary policy easing this year. The resource sector is still contending with lower prices for commodities. In non-resource sectors, exports are picking up, particularly in exchange rate-sensitive categories. However, business investment continues to be weighed down by cuts in resource-sector spending. The labour market has been resilient at the national level, although with significant job losses in resource-producing regions. The Bank expects GDP growth to moderate in the fourth quarter of 2015 before moving to a rate above potential in 2016. While bond yields are slightly higher, financial conditions remain accommodative in Canada.

In the midst of all of these adjustments, inflation is in line with the Bank’s October outlook. Total CPI inflation remains near the bottom of the Bank’s target range, owing to declines in consumer energy prices. Core inflation is close to 2 per cent as the effects of the lower dollar and the output gap continue to offset each other.

The Bank judges that the risks around the inflation profile remain roughly balanced over the projection horizon. Vulnerabilities in the household sector continue to edge higher while overall risks to financial stability are evolving as expected. Taking all of these developments into consideration, the Bank judges that the risks to the outlook for inflation remain within the zone for which the current stance of monetary policy is appropriate. Therefore, the target for the overnight rate remains at 1/2 per cent.

The GDP expectations look more optimistic than has been the case since oil started to drop; in the October rate announcement:

Given this judgment about potential output, the Canadian economy can be expected to return to full capacity, and inflation sustainably to target, around mid-2017.

Mind you, the two releases are not speaking to precisely the same issue: GDP growth will have to be “above potential” for quite some time before all the slack in the economy is taken up. But it certainly sounds more optimistic!

Barrie McKenna in the Globe comments:

Many economists don’t expect Canada’s central bank to hike rates until late next year or even 2017. A few say the bank could even cut again.

“Governor [Stephen] Poloz is making it clear that even as the Fed hikes, Canadian rates will be steady,” Bank of Montreal senior economist Benjamin Reitzes said a in a research note.

Royal Bank of Canada deputy chief economist Dawn Desjardins said she expects the central bank to keep monetary policy “very stimulative” at least until the investment activity in the oil patch stops shrinking.

Of course, one big drag on the Canadian economy is electricity prices in Ontario:

Ontarians have paid $37-billion more than market price for electricity over eight years and will pay another $133-billion by 2032, after the provincial government’s process for planning the system “broke down.” Electricity prices have ballooned by 70 per cent.

What’s more, Hydro One is in rough shape, with ever-increasing power outages and aging equipment “at very high risk of failing” that needs $4.472-billion worth of repairs – even as the province is in the process of selling 60 per cent of the company to the private sector.

Auditor-General Bonnie Lysyk made these blockbuster revelations about Ontario’s expensive and aging electricity system in her annual report Wednesday, which also put several other provincial policies under the microscrope.
…
“We found that the planning process had essentially broken down over the past decade,” Ms. Lysyk wrote in her report. “In the absence of a technical plan, the Ministry has made a number of decisions about power generation that went against the OPA’s technical advice and did not fully consider the state of the electricity market or the long-term effects.”

“Ontario electricity ratepayers have had to pay billions for these decisions,” Ms. Lysyk added.
…
For instance, Ontarians are paying double for wind power and more than triple for solar power what U.S. consumers pay. The problem, Ms. Lysyk found, was that the 2010 Green Energy Act failed to take advantage of low electricity prices and instead mandated higher prices for wind and solar power companies than they had received previously. This all added up to $9.2-billion more in renewables costs under the current system than the previous one.

In another case in 2013, the government decided to convert a coal-fired plant in Thunder Bay to biomass in order to keep the plant going after the province stopped burning coal for electricity. Energy experts at the OPA told the government the conversion was not cost-effective, but the government told them to do it anyway. As a result, power from the plant costs $1,600/megawatts per hour, which is 25 times more than the cost at other Ontario biomass plants, Ms. Lysyk found. What’s more, some of the biomass burned at the plant is actually imported, which undercuts part of the rationale to keep the plant going to help Ontario’s forestry industry.

Craziness. The Auditor General’s highlights are listed in her press release and masochists will enjoy reading the full report.

Meanwhile, the US took delivery of a good solid beige book:

The economy expanded modestly across most of the U.S. in October and November amid rising consumer spending, while a stronger dollar helped keep inflation in check, a Federal Reserve report showed.

Eight of the 12 Fed districts called the expansion “modest,” while the Minneapolis region reported moderate growth, according to the Beige Book released Wednesday in Washington. Conditions were “steady” in the Kansas City district and “leveled off” in New York, while growth reported by the Boston Fed was “somewhat slower.”

“Consumer spending increased in nearly all districts,” with robust car sales and lower gasoline prices boosting purchases of trucks and larger vehicles, the report said. While “labor markets continued to tighten modestly,” prices were “generally steady.”

Pay gains were described as “generally stable to increasing,” with most districts saying wage pressures were only building for skilled workers and employees in short supply.

The report coincides with Fed Chair Janet Yellen’s comments in a speech earlier Wednesday that she is increasingly confident the economy is growing sufficiently to achieve labor-market improvement and higher inflation.

Nevertheless, the Fed appears to be dampening expectations of substantial rate increases:

Federal Reserve policy makers may need to have more than just confidence that inflation will pick up to raise interest rates again after liftoff.

Chair Janet Yellen on Wednesday suggested that the pace of future rate increases could depend on “actual progress” in price gains toward the central bank’s target. That’s a shift from the requirement the Federal Open Market Committee set for an initial move, to be “reasonably confident” that inflation would move back to its goal over the medium term.

The language adds to reasons to expect that rates will rise gradually after a widely-anticipated liftoff later this month. As measured by the personal consumption expenditures price index, the Fed’s favorite gauge, headline inflation climbed just 0.2 percent in the year through October. So-called core prices, which strip out volatile food and energy costs, rose 1.3 percent.

“Given the persistent shortfall in inflation from our 2 percent objective, the Committee will, of course, carefully monitor actual progress toward our inflation goal as we make decisions over time on the appropriate path for the federal funds rate,” Yellen told the Economic Club of Washington on Wednesday.

… while at the same time Lockhart is pressing hard for a December hike:

Federal Reserve Bank of Atlanta President Dennis Lockhart said he favors raising interest rates this month, adding to signs that the central bank will proceed with its first increase since 2006.

“Absent information that drastically changes the economic picture and outlook, I feel the case for liftoff is compelling,” Lockhart said Wednesday in Fort Lauderdale, Florida.

The Federal Open Market Committee is considering tightening policy at its next meeting Dec. 15-16 as the economy expands and the labor market shows signs of continued progress. Payrolls are estimated to have increased by 200,000 last month and the unemployment rate stayed at 5 percent, according to economists surveyed prior to the government report on Friday.

The Atlanta Fed official, a voting member of the FOMC this year, said employment gains have clearly met the committee’s desire for further improvement as a criterion for liftoff.
…
Lockhart has never dissented from an FOMC decision.

Meanwhile, Assiduous Readers with good memories will remember that on April 9 I highlighted Power Financial’s investment in WealthSimple, which led on June 22 to astonished indignation that they might not be entirely altruistic in their goals. Whatever – WealthSimple is now flexing its newly gained muscles:

Online portfolio manager Wealthsimple is gaining ground among competitors as it acquires online brokerage Canadian ShareOwner Investments Inc.

It is the first acquisition in Canada between two online advice platforms, also known as robo-advisers, and the deal reveals that Wealthsimple will now manage 10,000 clients and $400-million in client assets – financial details that have been widely anticipated in the wealth-management industry.

Currently, there are 10 Canadian online portfolio manager platforms, including one in development with BMO Nesbitt Burns Inc., which is set to launch its offering in early 2016.

Wealthsimple entered the market in September, 2014, and quickly grabbed the attention of investment giant Power Financial Corp., which invested $10-million in the company this year and has an option to invest an additional $20-million. At the time, Wealthsimple had only 1,000 clients on its platform, with an unknown amount of assets under management (AUM), but founder and chief executive officer Michael Katchen has said he is aiming to reach AUM of $2-billion over the next two years.

… and Sun Life is reinforcing its global ambitions:

Canada’s Sun Life Financial Inc signalled the significance of the fast growing Indian insurance market by revealing plans on Wednesday to increase its stake in life insurance joint venture Birla Sun Life Insurance, to 49 per cent.

Toronto-based Sun Life, which currently owns 26 per cent of Birla Sun Life, is buying an additional 23 per cent in the venture from partner Aditya Birla Nuvo Ltd, which will keep the remaining stake. Sun Life will spend 16.64-billion rupees ($250-million) on the purchase.

The deal, which is expected to close by March 2016, comes months after Sun Life Chief Executive Dean Connor told Reuters the company was interested in raising its stake in the venture.

Birla Sun Life Insurance is among the top five private insurers in India and aims to crack the top 3 at some point.

S Split Corp., proud issuer of SBN.PR.A, was confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed the rating of Preferred Shares (the Preferred Shares) issued by S Split Corp. (the Company) at Pfd-3.
…
The net proceeds from the initial offering were used to purchase a portfolio of common shares of the Bank of Nova Scotia (the BNS Shares). Dividends received from the BNS Shares are used to pay a fixed cumulative monthly dividend to the holders of the Preferred Shares equal to 5.25% per annum. Based on the most recent dividend paid on the BNS Shares, the dividend income net of management fees and other expenses is expected to cover approximately 44% of the Preferred Share distributions. As of November 26, 2015, the Portfolio provides downside protection of approximately 39% to the Preferred Shares.
…
The Company aims to provide the holders of the Class A Shares with regular monthly cash distributions in an amount targeted to be 6% per annum on the net asset value (NAV) of the Class A Shares. These distributions result in an average annual grind on the NAV of approximately 2.3% for the next five years. No distributions will be paid to the Class A Shares if the asset coverage available to the Preferred Shares drops below 1.65 times. Furthermore, no special distributions will be paid to the Class A Shares if the payment would drop the Company NAV to less than $25; however, special distributions may be made to mitigate any potential tax liabilities to the Company. The combination of the asset coverage test and the Class A Share distributions being based on the Company NAV provides capital preservation for holders of the Preferred Shares.

It appears that preferred share investors are taking inspiration from old WW2 stories:

Click for Big

It was another awful day for the Canadian preferred share market, with PerpetualDiscounts down 49bp, FixedResets losing 92bp and DeemedRetractibles off 16bp. The Performance Highlights table is comprised entirely of losers, almost all FixedResets. Volume was quite high.

PerpetualDiscounts now yield 5.63%, equivalent to 7.32% 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 310bp, a widening from the 300bp reported November 26.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.85 to be $1.18 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.22 cheap at its bid price of 12.10.

Click for Big

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.40 to be 0.42 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 18.65 to be 0.57 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.40 to be $1.44 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.60 and appears to be $0.92 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 18.25, looks $0.75 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.10 and is $0.82 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.58%, with no outliers. There is one junk outlier below -1.50%.

Click for Big

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	4.46 %	5.38 %	35,218	17.41	1	-1.6129 %	1,740.7
FixedFloater	6.36 %	5.60 %	29,163	16.76	1	-1.1258 %	3,067.0
Floater	4.33 %	4.36 %	84,507	16.61	3	-1.6521 %	1,823.9
OpRet	4.86 %	3.73 %	28,474	0.73	1	0.1589 %	2,740.8
SplitShare	4.76 %	5.54 %	127,686	4.32	5	-0.0962 %	3,218.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0962 %	2,510.8
Perpetual-Premium	5.76 %	-1.93 %	89,736	0.09	6	-0.2354 %	2,522.9
Perpetual-Discount	5.59 %	5.63 %	92,933	14.41	33	-0.4897 %	2,562.9
FixedReset	5.09 %	4.75 %	227,125	15.01	76	-0.9241 %	2,018.2
Deemed-Retractible	5.16 %	5.22 %	122,799	5.36	33	-0.1618 %	2,594.7
FloatingReset	2.66 %	3.84 %	63,980	5.72	10	-0.4768 %	2,170.2

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.G	FixedReset	-4.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.55 Bid-YTW : 9.12 %
BAM.PR.K	Floater	-4.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 10.65 Evaluated at bid price : 10.65 Bid-YTW : 4.50 %
IFC.PR.C	FixedReset	-3.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.96 Bid-YTW : 7.47 %
VNR.PR.A	FixedReset	-3.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 5.03 %
FTS.PR.G	FixedReset	-3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.66 %
MFC.PR.K	FixedReset	-2.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.21 %
BAM.PR.R	FixedReset	-2.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.45 %
RY.PR.O	Perpetual-Discount	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 22.23 Evaluated at bid price : 22.60 Bid-YTW : 5.44 %
FTS.PR.H	FixedReset	-2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.25 %
MFC.PR.H	FixedReset	-2.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 5.01 %
BAM.PR.T	FixedReset	-2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.39 %
BAM.PR.Z	FixedReset	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.07 %
TRP.PR.D	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.81 %
TRP.PR.G	FixedReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.84 %
BAM.PF.B	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.07 %
MFC.PR.I	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.06 Bid-YTW : 5.57 %
NA.PR.W	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.75 %
FTS.PR.K	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.33 %
IFC.PR.A	FixedReset	-1.82 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 8.99 %
PWF.PR.T	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 21.96 Evaluated at bid price : 22.30 Bid-YTW : 3.86 %
TRP.PR.C	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 12.10 Evaluated at bid price : 12.10 Bid-YTW : 5.15 %
CU.PR.H	Perpetual-Discount	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 23.30 Evaluated at bid price : 23.60 Bid-YTW : 5.58 %
IAG.PR.G	FixedReset	-1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 5.62 %
BAM.PR.E	Ratchet	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 5.38 %
TRP.PR.A	FixedReset	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 4.70 %
GWO.PR.N	FixedReset	-1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.35 Bid-YTW : 10.16 %
CU.PR.G	Perpetual-Discount	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 5.59 %
HSE.PR.A	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 12.80 Evaluated at bid price : 12.80 Bid-YTW : 5.19 %
PWF.PR.S	Perpetual-Discount	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 21.36 Evaluated at bid price : 21.66 Bid-YTW : 5.59 %
CM.PR.Q	FixedReset	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.54 %
CU.PR.C	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.39 %
SLF.PR.I	FixedReset	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 5.84 %
BAM.PF.E	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.04 %
BAM.PR.X	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 4.96 %
MFC.PR.L	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.05 %
MFC.PR.M	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.95 Bid-YTW : 6.56 %
RY.PR.J	FixedReset	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 4.58 %
HSE.PR.C	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 5.26 %
IAG.PR.A	Deemed-Retractible	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.58 %
TD.PR.T	FloatingReset	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 3.62 %
BAM.PR.G	FixedFloater	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 25.00 Evaluated at bid price : 14.93 Bid-YTW : 5.60 %
PWF.PR.P	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 14.28 Evaluated at bid price : 14.28 Bid-YTW : 4.46 %
RY.PR.N	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 22.63 Evaluated at bid price : 22.97 Bid-YTW : 5.36 %
MFC.PR.J	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.71 Bid-YTW : 6.14 %
BAM.PF.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.04 %
BMO.PR.W	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.57 %
TD.PF.D	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.57 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.D	FixedReset	72,847	RBC crossed 37,000 at 18.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.81 %
RY.PR.Z	FixedReset	51,883	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 4.53 %
TRP.PR.E	FixedReset	45,833	Scotia crossed 10,000 at 19.06. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.66 %
TRP.PR.A	FixedReset	36,725	RBC crossed 20,000 at 15.78. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 4.70 %
RY.PR.O	Perpetual-Discount	34,450	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 22.23 Evaluated at bid price : 22.60 Bid-YTW : 5.44 %
RY.PR.H	FixedReset	30,613	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.55 %
There were 54 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.C	FixedReset	Quote: 19.77 – 21.62 Spot Rate : 1.8500 Average : 1.0748 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 5.26 %
BAM.PR.K	Floater	Quote: 10.65 – 11.29 Spot Rate : 0.6400 Average : 0.3979 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 10.65 Evaluated at bid price : 10.65 Bid-YTW : 4.50 %
IGM.PR.B	Perpetual-Premium	Quote: 25.29 – 26.22 Spot Rate : 0.9300 Average : 0.7234 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 24.94 Evaluated at bid price : 25.29 Bid-YTW : 5.89 %
VNR.PR.A	FixedReset	Quote: 19.17 – 19.75 Spot Rate : 0.5800 Average : 0.3975 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 5.03 %
RY.PR.O	Perpetual-Discount	Quote: 22.60 – 23.06 Spot Rate : 0.4600 Average : 0.2809 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 22.23 Evaluated at bid price : 22.60 Bid-YTW : 5.44 %
HSE.PR.E	FixedReset	Quote: 21.11 – 21.60 Spot Rate : 0.4900 Average : 0.3471 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-02 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.33 %

Market Action

December 1, 2015

Advanced students of economics, confidently exploring the most arcane niches of their field, will be fascinated to learn that after an extensive investigation, a US Senate committee has learned that private companies seek to maximize revenue:

The makers of a breakthrough drug for hepatitis C put profits before patients in pricing the $1,000 pill that cures the liver-wasting disease, U.S. Senate investigators said Tuesday.

A bipartisan report from the Senate Finance Committee concluded that California-based Gilead Sciences was focused on maximizing revenue even as the company’s own analysis showed a lower price would allow more patients to be treated.

Although the report focused on just one drug that has made headlines in the last few years, the lawmakers who led the investigation said their findings are a warning about what’s to come with other high-priced treatments for cancer, diabetes, Alzheimer’s and HIV.
…
“Gilead responsibly and thoughtfully priced Sovaldi and Harvoni,” said the company’s statement, noting that more than 600,000 patients have been treated worldwide since the introduction of Sovaldi two years ago.

But Wyden and Sen. Chuck Grassley, a Republican, said their 18-month investigation found that the high price tag significantly limited patient access and heaped huge costs on federal and state health care programs.
…
Other conclusions from the report:

— Gilead priced its first hepatitis C drug — Sovaldi — with an eye toward maximizing future returns from its follow-on medication, Harvoni.

— Gilead offered only meagre supplemental discounts to state Medicaid programs, and conditioned those on the states’ dropping any restrictions on patient access. The supplemental discounts of around 10 per cent would have been on top off other discounts that Medicaid programs get by law.

“The evidence shows the company pursued a calculated scheme for pricing and marketing its hepatitis C drug based on one primary goal – maximizing revenue – regardless of the human consequences,” said Wyden.

This startling conclusion will have the economics field abuzz for years – it’s revolutionary!

There will, of course, be the usual grousers who don’t like this idea; PrefBlog humbly suggests that they fund development of their own damn drugs:

A global coalition of charities and funding bodies has been formed to invest up to £30 million into restarting the development of promising drug candidates for neurodegenerative conditions such as dementia, motor neurone disease and Parkinson’s disease. The Neurodegeneration Medicines Acceleration Programme (Neuro-MAP), led by medical research charity MRC Technology, will identify promising drug projects that are no longer in development by the industry and help scientists to take them forward to the next stage, before returning them to pharmaceutical companies for further development into marketable treatments.
…
As a coalition of 9 charities and funders, Neuro-MAP will help ensure that the potential of fundamental early stage research into neurodegenerative disease is realised, taking promising drug candidates forward towards clinical testing. It will also look to repurpose existing drugs and compounds for other conditions, for example, the use of hypertension drugs for the treatment of vascular dementia. The programme protects both charities’ and pharma’s investment and allows charities to maximise their impact on patient’s quality of life.

Partners in the Neuro–MAP are: Alzheimer’s Association US, Alzheimer Research UK, Alzheimer’s Society UK, ALS Association, Michael J Fox Foundation, MND Association, MRC Technology, Northern Health Science Alliance and Parkinson’s UK.

Some pioneering cranks have been doing this for some time:

The Cystic Fibrosis (CF) Foundation has sold royalty rights to treatments developed with support from its ‘venture philantrophy’ model. Royalty pharma – which accumulates royalty payments from established drugs – paid $3.3 billion for royalties on Vertex pharmaceuticals’ Kalydeco (ivacaftor).

The venture philanthropy model, adopted in the late 1990s, sees the foundation provide upfront funding for pharmaceutical companies to help reduce the financial risk of developing drugs to treat CF. It gave a total of $150 million to Vertex to support the company’s CF drug development program.
…
The funding provided by the CF Foundation is exclusively for the use of specific, negotiated CF research projects with a biotech or pharmaceutical company. ‘We negotiate legal agreements with strict parameters to ensure that every dollar invested is in the best interest of advancing [our] mission,’ a foundation spokesperson explained. ‘Virtually every CF drug available to patients in the US was made possible because of Foundation support.’

In an exclusive interview, a PrefBlog spokesman stated “I don’t expect anything much to come of it in Canada. People aren’t too bright and would rather pay crackheads to sleep on the streets.”

I am happy to report that the Sprott Silver battle continues, with a press release yesterday from Sprott:

Desperate Attempt by the Spicers to Preserve Fees

Proposed Transaction Betrays the Principles of Physical Bullion Investing and Subjects Unitholders to Increased Risks, Including Risk of Significant Redemptions

Previous Bullion Fund to ETF Conversion by Purpose’s Predecessor Resulted in Immediate and Massive Redemptions

Purpose Investments Can Walk Away With no Penalty After April 30, 2016, and GTU and SBT’s Paid Financial Advisor Hasn’t Provided a Fairness Opinion on the Transaction

No Credible Reason to Believe That the Proposed ETF Conversions Can be Completed – the Transaction May be Nothing More Than a Defensive Tactic
…
John Wilson, CEO of Sprott Asset Management, said, “The Purpose Investments transaction is an illogical proposition for GTU and SBT unitholders who made the choice to invest in a security fully backed by physical bullion. Unitholders should feel betrayed by the Trustees. After suffering from significant underperformance, gross mismanagement and questionable side payments to the Trustees and other friends of the Spicer family, unitholders are now faced with a Spicer-negotiated transaction that protects their fees and hypocritically tries to promote liquidity, marketing support and enhanced asset scale. These qualities are just a few of the benefits that Sprott is offering GTU and SBT unitholders, but at a premium and with certainty. Most importantly, through the Sprott offers, unitholders do not lose the distinct investment quality of holding bullion directly.”

Silver Bullion Trust has fired back:

Bruce Heagle, Chair of the Special Committee of Independent Trustees, stated: “It is regrettable but not surprising that Sprott’s latest press commentary delivers alarmist criticism and confusion in order to forward their own agenda. Sprott is the desperate party in this debate – they are seeking to draw attention away from the obvious deficiencies of their offer relative to the proposed ETF conversion. Your Independent Trustees recommend that unitholders ignore Sprott’s fear-mongering accusations, as Sprott is seeking to prevent unitholders from considering a better alternative to their inadequate, self-serving offer, which has yet to garner sufficient unitholder support despite seven extensions. All of the pertinent information regarding the proposed ETF conversion and its benefits to unitholders relative to Sprott’s offer will be in the Information Circular, which will be sent to unitholders shortly. Upon review of the forthcoming Information Circular and the benefits of the ETF conversion, I am confident that you will reach the same conclusion as your Independent Trustees: that the proposed ETF conversion in partnership with Purpose Investments is clearly a superior alternative to Sprott’s deficient offer. We thank unitholders for their patience and continued support of Silver Bullion Trust.”

There were two issues of bank NVCC-compliant sub-debt today – one from BMO:

Bank of Montreal (TSX:BMO)(NYSE:BMO) today announced a domestic public offering of $1 billion of subordinated notes (Non-Viability Contingent Capital (NVCC)) (the “Notes”) through its Canadian Medium-Term Note Program. The net proceeds from this offering will be used for general corporate purposes.

The Notes bear interest at a fixed rate of 3.34 per cent per annum (paid semi-annually) until December 8, 2020, and at the three-month Bankers’ Acceptance Rate plus 2.18 per cent thereafter (paid quarterly) until their maturity on December 8, 2025. The expected closing date is December 8, 2015. BMO Capital Markets is acting as lead agent on the issue.

… and one from Scotia:

The Bank of Nova Scotia (“Scotiabank”) (TSX:BNS) (NYSE:BNS) today announced a Basel III-compliant offering of $750 million of 3.367% Subordinated Debentures due 2025 (the “Debentures”) pursuant to its June 27, 2014 base shelf prospectus.

The Debentures, to be sold through an agency syndicate led by Scotiabank Global Banking and Markets, are expected to be issued on December 8, 2015. Interest will be payable semi-annually from the date of issue until December 8, 2020 at 3.367% per annum. From December 8, 2020 to maturity on December 8, 2025, the Debentures will pay a quarterly coupon at a rate of the 90 day bankers’ acceptance plus 2.19%, beginning March 8, 2021.

The mechanics of NVCC-compliant sub-debt were discussed in the post Royal Bank Issues NVCC-Compliant Sub-Debt. It’s interesting to see that that issue, from July 2014, was issued at 3.04%, resetting ha-ha to BAs+108 after their pretend-maturity. That was at a time when:

[July, 2014] The Canada 10-year is trading at around 2.20%, the five year around 1.55% and three-month BAs a little above 1.20%.

Great-West Lifeco was supposed to have supposed to have advised bank-owned CDS of the reset rate on GWO.PR.N today, but neither the company, nor bank-owned CDS, nor regulatorally run SEDAR has any news for you, you disgusting retail scum. Phone your broker and ask this simple question if you can get through the voice-menu, and while you’re at it, be sure to ask if he has any new issues he can sell you; if not, mail him a cheque anyway. This will help build a stronger Canada.

It was another mixed, mostly negative day for the Canadian preferred share market, with PerpetualDiscounts off 12bp, FixedResets down 33bp and DeemedRetractibles gaining 5bp. The Performance Highlights table is dominated by losers. Volume continued to be extremely high.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.85 to be $0.96 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.12 cheap at its bid price of 12.31.

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Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.92 to be 0.54 rich, while MFC.PR.G, resetting at +290bp on 2018-3-19, is bid at 22.13 to be 0.43 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.79 to be $1.25 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.65 and appears to be $0.72 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 18.59, looks $0.77 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.66 and is $0.57 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.60%, with no outliers. There is one junk outlier below -1.50%.

Click for Big

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	4.39 %	5.29 %	35,553	17.52	1	-0.6410 %	1,769.2
FixedFloater	6.29 %	5.53 %	29,440	16.85	1	-0.1323 %	3,101.9
Floater	4.26 %	4.31 %	84,461	16.71	3	-0.1200 %	1,854.5
OpRet	4.86 %	3.93 %	28,900	0.73	1	-0.2772 %	2,736.5
SplitShare	4.76 %	5.45 %	128,859	4.32	5	0.2219 %	3,221.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2219 %	2,513.3
Perpetual-Premium	5.75 %	-2.12 %	89,722	0.09	6	-0.1241 %	2,528.9
Perpetual-Discount	5.56 %	5.63 %	93,562	14.44	33	-0.1153 %	2,575.6
FixedReset	5.04 %	4.68 %	225,378	15.09	76	-0.3315 %	2,037.0
Deemed-Retractible	5.16 %	4.74 %	123,395	5.36	33	0.0458 %	2,598.9
FloatingReset	2.65 %	3.74 %	64,767	5.73	10	-0.7126 %	2,180.6

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.C	FixedReset	-2.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 12.31 Evaluated at bid price : 12.31 Bid-YTW : 5.06 %
MFC.PR.N	FixedReset	-2.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.07 Bid-YTW : 6.40 %
MFC.PR.M	FixedReset	-2.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 6.39 %
TRP.PR.E	FixedReset	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.66 %
MFC.PR.G	FixedReset	-2.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 5.50 %
TRP.PR.F	FloatingReset	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 13.62 Evaluated at bid price : 13.62 Bid-YTW : 4.34 %
RY.PR.H	FixedReset	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.59 %
NA.PR.W	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.03 Evaluated at bid price : 18.03 Bid-YTW : 4.66 %
NA.PR.S	FixedReset	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.74 %
FTS.PR.K	FixedReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 4.25 %
BIP.PR.A	FixedReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.50 %
MFC.PR.I	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.48 Bid-YTW : 5.31 %
BNS.PR.C	FloatingReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 3.97 %
TRP.PR.H	FloatingReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 10.67 Evaluated at bid price : 10.67 Bid-YTW : 4.04 %
PWF.PR.P	FixedReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 4.41 %
BAM.PR.T	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 5.27 %
HSE.PR.A	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 12.98 Evaluated at bid price : 12.98 Bid-YTW : 5.12 %
CM.PR.P	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 4.70 %
IGM.PR.B	Perpetual-Premium	-1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.54 Bid-YTW : 5.53 %
CU.PR.C	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 4.33 %
HSE.PR.G	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.25 %
HSE.PR.C	FixedReset	2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.19 %
SLF.PR.G	FixedReset	2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.20 Bid-YTW : 8.55 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.R	FixedReset	89,000	Nesbitt crossed 30,000 at 24.80; TD crossed 49,900 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 3.57 %
IFC.PR.A	FixedReset	61,200	Desjardins crossed 50,000 at 16.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 8.73 %
TRP.PR.D	FixedReset	53,830	RBC crossed 25,000 at 18.58. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.71 %
TRP.PR.B	FixedReset	52,226	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.68 %
FTS.PR.M	FixedReset	32,436	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.54 %
TD.PF.B	FixedReset	30,295	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.53 %
There were 64 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: 18.85 – 19.31 Spot Rate : 0.4600 Average : 0.2872 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.66 %
BNS.PR.C	FloatingReset	Quote: 22.72 – 23.13 Spot Rate : 0.4100 Average : 0.3019 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 3.97 %
RY.PR.J	FixedReset	Quote: 20.30 – 20.59 Spot Rate : 0.2900 Average : 0.1837 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.52 %
GWO.PR.F	Deemed-Retractible	Quote: 25.37 – 25.67 Spot Rate : 0.3000 Average : 0.2000 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : -17.11 %
TD.PF.F	Perpetual-Discount	Quote: 23.25 – 23.50 Spot Rate : 0.2500 Average : 0.1549 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-01 Maturity Price : 22.87 Evaluated at bid price : 23.25 Bid-YTW : 5.31 %
TD.PR.S	FixedReset	Quote: 24.33 – 24.66 Spot Rate : 0.3300 Average : 0.2355 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.33 Bid-YTW : 3.45 %

Market Action

November 30, 2015

I have a lot of sympathy for the central bankers of the world, as I’ve mentioned before: they cut policy yields to the bone, hoping thereby to get consumers spending and business investing, but all that happens is people drive up the value of real estate. It will take a long period of declines and stagnation before people look upon their houses merely as a place to live, and that hasn’t started happening yet!

To address this problem of what can credibly be argued is misdirected investment – into non-productive assets – politicians from all over have played God with their economies, micromanaging mortgage rules to ensure that only the right sort of people can get financing for real-estate. I deplore this, while at the same time agreeing that a problem is demonstrable.

I would prefer a broader-brush approach to bank capital, based on the precept that while change can be good or bad, rapid changes of emphasis in the economy are very often bad, evidence of bubbles rather than shifts in demand. For instance, mortgages as a share of Canadian bank assets increased from 30% to 40%, fueled by an enormous expansion of CMHC guarantees, and while I would not go so far as to say that is definitive proof of a bubble, I will say that it’s a big change and should be addressed in a cautious manner.

There are two approaches that can be taken: the first is to insist that for risk-management purposes, the loan-to-value ratio of a mortgage be calculated not according to the sale price or to the appraised value, but to an estimate of what this would have been five or ten years ago, adjusted for inflation. So, for instance, if we have a house that sold in 2014 for $567,000 and has a mortgage of $400,000, we would now currently say the LTV is 71%. I suggest that for regulatory risk purposes we use the 2009 price of $395,000, add on 10% to reflect plain vanilla inflation for a notional value of $435,000, and say OK, you’ve got to put up capital reflecting this notional LTV of 92%, which is a different kettle of fish altogether.

The second approach would simply say … 40% of your balance sheet is now mortgages, the average over the last ten years is 30%, the difference is 10% and 10% of that is 1%, so there’s a countercyclical capital surcharge of 1% that will be applied to your risk weighted assets. A solution would need to be more detailed, with meaningful categorizations of bank assets and threshold values for surcharges so that slow change is not discouraged, but that’s the general idea.

An Australian change of mortgage risk-weights last summer:

Under rules coming into force on July 1, 2016, the average risk weight on residential mortgage exposures will rise to at least 25 percent from about 16 percent, the Australian Prudential Regulation Authority said in a statement.
…
The regulator is forcing banks to shore up their capital after a government review last December recommended they should rank among the top 25 percent of lenders globally. The capital increase forms part of the regulators’ attempt to ensure the financial system can cope with any downturn in the housing market, where prices have climbed almost 30 percent in the past three years.

Australia & New Zealand Banking Group Ltd. Commonwealth Bank of Australia, National Australia Bank Ltd., Westpac Banking Corp. and Macquarie Group Ltd. will be affected by the new rules, which equate to increasing minimum capital requirements by about 80 basis points, APRA said. The cost of holding more capital may force the lenders to raise their mortgage rates, according to Morningstar Inc. and Bell Potter Securities Ltd.

… and the change appears to have had some effect:

Sydney home prices fell the most in five years in November as a regulatory crackdown forces banks to tighten lending and increase mortgage rates.

Dwelling values in Australia’s largest city dropped 1.4 percent from a month earlier, data from property researcher CoreLogic Inc. showed on Tuesday. That was the biggest drop since December 2010 and the first decline since May. Prices across the nation’s capital cities declined 1.5 percent, with Melbourne leading with a 3.5 percent decrease.

“The fact that mortgage rates have risen independently of the cash rate has, in all likelihood, become a contributor to the slowdown in housing market conditions,” Tim Lawless, head of research at the firm, said in an e-mailed statement. “Tighter mortgage servicing criteria across the board and affordability constraints in the Sydney and Melbourne markets are also having an impact on market demand.”

The drop in home prices is yet another indicator of the cooling Sydney property market after mortgage rates close to five-decade lows and buying by foreigners sent prices up 44 percent in the past three years.

The regulator’s justification for the increase makes much more sense than the micro-economic arguments we’re hearing from Ottawa and the UK!

And in today’s drone news, Amazon has released videos and pictures about its developing Prime Air delivery service!

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It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts up 30bp, FixedResets off 42bp and DeemedRetractibles gaining 14bp. FixedResets comprised all of the bad part of the Performance Highlights table. Volume was extremely high.

Here’s TRP:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.30 to be $1.30 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.95 cheap at its bid price of 12.64.

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Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.60 to be 0.49 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, is bid at 21.00 to be 0.62 cheap.

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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.90 to be $1.16 cheap. BAM.PR.X, resetting at +180bp on 2017-6-30 is bid at 15.16 and appears to be $0.77 rich.

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FTS.PR.K, with a spread of +205bp, and bid at 18.89, looks $0.92 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.82 and is $0.58 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.35%, with no outliers. There is one junk outlier below -1.50%.

Click for Big

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	4.37 %	5.25 %	35,717	17.57	1	-0.3831 %	1,780.6
FixedFloater	6.28 %	5.53 %	28,774	16.86	1	-0.5263 %	3,106.0
Floater	4.25 %	4.31 %	87,423	16.71	3	3.1889 %	1,856.8
OpRet	4.85 %	3.54 %	28,050	0.74	1	0.1190 %	2,744.1
SplitShare	4.77 %	5.64 %	128,712	4.32	5	-0.2645 %	3,214.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2645 %	2,507.7
Perpetual-Premium	5.74 %	-5.60 %	89,084	0.09	6	0.2357 %	2,532.0
Perpetual-Discount	5.55 %	5.59 %	92,851	14.47	33	0.3031 %	2,578.5
FixedReset	5.02 %	4.66 %	224,971	14.99	76	-0.4183 %	2,043.8
Deemed-Retractible	5.14 %	5.14 %	122,615	5.36	33	0.1423 %	2,597.7
FloatingReset	2.63 %	3.61 %	65,192	5.73	10	0.4807 %	2,196.3

Performance Highlights
Issue	Index	Change	Notes
FTS.PR.G	FixedReset	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 4.47 %
MFC.PR.J	FixedReset	-2.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.95 %
BAM.PF.B	FixedReset	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.97 %
TRP.PR.A	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.66 %
BAM.PR.R	FixedReset	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 5.27 %
SLF.PR.G	FixedReset	-1.73 %	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 %
RY.PR.M	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 4.46 %
TRP.PR.D	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 18.48 Evaluated at bid price : 18.48 Bid-YTW : 4.69 %
BAM.PF.F	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 20.34 Evaluated at bid price : 20.34 Bid-YTW : 4.92 %
HSE.PR.G	FixedReset	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.34 %
BMO.PR.S	FixedReset	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.45 %
FTS.PR.K	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 4.18 %
BNS.PR.D	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 5.61 %
BAM.PR.T	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 5.21 %
MFC.PR.K	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 6.74 %
TRP.PR.C	FixedReset	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 12.64 Evaluated at bid price : 12.64 Bid-YTW : 4.92 %
TRP.PR.B	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.66 Evaluated at bid price : 11.66 Bid-YTW : 4.69 %
CM.PR.P	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.65 %
NA.PR.Q	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 3.73 %
BNS.PR.Y	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.30 Bid-YTW : 5.52 %
TRP.PR.E	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.55 %
CU.PR.D	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 21.81 Evaluated at bid price : 22.15 Bid-YTW : 5.55 %
CU.PR.E	Perpetual-Discount	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 21.70 Evaluated at bid price : 22.00 Bid-YTW : 5.59 %
TD.PR.T	FloatingReset	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 3.39 %
CU.PR.C	FixedReset	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 19.34 Evaluated at bid price : 19.34 Bid-YTW : 4.38 %
GWO.PR.N	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.83 Bid-YTW : 9.82 %
MFC.PR.F	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.91 Bid-YTW : 8.98 %
PWF.PR.G	Perpetual-Premium	1.27 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-30 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : -16.42 %
CU.PR.H	Perpetual-Discount	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 23.62 Evaluated at bid price : 23.95 Bid-YTW : 5.50 %
TD.PR.Z	FloatingReset	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 3.50 %
SLF.PR.H	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.25 Bid-YTW : 7.22 %
IAG.PR.A	Deemed-Retractible	1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 6.45 %
PWF.PR.T	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 22.23 Evaluated at bid price : 22.70 Bid-YTW : 3.78 %
CU.PR.G	Perpetual-Discount	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.52 %
BAM.PR.B	Floater	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 4.31 %
BAM.PR.C	Floater	3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.13 Evaluated at bid price : 11.13 Bid-YTW : 4.30 %
TRP.PR.H	FloatingReset	3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 3.99 %
BAM.PR.K	Floater	3.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 4.31 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.C	FloatingReset	126,134	TD crossed 125,000 at 23.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 3.75 %
IFC.PR.A	FixedReset	62,719	Desjardins crossed 42,100 at 16.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.39 Bid-YTW : 8.82 %
BNS.PR.R	FixedReset	59,151	TD crossed 50,000 at 24.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.73 Bid-YTW : 3.62 %
PWF.PR.P	FixedReset	43,750	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 14.61 Evaluated at bid price : 14.61 Bid-YTW : 4.36 %
TRP.PR.F	FloatingReset	37,975	RBC crossed 17,300 at 13.93. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.25 %
FTS.PR.K	FixedReset	36,701	RBC crossed 17,800 at 19.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 4.18 %
There were 65 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.G	FixedReset	Quote: 21.00 – 21.79 Spot Rate : 0.7900 Average : 0.4778 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.34 %
TRP.PR.A	FixedReset	Quote: 15.75 – 16.39 Spot Rate : 0.6400 Average : 0.4307 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.66 %
MFC.PR.K	FixedReset	Quote: 19.30 – 19.84 Spot Rate : 0.5400 Average : 0.3452 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 6.74 %
RY.PR.M	FixedReset	Quote: 20.06 – 20.51 Spot Rate : 0.4500 Average : 0.2849 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-30 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 4.46 %
MFC.PR.J	FixedReset	Quote: 21.00 – 21.50 Spot Rate : 0.5000 Average : 0.3371 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.95 %
BNS.PR.D	FloatingReset	Quote: 19.62 – 19.99 Spot Rate : 0.3700 Average : 0.2196 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 5.61 %

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